A Multivariate distribution with Pareto tails and Pareto maxima
提出一种新的多元分布，其尾部和最大值服从帕累托分布，通过一个额外参数控制协方差，适用于有参与阈值的应用场景。
We present a new multivariate distribution with Pareto distributed tails and maxima. Compared to uncorrelated univariate Pareto distributions, it features one additional parameter that governs the covariance of its realizations. We argue that it has a number of aggregation properties that make it useful for applied work alongside multivariate Gumbel and Fréchet distributions. In particular, it is well suited for applications with a participation threshold. Finally, we show that this distribution is indeed valid by proving a general result about n -increasing functions.