MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK

Klaus Herrmann, Marius Hofert and Mélina Mailhot

ASTIN Bulletin, 2020, vol. 50, issue 1, 265-292

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.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:cup:astinb:v:50:y:2020:i:1:p:265-292_9

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