Haezendonck-Goovaerts risk measures and Orlicz quantiles
From MaRDI portal
Publication:2444710
DOI10.1016/j.insmatheco.2012.03.005zbMath1284.91205OpenAlexW2058345047MaRDI QIDQ2444710
Fabio Bellini, Emanuela Rosazza Gianin
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.2012.03.005
Applications of statistics to actuarial sciences and financial mathematics (62P05) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30)
Related Items
The conditional Haezendonck-Goovaerts risk measure ⋮ Tail asymptotics of generalized deflated risks with insurance applications ⋮ What attitudes to risk underlie distortion risk measure choices? ⋮ Inference for intermediate Haezendonck-Goovaerts risk measure ⋮ Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure ⋮ A quantitative comparison of risk measures ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Haezendonck-Goovaerts capital allocation rules ⋮ An analytical study of norms and Banach spaces induced by the entropic value-at-risk ⋮ Optimal non-life reinsurance under Solvency II regime ⋮ Empirical likelihood inference for Haezendonck-Goovaerts risk measure ⋮ Robust return risk measures ⋮ Stability properties of Haezendonck-Goovaerts premium principles ⋮ On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures ⋮ Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Optimal risk transfer under quantile-based risk measurers ⋮ A generalization of expected shortfall based capital allocation ⋮ Generalized quantiles as risk measures ⋮ Optimal reinsurance in the presence of counterparty default risk ⋮ General lower bounds on convex functionals of aggregate sums ⋮ Isotonicity properties of generalized quantiles ⋮ Set-valued Haezendonck-Goovaerts risk measure and its properties ⋮ Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures ⋮ On Banach spaces of vector-valued random variables and their duals motivated by risk measures ⋮ 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 ⋮ Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asymmetric Least Squares Estimation and Testing
- Sensitivity of risk measures with respect to the normal approximation of total claim distributions
- Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
- Dual characterization of properties of risk measures on Orlicz hearts
- Some new classes of consistent risk measures
- Monotone and cash-invariant convex functions and hulls
- Conditional \(L_ p\)-quantiles and their application to the testing of symmetry in non-parametric regression
- A new premium calculation principle based on Orlicz norms
- Characterization of upper comonotonicity via tail convex order
- On the Haezendonck-Goovaerts risk measure for extreme risks
- Kusuoka representation of higher order dual risk measures
- On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
- Inf-convolution of risk measures and optimal risk transfer
- Optimization in Function Spaces
- RISK MEASURES ON ORLICZ HEARTS
- M-quantiles
- Optimal portfolios with Haezendonck risk measures
- Stopping Times and Directed Processes
