Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076919 | Insurance: Mathematics and Economics | 2012 | 11 Pages |
Abstract
⺠We reestablish the first-order approximations of the Haezendonck-Goovaerts risk measure in Tang and Yang (2012). ⺠We obtain the second-order approximations of the Haezendonck-Goovaerts risk measure. ⺠We only consider the case in which the risk variable belongs to a max-domain of attraction of the extreme distributions.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Tiantian Mao, Taizhong Hu,