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MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
Published online by Cambridge University Press: 21 October 2019
Abstract
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 and multivariate versions of the TVaR and RVaR.
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- Research Article
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- © Astin Bulletin 2019
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