A risk manager may be faced with the following problem: she/he has obtained loss data collected during a year, but the … sources of risk, each occurring with a different frequency, and wants to identify the frequency with which each type of event … occurs and if possible, the individual losses at each risk event.It is the purpose of this methodological note, to examine a …

maxima represents the most influential factor when one investigates the tail behaviour of our considered risk aggregation …

economic growth and depresses asset prices. Further, the market price of risk and equity beta of good uncertainty are positive …, while negative for bad uncertainty. Hence, both uncertainty risks contribute positively to risk premia, and help explain the … cross-section of expected returns beyond cash flow risk …

of "model" and more general aggregation rules. We show that a wide class of risk measures can be regarded as non …A ranking over a set of alternatives is an aggregation of experts' opinions (AEO) if it depends on the experts … equally reliable experts. We then apply our results to the theory of risk measures. Our application can be viewed as a …

The financial aggregation industry is on the rise again. After having experienced high growth rates during the pre … financial institutions. This study uses the SCP paradigm to analyze the emerging financial aggregation industry and the … violation of privacy and fraud associated with aggregation activity online and they are ready to pay a prime to get a more …

. It addresses the question whether there exist non-dictatorial aggregation functions of convex risk measures satisfying …This paper studies collective decision making when individual preferences can be represented by convex risk measures …), and the Pareto principle. Herein, convex risk measures are identified with variational preferences on account of the …