In actuarial research, distortion-, mean value- and Haezendonck-Goovaerts risk measures are concepts that are usually treated separately. In this paper we indicate and characterize the relation between the different risk measures, as well as their relation to convex risk measures. While it is...

We present an axiomatic characterization of price measures that are superadditive and comonotonic additive for normally distributed random variables. The price representation derived involves a probability measure transform that is closely related to the Esscher transform, and we call it the...