Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866916073047064576 |
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| author | Goulard, Aline Grosse-Erdmann, Karl |
| author_facet | Goulard, Aline Grosse-Erdmann, Karl |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_03267 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures Goulard, Aline Grosse-Erdmann, Karl Risk Management Probability Primary 91G70, Secondary 46E30 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. |
| title | Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures |
| topic | Risk Management Probability Primary 91G70, Secondary 46E30 |
| url | https://arxiv.org/abs/2512.03267 |