MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
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Cites work
- \(M\)-estimation, convexity and quantiles
- A capital allocation based on a solvency exchange option
- An introduction to copulas.
- Asymmetric Least Squares Estimation and Testing
- Bivariate lower and upper orthant value-at-risk
- Bounds for functions of multivariate risks
- Coherent measures of risk
- Extreme geometric quantiles in a multivariate regular variation framework
- scientific article; zbMATH DE number 3863589 (Why is no real title available?)
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 5321684 (Why is no real title available?)
- scientific article; zbMATH DE number 45785 (Why is no real title available?)
- scientific article; zbMATH DE number 1821102 (Why is no real title available?)
- scientific article; zbMATH DE number 854710 (Why is no real title available?)
- scientific article; zbMATH DE number 3338262 (Why is no real title available?)
- Intriguing properties of extreme geometric quantiles
- Monte Carlo and quasi-Monte Carlo sampling
- Multivariate extensions of expectiles risk measures
- Multivariate geometric expectiles
- On a Geometric Notion of Quantiles for Multivariate Data
- On decompositional algorithms for uniform sampling from n-spheres and n-balls
- On multivariate extensions of the conditional value-at-risk measure
- Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory
- Quantitative risk management. Concepts, techniques and tools
- Regression Quantiles
- Robustness and sensitivity analysis of risk measurement procedures
- Some integrals involving the<tex>Q_M</tex>function (Corresp.)
- TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
- Vector-valued tail value-at-risk and capital allocation
Cited in
(17)- Risk tomography
- Multivariate value at risk and related topics
- Semi-parametric estimation of multivariate extreme expectiles
- Properties and calculation of multivariate risk measures: MVaR and MCVaR
- Capital allocation with multivariate convex risk measures
- Bivariate value-at-risk
- On multivariate extensions of value-at-risk
- A consistent estimator to the orthant-based tail value-at-risk
- Risk evaluation and capital allocation based on TVaR and EVaR with copula
- A multivariate CVaR risk measure from the perspective of portfolio risk management
- A new coherent multivariate average-value-at-risk
- Range-based risk measures and their applications
- Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions
- On a general class of functionals: statistical inference and application to risk measures
- On evaluation of joint risk for nonnegative multivariate risks under dependence uncertainty
- Range moment risk measures for elliptical distributions
- A directional multivariate value at risk
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