Peaks-over-threshold stability of multivariate generalized Pareto distributions

摘要

It is well-known that the univariate generalized Pareto distributions (GPD) are characterized by their peaks-over-threshold (POT) stability. We extend this result to multivariate GPDs. It is also shown that this POT stability is asymptotically shared by distributions which are in a certain neighborhood of a multivariate GPD. A multivariate extreme value distribution is a typical example. The usefulness of the results is demonstrated by various applications. We immediately obtain, for example, that the excess distribution of a linear portfolio Sigma(i <= d) a(i)U(i) with positive weights a(i), i <= d, is independent of the weights, if (U-1,...,U-d) follows a multivariate GPD with identical univariate polynomial or Pareto margins, which was established by Macke [On the distribution of linear combinations of multivariate EVD and GPD distributed random vectors with an application to the expected shortfall of portfolios, Diploma Thesis, University of Wurzburg, 2004, (in German)] and Falk and Michel [Testing for tail independence in extreme value models. Ann. Inst. Statist. Math. 58 (2006) 261-290]. This implies, for instance, that the expected shortfall as a measure of risk fails in this case. (c) 2007 Elsevier Inc. All rights reserved.