Set-valued Haezendonck-Goovaerts risk measure and its properties
type: Item
instance of: scholarly article
title: Set-valued Haezendonck-Goovaerts risk measure and its properties
zbMATH Open document ID: 1412.91042
DOI: 10.1155/2017/5320908
author: Yu Feng
author: Yichuan Dong
author: Jiabao Liu
published in: Discrete Dynamics in Nature and Society
publication date: 2018-09-27T00:00:00Z
review text: Summary: We propose a new set-valued risk measure, which is called set-valued Haezendonck-Goovaerts risk measure. First, we construct the set-valued Haezendonck-Goovaerts risk measure and then provide an equivalent representation. The properties of the set-valued Haezendonck-Goovaerts risk measure are investigated, which show that the set-valued Haezendonck-Goovaerts risk measure is coherent. Finally, an example of set-valued Haezendonck-Goovaerts risk measure is given, which exhibits the fact that the set-valued average value at risk is a particular case of the set-valued Haezendonck-Goovaerts risk measures.
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6944829
zbMATH Keywords: Haezendonck-Goovaerts risk measure
zbMATH Keywords: set-valued risk measure
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2017/5320908
OpenAlex ID: W2761342439
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description: scientific article; zbMATH DE number 6944829