Haezendonck-Goovaerts risk measures and Orlicz quantiles

► We consider Haezendonck-Goovaerts (H-G) risk measures on Orlicz spaces. ► We obtain a dual representation of H-G risk measures and some related results. ► Conditions for the minimizer x∗ in the definition of the H-G risk measure. ► We investigate the properties of the minimizer x∗, that we call Orlicz quantile. ► We compare Orlicz quantiles with other generalized quantiles.