This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal … with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them … all. Numerical examples are given in order to illustrate how efficiently the non-systemic risk can be diversified and how …

The Euler (or gradient) allocation technique defines a financial institution's marginal cost of a risk exposure via … calculation of the gradient of a risk measure evaluated at the institution's current portfolio position. The technique, however …, relies on an arbitrary selection of a risk measure. We reverse the sequence of this approach by calculating the marginal …

and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a … the risk of extreme events since they appear as a natural extension of multivariate extreme-value theory to the level of …An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities …