Search
Documentation Center

Multivariate geometric tail-and range-value-at-risk
Recurso electrónico / Electronic resource
Section: 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 ‌Otros autores: Hofert, Marius ‌
Mailhot, Mélina ‌
Other categories: 6
Rights: In Copyright (InC)
‌ See issue detail