can be used in risk measurement and forecasting. Value at risk (VaR) is a widely used measure of financial risk, which … assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a …

by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and …Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …

We investigate the relation between various alternative risk measures and future daily returns using a sample of firms … seem to care more about downside risk than total risk. Motivated by these findings and mixed empirical evidence supporting … theoretical positive risk-return relationship, we model the relation between future returns and risk measures and investigate the …

In this paper we provide an axiomatic foundation to Orlicz risk measures in terms of properties of their acceptance … sets, by exploiting their natural correspondence with shortfall risk measures, thus paralleling the characterization in … Weber (2006). From a financial point of view, Orlicz risk measures assess the stochastic nature of returns, in contrast to …