On the interplay between distortion-, mean value- and Haezendonck-Goovaerts risk measures
AbstractIn the actuarial research, distortion, mean value and Haezendonck–Goovaerts risk measures are concepts that are usually treated separately. In this paper we indicate and characterize the relation between these different risk measures, as well as their relation to convex risk measures. While it is known that the mean value principle can be used to generate premium calculation principles, we will show how they also allow to generate solvency calculation principles. Moreover, we explain the role provided for the distortion risk measures as an extension of the Tail Value-at-Risk (TVaR) and Conditional Tail Expectation (CTE).
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Bibliographic InfoPaper provided by Katholieke Universiteit Leuven in its series Open Access publications from Katholieke Universiteit Leuven with number urn:hdl:123456789/352122.
Date of creation: 2012
Date of revision:
Publication status: Published in Insurance: Mathematics & Economics (2012) v.51, p.10-18
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Risk measurement; Haezendonck–Goovaerts risk measure; Distortion risk measure; Mean value risk measure; Solvency requirements;
Other versions of this item:
- Goovaerts, Marc & Linders, Daniël & Van Weert, Koen & Tank, Fatih, 2012. "On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 10-18.
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- Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”," IREA Working Papers 201302, University of Barcelona, Research Institute of Applied Economics, revised Feb 2013.
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