A generalization of expected shortfall based capital allocation (Q1726872): Difference between revisions

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+https://doi.org/10.1016/j.spl.2018.10.014
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+W2900566935
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+Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
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+Optimal portfolios with Haezendonck risk measures
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+Haezendonck-Goovaerts risk measures and Orlicz quantiles
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+General lower bounds on convex functionals of aggregate sums
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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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+AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
@@ Property / cites work: AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION / rank @@
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+Sensitivity of risk measures with respect to the normal approximation of total claim distributions
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+Haezendonck-Goovaerts risk measure with a heavy tailed loss
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+Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
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+Characterization of upper comonotonicity via tail convex order
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+Q4518931
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+Simulation and the Asymptotics of Optimization Estimators
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+Empirical likelihood inference for Haezendonck-Goovaerts risk measure
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+On the Haezendonck-Goovaerts risk measure for extreme risks
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+Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
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+Capital allocation for Sarmanov's class of distributions
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+Inference for intermediate Haezendonck-Goovaerts risk measure
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+Optimal reinsurance under the Haezendonck risk measure
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