Mao, Tiantian; Hu, Taizhong - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 333-343
The Haezendonck–Goovaerts risk measure is based on the premium calculation principle induced by an Orlicz norm, which is defined via an increasing and convex Young function and a parameter q∈(0,1) representing the confidence level. In this paper, we first reestablish the first-order...