On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures

DOI10.1016/J.INSMATHECO.2012.02.012zbMATH Open1284.91235OpenAlexW3123571032MaRDI QIDQ2444702FDOQ2444702

Authors: D. Linders, Fatih Tank, Marc J. Goovaerts, Koen van Weert 

Publication date: 10 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.012

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zbMATH Keywords

distortion risk measurerisk measurementHaezendonck-Goovaerts risk measuresolvency requirementsmean value risk measure

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Cites Work

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Cited In (25)

• Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
• Aggregating risks with partial dependence information
• Simple risk measure calculations for sums of positive random variables
• A generalization of expected shortfall based capital allocation
• Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
• Generalized quantiles as risk measures
• Distortion measures and homogeneous financial derivatives
• Premiums and reserves, adjusted by distortions
• Inference for intermediate Haezendonck-Goovaerts risk measure
• What attitudes to risk underlie distortion risk measure choices?
• Stability properties of Haezendonck-Goovaerts premium principles
• Optimal non-life reinsurance under Solvency II regime
• Distortion risk measures: prudence, coherence, and the expected shortfall
• Empirical likelihood inference for Haezendonck-Goovaerts risk measure
• Optimal risk transfer under quantile-based risk measurers
• Risk premium for dependent risks using utility copulas and risk aversion
• Optimal reinsurance in the presence of counterparty default risk
• Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
• On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
• General lower bounds on convex functionals of aggregate sums
• Haezendonck-Goovaerts risk measure with a heavy tailed loss
• Second-order asymptotics of the risk concentration of a portfolio with deflated risks
• The connection between distortion risk measures and ordered weighted averaging operators
• Haezendonck-Goovaerts risk measures and Orlicz quantiles
• Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks

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