In this paper we provide an axiomatic foundation to Orlicz risk measures in terms of properties of their acceptance sets, by exploiting their natural correspondence with shortfall risk measures, thus paralleling the characterization in Weber (2006). From a financial point of view, Orlicz risk...

The optimal insurance problem represents a fast growing topic that explains the most efficient contract that an insurance player may get. The classical problem investigates the ideal contract under the assumption that the underlying risk distribution is known, i.e. by ignoring the parameter and...