  A new multivariate distribution possessing arbitrarily parametrized and
positively dependent univariate Pareto margins is introduced. Unlike the
probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R.
(2010) On a multivariate Pareto distribution. Insurance: Mathematics and
Economics 46(2), 308-316], the structure in this paper is absolutely continuous
with respect to the corresponding Lebesgue measure. The distribution is of
importance to actuaries through its connections to the popular frailty models,
as well as because of the capacity to describe dependent heavy-tailed risks.
The genesis of the new distribution is linked to a number of existing
probability models, and useful characteristic results are proved. Expressions
for, e.g., the decumulative distribution and probability density functions,
(joint) moments and regressions are developed. The distributions of minima and
maxima, as well as, some weighted risk measures are employed to exemplify
possible applications of the distribution in insurance.
