Haezendonck–Goovaerts risk measures and Orlicz quantiles
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.
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