-dimensional risk process, where claims and premiums are shared with a predetermined proportion. This type of process is often called … risk process with a Brownian motion with drift. By applying this idea to the insurer-reinsurer model, we obtain simple ruin …

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …