Set-valued Haezendonck-Goovaerts risk measure and its properties

DOI10.1155/2017/5320908zbMATH Open1412.91042OpenAlexW2761342439MaRDI QIDQ1784884FDOQ1784884

Authors: Yu Feng, Yichuan Dong, Jiabao Liu 

Publication date: 27 September 2018

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/5320908

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zbMATH Keywords

Haezendonck-Goovaerts risk measureset-valued risk measure

Mathematics Subject Classification ID

Cites Work

• Coherent measures of risk
• Convex measures of risk and trading constraints
• Duality for set-valued measures of risk
• Optimal dynamic reinsurance with dependent risks: variance premium principle
• Vector-valued coherent risk measures
• OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
• A duality theory for set-valued functions. I: Fenchel conjugation theory
• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• Weighted V\@R and its properties
• Some new classes of consistent risk measures
• On convex principles of premium calculation
• A new premium calculation principle based on Orlicz norms
• Haezendonck-Goovaerts risk measures and Orlicz quantiles
• Premiums and reserves, adjusted by distortions
• Consistent risk measures for portfolio vectors
• Set-valued average value at risk and its computation
• Set-valued shortfall and divergence risk measures
• Multi-portfolio time consistency for set-valued convex and coherent risk measures
• Analysis of survivorship life insurance portfolios with stochastic rates of return

Cited In (8)

• Set-valued law invariant coherent and convex risk measures
• Set-valued risk statistics with scenario analysis
• THE REDUCTION OF RISKS FOR SET‐VALUED ESTIMATORS
• The conditional Haezendonck-Goovaerts risk measure
• Capital allocation for set-valued risk measures
• Set optimization of set-valued risk measures
• Set-valued loss-based risk measures
• Haezendonck-Goovaerts risk measures and Orlicz quantiles

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