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Set-Valued Haezendonck-Goovaerts Risk Measure and Its Properties

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  • Yu Feng
  • Yichuan Dong
  • Jia-Bao Liu

Abstract

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.

Suggested Citation

  • Yu Feng & Yichuan Dong & Jia-Bao Liu, 2017. "Set-Valued Haezendonck-Goovaerts Risk Measure and Its Properties," Discrete Dynamics in Nature and Society, Hindawi, vol. 2017, pages 1-7, October.
    • Handle: RePEc:hin:jnddns:5320908
    DOI: 10.1155/2017/5320908
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