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Distortions of multivariate risk measures: a level-sets based approach
In this paper, we propose a parametric model for multivariate distributions. The model is based on distortion functions, i.e. some transformations of a multivariate... -
On Multivariate Extensions of Value-at-Risk
In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are... -
Distortions of multivariate distribution functions and associated level curve...
International audience -
On Multivariate Extensions of Conditional-Tail-Expectation
In this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-Expectation (CTE) in a multivariate setting. Contrary to allocation...
