Although most of the theory development concerning risk measures has concentrated on convex or even coherent risk measures, nonconvex risk measures are used in practice, the prime example of course being Value-at-Risk. The purpose of this paper is to investigate the relations between various...

In a risk exchange, participants trade a privately owned risk for a share in a pool. If participants agree on a valuation rule, it can be decided whether or not, according to the given rule, these trades take place at equal value. If equality holds for all participants, then the exchange is said...