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

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<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>
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<subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
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<subfield code="g">01/01/2020 Volumen 50 Número 1 - enero 2020 , p. 265-292</subfield>
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