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

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<dc:creator>Herrmann, Klaus</dc:creator>
<dc:creator>Hofert, Marius</dc:creator>
<dc:creator>Mailhot, Mélina </dc:creator>
<dc:date>2020-01-01</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/record.do?id=171050</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">In Copyright (InC) - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Valoración de riesgos</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Modelos predictivos</dc:subject>
<dc:subject xml:lang="es">Análisis multivariante</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Multivariate geometric tail-and range-value-at-risk</dc:title>
<dc:relation xml:lang="es">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. 265-292</dc:relation>
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