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The Pareto Copula, Aggregation of Risks and the Emperors Socks
Year Of Publication: 2007
Month Of Publication: August
Pages: 19
Download Count: 256
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 12-12-2007
Publisher: Administrator
The copula of a multivariate distribution is the distribution transformed tohave uniform one dimensional marginals. We review a transformation of the marginals ofa multivariate distribution to a standard Pareto and the resulting distribution we call thePareto copula. Use of the Pareto copula has a certain claim to naturalness when consideringasymptotic limit distributions for sums, maxima and empirical processes. We discussimplications for aggregation of risk and offer some examples.
Kluppelberg, Claudia Sign in to follow this author
Resnick, Sidney Sign in to follow this author
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