The Modification and Optimization of Haezendonck Risk Measure

This paper describes the modification of the Haezendonck risk measure. When the risk becomes very high, the lose or the surplus will become much larger, whose function should be a curve steeper than the straight line on the tail. So based on the Haezendonck risk measure the modified Haezendonck risk measure is proposed. And some properties of the modified Haezendonck risk measure are proved, which has certain directive significance to actual life.