A new premium calculation principle based on Orlicz norms

Haezendonck, J.; Goovaerts, Marc

doi:10.1016/0167-6687(82)90020-8

Cited by 68 publications

(67 citation statements)

References 2 publications

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“…The prototype of Haezendonck-Goovaerts risk measure is called the Orlicz premium principle studied by Haezendonck and Goovaerts [2]. The Orlicz premium principle is defined on Orlicz space.…”

Section: Preliminariesmentioning

confidence: 99%

“…For more information about Orlicz space as well as Orlicz heart, see Haezendonck and Goovaerts [2] and Bellini and Rosazza Gianin [5].…”

Section: Preliminariesmentioning

confidence: 99%

“…Therefore, it plays an important role in both financial community and insurance community. Haezendonck and Goovaerts [2] introduced a new premium principle based on Orlicz norms. Goovaerts et al [3] further studied the premium principle by Haezendonck and Goovaerts [2] and called it the Haezendonck risk measure in honor of the late Haezendonck.…”

Section: Introductionmentioning

confidence: 99%

“…Haezendonck and Goovaerts [2] introduced a new premium principle based on Orlicz norms. Goovaerts et al [3] further studied the premium principle by Haezendonck and Goovaerts [2] and called it the Haezendonck risk measure in honor of the late Haezendonck. HaezendonckGoovaerts risk measure describes a class of concrete risk measures which derived by different parameters.…”

Section: Introductionmentioning

confidence: 99%

“…Bellini and Rosazza Gianin [4] further studied Haezendonck risk measure. Bellini and Rosazza Gianin [5] continued the study of Haezendonck and used the terminology of HaezendonckGoovaerts risk measure in order to better acknowledge both authors' contribution in the seminal papers by Haezendonck and Goovaerts [2] and Goovaerts et al [3]. All the above premium principles are for single risks (i.e., single claims).…”

Section: Introductionmentioning

confidence: 99%

See 4 more Smart Citations

Set-Valued Haezendonck-Goovaerts Risk Measure and Its Properties

Dong

Liu

2017

Discrete Dynamics in Nature and Society

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We propose a new set-valued risk measure, which is called set-valued Haezendonck-Goovaerts risk measure. First, we construct the set-valued Haezendonck-Goovaerts risk measure and then provide an equivalent representation. The properties of the set-valued Haezendonck-Goovaerts risk measure are investigated, which show that the set-valued Haezendonck-Goovaerts risk measure is coherent. Finally, an example of set-valued Haezendonck-Goovaerts risk measure is given, which exhibits the fact that the set-valued average value at risk is a particular case of the set-valued Haezendonck-Goovaerts risk measures.

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Section: Preliminariesmentioning

confidence: 99%

“…For more information about Orlicz space as well as Orlicz heart, see Haezendonck and Goovaerts [2] and Bellini and Rosazza Gianin [5].…”

Section: Preliminariesmentioning

confidence: 99%