Haezendonck-Goovaerts risk measures and

In this paper, we will study the well-known Haezendonck-Goovaerts risk measures on their natural domain, that is on Orlicz spaces and, in particular, on Orlicz hearts. We will provide a dual representation as well as the optimal scenario in such a representation and investigate the properties of the minimizer x∗α (that we will call Orlicz quantile) in the definition of the Haezendonck-Goovaerts risk measure. Since Orlicz quan-tiles fail to satisfy an internality property, bilateral Orlicz quantiles are also introduced and analyzed