Set-valued Haezendonck-Goovaerts risk measure and its properties

DOI10.1155/2017/5320908MaRDI QIDQ1784884zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

Haezendonck-Goovaerts risk measureset-valued risk measure

Mathematics Subject Classification ID

Recommendations

• Set-valued loss-based risk measures
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Cites work

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

Cited in

(8)

• Haezendonck-Goovaerts risk measures and Orlicz quantiles
• 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

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