On the Haezendonck-Goovaerts risk measure for extreme risks (Q2427827)

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.