TY - JOUR
T1 - On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
AU - Goovaerts, Marc
AU - Linders, Daniël
AU - Van Weert, Koen
AU - Tank, Fatih
N1 - Funding Information:
Marc Goovaerts, Daniël Linders and Koen Van Weert acknowledge the financial support by the Onderzoeks-fonds KU Leuven (GOA/07: Risk Modeling and Valuation of Insurance and Financial Cash Flows, with Applications to Pricing, Provisioning and Solvency).
Funding Information:
Fatih Tank acknowledges the financial support of The Scientific and Technological Research Council of Turkey (TUBITAK) during his post-doctoral research at KU Leuven, Belgium.
PY - 2012/7
Y1 - 2012/7
N2 - In the actuarial research, distortion, mean value and Haezendonck-Goovaerts risk measures are concepts that are usually treated separately. In this paper we indicate and characterize the relation between these different risk measures, as well as their relation to convex risk measures. While it is known that the mean value principle can be used to generate premium calculation principles, we will show how they also allow to generate solvency calculation principles. Moreover, we explain the role provided for the distortion risk measures as an extension of the Tail Value-at-Risk (TVaR) and Conditional Tail Expectation (CTE).
AB - In the actuarial research, distortion, mean value and Haezendonck-Goovaerts risk measures are concepts that are usually treated separately. In this paper we indicate and characterize the relation between these different risk measures, as well as their relation to convex risk measures. While it is known that the mean value principle can be used to generate premium calculation principles, we will show how they also allow to generate solvency calculation principles. Moreover, we explain the role provided for the distortion risk measures as an extension of the Tail Value-at-Risk (TVaR) and Conditional Tail Expectation (CTE).
KW - Distortion risk measure
KW - Haezendonck-Goovaerts risk measure
KW - Mean value risk measure
KW - Risk measurement
KW - Solvency requirements
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U2 - 10.1016/j.insmatheco.2012.02.012
DO - 10.1016/j.insmatheco.2012.02.012
M3 - Article
AN - SCOPUS:84858326798
SN - 0167-6687
VL - 51
SP - 10
EP - 18
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
IS - 1
ER -