Haezendonck-Goovaerts risk measures and Orlicz quantiles

被引：31
作者：
Bellini, Fabio [1 ]
Gianin, Emanuela Rosazza [1 ]
机构：
[1] Univ Milano Bicocca, Dipartimento Metodi Quantitativi, I-20126 Milan, Italy
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2012年 / 51卷 / 01期
关键词：
Orlicz premiums; Haezendonck-Goovaerts risk measures; Conditional value at risk; Quantiles; Expectiles;
D O I：
10.1016/j.insmatheco.2012.03.005
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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 x*(alpha) (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. (C) 2012 Elsevier B.V. All rights reserved.
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收藏
页码：107 / 114
页数：8
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