Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR … desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and … their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from … available observations and computing a ``risk measure" which summarizes the risk of the portfolio. We define the notion of … ``risk measurement procedure", which includes both of these steps and introduce a rigorous framework for studying the …

non-zero risk levels. Some contemporary European societies tolerate about one fatality per thousand year around industrial … theory and the technology roadmap suggest that CO2 storage demonstration projects over the next 20 years have to cause …

non-parametric specification of rank dependent utility theory to characterize the preferences of the agents. From … even if agent are time consistent, life annuities no more provide perfect insurance against the risk to live. …

This article investigates the latest developments in longevity risk modelling, and explores the key risk management … enhancement of the way longevity risk is understood; providing a global view of the practical issues for longevity … evolution of longevity is intensifying the need for capital markets to be used to manage and transfer the risk through what are …

This paper studies a new risk measure derived from the expected area in red introduced in Loisel (2005). Specifically …, we derive various properties of a risk measure defined as the smallest initial capital needed to ensure that the expected … time-integrated negative part of the risk process on a fixed time interval [0; T] (T can be infinite) is less than a given …

Regulation and Risk management in banks depend on underlying risk measures. In general this is the only purpose that is … seen for risk measures. In this paper, we suggest that the reporting of risk measures can be used to determine the loss … distribution function for a financial entity. We demonstrate that a lack of sufficient information can lead to ambiguous risk …

We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk … useful for measuring the potential impact of climate change on heat wave risk. Numerical illustrations are given. …

The banking systems that deal with risk management depend on underlying risk measures. Following the recommendation of … the Basel II accord, most banks have developed internal models to determine their capital requirement. The Value at Risk …, showing the need for five risk measures in order to compute a capital in relation to the risk to which the bank is exposed. In …