The conditional Haezendonck-Goovaerts risk measure

DOI10.1016/J.SPL.2020.108968MaRDI QIDQ826720zbMATH OpenOpenAlexFDO

Authors Li Xun, Renqiao Jiang, Jianhua Guo

Publication date 6 January 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2020.108968

zbMATH Keywords

bivariate exponential distributionYoung function(conditional) Haezendonck-Goovaerts risk measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
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• Haezendonck-Goovaerts risk measures and Orlicz quantiles
• Multivariate risk model of phase type
• On dependence consistency of CoVaR and some other systemic risk measures
• On the Haezendonck-Goovaerts risk measure for extreme risks
• Optimal portfolios with Haezendonck risk measures
• Optimal reinsurance under the Haezendonck risk measure
• Some Concepts of Dependence
• Some new classes of consistent risk measures
• Stochastic orders and co-risk measures under positive dependence

Cited in

(4)

• Haezendonck-Goovaerts risk measures and Orlicz quantiles
• Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
• Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
• Asymptotics of the loss-based tail risk measures in the presence of extreme risks

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