Multivariate Pareto distribution

Title: Multivariate Pareto distribution Author: Oleksandr Novytskyi Department: Department of Probability and Mathematical Statistics (305. 32- KPMS) Supervisor: RNDr. Lucie Mazurová, Ph.D., Department of Probability and Mathematical Statistics (305. 32-KPMS) Abstract: This bachelor thesis focuses on three methods of constructing multiva- riate Pareto distribution, i.e. multivariate distribution, where marginal distributi- ons are univariate Pareto distributions. We provide survival and density functions for these models, which are used for the numerical studies and valuation of insu- rance product, specifically a yearly life annuity paid to each insured in the group, whose remaining life time is given by the multivariate Pareto distribution. Keywords: multivariate distribution, Pareto distribution, survival function, density, life annuity