Title: On the interplay between distortion-, mean value- and Haezendonck-Goovaerts risk measures
Authors: Goovaerts, Marc ×
Linders, Daniƫl
Van Weert, Koen
Tank, Fatih #
Issue Date: 2012
Series Title: Insurance: Mathematics & Economics vol:51 issue:3 pages:10-18
Abstract: In the actuarial research, distortion, mean value and Haezendonck–Goovaerts risk measures are concepts that are usually treated separately. In this paper we indicate and characterize the relation between these different risk measures, as well as their relation to convex risk measures. While it is known that the mean value principle can be used to generate premium calculation principles, we will show how they also allow to generate solvency calculation principles. Moreover, we explain the role provided for the distortion risk measures as an extension of the Tail Value-at-Risk (TVaR) and Conditional Tail Expectation (CTE).
ISSN: 0167-6687
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

Files in This Item:
File Description Status SizeFormat
ontheinterplaybetween.pdf Published 262KbAdobe PDFView/Open Request a copy

These files are only available to some KU Leuven Association staff members


All items in Lirias are protected by copyright, with all rights reserved.

© Web of science