QR kód

Asymptotic Formulas for the Haezendonck–Goovaerts Risk Measure of Sums with Consistently Varying Increments

The Haezendonck–Goovaerts (HG) risk measure defined on Orlicz spaces via the so-called normalised Young function is a direct generalisation of the Expected Shortfall risk measure. The HG measure is known to be a coherent one, thus making it more robust than some of the alternatives, such as Value-at...

Celý popis

Uloženo v:
Hlavní autoři: Jonas Šiaulys, Mantas Dirma, Neda Nakliuda, Luca Zanardelli
Médium: Artigo
Jazyk:Inglês
Vydáno: MDPI AG 2025-12-01
Edice:Axioms
Témata:
sum of random variables
asymptotic independence
tail-moment
heavy tail
consistently varying distribution
Haezendonck–Goovaerts risk measure
On-line přístup:https://www.mdpi.com/2075-1680/15/1/20
Tagy: Přidat tag
Žádné tagy, Buďte první, kdo vytvoří štítek k tomuto záznamu!

Podobné jednotky