Become a Readings Member to make your shopping experience even easier. Sign in or sign up for free!

Become a Readings Member. Sign in or sign up for free!

Hello Readings Member! Go to the member centre to view your orders, change your details, or view your lists, or sign out.

Hello Readings Member! Go to the member centre or sign out.

Bibliotheca Savonaroliana: Les Oeuvres de Fra Girolamo Savonarola (1898)
Paperback

Bibliotheca Savonaroliana: Les Oeuvres de Fra Girolamo Savonarola (1898)

$64.99
Sign in or become a Readings Member to add this title to your wishlist.

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.

Read More
In Shop
Out of stock
Shipping & Delivery

$9.00 standard shipping within Australia
FREE standard shipping within Australia for orders over $100.00
Express & International shipping calculated at checkout

MORE INFO
Format
Paperback
Publisher
Kessinger Publishing
Country
United States
Date
10 September 2010
Pages
76
ISBN
9781168330208

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.

Read More
Format
Paperback
Publisher
Kessinger Publishing
Country
United States
Date
10 September 2010
Pages
76
ISBN
9781168330208