The Pareto Copula , Aggregation of Risks and the Emperor ’ S Socks

@inproceedings{Klppelberg2007ThePC,
  title={The Pareto Copula , Aggregation of Risks and the Emperor ’ S Socks},
  author={Claudia Kl{\"u}ppelberg and Sidney Resnick},
  year={2007}
}
The copula of a multivariate distribution is the distribution transformed to have uniform one dimensional marginals. We review a transformation of the marginals of a multivariate distribution to a standard Pareto and the resulting distribution we call 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. 

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