Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function

DOI10.1016/j.insmatheco.2014.10.004zbMath1306.62217OpenAlexW2172061102MaRDI QIDQ2514630

Fan Yang, Qi-he Tang

Publication date: 3 February 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.10.004

zbMATH Keywords

asymptoticsYoung functionHaezendonck-Goovaerts risk measuremax-domain of attraction(extended) regular variation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Statistical methods; economic indices and measures (91B82)

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