Search
Documentation Center

Multivariate geometric tail-and range-value-at-risk
Recurso electrónico / Electronic resource
MAP20200009979
Herrmann, Klaus ‌
Multivariate geometric tail-and range-value-at-risk / Klaus Herrmann, Marius Hofert, Mélina Mailhot
Sumario: A generalization of range-value-at-risk (RVaR) and tail-value-at-risk (TVaR) for d-dimensional distribution functions is introduced. Properties of these new risk measures are studied and illustrated. We provide special cases, applications and a comparison with traditional univariate andmultivariate versions of the TVaR and RVaR
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2020 Volumen 50 Número 1 - enero 2020 , p. 265-292
1. Valoración de riesgos ‌. 2. Cálculo actuarial ‌. 3. Modelos predictivos ‌. 4. Análisis multivariante ‌. I. Hofert, Marius ‌. II. Mailhot, Mélina ‌. III. Title.