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Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures

Fabio Bellini, Roger Laeven () and Emanuela Rosazza Gianin

European Journal of Operational Research, 2021, vol. 291, issue 2, 438-446

Abstract: In this paper we extend to a dynamic setting the robust Orlicz premia and Haezendonck–Goovaerts risk measures introduced in Bellini, Laeven and Rosazza Gianin (2018). We extensively analyze the properties of the resulting dynamic risk measures. Furthermore, we characterize dynamic Orlicz premia that are time-consistent, and establish some relations between the time-consistency properties of dynamic robust Orlicz premia and the corresponding dynamic robust Haezendonck–Goovaerts risk measures.

Keywords: Risk analysis; Orlicz premia; Haezendonck–Goovaerts risk measures; Time-consistency; Ambiguity averse preferences (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.ejor.2019.08.049

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Handle: RePEc:eee:ejores:v:291:y:2021:i:2:p:438-446