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

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<title>Multivariate geometric tail-and range-value-at-risk</title>
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<name type="personal" usage="primary">
<namePart>Herrmann, Klaus</namePart>
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<name type="personal">
<namePart>Hofert, Marius</namePart>
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<name type="personal">
<namePart>Mailhot, Mélina</namePart>
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<abstract>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.</abstract>
<note type="statement of responsibility">Klaus Herrmann, Marius Hofert, Mélina Mailhot</note>
<subject>
<topic>Valoración de riesgos</topic>
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<subject>
<topic>Cálculo actuarial</topic>
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<subject>
<topic>Modelos predictivos</topic>
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<subject>
<topic>Análisis multivariante</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>01/01/2020 Volumen 50 Número 1 - enero 2020 , p. 265-292</text>
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