Haezendonck–Goovaerts risk measures and Orlicz quantiles
AbstractIn 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 51 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/inca/505554
IM30; IE13; Orlicz premiums; Haezendonck–Goovaerts risk measures; Conditional value at risk; Quantiles; Expectiles;
Find related papers by JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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