We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

, we specify a top-down affine factor model in which a catastrophic risk component is incorporated in order to capture the …

We examine how sensitive the new performance indexes incorporating high moments and disaster risk are to disaster risk …. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and … underlying risk. We show, by numerical examples and empirical examples, how sensitive these indexes are to disaster risk …