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Stability properties of Haezendonck-Goovaerts premium principles

Niushan Gao, Cosimo Munari and Foivos Xanthos

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Abstract: We investigate a variety of stability properties of Haezendonck-Goovaerts premium principles on their natural domain, namely Orlicz spaces. We show that such principles always satisfy the Fatou property. This allows to establish a tractable dual representation without imposing any condition on the reference Orlicz function. In addition, we show that Haezendonck-Goovaerts principles satisfy the stronger Lebesgue property if and only if the reference Orlicz function fulfills the so-called $\Delta_2$ condition.

Date: 2019-09
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Handle: RePEc:arx:papers:1909.10735