On the Haezendonck–Goovaerts risk measure for extreme risks

Qihe Tang and Fan Yang

Insurance: Mathematics and Economics, 2012, vol. 50, issue 1, 217-227

Abstract: In this paper, we are interested in the calculation of the Haezendonck–Goovaerts risk measure, which is defined via a convex Young function and a parameter q∈(0,1) representing the confidence level. We mainly focus on the case in which the risk variable follows a distribution function from a max-domain of attraction. For this case, we restrict the Young function to be a power function and we derive exact asymptotics for the Haezendonck–Goovaerts risk measure as q↑1. As a subsidiary, we also consider the case with an exponentially distributed risk variable and a general Young function, and we obtain an analytical expression for the Haezendonck–Goovaerts risk measure.

Keywords: Asymptotics; Haezendonck–Goovaerts risk measure; Max-domain of attraction; Regular/rapid variation; Young function (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:50:y:2012:i:1:p:217-227

DOI: 10.1016/j.insmatheco.2011.11.007

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