Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures

Authors
Publication date 01-06-2021
Journal European Journal of Operational Research
Volume | Issue number 291 | 2
Pages (from-to) 438-446
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
  • Faculty of Economics and Business (FEB)
Abstract In this paper we extend to a dynamic setting the robust Orlicz premia and Haezendonck–Goovaerts risk measures introduced in Bellini, Laeven and Rosazza Gianin (2018). We extensively analyze the properties of the resulting dynamic risk measures. Furthermore, we characterize dynamic Orlicz premia that are time-consistent, and establish some relations between the time-consistency properties of dynamic robust Orlicz premia and the corresponding dynamic robust Haezendonck–Goovaerts risk measures.
Document type Article
Language English
Published at https://doi.org/10.1016/j.ejor.2019.08.049
Permalink to this page
Back