| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077093 | Insurance: Mathematics and Economics | 2012 | 11 Pages |
Abstract
⺠We are interested in the calculation of the Haezendonck-Goovaerts risk measure. ⺠The focus is on the case with an extreme value risk and a power Young function. ⺠We derive exact asymptotics for the Haezendonck-Goovaerts risk measure. ⺠We also consider the case with an exponential risk and a general Young function. ⺠Each result is examined numerically.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Qihe Tang, Fan Yang,