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 …

We study a weighted co-monotonic risk sharing problem among multiple agents with distortion risk measures under … on the choice of the weight. When the distortion risk measure is Value-at-Risk or Tail-Value-at-Risk, an optimal … allocation is generally of the excess-of-loss form. The numerical examples suggest that a risk is more likely to be shared among …