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Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures. (English) Zbl 1487.91025

Summary: In this paper we extend to a dynamic setting the robust Orlicz premia and Haezendonck-Goovaerts risk measures introduced in our work [Math. Financ. Econ. 12, No. 1, 5–32 (2018; Zbl 1404.91134)]. 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.

MSC:

91B05 Risk models (general)
91B16 Utility theory
91G70 Statistical methods; risk measures

Citations:

Zbl 1404.91134
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References:

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