Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures
Risk Management
2025-12-04 v1 Probability
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.
Keywords
Cite
@article{arxiv.2512.03267,
title = {Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures},
author = {Aline Goulard and Karl Grosse-Erdmann},
journal= {arXiv preprint arXiv:2512.03267},
year = {2025}
}