Some New Classes of Consistent Risk Measures

By Marc J. Goovaerts, Rob Kaas, Jan Dhaene, Qihe Tang. 2004

106 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/8fdc968d4bf1a6dd6af46099610b748b1434e822

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Citations in the corpus

Optimal reinsurance with general risk measures (2009, unknown): “Among others, Goovaerts et al. (2004a) have introduced the consistent risk measures, also studied in Burgert and Rüschendorf (2006), Goovaerts et al. (2004b) and Goovaerts and Laeven (2008) have introduced mixtures of exponentials, Frittelli and Scandolo (2005) have analyzed risk measures for…”
Decision principles derived from risk measures (2010, background): “In a recent paper, Goovaerts et al. (2004) present a new axiomatic characterizationof risk measures that are additive for independent random variables.”
On the Haezendonck–Goovaerts risk measure for extreme risks (2012, background): “This risk measure was first introduced by Haezendonck and Goovaerts (1982) andwasnamedas theHaezendonck riskmeasure by Goovaerts et al. (2004). Based on a recent conversation with Bellini and Rosazza Gianin during the 15th International Congress on Insurance: Mathematics and Economics in Trieste, we”
After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures (2006, unknown): “For example, there are additional approaches based on one-sided moments (e.g., Fischer, 2003), Bayesian Esscher scenarios (Siu, Tong, and Yang, 2001a), imprecise prevision approaches (Pelessoni and Vicig, 2001), entropy-based approaches (McLeish and Reesor, 2003), consistent risk measures ( Goovaert”
Stochastic Orders and Risk Measures: Consistency and Bounds (2006, unknown): “Goovaerts et al. (2004) show preservation of convex ordering for the so called Haezendonck risk measure.”
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.”