The conditional Haezendonck-Goovaerts risk measure

DOI10.1016/J.SPL.2020.108968zbMath1457.91421OpenAlexW3093226829MaRDI QIDQ826720

Li Xun, Renqiao Jiang, Jian-hua Guo

Publication date: 6 January 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2020.108968

zbMATH Keywords

Young functionbivariate exponential distribution(conditional) Haezendonck-Goovaerts risk measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial networks (including contagion, systemic risk, regulation) (91G45)

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