Worst-case risk measures refer to the calculation of the largest value for risk measures when only partial information of the underlying distribution is available. For the popular risk measures such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), it is now known that their...

We extend the characterization of the left-monotone risk aversion developed by Ryan (2006) to the case of unbounded random variables. The notion of weak convergence is insufficient for such an extension. It requires the solution of a host of delicate convergence problems. To this end, some...

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...