Multivariate geometric tail-and range-value-at-risk
<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd"> <record> <leader>00000cab a2200000 4500</leader> <controlfield tag="001">MAP20200009979</controlfield> <controlfield tag="003">MAP</controlfield> <controlfield tag="005">20200326142030.0</controlfield> <controlfield tag="008">200326e20200101bel|||p |0|||b|eng d</controlfield> <datafield tag="040" ind1=" " ind2=" "> <subfield code="a">MAP</subfield> <subfield code="b">spa</subfield> <subfield code="d">MAP</subfield> </datafield> <datafield tag="084" ind1=" " ind2=" "> <subfield code="a">6</subfield> </datafield> <datafield tag="100" ind1=" " ind2=" "> <subfield code="0">MAPA20200006596</subfield> <subfield code="a">Herrmann, Klaus</subfield> </datafield> <datafield tag="245" ind1="1" ind2="0"> <subfield code="a">Multivariate geometric tail-and range-value-at-risk</subfield> <subfield code="c">Klaus Herrmann, Marius Hofert, Mélina Mailhot</subfield> </datafield> <datafield tag="520" ind1=" " ind2=" "> <subfield code="a">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.</subfield> </datafield> <datafield tag="650" ind1=" " ind2="4"> <subfield code="0">MAPA20080604394</subfield> <subfield code="a">Valoración de riesgos</subfield> </datafield> <datafield tag="650" ind1=" " ind2="4"> <subfield code="0">MAPA20080579258</subfield> <subfield code="a">Cálculo actuarial</subfield> </datafield> <datafield tag="650" ind1=" " ind2="4"> <subfield code="0">MAPA20080592059</subfield> <subfield code="a">Modelos predictivos</subfield> </datafield> <datafield tag="650" ind1=" " ind2="4"> <subfield code="0">MAPA20080604721</subfield> <subfield code="a">Análisis multivariante</subfield> </datafield> <datafield tag="700" ind1="1" ind2=" "> <subfield code="0">MAPA20190015196</subfield> <subfield code="a">Hofert, Marius</subfield> </datafield> <datafield tag="700" ind1="1" ind2=" "> <subfield code="0">MAPA20200006664</subfield> <subfield code="a">Mailhot, Mélina </subfield> </datafield> <datafield tag="773" ind1="0" ind2=" "> <subfield code="w">MAP20077000420</subfield> <subfield code="t">Astin bulletin</subfield> <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield> <subfield code="x">0515-0361</subfield> <subfield code="g">01/01/2020 Volumen 50 Número 1 - enero 2020 , p. 265-292</subfield> </datafield> </record> </collection>