 The conditional Haezendonck–Goovaerts risk measureLi Xun, Renqiao Jiang and Jianhua Guo Statistics & Probability Letters, 2021, vol. 169, issue C Abstract: The Haezendonck–Goovaerts (HG) risk measure has received increasing attention in recent years. In this paper, we propose a conditional version of the HG risk measure, called CoHG risk measure. This conditional risk measure can be used to describe a causality relationship between two risk variables and to qualify the systemic risk contribution of a risk in a catastrophic scenario. We list some basic properties of the CoHG risk measure and show for it an analytical expression, which however involves the solution to an implicit equation. This expression can be made completely explicit for a power or exponential Young function. Finally, we conduct a numerical study to show the trend of the CoHG risk measure in certain risk parameters. Keywords: (Conditional) Haezendonck–Goovaerts risk measure; Young function; Bivariate exponential distribution (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:169:y:2021:i:c:s0167715220302716 Ordering information: This journal article can be ordered from DOI: 10.1016/j.spl.2020.108968 Access Statistics for this article Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul More articles in Statistics & Probability Letters from Elsevier |
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