On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
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Cited in
(25)- Second-order asymptotics of the risk concentration of a portfolio with deflated risks
- A generalization of expected shortfall based capital allocation
- Distortion measures and homogeneous financial derivatives
- Generalized quantiles as risk measures
- Optimal reinsurance in the presence of counterparty default risk
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- Stability properties of Haezendonck-Goovaerts premium principles
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- Haezendonck-Goovaerts risk measures and Orlicz quantiles
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- Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
- Premiums and reserves, adjusted by distortions
- Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
- Risk premium for dependent risks using utility copulas and risk aversion
- On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
- Aggregating risks with partial dependence information
- Distortion risk measures: prudence, coherence, and the expected shortfall
- Optimal non-life reinsurance under Solvency II regime
- Empirical likelihood inference for Haezendonck-Goovaerts risk measure
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