We propose a novel class of convex risk measures, based on the concept of the Fr\'echet mean, designed in order to … handle uncertainty which arises from multiple information sources regarding the risk factors of interest. The proposed risk … individual sources into an aggregate model for the risk factors of interest. Importantly, the proposed risks can be expressed in …

framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … sensitivity analysis framework suitable for risk models. …

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk …. In this paper, we introduce a new risk indicator that extends TCE to take into account higher-order risks. We compare the …