consider is standard asset allocation data. The client data is determined by a standard risk profiling question and the …

reduction (self-protection) so that correlation becomes endogenous. If prevention concerns only one risk, introducing a second … exogenous risk increases the level of prevention expenditures, even if correlation is negative. If prevention expenditures may … increased dependence increases aggregate prevention expenditures, but not necessarily prevention expenditures for each risk due …

We study risk sharing games with quantile-based risk measures and heterogeneous beliefs, motivated by the use of … equivalent to equilibrium allocations, and the equilibrium price is unique. For Value-at-Risk (VaR) agents or mixed VaR and ES … agents, a competitive equilibrium does not exist. Our results generalize existing ones on risk sharing games with risk …

a constant absolute risk aversion (CARA) function. This makes logit-CPT nested in our proposed parameterisation of QDT …

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures … classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option …-implied risk metrics emerge as a convenient alternative to the existing risk measures …

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

Monetary risk measures classify a financial position by the minimal amount of external capital that must be added to … the position to make it acceptable.We propose a new concept: intrinsic risk measures. The definition via external capital … is avoided and only internal resources appear. An intrinsic risk measure is defined by the smallest percentage of the …