| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076757 | Insurance: Mathematics and Economics | 2012 | 8 Pages |
Abstract
⺠We consider Haezendonck-Goovaerts (H-G) risk measures on Orlicz spaces. ⺠We obtain a dual representation of H-G risk measures and some related results. ⺠Conditions for the minimizer xâ in the definition of the H-G risk measure. ⺠We investigate the properties of the minimizer xâ, that we call Orlicz quantile. ⺠We compare Orlicz quantiles with other generalized quantiles.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Fabio Bellini, Emanuela Rosazza Gianin,