Over the last decade, researchers, practitioners, and regulators had intense debates about how to treat the data collection threshold in operational risk modeling. For fitting the loss severity distribution, several approaches have been employed: the empirical approach, the “naive” approach,...

Over the last decade, researchers, practitioners, and regulators had intense debates about how to treat the data collection threshold in operational risk modeling. There are several approaches under consideration --- the empirical approach, the "naive'' approach, the shifted approach, and the...

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

We introduce and explore Gini-type measures of risk and variability, and develop the corresponding economic capital allocation rules. The new measures are coherent, additive for co-monotonic risks, convenient computationally, and require only finiteness of the mean. To elucidate our theoretical...

The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in mathematical challenges: simple extensions and...