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Lovely books. Tail Conditional Expectation for Multivariate Pareto Portfolio: TCE-Based Capital Allocation in the Case of Multivariate Pareto Distribution by Arthur Chiragiev and Zinoviy Landsman http://www.amazon.com/Conditional-Expectation-Multivariate-Pareto-Portfolio/dp/383831557X/ref=sr_1_1?s=books&ie=UTF8&qid=1393182917&sr=1-1

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The book considers 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.

The empire of books. Tail Conditional Expectation for Multivariate Pareto Portfolio: TCE-Based Capital Allocation in the Case of Multivariate Pareto Distribution by Arthur Chiragiev and Zinoviy Landsman http://www.amazon.com/Conditional-Expectation-Multivariate-Pareto-Portfolio/dp/383831557X/ref=sr_1_1?s=books&ie=UTF8&qid=1393182917&sr=1-1

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Multivariate Pareto portfolios: TCE-based capital allocation and divided differences by Arthur Chiragiev and Zinoviy Landsman, Scandinavian Actuarial Journal. Determination of risk capital is a subject of active interest to researchers, regulators of financial institutions, and commercial vendors of financial products and services. Recently, there has been growing concentration among the insurance companies and regulators on the use of tail conditional expectation (TCE) as measure of risk…

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Pareto Distributions (Hardcover)

Pareto Distributions