Prospect Theory) always satisfies the well-known axiomatic characterisation of a monetary risk measure, although in rational … the (negative) generalised CE, which always satisfies the properties of a monetary risk measure for a large class of …

It is natural to connect reinsurance problems with risk measures since a reinsurance contract is an efficient risk … management tool for an insurer and the reinsurance premium can also be viewed as a measure of a reinsurer's risk. In this paper …, we assume that the insurer uses a law-invariant convex risk measure, while reinsurers use a Wang's premium principle to …

This paper studies mean-risk portfolio selection in a one-period financial market, where risk is quantified by a star …-shaped risk measure ρ. We introduce two new axioms: weak and strong sensitivity to large losses. We show that the first axiom is … leads to a new class of risk measures that are suitable for portfolio selection. We show that ρ belongs to this class if and …

behaviors within three dimensions: under risk, over time and regarding other people. A new perspective on two underlying …