We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on the one hand, and Ross (1981) on the other hand. The implications for two standard financial decision problems, namely the willingness to pay for insurance and portfolio...

We study the problem of optimal reinsurance as a means of risk management in the regulatory framework of Solvency II under Conditional Value-at-Risk and, as its natural extension, spectral risk measures. First, we show that stop-loss reinsurance is optimal under both Conditional Value-at-Risk...

Purpose - The purpose of this research paper is to clarify why shareholders should be prudent when managers promise value gains from a synergetic merger. Design/methodology/approach -The paper proposes a simple two-state model of stochastic firm cash flows which allows for a discussion of wealth...