Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20150002457 | ||
| 003 | MAP | ||
| 005 | 20150122171256.0 | ||
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| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20080650421$aTang, Qihe | |
| 245 | 1 | 0 | $aExtreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function$cQihe Tang, Fan Yang |
| 520 | $aFor a risk variable X and a normalized Young function f(·), the HaezendonckGoovaerts risk measure for X at level q?(0,1) is defined as Hq[X]=infx?R(x+h), where h solves the equation View the MathML source if Pr(X>x)>0 or is 0 otherwise. In a recent work, we implemented an asymptotic analysis for Hq[X] with a power Young function for the Fréchet, Weibull and Gumbel cases separately. A key point of the implementation was that h can be explicitly solved for fixed x and q, which gave rise to the possibility to express Hq[X] in terms of x and q. For a general Young function, however, this does not work anymore and the problem becomes a lot harder. In the present paper, we extend the asymptotic analysis for Hq[X] to the case with a general Young function and we establish a unified approach for the three extreme value cases. In doing so, we overcome several technical difficulties mainly due to the intricate relationship between the working variables x, h and q. | ||
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g03/11/2014 Volumen 59 Número 1 - noviembre 2014 | |
| 856 | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |