We incorporate a notion of risk aversion favoring prudent decisions from financial institutions into regulatory capital calculation principles. In the context of Basel III, IV as well as Solvency II, regulatory capital calculation is carried out through the tools of monetary risk measures. The...

We establish a theory for a continuum of degrees of risk aversion and risk seeking, referred to as fractional risk aversion and risk seeking. The proposed degrees are well defined for any distribution-based monotone preference on any set of prospects; no particular model assumption is required...

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...