On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
From MaRDI portal
Publication:2444702
DOI10.1016/j.insmatheco.2012.02.012zbMath1284.91235MaRDI QIDQ2444702
Daniël Linders, Fatih Tank, Koen van Weert, Marc J. Goovaerts
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
risk measurement; distortion risk measure; Haezendonck-Goovaerts risk measure; solvency requirements; mean value risk measure
60E15: Inequalities; stochastic orderings
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