One of the central notions in mathematical finance is that of risk measures, which are supposed to evaluate the risk associated to a financial position. The best known risk measure is Value-at-risk (VaR). Since it suffers from a major defect, alternatives have been proposed. In the 1980’s, Haezendonck and Goovaerts introduced a new class of risk measures based on Orlicz spaces and their Luxemburg norm. After explaining all these notions, we will show that Orlicz-Lorentz spaces not only lead to an even larger class, they also cover another important family of risk measures.

This is joint work with Aline Goulard.