Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function (Q2514630): Difference between revisions

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+Qi-he Tang
@@ Property / author: Qi-he Tang / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2014.10.004
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+W2172061102
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@@ Property / cites work @@
+Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
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+Generalized quantiles as risk measures
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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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+On the Haezendonck-Goovaerts risk measure for extreme risks
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