A generalization of range-value-at-risk (RVaR) and tail-value-at-risk (TVaR) for d-dimensional distribution functions is introduced. Properties of these new risk measures are studied and illustrated. We provide special cases, applications and a comparison with traditional univariate and multivariate versions of the TVaR and RVaR.

中文翻译：

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多元几何尾标和风险范围值

介绍了针对d维分布函数的风险范围值（RVaR）和风险尾部值（TVaR）的概括。研究和说明了这些新风险度量的属性。我们提供特殊情况，应用以及与TVaR和RVaR的传统单变量和多变量版本的比较。