Measure on the sum of upper comonotonic random variables

MaRDI QIDQ2858495zbMATH OpenFDO

Authors Li Xun, Danshu Sheng, Dehui Wang

Publication date 19 November 2013

Published in Journal of Jilin University. Science Edition (Search for Journal in Brave)

zbMATH Keywords

Haezendonck-Goovaerts risk measurePareto distributionstop-loss premiumtail convex orderupper comonotonicity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Risk Measures and Comonotonicity: A Review
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• Upper comonotonicity
• Characterization of upper comonotonicity via tail convex order
• On the Haezendonck-Goovaerts risk measure for extreme risks

Cited in

(5)

• On the Haezendonck-Goovaerts risk measure for extreme risks
• Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
• Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• scientific article; zbMATH DE number 4066050 (Why is no real title available?)

Describes a project that uses

Uses Software

• R

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