robustnessconvex risk measurespositive homogeneityshortfall riskOrlicz premiumambiguity averse preferencesOrlicz norms and spaces
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Cites work
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- A new premium calculation principle based on Orlicz norms
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Cited in
(17)- Optimal initial capital induced by the optimized certainty equivalent
- Law-invariant return and star-shaped risk measures
- Are reference measures of law-invariant functionals unique?
- Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
- On a robust risk measurement approach for capital determination errors minimization
- Similar risks have similar prices: a useful and exact quantification
- Entropy based risk measures
- Stability properties of Haezendonck-Goovaerts premium principles
- Haezendonck-Goovaerts capital allocation rules
- Robust risk management
- A robust Sharpe ratio
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- Model spaces for risk measures
- Minkowski deviation measures
- Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
- Conditional expectiles, time consistency and mixture convexity properties
- Worst-case risk with unspecified risk preferences
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