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.
Arkolakis et al. (Thu,) studied this question.