On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures

Goovaerts M., Linders D., Van Weert K., TANK F.

INSURANCE MATHEMATICS & ECONOMICS, cilt.51, sa.1, ss.10-18, 2012 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 51 Sayı: 1
  • Basım Tarihi: 2012
  • Doi Numarası: 10.1016/j.insmatheco.2012.02.012
  • Dergi Adı: INSURANCE MATHEMATICS & ECONOMICS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.10-18
  • Anahtar Kelimeler: Risk measurement, Haezendonck-Goovaerts risk measure, Distortion risk measure, Mean value risk measure, Solvency requirements, ACTUARIAL SCIENCE, COMONOTONICITY, PREMIUM, FINANCE
  • Ankara Üniversitesi Adresli: Evet

Özet

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). (C) 2012 Elsevier B.V. All rights reserved.