We introduce a family of Capital allocation rules (C.A.R) based on the dual representation for risk measures and … inspired to the Aumann-Shapley allocation principle. These rules extend the one of Denault and Kalkbrener (for coherent risk … measures) and the one of Tsanakas (convex case), to the case of non Gateaux differentiable risk measures. We also study their …

random variables. For many continuous random variables, the risk measure is equal to the worst--case risk measure, i.e. the …

This paper studies mean-risk portfolio selection in a one-period financial market, where risk is quantified by a star …-shaped risk measure ρ. We introduce two new axioms: weak and strong sensitivity to large losses. We show that the first axiom is … leads to a new class of risk measures that are suitable for portfolio selection. We show that ρ belongs to this class if and …

riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk … measure, i.e. the maximal possible loss incurred by that gamble. We also extend the Foster-Hart risk measure to dynamic …

We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on … widely-applied spectral Arrow-Pratt-measure is not a consistent measure of Arrow-Pratt-risk aversion. A decision maker with a … decision maker with a smaller spectral Arrow-Pratt-measure. We further show how a proper measure of Arrow-Pratt-risk aversion …

This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …

We investigate risk averse agents who manage risk by trading financial securities in a market that we call a risk … market. We assume this market is perfectly competitive and complete. When risk aversion is expressed using risk measures, the … probability distributions defines a novel template for equilibria under uncertainty and, more specifically, equilibria under risk …

the present paper we call such combinations ‘coupled risk measures' and develop a statistical inferential theory for them …Considerable literature has been devoted to developing statistical inferential results for risk measures, especially … a number of risk measures that are of the form of ratios, or even more complex combinations, of two L-functionals. In …

This paper considers the problem of measuring the exposure to dependence risk carried by a portfolio with an arbitrary … number of two-asset derivative contracts. We develop a worst-case risk measure computed over a set of dependence scenarios … exposure to dependence risk where usual sensitivity methods fail to reveal it. We also illustrate the ability of the proposed …

In this paper we provide an axiomatic foundation to Orlicz risk measures in terms of properties of their acceptance … sets, by exploiting their natural correspondence with shortfall risk measures, thus paralleling the characterization in … Weber (2006). From a financial point of view, Orlicz risk measures assess the stochastic nature of returns, in contrast to …