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

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001  MAP20200009979
003  MAP
005  20200326142030.0
008  200326e20200101bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20200006596‎$a‎Herrmann, Klaus
24510‎$a‎Multivariate geometric tail-and range-value-at-risk‎$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
7001 ‎$0‎MAPA20190015196‎$a‎Hofert, Marius
7001 ‎$0‎MAPA20200006664‎$a‎Mailhot, Mélina
7730 ‎$w‎MAP20077000420‎$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