Set-valued Haezendonck-Goovaerts risk measure and its properties

DOI10.1155/2017/5320908zbMath1412.91042OpenAlexW2761342439MaRDI QIDQ1784884

Yu Feng, Jia-Bao Liu, Yichuan Dong

Publication date: 27 September 2018

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/5320908

zbMATH Keywords

Haezendonck-Goovaerts risk measureset-valued risk measure

Mathematics Subject Classification ID

Related Items (1)

CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES

Cites Work

• Set-valued average value at risk and its computation
• Multi-portfolio time consistency for set-valued convex and coherent risk measures
• A duality theory for set-valued functions. I: Fenchel conjugation theory
• Weighted V\@R and its properties
• Some new classes of consistent risk measures
• On convex principles of premium calculation
• A new premium calculation principle based on Orlicz norms
• Convex measures of risk and trading constraints
• Vector-valued coherent risk measures
• Analysis of survivorship life insurance portfolios with stochastic rates of return
• Haezendonck-Goovaerts risk measures and Orlicz quantiles
• Consistent risk measures for portfolio vectors
• Coherent Measures of Risk
• Mathematical Risk Analysis
• Duality for Set-Valued Measures of Risk
• Premiums and reserves, adjusted by distortions
• Optimal dynamic reinsurance with dependent risks: variance premium principle
• SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES
• OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES

This page was built for publication: Set-valued Haezendonck-Goovaerts risk measure and its properties