Haezendonck-Goovaerts capital allocation rules

DOI10.1016/J.INSMATHECO.2021.07.004MaRDI QIDQ2665852zbMATH OpenOpenAlexFDO

Authors Gabriele Canna, Emanuela Rosazza Gianin, Francesca Centrone

Publication date 19 November 2021

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.07.004

zbMATH Keywords

ambiguitycapital allocationHaezendonck-Goovaerts risk measuresOrlicz risk premiumquantiles

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

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• Ambiguity through confidence functions
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• Capital allocation à la Aumann-Shapley for non-differentiable risk measures
• Coherent measures of risk
• Generalized quantiles as risk measures
• Haezendonck-Goovaerts risk measures and Orlicz quantiles
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• Robust return risk measures
• Some new classes of consistent risk measures
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• Uncertainty averse preferences

Cited in

(3)

• Capital allocation with multivariate convex risk measures
• Capital allocation based on Haezendonck-Goovaerts risk measure
• An impossibility theorem on capital allocation

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