Estimation of the Haezendonck-Goovaerts risk measure for extreme risks

DOI10.1080/03461238.2020.1867233zbMath1471.91492MaRDI QIDQ4959369

Tiantian Mao, Fan Yang, Yanchun Zhao

Publication date: 13 September 2021

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2020.1867233

zbMATH Keywords

extrapolation; heavy tails; extreme value statistics; Haezendonck-Goovaerts risk measure

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference

91G05: Actuarial mathematics