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

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

zbMATH Keywords

risk measurement; distortion risk measure; Haezendonck-Goovaerts risk measure; solvency requirements; mean value risk measure

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

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