Estimation of the Haezendonck-Goovaerts risk measure for extreme risks

DOI10.1080/03461238.2020.1867233zbMath1471.91492OpenAlexW3118746755MaRDI QIDQ4959369

Tiantian Mao, Fan Yang, Yanchun Zhao

Publication date: 13 September 2021

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2020.1867233

zbMATH Keywords

extrapolationheavy tailsextreme value statisticsHaezendonck-Goovaerts risk measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Actuarial mathematics (91G05)

Related Items

Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks ⋮ Asymptotics of sum of heavy-tailed risks with copulas

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