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Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures

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  • Aline Goulard
  • Karl Grosse-Erdmann

Abstract

In financial and actuarial research, distortion and Haezendonck-Goovaerts risk measures are attractive due to their strong properties. They have so far been treated separately. In this paper, following a suggestion by Goovaerts, Linders, Van Weert, and Tank, we introduce and study a new class of risk measure that encompasses the distortion and Haezendonck-Goovaerts risk measures, aptly called the distortion Haezendonck-Goovaerts risk measures. They will be defined on a larger space than the space of bounded risks. We provide situations where these new risk measures are coherent, and explore their risk theoretic properties.

Suggested Citation

  • Aline Goulard & Karl Grosse-Erdmann, 2025. "Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures," Papers 2512.03267, arXiv.org.
    • Handle: RePEc:arx:papers:2512.03267
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    References listed on IDEAS

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