This paper deals with the problem of capital allocation for a peculiar class of risk measures, namely the Haezendonck-Goovaerts (HG) ones. We generalize the capital allocation rule (CAR) introduced by Xun et al. for Orlicz risk premia, using firstly an approach based on Orlicz quantiles and...

In the context of capital allocation principles for (not necessarily coherent) risk measures, we derive - under mild conditions - some representation results as ``collapse to the mean'' in a generalized sense. This approach is related to the well-known Gradient allocation and allows to extend a...

We study the Haezendonck risk measure (introduced by [Haezendonck, J., Goovaerts, M., 1982. A new premium calculation principle based on Orlicz norms. Insurance: Mathematics and Economics 1, 41-53] and by [Goovaerts, M.J., Kaas, R., Dhaene, J., Tang, Q., 2003. A unified approach to generate risk...