control their solvency risks, which are defined through distortion risk measures of their end-of-period risk exposures. To … functions. By adopting piece-wise linear distortion functions for the risk measures, we partition the domain of the loss into … and reinsurer apply Range Value-at-Risk is studied in detail …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels …