Haezendonck-Goovaerts risk measures and Orlicz quantiles

By Fabio Bellini, Emanuela Rosazza Gianin. 2012

61 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/8586745def1626b697aa1c3fc4bc4ef9fb147b40

Citations in the corpus

• Robust return risk measures (2017, unknown): “By extending the well-known Rockafellar–Uryasev [35] construction (see also [3,20], and [1,2]), we introduce robust Haezendonck–Goovaerts risk measures, analyze their properties, and provide their dual representation as coherent measures of risk.”