For a given risk, the well-known classical definition of Value-at-Risk (VaR) does not take into account possible interactions with other observable risks. For this reason, conditional VaRs that capture contagion effects and tail dependence among risks, such as the Co-Value-at-Risk (CoVaR), have...

For a given risk, the well-known classical definition of Value-at-Risk (VaR) does not take into account possible interactions with other observable risks. For this reason, conditional VaRs that capture contagion effects and tail dependence among risks, such as the Co-Value-at-Risk (CoVaR), have...

In Yaari's (1987) dual theory of choice under risk, risks preferences are based on a functional that depends on a subjective function called distortion. In the context of Wang's (1996) premium principle, Wang and Young (1998) considered a sequence of classes of partial orderings of risk...