We consider market players with tail-risk-seeking behaviour as exemplified by the S-shaped utility introduced by Kahneman and Tversky. We argue that risk measures such as value at risk (VaR) and expected shortfall (ES) are ineffective in constraining such players. We show that, in many standard...

Micro health insurance units (MIUs) reduce negative financial consequences of healthcare costs for people who cannot access to formal and affordable health insurance. In order to survive, MIUs need capital to cover their outlier costs (whose probability of occurring is low but not zero). The...