We introduce a new coherent risk measure, the minimal-entropy risk measure, which is built on the minimal-entropy 𝜎 … studied, nor has it been analyzed as a traditional risk measure. We address this gap by clearly defining this new risk measure … and examining its fundamental properties. In addition, we revisit the entropic risk measure, typically expressed through …

on various methods of the optimal tail selection in risk measurement. The results indicate which method may be useful in … objective is to compare the methods and to identify those which can be recognized as useful in risk measurement. The results …

framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … sensitivity analysis framework suitable for risk models. …

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk …. In this paper, we introduce a new risk indicator that extends TCE to take into account higher-order risks. We compare the …

When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and … applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a … task, we propose a novel multi-variate risk measure, based on the notion of the Wasserstein barycenter. The proposed …

When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and … applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a … task, we propose a novel multi-variate risk measure, based on the notion of the Wasserstein barycenter. The proposed …

mortality model and premium principle choice on the pricing, risk measurement, and modeling of survivor contracts. We present a …As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such … as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on …

with sustainable practices. This paper introduces Sensitivity Value-at-Risk (SensitivityVaR), an advanced distortion risk … measure that combines Value-at-Risk (VaR) and Expected Shortfall (ES) with the Cornish-Fisher expansion. SensitivityVaR … provides a more robust framework for managing risk, particularly under extreme market conditions. By incorporating first- and …

distortion parameters can be influenced by political factors or users' risk aversion levels, we generate plots of the distortion … functions to examine how these parameters impact the tasks and users' attitudes toward risk. The coherent properties of the … resulting risk measures are explored, outlining the conditions under which the transmuted Kumaraswamy and transmuted truncated …