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arXiv · 2512.03267

Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures

Aline Goulard·Karl Grosse-Erdmann
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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.

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Aline Goulard, Karl Grosse-Erdmann. 2025-12-02. Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures. https://arxiv.org/abs/2512.03267

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