Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure
Sign Up to like & getrecommendations! Published in 2018 at "Scandinavian Actuarial Journal"
DOI: 10.1080/03461238.2018.1429299
Abstract: Abstract Recently Haezendonck–Goovaerts (H-G) risk measure has been popular in actuarial science. When it is applied to an insurance or a financial portfolio with several loss variables, sensitivity analysis becomes useful in managing the portfolio,… read more here.
Keywords: haezendonck goovaerts; goovaerts risk; measure; sensitivity ... See more keywords