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First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks
First- and ... gp() with 0 < p < 1 as gp(u) = ( g u 1p ; 0 u < 1 p; 1; 1 p u 1; which again is a distortion ... ? =1. De ne the function U() as the quantile function of 1=F , namely, U(t) = 1 F (t) = F ...- Authors: Fan Yang
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Risk measurement - ERM
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On the Haezendonck-Goovaerts Risk Measure for Extreme Risks
On the ... (X x)k+ 1 q !1=k : By virtue of Minkowskis inequality, one can easily verify that Hq[X; ] is ... (x)k ik1 ! 1; while as x " x^, applying Hölders inequality to the numerator yields that E (X ...- Authors: Application Administrator, Fan Yang
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Risk measurement - ERM
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Sustainable ERM
ERM FEBRUARY/MARCH 2015 | THE ACTUARY | 37 S ustainability encapsulates the concept of resilience ... functions, and integration of ESG issues in Reputation s Principles for Sustainable Insurance (PSI) 1. Embed ...- Authors: Fan Yang
- Date: Jan 2015
- Competency: Professional Values>Public interest representation; Strategic Insight and Integration>Effective decision-making; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: The Actuary Magazine
- Topics: Finance & Investments>Economic value; Pensions & Retirement>Risk management