Haezendonck–Goovaerts risk measures and Orlicz quantiles

Fabio Bellini and Emanuela Rosazza Gianin

Insurance: Mathematics and Economics, 2012, vol. 51, issue 1, 107-114

Abstract: In this paper, we study the well-known Haezendonck–Goovaerts risk measures on their natural domain, that is on Orlicz spaces and, in particular, on Orlicz hearts. We provide a dual representation as well as the optimal scenario in such a representation and investigate the properties of the minimizer xα∗ (that we call Orlicz quantile) in the definition of the Haezendonck–Goovaerts risk measure. Since Orlicz quantiles fail to satisfy an internality property, bilateral Orlicz quantiles are also introduced and analyzed.

Keywords: IM30; IE13; Orlicz premiums; Haezendonck–Goovaerts risk measures; Conditional value at risk; Quantiles; Expectiles (search for similar items in EconPapers)
JEL-codes: G22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:1:p:107-114

DOI: 10.1016/j.insmatheco.2012.03.005

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