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On the Haezendonck–Goovaerts risk measure for extreme risks

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  • Tang, Qihe
  • Yang, Fan

Abstract

In this paper, we are interested in the calculation of the Haezendonck–Goovaerts risk measure, which is defined via a convex Young function and a parameter q∈(0,1) representing the confidence level. We mainly focus on the case in which the risk variable follows a distribution function from a max-domain of attraction. For this case, we restrict the Young function to be a power function and we derive exact asymptotics for the Haezendonck–Goovaerts risk measure as q↑1. As a subsidiary, we also consider the case with an exponentially distributed risk variable and a general Young function, and we obtain an analytical expression for the Haezendonck–Goovaerts risk measure.

Suggested Citation

  • Tang, Qihe & Yang, Fan, 2012. "On the Haezendonck–Goovaerts risk measure for extreme risks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 217-227.
    • Handle: RePEc:eee:insuma:v:50:y:2012:i:1:p:217-227
    DOI: 10.1016/j.insmatheco.2011.11.007
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    References listed on IDEAS

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