文章基本信息

标题：Set-Valued Haezendonck-Goovaerts Risk Measure and Its Properties
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作者：Yu Feng ; Yichuan Dong ; Jia-Bao Liu 等
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2017
卷号：2017
DOI：10.1155/2017/5320908
出版社：Hindawi Publishing Corporation
摘要：We propose a new set-valued risk measure, which is called set-valued Haezendonck-Goovaerts risk measure. First, we construct the set-valued Haezendonck-Goovaerts risk measure and then provide an equivalent representation. The properties of the set-valued Haezendonck-Goovaerts risk measure are investigated, which show that the set-valued Haezendonck-Goovaerts risk measure is coherent. Finally, an example of set-valued Haezendonck-Goovaerts risk measure is given, which exhibits the fact that the set-valued average value at risk is a particular case of the set-valued Haezendonck-Goovaerts risk measures.