In the present paper, we study quantile risk measures and their domain. Our starting point is that, for a probability measure Q on the open unit interval and a wide class L Q of random variables, we define the quantile risk measure ϱ Q as the map that integrates the quantile function of a...

Preface -- How to Read This Book -- Contents -- Additive Method -- Aggregation -- Bornhuetter--Ferguson Method -- Original Version of the Bornhuetter--Ferguson Method -- Benktander--Hovinen Method -- Iterated Bornhuetter--Ferguson Method -- Remarks -- Bornhuetter--Ferguson Principle -- Loss...