Haezendonck-Goovaerts risk measures and Orlicz quantiles (Q2444710): Difference between revisions

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+https://doi.org/10.1016/j.insmatheco.2012.03.005
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+W2058345047
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@@ Property / cites work @@
+Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
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+Inf-convolution of risk measures and optimal risk transfer
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+Optimal portfolios with Haezendonck risk measures
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+<i>M</i>-quantiles
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+Conditional \(L_ p\)-quantiles and their application to the testing of symmetry in non-parametric regression
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+Dual characterization of properties of risk measures on Orlicz hearts
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+RISK MEASURES ON ORLICZ HEARTS
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+Kusuoka representation of higher order dual risk measures
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+Stopping Times and Directed Processes
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+Monotone and cash-invariant convex functions and hulls
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+Some new classes of consistent risk measures
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+On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
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+A new premium calculation principle based on Orlicz norms
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+Optimization in Function Spaces
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+Sensitivity of risk measures with respect to the normal approximation of total claim distributions
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+Characterization of upper comonotonicity via tail convex order
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+Asymmetric Least Squares Estimation and Testing
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+On the Haezendonck-Goovaerts risk measure for extreme risks
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