Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks (Q2445345)
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scientific article; zbMATH DE number 6284374
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| English | Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks |
scientific article; zbMATH DE number 6284374 |
Statements
Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks (English)
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14 April 2014
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(extended) regular variation
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extreme value theory
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first-order expansion
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max-domain attraction
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second-order expansion
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second-order regular variation
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Young function
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0.9173078536987304
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0.9095935225486756
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0.8853614926338196
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0.8713551759719849
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0.8647045493125916
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