کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090738 | 1375644 | 2008 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On Haezendonck risk measures
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We study the Haezendonck risk measure (introduced by [Haezendonck, J., Goovaerts, M., 1982. A new premium calculation principle based on Orlicz norms. Insurance: Mathematics and Economics 1, 41-53] and by [Goovaerts, M.J., Kaas, R., Dhaene, J., Tang, Q., 2003. A unified approach to generate risk measures. ASTIN Bulletin 33 (2), 173-191; Goovaerts, M.J., Kaas, R., Dhaene, J., Tang, Q., 2004. Some new classes of consistent risk measures. Insurance: Mathematics and Economics 34 (3), 505-516]) and prove its subadditivity. Since the Haezendonck risk measure is defined as an infimum of Orlicz premia, we investigate when the infimum is actually attained. We determine the corresponding generalized scenarios and show how its construction can be seen as a special case of the operation of inf-convolution of convex functionals.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 32, Issue 6, June 2008, Pages 986-994
Journal: Journal of Banking & Finance - Volume 32, Issue 6, June 2008, Pages 986-994
نویسندگان
Fabio Bellini, Emanuela Rosazza Gianin,