Some new classes of consistent risk measures
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Probability distributions: general theory (60E05) Inequalities; stochastic orderings (60E15) Characterization and structure theory of statistical distributions (62E10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)
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Cites work
- A new premium calculation principle based on Orlicz norms
- A Unified Approach to Generate Risk Measures
- Economic Capital Allocation Derived from Risk Measures
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Cited in
(59)- Optimal reinsurance with general risk measures
- Extending pricing rules with general risk functions
- Robust return risk measures
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
- A generalization of expected shortfall based capital allocation
- Vector risk functions
- Set-valued Haezendonck-Goovaerts risk measure and its properties
- Differential equations connecting VaR and CVaR
- Optimal reinsurance in the presence of counterparty default risk
- General lower bounds on convex functionals of aggregate sums
- Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
- Similar risks have similar prices: a useful and exact quantification
- Stability properties of Haezendonck-Goovaerts premium principles
- A decomposition of general premium principles into risk and deviation
- Optimal reinsurance under risk and uncertainty
- Asymptotic normality of nonparametric estimate for zero-utility premiums
- Characterization of upper comonotonicity via tail convex order
- On the Haezendonck-Goovaerts risk measure for extreme risks
- 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
- A new characterization of distortion premiums via countable additivity for comonotonic risks
- Risk measures via g-expectations
- Stochastic orders and risk measures: consistency and bounds
- Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
- Haezendonck-Goovaerts capital allocation rules
- Risk transference constraints in optimal reinsurance
- VaR as the CVaR sensitivity: applications in risk optimization
- Inference for intermediate Haezendonck-Goovaerts risk measure
- Corruption, growth and ethnic fractionalization: a theoretical model
- Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
- Some classes of multivariate risk measures
- A Unified Approach to Generate Risk Measures
- Cooperative hedging in the complete market under \(g\)-expectation constraint
- Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
- Performance ratio-based coherent risk measure and its application
- Efficient option risk measurement with reduced model risk
- RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
- Good deals in markets with friction
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Stable solutions for optimal reinsurance problems involving risk measures
- Sensitivity of risk measures with respect to the normal approximation of total claim distributions
- Asymptotics of the loss-based tail risk measures in the presence of extreme risks
- Asymptotic capital allocation based on the higher moment risk measure
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- Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
- Distortion risk measures: prudence, coherence, and the expected shortfall
- On supertranslativity of the Orlicz premium principle
- Risk measures on Musielak-Orlicz spaces: a state-dependent perspective for insurance
- The Orlicz premium principle under uncertainty
- Asymptotics for the conditional higher moment coherent risk measure with weak contagion
- Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
- The conditional Haezendonck-Goovaerts risk measure
- Extremes of asymptotically spherical and elliptical random vectors
- Optimal non-life reinsurance under Solvency II regime
- Empirical likelihood inference for Haezendonck-Goovaerts risk measure
- Seven proofs for the subadditivity of expected shortfall
- Minimizing measures of risk by saddle point conditions
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