Haezendonck-Goovaerts risk measures and Orlicz quantiles
From MaRDI portal
Publication:2444710
DOI10.1016/j.insmatheco.2012.03.005zbMath1284.91205MaRDI 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
quantiles; conditional value at risk; expectiles; Haezendonck-Goovaerts risk measures; Orlicz premiums
62P05: Applications of statistics to actuarial sciences and financial mathematics
46E30: Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.)
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