Ahn, Jae Youn; Shyamalkumar, Nariankadu D. - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 78-90
Haezendonck–Goovaerts risk measures is a recently introduced class of risk measures which includes, as its minimal member, the Tail Value-at-Risk (T-VaR)—T-VaR arguably the most popular risk measure in global insurance regulation. In applications often one has to estimate the risk measure...