This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … method is based on dynamic enterprise risk matri- ces. The matrix describes the changes of corporate risk values over the …

A distortion-type risk measure is constructed, which evaluates the risk of any uncertain position in the context of a … portfolio that contains that position and a fixed background risk. The risk measure can also be used to assess the performance … allocation methods fail. It is shown that the properties of the risk measure depart from those of coherent distortion measures …

We discuss classes of risk measures in terms both of their axiomatic definitions and of the economic theories of choice …, proposed by Gerber (1974), Dhaene et al. (2003), whereas Yaari's (1987) dual theory of risk can be viewed as the source of the … premium principles are complementary, without either of the two performing completely satisfactorily as a risk measure. Using …

decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an equivalent …