About this Economics, Econometrics and Finance article
Multivariate Tweedie distributions and some related capital-at-risk analyses by Edward Furman; Zinoviy Landsman is a Economics, Econometrics and Finance article available to read on EtoBox.
We study a multivariate extension of the univariate exponential dispersion Tweedie family of distributions. The class, referred to as the multivariate Tweedie family (MTwF), on the one hand includes multivariate Poisson, gamma, inverse Gaussian, stable and compound Poisson distributions and on the other hand introduces a high variety of new dependent probabilistic models unstudied so far. We investigate various properties of MTwF and discuss its possible applications to financial risk management.
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Edward Furman; Zinoviy Landsman
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0167-6687)
- Published
- 2010
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)