Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks

DOI10.1016/j.insmatheco.2012.06.003zbMath1284.91256OpenAlexW2063908710MaRDI QIDQ2445345

Tiantian Mao, Taizhong Hu

Publication date: 14 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.06.003

zbMATH Keywords

second-order expansionextreme value theoryYoung functionsecond-order regular variation(extended) regular variationfirst-order expansionmax-domain attraction

Mathematics Subject Classification ID

Related Items (18)

Tail asymptotics of generalized deflated risks with insurance applications ⋮ Inference for intermediate Haezendonck-Goovaerts risk measure ⋮ Haezendonck-Goovaerts risk measure with a heavy tailed loss ⋮ ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS ⋮ Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks ⋮ Empirical likelihood inference for Haezendonck-Goovaerts risk measure ⋮ Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors ⋮ Stability properties of Haezendonck-Goovaerts premium principles ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks ⋮ A generalization of expected shortfall based capital allocation ⋮ Dual representation of expectile-based expected shortfall and its properties ⋮ THE SECOND-ORDER REGULAR VARIATION OF ORDER STATISTICS ⋮ Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures ⋮ Second-order tail asymptotics of deflated risks ⋮ Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function ⋮ Estimation of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Relative bound and asymptotic comparison of expectile with respect to expected shortfall ⋮ First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks

Uses Software

• R

Cites Work

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