Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
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Cites work
- A new premium calculation principle based on Orlicz norms
- Characterization of upper comonotonicity via tail convex order
- Coherent measures of risk
- Extreme value theory. An introduction.
- Haezendonck-Goovaerts risk measures and Orlicz quantiles
- Heavy-Tail Phenomena
- scientific article; zbMATH DE number 1026035 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- Kusuoka representation of higher order dual risk measures
- On the Haezendonck-Goovaerts risk measure for extreme risks
- On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
- Optimal portfolios with Haezendonck risk measures
- Properties of second-order regular variation and expansions for risk concentration
- Second order regular variation and conditional tail expectation of multiple risks
- Sensitivity of risk measures with respect to the normal approximation of total claim distributions
- Some new classes of consistent risk measures
Cited in
(25)- Superquantile/CVaR risk measures: second-order theory
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
- Second-order asymptotics of the risk concentration of a portfolio with deflated risks
- A generalization of expected shortfall based capital allocation
- Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
- Stability properties of Haezendonck-Goovaerts premium principles
- Dual representation of expectile-based expected shortfall and its properties
- Tail asymptotics of generalized deflated risks with insurance applications
- Haezendonck-Goovaerts risk measure with a heavy tailed loss
- On the Haezendonck-Goovaerts risk measure for extreme risks
- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- Haezendonck-Goovaerts risk measures and Orlicz quantiles
- Second-order expansions of the risk concentration based on CTE
- Second-order tail asymptotics of deflated risks
- Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
- Inference for intermediate Haezendonck-Goovaerts risk measure
- Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
- First- and second-order asymptotics for the tail distortion risk measure of extreme risks
- ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
- THE SECOND-ORDER REGULAR VARIATION OF ORDER STATISTICS
- Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
- Asymptotics of the loss-based tail risk measures in the presence of extreme risks
- Estimation of the multivariate conditional tail expectation for extreme risk levels: illustration on environmental data sets
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- Empirical likelihood inference for Haezendonck-Goovaerts risk measure
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