Multivariate geometric tail- and range-value-at-risk
by Klaus Herrmann, Marius Hofert and Mélina Mailhot
| Year of publication: |
2020
|
|---|---|
| Authors: | Herrmann, Klaus ; Hofert, Marius ; Mailhot, Mélina |
| Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 50.2020, 1, p. 265-292
|
| Subject: | Multivariate risk measures | tail-value-at-risk | range-value-at-risk | geometric quantiles | dependence | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2019.31 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194132