2 papers
q-fin.RM2025
Generalized Orlicz premia
Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven
We introduce a generalized class of Orlicz premia based on possibly nonconvex loss functions, extending the classical framework of Haezendonck and Goovaerts (1982). Without the usu…
q-fin.RM2024
On Geometrically Convex Risk Measures
Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven
Geometrically convex functions constitute an interesting class of functions obtained by replacing the arithmetic mean with the geometric mean in the definition of convexity. As rec…