This paper introduces optimal expected utility (OEU) risk measures, investigates their main properties and puts them in perspective to alternative risk measures and notions of certainty equivalents. Taking the investor's point of view, OEU maximizes the sum of capital available today and the...

Financial institutions have to satisfy capital adequacy tests required, e.g., by the Basel Accords for banks or by Solvency II for insurers. If the financial situation of an institution is tight, then it can happen that no reallocation of the initial endowment would pass the capital adequacy...