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On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures

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  • Goovaerts, Marc
  • Linders, Daniël
  • Van Weert, Koen
  • Tank, Fatih

Abstract

In 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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  • 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.
    • Handle: RePEc:eee:insuma:v:51:y:2012:i:1:p:10-18
    DOI: 10.1016/j.insmatheco.2012.02.012
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    Cited by:

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    2. Niushan Gao & Cosimo Munari & Foivos Xanthos, 2019. "Stability properties of Haezendonck-Goovaerts premium principles," Papers 1909.10735, arXiv.org, revised Aug 2020.
    3. Belles-Sampera, Jaume & Merigó, José M. & Guillén, Montserrat & Santolino, Miguel, 2013. "The connection between distortion risk measures and ordered weighted averaging operators," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 411-420.
    4. Alois Pichler, 2013. "Premiums And Reserves, Adjusted By Distortions," Papers 1304.0490, arXiv.org.
    5. Xun, Li & Zhou, Yangzhi & Zhou, Yong, 2019. "A generalization of Expected Shortfall based capital allocation," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 193-199.
    6. Liu, Qing & Peng, Liang & Wang, Xing, 2017. "Haezendonck–Goovaerts risk measure with a heavy tailed loss," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 28-47.
    7. Cheung, Ka Chun & Lo, Ambrose, 2013. "General lower bounds on convex functionals of aggregate sums," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 884-896.
    8. 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.
    9. Mao, Tiantian & Hu, Taizhong, 2012. "Second-order properties of the Haezendonck–Goovaerts risk measure for extreme risks," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 333-343.
    10. Belles-Sampera, Jaume & Guillen, Montserrat & Santolino, Miguel, 2016. "What attitudes to risk underlie distortion risk measure choices?," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 101-109.
    11. Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265.
    12. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2015. "What attitudes to risk underlie distortion risk measure choices?," Working Papers 2015-05, Universitat de Barcelona, UB Riskcenter.
    13. Asimit, Alexandru V. & Badescu, Alexandru M. & Cheung, Ka Chun, 2013. "Optimal reinsurance in the presence of counterparty default risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 690-697.
    14. Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela, 2014. "Generalized quantiles as risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 41-48.
    15. Tang, Qihe & Yang, Fan, 2014. "Extreme value analysis of the Haezendonck–Goovaerts risk measure with a general Young function," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 311-320.
    16. Gao, Niushan & Munari, Cosimo & Xanthos, Foivos, 2020. "Stability properties of Haezendonck–Goovaerts premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 94-99.
    17. Wang, Xing & Peng, Liang, 2016. "Inference for intermediate Haezendonck–Goovaerts risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 231-240.
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    20. Bellini, Fabio & Rosazza Gianin, Emanuela, 2012. "Haezendonck–Goovaerts risk measures and Orlicz quantiles," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 107-114.

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