In this paper, we propose new risk measures from a regulator's perspective on the regulatory capital requirements for insurers. The proposed risk measures possess many desired properties including monotonicity, translation-invariance, positive homogeneity, subadditivity, nonnegative loading, and...

Stop-loss and limited loss random variables are two important transforms of a loss random variable and appear in many modelling problems in insurance, finance, and other fields. Risk levels of a loss variable and its transforms are often measured by risk measures. When only partial information...

In this paper we study the aggregate risk of inhomogeneous risks with dependence uncertainty, evaluated by a generic risk measure. We say that a pair of risk measures are asymptotically equivalent if the ratio of the worst-case values of the two risk measures is almost one for the sum of a large...

We introduce the family of law-invariant convex risk functionals, which includes a wide majority of practically used convex risk measures and deviation measures. We obtain a unified representation theorem for this family of functionals. Two related optimization problems are studied. In the first...

In this paper, we study Pareto optimality of reinsurance arrangements under general model settings. We give the necessary and sufficient conditions for a reinsurance contract to be Pareto-optimal and characterize all Pareto-optimal reinsurance contracts under more general model assumptions. We...

We examine the relation between intra-day price discovery and proxies for financial openness and investor accessibility using a sample of intra-day price and quote data of 1,504 stocks from 23 emerging markets. We measure price discovery by weighted price contribution across segments of the...