Multivariate geometric tail-and range-value-at-risk

Recurso electrónico / Electronic resource
Collection: Articles
Title: Multivariate geometric tail-and range-value-at-risk / Klaus Herrmann, Marius Hofert, Mélina MailhotAuthor: Herrmann, Klaus
Notes: 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.Related records: 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. 265-292Materia / lugar / evento: Valoración de riesgos Cálculo actuarial Modelos predictivos Análisis multivariante Other authors: Hofert, Marius
Mailhot, Mélina
Other categories: 6
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