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arxiv: 2512.03267 · v2 · pith:VAGX4DF6new · submitted 2025-12-02 · 💱 q-fin.RM · math.PR

Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures

Aline Goulard , Karl Grosse-Erdmann This is my paper
classification 💱 q-fin.RM math.PR
keywords riskmeasuresdistortionhaezendonck-goovaertspropertiesspacetheyactuarial
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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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