Risk measures such as Expected Shortfall (ES) and Value-at-Risk (VaR) have been prominent in banking regulation and … financial risk management. Motivated by practical considerations in the assessment and management of risks, including … tractability, scenario relevance and robustness, we consider theoretical properties of scenario-based risk evaluation. We propose …

We bring the recently developed framework of dependence uncertainty into collective risk models, one of the most … classic models in actuarial science. We study the worst-case values of the Value-at-Risk (VaR) and the Expected Shortfall (ES …) of the aggregate loss in collective risk models, under two settings of dependence uncertainty: (i) the counting random …

We introduce and explore Gini-type measures of risk and variability, and develop the corresponding economic capital … families of distributions that are of interest in insurance and finance, and further apply our findings to a risk portfolio of …