Wang, Qiuqi; Wang, Ruodu; Zitikis, Ricardas - 2021
The Expected Shortfall (ES) is one of the most important regulatory risk measures in finance, insurance, and statistics …, which has recently been characterized via sets of axioms from perspectives of portfolio risk management and statistics … the special role of ES in insurance and actuarial science. To fill this gap, we study characterization of risk measures …