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 …

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 …