The conditional Haezendonck-Goovaerts risk measure (Q826720)

The authors propose a conditional version of the Haezendonck-Goovaerts (HG) risk measure, called CoHG risk measure. The measure can be used to describe a causality relationship between two risk variables and to qualify the systemic risk contribution of a risk in a catastrophic scenario. Some basic properties and an analytical expression of the CoHG risk measure are shown. The expression involves the solution to an implicit equation but it can be made completely explicit for a power or exponential Young function. A numerical study is performed to show the trend of the CoHG risk measure in certain risk parameters.