Some new classes of consistent risk measures
From MaRDI portal
Publication:977158
DOI10.1016/j.insmatheco.2004.03.003zbMath1188.91087OpenAlexW3123477142MaRDI QIDQ977158
Tang Qihe, Marc J. Goovaerts, Jan Dhaene, Rob Kaas
Publication date: 20 June 2010
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.03.003
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10) Statistical methods; economic indices and measures (91B82)
Related Items
The conditional Haezendonck-Goovaerts risk measure ⋮ VaR as the CVaR sensitivity: applications in risk optimization ⋮ Inference for intermediate Haezendonck-Goovaerts risk measure ⋮ Similar risks have similar prices: a useful and exact quantification ⋮ Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure ⋮ Haezendonck-Goovaerts capital allocation rules ⋮ Extremes of asymptotically spherical and elliptical random vectors ⋮ Risk transference constraints in optimal reinsurance ⋮ Corruption, growth and ethnic fractionalization: a theoretical model ⋮ Optimal non-life reinsurance under Solvency II regime ⋮ On the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Empirical likelihood inference for Haezendonck-Goovaerts risk measure ⋮ Seven proofs for the subadditivity of expected shortfall ⋮ Robust return risk measures ⋮ Stable solutions for optimal reinsurance problems involving risk measures ⋮ Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors ⋮ Stability properties of Haezendonck-Goovaerts premium principles ⋮ On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures ⋮ Haezendonck-Goovaerts risk measures and Orlicz quantiles ⋮ Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Optimal risk transfer under quantile-based risk measurers ⋮ Sensitivity of risk measures with respect to the normal approximation of total claim distributions ⋮ A generalization of expected shortfall based capital allocation ⋮ Cooperative hedging in the complete market under \(g\)-expectation constraint ⋮ RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS ⋮ Decision principles derived from risk measures ⋮ Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach ⋮ Good deals in markets with friction ⋮ Efficient option risk measurement with reduced model risk ⋮ Vector risk functions ⋮ Optimal reinsurance under risk and uncertainty ⋮ Differential equations connecting VaR and CVaR ⋮ A new characterization of distortion premiums via countable additivity for comonotonic risks ⋮ Optimal reinsurance in the presence of counterparty default risk ⋮ General lower bounds on convex functionals of aggregate sums ⋮ Minimizing measures of risk by saddle point conditions ⋮ Asymptotic normality of nonparametric estimate for zero-utility premiums ⋮ Characterization of upper comonotonicity via tail convex order ⋮ Set-valued Haezendonck-Goovaerts risk measure and its properties ⋮ Risk measures via \(g\)-expectations ⋮ Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures ⋮ Stochastic orders and risk measures: consistency and bounds ⋮ Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function ⋮ Estimation of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure ⋮ Optimal reinsurance with general risk measures ⋮ Extending pricing rules with general risk functions ⋮ Performance ratio-based coherent risk measure and its application
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On additive principles of zero utility
- A new premium calculation principle based on Orlicz norms
- Ordering risks: expected utility theory versus Yaari's dual theory of risk
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- A Unified Approach to Generate Risk Measures
- The Dual Theory of Choice under Risk
- Economic Capital Allocation Derived from Risk Measures
