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

Review text

Summary: We propose a new set-valued risk measure, which is called set-valued Haezendonck-Goovaerts risk measure. First, we construct the set-valued Haezendonck-Goovaerts risk measure and then provide an equivalent representation. The properties of the set-valued Haezendonck-Goovaerts risk measure are investigated, which show that the set-valued Haezendonck-Goovaerts risk measure is coherent. Finally, an example of set-valued Haezendonck-Goovaerts risk measure is given, which exhibits the fact that the set-valued average value at risk is a particular case of the set-valued Haezendonck-Goovaerts risk measures.

Recommendations

• Set-valued loss-based risk measures
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Cited in

(8)

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

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