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Article: Multivariate Geometric Tail- and Range-Value-at-Risk

TitleMultivariate Geometric Tail- and Range-Value-at-Risk
Authors
Herrmann, KlausHofert, MariusMailhot, Mélina
Keywordsdependence
geometric quantiles
Multivariate risk measures
range-value-at-risk
tail-value-at-risk
Issue Date2020
Citation
ASTIN Bulletin, 2020, v. 50, n. 1, p. 265-292 How to Cite?
DOI: http://dx.doi.org/10.1017/asb.2019.31
AbstractA 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 and multivariate versions of the TVaR and RVaR.
Persistent Identifierhttp://hdl.handle.net/10722/325450
ISSN
0515-0361
2023 Impact Factor: 1.7
2023 SCImago Journal Rankings: 0.979
ISI Accession Number ID
WOS:000510315500009

 

DC FieldValueLanguage
dc.contributor.authorHerrmann, Klaus-
dc.contributor.authorHofert, Marius-
dc.contributor.authorMailhot, Mélina-
dc.date.accessioned2023-02-27T07:33:25Z-
dc.date.available2023-02-27T07:33:25Z-
dc.date.issued2020-
dc.identifier.citationASTIN Bulletin, 2020, v. 50, n. 1, p. 265-292-
dc.identifier.issn0515-0361-
dc.identifier.urihttp://hdl.handle.net/10722/325450-
dc.description.abstractA 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 and multivariate versions of the TVaR and RVaR.-
dc.languageeng-
dc.relation.ispartofASTIN Bulletin-
dc.subjectdependence-
dc.subjectgeometric quantiles-
dc.subjectMultivariate risk measures-
dc.subjectrange-value-at-risk-
dc.subjecttail-value-at-risk-
dc.titleMultivariate Geometric Tail- and Range-Value-at-Risk-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1017/asb.2019.31-
dc.identifier.scopuseid_2-s2.0-85074115234-
dc.identifier.volume50-
dc.identifier.issue1-
dc.identifier.spage265-
dc.identifier.epage292-
dc.identifier.eissn1783-1350-
dc.identifier.isiWOS:000510315500009-

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