Goovaerts, Marc; Linders, Daniël; Van Weert, Koen; … - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 10-18
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...