On the Haezendonck-Goovaerts risk measure for extreme risks (Q2427827): Difference between revisions
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English | On the Haezendonck-Goovaerts risk measure for extreme risks |
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On the Haezendonck-Goovaerts risk measure for extreme risks (English)
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18 April 2012
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The authors consider a Haezendonck-Goovaerts risk measure for a risk variable \(X\). It is defined via a convex Young function and a parameter \(q\in (0,1)\) which vaguely represents a confidence level. The focus is on the case in which the risk variable follows a distribution function from a max-domain of attraction of an extreme value distribution function. For this case and power Young function, the authors derive exact asymptotics for the Haezendonck-Goovaerts risk measure as \(q\) tends to \(1\). An analytical expression for the Haezendonck-Goovaerts risk measure when risk variable is exponentially distributed and Young function is general is also presented.
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Haezendonck-Goovaerts risk measure
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extreme risks
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asymptotics
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max-domain of attraction
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regular/rapid variation
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Young function
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