On the Haezendonck–Goovaerts risk measure for extreme risks
51 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/a425fb8347b691e1a1ce8ee2e7af979e7805b619
Citations in the corpus
- Risk management with expectiles (2017, unknown): “We refer to Hua and Joe (2011), Tang and Yang (2012) and Mao and Hu (2012) for similar results for other one-parameter families of coherent risk measures.”