This paper deals with the problem of capital allocation for a peculiar class of risk measures, namely the Haezendonck-Goovaerts (HG) ones (Bellini and Rosazza Gianin, 2008; Goovaerts et al., 2004). To this aim, we generalize the capital allocation rule (CAR) introduced by Xun et al. (2019) for Orlicz risk premia (Haezendonck and Goovaerts, 1982) as well as for HG risk measures, using an approach based on Orlicz quantiles (Bellini and Rosazza Gianin, 2012). We therefore study the properties of different CARs for HG risk measures in the quantile-based setting. Finally, we provide robust versions of the introduced CARs, considering ambiguity both over the probabilistic model and over the Young function, following the scheme of Bellini et al. (2018).

本文讨论了一类特殊风险措施的资本分配问题，即 Haezendonck-Goovaerts (HG) 措施（Bellini 和 Rosazza Gianin，2008 年；Goovaerts 等人，2004 年）。为此，我们概括了 Xun 等人引入的资本分配规则（CAR）。(2019) 用于 Orlicz 风险溢价（Haezendonck 和 Goovaerts，1982）以及 HG 风险度量，使用基于 Orlicz 分位数的方法（Bellini 和 Rosazza Gianin，2012）。因此，我们研究了不同 CAR 在基于分位数的设置中用于 HG 风险度量的特性。最后，我们提供了引入 CAR 的稳健版本，考虑到概率模型和 Young 函数的歧义，遵循 Bellini 等人的方案。(2018)。