Isbn: 9783843368308 - multivariate families with mixture dependence: properties, tail conditional expectation and capital allocation (7 resultados)

Condición: New. pp. 104.

Taschenbuch. Condición: Neu. Multivariate Families with Mixture Dependence | Properties, Tail Conditional Expectation and Capital Allocation | Arthur Chiragiev (u. a.) | Taschenbuch | 104 S. | Englisch | 2010 | LAP LAMBERT Academic Publishing | EAN 9783843368308 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. …

Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In this thesis we consider the problem of capital allocation, based on tail conditional expectation (TCE), for the class of the dependent multivariate family of distributions that essentially generalizes the classical multivariate Pareto distribution. This class can be obtained from independent exponential distributions, by a mixture of their common scale parameter. The distribution of mixture parameter belongs to the general class of distributions and, in particular, to the rich class of the exponential dispersion family (EDF). Special attention is paid to the important subclass of EDF, Tweedie family. We show that TCE-based portfolio allocation for the considered multivariate dependency structure can be represented by the tool of divided di erences, actually known in numerical analysis. The results are illustrated with examples of multivariate Pareto, Weibull, and other distributions. 104 pp. Englisch.…

Condición: New. Print on Demand pp. 104 2:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on Creme w/Gloss Lam.

Condición: New. PRINT ON DEMAND pp. 104.

Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -In this thesis we consider the problem of capital allocation, based on tail conditional expectation (TCE), for the class of the dependent multivariate family of distributions that essentially generalizes the classical multivariate Pareto distribution. This class can be obtained from independent exponential distributions, by a mixture of their common scale parameter. The distribution of mixture parameter belongs to the general class of distributions and, in particular, to the rich class of the exponential dispersion family (EDF). Special attention is paid to the important subclass of EDF, Tweedie family. We show that TCE-based portfolio allocation for the considered multivariate dependency structure can be represented by the tool of divided di¿erences, actually known in numerical analysis. The results are illustrated with examples of multivariate Pareto, Weibull, and other distributions.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 104 pp. Englisch.…

Taschenbuch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In this thesis we consider the problem of capital allocation, based on tail conditional expectation (TCE), for the class of the dependent multivariate family of distributions that essentially generalizes the classical multivariate Pareto distribution. This class can be obtained from independent exponential distributions, by a mixture of their common scale parameter. The distribution of mixture parameter belongs to the general class of distributions and, in particular, to the rich class of the exponential dispersion family (EDF). Special attention is paid to the important subclass of EDF, Tweedie family. We show that TCE-based portfolio allocation for the considered multivariate dependency structure can be represented by the tool of divided di erences, actually known in numerical analysis. The results are illustrated with examples of multivariate Pareto, Weibull, and other distributions.…