with individual VaR delivers an optimal wealth assignment between risky and risk-free assets …

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained … constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility … functions with constant relative risk aversion and allows individual specifications to the investor's risk attitude and time …

problem is equivalent to the mean-variance (MV) and conditional value-at-risk (CVaR) problems. Then we solve analytically the … two-asset problem of the QLA investor for a risk-free and a risky asset. We find that the optimal QLA investment in the … the risk-free rate. Finally, we implement the trading strategy of a QLA investor who reallocates her portfolio on a …

for insurance may be decreasing with increasing risk parameter. In the portfolio selection problem, the investment in the …We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on … willingness to pay for insurance and portfolio selection, are studied. Within the framework of Arrow and Pratt, we show that the …

sophisticated agent who is fully aware of such an inconsistency. Our characterization holds for general risk preferences. We apply … our results to several distinct classes of risk preference models. We show that although some specific models related to …

Prospect Theory) always satisfies the well-known axiomatic characterisation of a monetary risk measure, although in rational … the (negative) generalised CE, which always satisfies the properties of a monetary risk measure for a large class of …

-life insurance risk to the bivariate chain ladder model as introduced by Braun in 2004. In this model, we assume two correlated loss … portfolios each of which is underlying the classical chain ladder model. In accordance with standard literature, multi-year risk …

their use in the everyday risk management process of the insurance firms. The potential use of the proposed risk measures in … insurance is illustrated by two concrete applications, capital risk allocation and premia calculation under uncertainty …We propose a novel class of convex risk measures, based on the concept of the Fr\'echet mean, designed in order to …