Multivariate geometric tail-and range-value-at-risk
Coleção: Artigos
Título: Multivariate geometric tail-and range-value-at-risk / Klaus Herrmann, Marius Hofert, Mélina Mailhot
Autor: Herrmann, Klaus
Notas: 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.
Registros relacionados: 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
Materia / lugar / evento: Valoración de riesgos
Cálculo actuarial
Modelos predictivos
Análisis multivariante
Cálculo actuarial
Modelos predictivos
Análisis multivariante
Autores secundários: Hofert, Marius
Mailhot, Mélina
Mailhot, Mélina
Outras classificações: 6
Direitos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/
