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001 | | | MAP20200009979 |
003 | | | MAP |
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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 |