Loisel, Stéphane; Trufin, Julien - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 191-199
This paper studies a new risk measure derived from the expected area in red introduced in Loisel (2005). Specifically, we derive various properties of a risk measure defined as the smallest initial capital needed to ensure that the expected time-integrated negative part of the risk process on a...