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In this paper, we study the well-known Haezendonck–Goovaerts risk measures on their natural domain, that is on Orlicz spaces and, in particular, on Orlicz hearts. We provide a dual representation as well as the optimal scenario in such a representation and investigate the properties of the...
Persistent link: https://www.econbiz.de/10011046606
Although controversial from the theoretical point of view, quantile risk measures are widely used by institutions and regulators.
Persistent link: https://www.econbiz.de/10010572712