This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal … with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them … all. Numerical examples are given in order to illustrate how efficiently the non-systemic risk can be diversified and how …

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

Downside risk measures play a very interesting role in risk management problems. In particular, the value at risk (VaR …) and the conditional value at risk (CVaR) have become very important instruments to address problems such as risk … optimization, capital requirements, portfolio selection, pricing and hedging issues, risk transference, risk sharing, etc. In …