In this paper, we will study the well-known Haezendonck-Goovaerts risk measures on their natural domain, that is on Orlicz spaces and, in particular, on Orlicz hearts. We will provide a dual representation as well as the optimal scenario in such a representation and investigate the properties of the minimizer x (that we will 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.

Bellini, F., ROSAZZA GIANIN, E. (2011). Haezendonck-Goovaerts risk measures and Orlicz quantiles [Working paper del dipartimento].

Haezendonck-Goovaerts risk measures and Orlicz quantiles

BELLINI, FABIO;ROSAZZA GIANIN, EMANUELA
2011

Abstract

In this paper, we will study the well-known Haezendonck-Goovaerts risk measures on their natural domain, that is on Orlicz spaces and, in particular, on Orlicz hearts. We will provide a dual representation as well as the optimal scenario in such a representation and investigate the properties of the minimizer x (that we will 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.
Working paper del dipartimento
Scientifica
Orlicz premiums; Haezendonck risk measures; Conditional Value at Risk; quantiles; expectiles
English
Bellini, F., ROSAZZA GIANIN, E. (2011). Haezendonck-Goovaerts risk measures and Orlicz quantiles [Working paper del dipartimento].
Bellini, F; ROSAZZA GIANIN, E
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/24980
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