Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation … invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law … invariance and comonotonic additivity, then we get a subclass of them: spectral measures of risk. Expected shortfall is a well …

Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation … invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law … invariance and comonotonic additivity, then we get a subclass of them: spectral measures of risk. Expected shortfall is a well …

We consider risk sharing among individuals in a one-period setting under uncertainty, that will result in payoffs to be … shared among the members. We start with optimal risk sharing in an Arrow-Debreu economy, or equivalently, in a Borch …-style reinsurance market. From the results of this model we can infer how risk is optimally distributed between individuals according to …

We develop a measure of how information events impact investors' expectations of risk. The measure is broadly … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … forecasting power for firms' risk profiles, costs of capital, and future investments. We further highlight pitfalls of using …

We comprehensively investigate the usefulness of tail risk measures proposed in the literature. We evaluate both the …) performs the best overall. While some other tail risk measures excel at specialized tasks, BT11Q performs well in all tests …

substitution from risk aversion. This also means that the timing of resolution of uncertainty matters. In dynamic models, however …