Some new classes of consistent risk measures

DOI10.1016/j.insmatheco.2004.03.003zbMath1188.91087OpenAlexW3123477142MaRDI QIDQ977158

Tang Qihe, Marc J. Goovaerts, Jan Dhaene, Rob Kaas

Publication date: 20 June 2010

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.03.003

zbMATH Keywords

Monotone convergence theoremConsistent risk measuresHaezendonck risk measure

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10) Statistical methods; economic indices and measures (91B82)

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