Set-Valued Haezendonck-Goovaerts Risk Measure and Its Properties

Yu Feng, Yichuan Dong and Jia-Bao Liu

Discrete Dynamics in Nature and Society, 2017, vol. 2017, 1-7

Abstract:

We propose a new set-valued risk measure, which is called set-valued Haezendonck-Goovaerts risk measure. First, we construct the set-valued Haezendonck-Goovaerts risk measure and then provide an equivalent representation. The properties of the set-valued Haezendonck-Goovaerts risk measure are investigated, which show that the set-valued Haezendonck-Goovaerts risk measure is coherent. Finally, an example of set-valued Haezendonck-Goovaerts risk measure is given, which exhibits the fact that the set-valued average value at risk is a particular case of the set-valued Haezendonck-Goovaerts risk measures.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:5320908

DOI: 10.1155/2017/5320908

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