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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,…
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Keywords:
haezendonck goovaerts;
goovaerts risk;
measure;
sensitivity ... See more keywords