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...

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Autores principales:	Jonas Šiaulys, Mantas Dirma, Neda Nakliuda, Luca Zanardelli
Formato:	Artigo
Lenguaje:	Inglês
Publicado:	MDPI AG 2025-12-01
Colección:	Axioms
Materias:	sum of random variables asymptotic independence tail-moment heavy tail consistently varying distribution Haezendonck–Goovaerts risk measure
Acceso en línea:	https://www.mdpi.com/2075-1680/15/1/20
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