شماره ركورد كنفرانس
4155
عنوان مقاله
Tail variance risk measure under univariate type III generalized Logistic distribution
پديدآورندگان
Sharafi Maryam mmaryamsharafi@gmail.com Razi University of Kermanshah
تعداد صفحه
4
كليدواژه
Risk Measure , Generalized Logistic Distribution
سال انتشار
1396
عنوان كنفرانس
اولين همايش ملي روشهاي مدرن در قيمت گذاري هاي بيمه اي و آمارهاي صنعتي
زبان مدرك
انگليسي
چكيده فارسي
During the last decades, the quantile-based downside risk measures have received much attention from practitioners and researchers. In this paper, we derive the explicit formulae of the tail vairance of portfolio under assumption of type III geberalized logistic distribution.
كشور
ايران
لينک به اين مدرک