Estimation of the Haezendonck-Goovaerts risk measure for extreme risks (Q4959369): Difference between revisions

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+Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
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+Coherent Measures of Risk
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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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+Robust return risk measures
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+Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
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+Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
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+AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
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+General lower bounds on convex functionals of aggregate sums
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+Estimation of Tail Risk Based on Extreme Expectiles
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+ExpectHill estimation, extreme risk and heavy tails
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+Q5485944
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+Kusuoka representation of higher order dual risk measures
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+Economic Capital Allocation Derived from Risk Measures
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+Stability properties of Haezendonck-Goovaerts premium principles
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+Some new classes of consistent risk measures
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+Normal rank
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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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+A simple general approach to inference about the tail of a distribution
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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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+Empirical likelihood inference for Haezendonck-Goovaerts risk measure
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+Q6104520
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+Normal rank
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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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+Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure
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+Inference for intermediate Haezendonck-Goovaerts risk measure
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+Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
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+Optimal reinsurance under the Haezendonck risk measure
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