degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

A new method for seismic risk identification is proposed based on the average measure of the expected annualized losses … from earthquake occurrence. We show can be identified the risk for insurance decisional purposes. The analysis is useful … for insured as well as for insurance company. When risk is considered from time dynamic perspective we emphasize the …

The stochastic mathematical model of the credit risk process is examined. It is assumed that in unstable economic … condition of default may be a cause for credit risk. The fund value of the crediting is considered as some random variable that … random variables are independent the expected risk of crediting for a single loan is found. On base of the expected risk …

We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected … risk appears to forecast discount rates — and not cash flows — which seems inconsistent with crash-based explanations of … the importance of tail risk. We also compare the time series of tail risk to measures of aggregate uncertainty, a measure …

This paper analyzes optimal risk sharing among agents that are endowed with either expected utility preferences or with … dual utility preferences. We find that Pareto optimal risk redistributions and the competitive equilibria can be obtained … agent of dual utility maximizers. The representative agent of expected utility maximizers resembles an average risk …