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MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
Klaus Herrmann, Marius Hofert, Mélina Mailhot
Journal:

ASTIN Bulletin: The Journal of the IAA / Volume 50 / Issue 1 / January 2020

Published online by Cambridge University Press:

21 October 2019, pp. 265-292

Print publication:

January 2020
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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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MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK