This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

A critical problem in risk analysis involving financial variables is the calculation of risk margins. When there are a … number of risks, the total risk margin is often reduced to reflect "diversification benefits." How large should the …

represented by the expected utility with uncertainty (EUUP) theory advocated by Izhakian (2017). The economic premium principle of …

insurance by strictly-risk averse agents and risk-neutral firms when they enjoy limited liability. When exposed to a bankrupting …

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance … applying inf-convolution of risk measures and convex analysis.In the recent literature, an increasing interest has been devoted … to quasiconvex risk measures, that is risk measures where convexity is replaced by quasiconvexity and cash-additivity is …

and adverse selection. Index based risk transfer minimizes these obstacles by not fully insuring the risk. However, such … incompleteness generates basis risk, that is the risk that claims do not match losses. This paper analyzes the upside basis risk … (receiving a claim without a loss) and downside basis risk (having a loss but no claim) to determine a partial order ranking of …

useful for out-of-sample prediction. Nor do we find practical applications of Bernoulli functions in major risk … potentially observable opportunities rather than on unobservable Bernoulli functions. -- expected utility ; risk aversion ; St …. Petersburg Paradox ; decisions under uncertainty ; option theory …

The actions that individuals take to minimize the impact of risk generally involve cost. Thus, the actions that provide … affects risk exposure and signals quality, individual objectives are difficult to disentangle. In this paper we use an … individuals' choices in risky situations are likely to have both direct (risk alleviation) and indirect (signaling) aspects …

In this paper, we propose a definition of risk aversion and risk loving to one risk in the presence of another for an … arbitrarily chosen size of exposure to the former risk. Restricting the set of bivariate utility functions that are risk averse to … the former risk in isolation and correlation averse (correlation loving), risk loving or risk aversion with two risks …