Abstract
The copula of a multivariate distribution is the distribution transformed so that onedimensional marginal distributions are uniform. We review a different transformation of a multivariate distribution which yields standard Pareto for the marginal distributions, and we call the resulting distribution the Pareto copula. Use of the Pareto copula has a certain claim to naturalness when considering asymptotic limit distributions for sums, maxima, and empirical processes. We discuss implications for aggregation of risk and offer some examples.
| Original language | English |
|---|---|
| Pages (from-to) | 67-84 |
| Number of pages | 18 |
| Journal | Journal of Applied Probability |
| Volume | 45 |
| Issue number | 1 |
| DOIs | |
| State | Published - Mar 2008 |
Keywords
- Copula
- Maximal domain of attraction
- Pareto
- Regular variation
- Risk