Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and regulatory standard for the calculation of risk capital in banking and insurance. This paper is concerned with the numerical estimation of the VaR for a portfolio position as a function of different...

Finding the worst-case value of a preference over a set of plausible models is a well-established approach to address the issue of model uncertainty or ambiguity. In this paper, we study the worst-case evaluation of Yaari's dual utility functionals of an aggregate risk under dependence...

This article contains various results on a class of non-monotone law-invariant risk functionals, called the signed Choquet integrals. A functional characterization via comonotonic additivity is established, along with some theoretical properties including six equivalent conditions for a signed...