Some classes of multivariate risk measures

zbMATH Open1381.62156MaRDI QIDQ4593690FDOQ4593690

Authors: Marta Cardin, Elisa Pagani 

Publication date: 22 November 2017

Recommendations

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zbMATH Keywords

risk measuresdistortion functionstochastic ordersmultivariate risk measuresconcordance measures

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30)

Cited In (8)

• Approximation of some multivariate risk measures for Gaussian risks
• Stochastic increase in CDS and CDO portfolio premiums
• Title not available (Why is that?)
• Value-at-risk modeling with conditional copulas in Euclidean space framework
• A directional multivariate value at risk
• Hessian and increasing-Hessian orderings of scale-shape mixtures of multivariate skew-normal distributions and applications
• Multivariate extensions of expectiles risk measures
• Toward categorical risk measure theory

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