Utility-based shortfall risk (SR) measure proposed by (F\”ollmer and Schied, 2002) has been well studied in risk management and finance. In this paper, we revisit the concept from insurance premium perspective. We show under some moderate conditions that the indifference equation-based...

With the development of financial risk management, the notion of convex risk measures has been proposed and has gained more and more attentions. Utility-based shortfall risk (SR), as a specific and important class of convex risk measures, has become popular in recent years. In this paper we...