MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
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Publication:5213447
DOI10.1017/asb.2019.31zbMath1431.91441OpenAlexW2982150252MaRDI QIDQ5213447
Mélina Mailhot, Klaus Herrmann, Marius Hofert
Publication date: 3 February 2020
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2019.31
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)
Related Items (3)
A multivariate CVaR risk measure from the perspective of portfolio risk management ⋮ Capital allocation with multivariate convex risk measures ⋮ Semi-parametric estimation of multivariate extreme expectiles
Uses Software
Cites Work
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