In this paper, we propose new risk measures from a regulator's perspective on the regulatory capital requirements for … insurers. The proposed risk measures possess many desired properties including monotonicity, translation-invariance, positive … homogeneity, subadditivity, nonnegative loading, and stop-loss order preserving. The new risk measures not only generalize the …

The severity of extreme weather events is increasing due to climate change, giving rise to physical climate risk …. However, physical climate risk is not only driven by the severity of individual hazards, but also by the interdependence of …/Snow, Landslide, Tornado, and Wildfire. We empirically estimate the tail risk of multi-hazard portfolios for the limiting cases of …

modelling problems in insurance, finance, and other fields. Risk levels of a loss variable and its transforms are often measured … by risk measures. When only partial information on a loss variable is available, risk measures of the loss variable and …-case values of risk measures of a loss variable over an uncertainty set, describing all the possible distributions of the loss …

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have … for catastrophic losses. In this paper, we propose a new family of flexible risk measures denoted by LVaR, which is a … weighted combination of VaR and TVaR. Based on the new risk measures, we deal with the optimal reinsurance problem by …

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 …