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...

This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2017. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss past and current developments as well as future perspectives in dealing with...

Research related to aggregation, robustness, and model uncertainty of regulatory risk measures, for instance, Value-at-Risk (VaR) and Expected Shortfall (ES), is of fundamental importance within quantitative risk management. In risk aggregation, marginal risks and their dependence structure are...