The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough study over the years. Although interesting in their own right, ruin related quantities do not seem to capture...

This paper analyzes deforestation in areas of overlapping land tenure in the northern Ecuadorian Amazon. We use a random coefficients model to test for differences in forest cover across tenure forms over time. Tenure categories are significantly associated with changes in deforestation, even...

The Expected Discounted Penalty Function (EDPF) was introduced in a series of now classical papers ([9], [11] and [12]). Motivated by applications in option pricing and risk management, and inspired by recent developments in fluctuation theory for Lévy processes, we study an extended definition...

The paper proposes a simple estimator for a class of Conditional Expected Shortfall risk measures. The estimator is semiparametric, in the sense that it does not require a full specification of the conditional distribution of the data, and it is very simple to compute, being a least squares...

A new insurance provider or a regulatory agency may be interested in determining a risk measure consistent with observed market prices of a collection of risks. Using a relationship between distorted coherent risk measures and spectral risk measures, we provide a method for reconstructing...