Haezendonck-Goovaerts risk measure with a heavy tailed loss (Q2404537): Difference between revisions

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+https://doi.org/10.1016/j.insmatheco.2017.06.004
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+W2728759113
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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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+A bootstrap-based method to achieve optimality in estimating the extreme-value index
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+On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
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+Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
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+Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
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+Estimating the mean of a heavy tailed distribution
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+Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution.
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+Empirical likelihood inference for Haezendonck-Goovaerts risk measure
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+Bootstrap and empirical likelihood methods in extremes
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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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+Inference for intermediate Haezendonck-Goovaerts risk measure
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+Optimal reinsurance under the Haezendonck risk measure
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