In this paper we provide an axiomatic foundation to Orlicz risk measures in terms of properties of their acceptance … sets, by exploiting their natural correspondence with shortfall risk measures, thus paralleling the characterization in … Weber (2006). From a financial point of view, Orlicz risk measures assess the stochastic nature of returns, in contrast to …

the present paper we call such combinations ‘coupled risk measures' and develop a statistical inferential theory for them …Considerable literature has been devoted to developing statistical inferential results for risk measures, especially … a number of risk measures that are of the form of ratios, or even more complex combinations, of two L-functionals. In …

We compare seven established risk elicitation methods and investigate how they robustly explain eleven kinds of risky … behavior with 760 individuals. Risk measures are positively correlated; however, their performance in explaining behavior is … heterogeneous and, therefore, difficult to assess ex ante. To close this knowledge gap, greater diversification across risk measures …

This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview … of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We …-Gaussian features. We deal with the problem of portfolio optimization under risk constraints and lead a comparative analysis of …

Recently, new coherent, law-invariant and comonotonic additive risk measures known as spectral risk measures (SRM) have … been proposed as interesting complements to the regulatory-standard VaR. While such risk measures allow various attitudes … towards risk to be specified by the risk manager through a risk spectrum, there has not been proposed to date any practical …

We compare seven established risk elicitation methods and investigate how they robustly explain eleven kinds of risky … behavior with 760 individuals. Risk measures are positively correlated; however, their performance in explaining behavior is … heterogeneous and, therefore, difficult to assess ex ante. To close this knowledge gap, greater diversification across risk measures …

The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures … classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option …-implied risk metrics emerge as a convenient alternative to the existing risk measures …

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values …