This contribution relates to the use of risk measures for determining (re)insurers' economic capital requirements …. Alternative sets of properties of risk measures are discussed. Furthermore, methods for constructing risk measures via … different approaches relate to popular risk measures, such as VaR, Expected Shortfall, distortion risk measures and the …

Building on a new theory of parametric risk models initiated in Hürlimann(1998), it is shown how mean scaled individual … risk models can be constructed. The approximate computation of their distributions and related quantities can be done in … of models. The method is applied to the construction of a mean scaled operational risk model …

Utility-based shortfall risk (SR) measure proposed by (F\”ollmer and Schied, 2002) has been well studied in risk … problem similar to the definition of SR and subsequently call the premium functional as a generalized shortfall risk measure … preference functional is a distorted expected value function based on prospect theory. Specifically, we exploit Weber's methods …

required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common … risk measure such as Value-at-Risk is not subadditive when certain dependence structures are considered. Higher risk … evaluations are obtained for independence between random variables than those obtained in the case of comonotonicity. The paper …

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …