On multivariate extensions of the conditional value-at-risk measure

DOI10.1016/j.insmatheco.2014.11.006zbMath1314.91243OpenAlexW2028814119MaRDI QIDQ2347091

F. Palacios-Rodríguez, M. R. Rodríguez-Griñolo, Elena Di Bernardino, J. M. Fernández-Ponce

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.11.006

zbMATH Keywords

stochastic ordersvalue-at-riskmultivariate risk measurescopulas and dependencelevel sets of distribution functions

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (13)

Vulnerability-CoVaR: investigating the crypto-market ⋮ Modeling spatial extremes using normal mean-variance mixtures ⋮ A multivariate extension of the increasing convex order to compare risks ⋮ Vector-valued tail value-at-risk and capital allocation ⋮ Covar of families of copulas ⋮ On the estimation of extreme directional multivariate quantiles ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ Vector-valued multivariate conditional value-at-risk ⋮ Estimation of extreme quantiles conditioning on multivariate critical layers ⋮ Capital allocation with multivariate convex risk measures ⋮ Multivariate extensions of expectiles risk measures ⋮ MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK ⋮ Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models

Uses Software

• QRM

Cites Work

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