Business organizations have recently experimented an increasing risk exposure due to several exogenous factors (e.g. the legal and regulatory framework, the technological innovation and the volatility of financial markets and commodities), actually exacerbated by the current economic crisis...

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...