On the Haezendonck-Goovaerts risk measure for extreme risks

DOI10.1016/j.insmatheco.2011.11.007zbMath1239.91084OpenAlexW2078908384MaRDI QIDQ2427827

Fan Yang, Qi-he Tang

Publication date: 18 April 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.11.007

zbMATH Keywords

asymptoticsYoung functionextreme risksHaezendonck-Goovaerts risk measuremax-domain of attractionregular/rapid variation

Mathematics Subject Classification ID

Related Items (28)

The conditional Haezendonck-Goovaerts risk measure ⋮ Tail asymptotics of generalized deflated risks with insurance applications ⋮ Inference for intermediate Haezendonck-Goovaerts risk measure ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Haezendonck-Goovaerts risk measure with a heavy tailed loss ⋮ Extremes for a general contagion risk measure ⋮ Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks ⋮ The loss given default of a low-default portfolio with weak contagion ⋮ Empirical likelihood inference for Haezendonck-Goovaerts risk measure ⋮ Asymptotics of sum of heavy-tailed risks with copulas ⋮ Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors ⋮ Stability properties of Haezendonck-Goovaerts premium principles ⋮ On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures ⋮ Haezendonck-Goovaerts risk measures and Orlicz quantiles ⋮ Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks ⋮ A generalization of expected shortfall based capital allocation ⋮ Dual representation of expectile-based expected shortfall and its properties ⋮ Asymptotic results for conditional measures of association of a random sum ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ General lower bounds on convex functionals of aggregate sums ⋮ Second-order tail asymptotics of deflated risks ⋮ Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function ⋮ Estimation of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure ⋮ Relative bound and asymptotic comparison of expectile with respect to expected shortfall ⋮ First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks ⋮ Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments

Uses Software

• QRM

Cites Work

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