In this paper, we provide an axiomatic approach to general premium priciples giving rise to a decomposition into risk … premium priciple, there exists a maximal risk measure capturing all risky components covered by the insurance prices. In a … second step, we consider dual representations of convex risk measures consistent with the premium priciple. In particular, we …

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …