Multivariate geometric tail-and range-value-at-risk
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20200009979 | ||
| 003 | MAP | ||
| 005 | 20200326142030.0 | ||
| 008 | 200326e20200101bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20200006596$aHerrmann, Klaus | ||
| 245 | 1 | 0 | $aMultivariate geometric tail-and range-value-at-risk$cKlaus Herrmann, Marius Hofert, Mélina Mailhot |
| 520 | $aA 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. | ||
| 650 | 4 | $0MAPA20080604394$aValoración de riesgos | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080592059$aModelos predictivos | |
| 650 | 4 | $0MAPA20080604721$aAnálisis multivariante | |
| 700 | 1 | $0MAPA20190015196$aHofert, Marius | |
| 700 | 1 | $0MAPA20200006664$aMailhot, Mélina | |
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g01/01/2020 Volumen 50 Número 1 - enero 2020 , p. 265-292 |