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• W2196792222 abstract "In 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. First, we clarify the relation between the Haezendonck-Goovaerts risk measure and the distortion risk measure. Moreover, we explain the role provided for the distortion risk measures as an extension of the Tail Value-at-Risk (TVaR) and Conditional Tail Expectation (CTE).   While it is known that the mean value principle can be used to generate premium calculation principles, we show how they also allow to generate solvency calculation principles, by relating the mean value risk measures with the Haezendonck-Goovaerts risk measure. In a last step, a generalization is proposed, called the generalized Haezendonck-Goovaerts risk measure and the notions of comparability of this new risk measure are studied. Â" @default.
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• W2196792222 date "2012-08-08" @default.
• W2196792222 modified "2023-09-24" @default.
• W2196792222 title "The mean value premium principle revisited" @default.
• W2196792222 hasPublicationYear "2012" @default.
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