functionals of an aggregate risk under dependence uncertainty along with its decision-theoretic implications. To arrive at our … pessimistic risk-averse dual utility but free of dependence uncertainty …

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 …

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 …

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 address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so …-called Range-Value-at-Risk (RVaR), as their preferences. The family of RVaR includes the Value-at-Risk (VaR) and the Expected … Shortfall (ES), the two popular and competing regulatory risk measures, as special cases. We first establish an inequality for …