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Haezendonck–Goovaerts risk measures and Orlicz quantiles

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. Aline Goulard & Karl Grosse-Erdmann, 2025. "Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures," Papers 2512.03267, arXiv.org, revised Jun 2026.
  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. 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.
  5. 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.
  6. Canna, Gabriele & Centrone, Francesca & Rosazza Gianin, Emanuela, 2021. "Haezendonck-Goovaerts capital allocation rules," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 173-185.
  7. 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.
  8. Strati, Francesco, 2025. "Risk measures on Musielak-Orlicz spaces: A state-dependent perspective for insurance," Insurance: Mathematics and Economics, Elsevier, vol. 125(C).
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. Bellini, Fabio, 2012. "Isotonicity properties of generalized quantiles," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 2017-2024.
  14. Qinyu Wu & Fan Yang & Ping Zhang, 2023. "Conditional generalized quantiles based on expected utility model and equivalent characterization of properties," Papers 2301.12420, arXiv.org.
  15. Bellini, Fabio & Laeven, Roger J.A. & Rosazza Gianin, Emanuela, 2021. "Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures," European Journal of Operational Research, Elsevier, vol. 291(2), pages 438-446.
  16. Felix-Benedikt Liebrich & Max Nendel, 2020. "Separability vs. robustness of Orlicz spaces: financial and economic perspectives," Papers 2009.09007, arXiv.org, revised May 2021.
  17. 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.
  18. 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).
  19. Alois Pichler, 2017. "A quantitative comparison of risk measures," Annals of Operations Research, Springer, vol. 254(1), pages 251-275, July.
  20. 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.
  21. 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.
  22. 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).
  23. Fabio Bellini & Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2018. "Law-invariant functionals on general spaces of random variables," Papers 1808.00821, arXiv.org, revised Jan 2021.
  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. Asimit, Alexandru V. & Chi, Yichun & Hu, Junlei, 2015. "Optimal non-life reinsurance under Solvency II Regime," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 227-237.
  27. Mucahit Aygun & Fabio Bellini & Roger J. A. Laeven, 2025. "Generalized Orlicz premia," Papers 2507.09181, arXiv.org.
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