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
كليدواژه :
Risk Measure , Generalized Logistic Distribution
عنوان كنفرانس :
اولين همايش ملي روشهاي مدرن در قيمت گذاري هاي بيمه اي و آمارهاي صنعتي
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.