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A new coherent multivariate average-value-at-risk
Kerem Uğurlu
Research output
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Contribution to journal
›
Article
›
peer-review
10
Citations (Scopus)
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Dive into the research topics of 'A new coherent multivariate average-value-at-risk'. Together they form a unique fingerprint.
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Mathematics
Value at Risk
100%
Risk Level
66%
Risk Measure
66%
Variance
33%
Numerical Simulation
33%
Marginals
33%
Dimensional Case
33%
Gaussian Mixture Model
33%
Chebyshev Inequality
33%
Tail Event
33%
INIS
values
100%
risks
100%
multivariate analysis
100%
levels
15%
losses
7%
modeling
7%
computerized simulation
7%
evaluation
7%
randomness
7%
flexibility
7%
connections
7%
mixtures
7%
Keyphrases
Actuarial Modelling
33%