Article ID Journal Published Year Pages File Type
5076749 Insurance: Mathematics and Economics 2012 9 Pages PDF
Abstract
► In this paper, we show the interplay between three types of risk measures. ► Distortion, mean value and Haezendonck risk measures will be treated. ► Also the relation with convex risk measures will be handled. ► We will show how to generate solvency calculation principles.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
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