Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure

DOI10.1016/j.insmatheco.2013.12.003zbMath1296.91142OpenAlexW1971930533MaRDI QIDQ743144

Jae Youn Ahn, Nariankadu D. Shyamalkumar

Publication date: 22 September 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.12.003

zbMATH Keywords

conditional tail expectation (CTE)empirical CTEOrlicz premiumtail value-at-risk (T-VaR)

Mathematics Subject Classification ID

Related Items (11)

Inference for intermediate Haezendonck-Goovaerts risk measure ⋮ Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure ⋮ Haezendonck-Goovaerts risk measure with a heavy tailed loss ⋮ Empirical likelihood inference for Haezendonck-Goovaerts risk measure ⋮ Stability properties of Haezendonck-Goovaerts premium principles ⋮ Haezendonck-Goovaerts risk measures and Orlicz quantiles ⋮ A generalization of expected shortfall based capital allocation ⋮ Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures ⋮ Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function ⋮ Estimation of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Nonparametric Inference for VaR, CTE, and Expectile with High-Order Precision

Uses Software

• R
• Snow
• snow
• alabama

Cites Work

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• Coherent Measures of Risk
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• Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling
• Optimal portfolios with Haezendonck risk measures
• Empirical Estimation of Risk Measures and Related Quantities
• Variance of the CTE Estimator

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