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On the Haezendonck–Goovaerts risk measure for extreme risks

Citations

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Cited by:

  1. Niushan Gao & Cosimo Munari & Foivos Xanthos, 2019. "Stability properties of Haezendonck-Goovaerts premium principles," Papers 1909.10735, arXiv.org, revised Aug 2020.
  2. Castro-Iragorri, Carlos & Gómez, Fabio & Quiceno, Nancy, 2024. "Worst-case higher moment risk measure: Addressing distributional shifts and procyclicality," Finance Research Letters, Elsevier, vol. 65(C).
  3. Ling, Chengxiu & Peng, Zuoxiang, 2016. "Tail asymptotics of generalized deflated risks with insurance applications," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 220-231.
  4. Samuel Drapeau & Mekonnen Tadese, 2019. "Dual Representation of Expectile based Expected Shortfall and Its Properties," Papers 1911.03245, arXiv.org.
  5. Samuel Drapeau & Mekonnen Tadese, 2019. "Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall," Papers 1906.09729, arXiv.org, revised Jun 2020.
  6. Fan Yang & Yi Zhang, 2023. "Asymptotics of Sum of Heavy-tailed Risks with Copulas," Methodology and Computing in Applied Probability, Springer, vol. 25(4), pages 1-23, December.
  7. 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.
  8. Tadese, Mekonnen & Drapeau, Samuel, 2020. "Relative bound and asymptotic comparison of expectile with respect to expected shortfall," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 387-399.
  9. 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.
  10. Mao, Tiantian & Stupfler, Gilles & Yang, Fan, 2023. "Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 173-192.
  11. Hashorva, Enkelejd & Ling, Chengxiu & Peng, Zuoxiang, 2014. "Second-order tail asymptotics of deflated risks," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 88-101.
  12. Ahn, Jae Youn & Shyamalkumar, Nariankadu D., 2014. "Asymptotic theory for the empirical Haezendonck–Goovaerts risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 78-90.
  13. 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.
  14. Fan Yang & Yi Zhang, 2024. "Asymptotics of Sum of Heavy-tailed Risks with Copulas," Papers 2411.09657, arXiv.org.
  15. 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.
  16. Asimit, Alexandru V. & Chen, Yiqing, 2015. "Asymptotic results for conditional measures of association of a random sum," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 11-18.
  17. 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.
  18. Man, Xinyue & Tang, Qihe, 2024. "Tail risk driven by investment losses and exogenous shocks," ASTIN Bulletin, Cambridge University Press, vol. 54(3), pages 712-737, September.
  19. Wei, Li & Yuan, Zhongyi, 2016. "The loss given default of a low-default portfolio with weak contagion," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 113-123.
  20. 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.
  21. Leipus, Remigijus & Paukštys, Saulius & Šiaulys, Jonas, 2021. "Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck–Goovaerts risk measure," Statistics & Probability Letters, Elsevier, vol. 170(C).
  22. 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.
  23. Gómez, Fabio & Tang, Qihe & Tong, Zhiwei, 2022. "The gradient allocation principle based on the higher moment risk measure," Journal of Banking & Finance, Elsevier, vol. 143(C).
  24. Wang, Xing & Peng, Liang, 2016. "Inference for intermediate Haezendonck–Goovaerts risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 231-240.
  25. Xun, Li & Jiang, Renqiao & Guo, Jianhua, 2021. "The conditional Haezendonck–Goovaerts risk measure," Statistics & Probability Letters, Elsevier, vol. 169(C).
  26. 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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