Prospect Theory: For Risk and Ambiguity, provides a comprehensive and accessible
textbook treatment of the way decisions are made both when we have the statistical …

This book gives an introduction to basic concepts and methods in mathematical risk
analysis, in particular to those parts of risk theory which are of particular relevance in finance …

This paper introduces the concept of entropic value-at-risk (EVaR), a new coherent risk
measure that corresponds to the tightest possible upper bound obtained from the Chernoff …

Drawing from many sources in the literature, Stochastic Dominance and Applications to
Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a …

In answer to the intense development of new financial products and the increasing
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …

A prominent problem in actuarial science is to define, or describe, premium calculation
principles (pcp's) that satisfy certain properties. A frequently used resolution of the problem …

We consider the problem of determining appropriate solvency capital requirements for an
insurance company or a financial institution. We demonstrate that the subadditivity condition …

We propose a new family of risk measures, called GlueVaR, within the class of distortion risk
measures. Analytical closed‐form expressions are shown for the most frequently used …

The current literature does not reach a consensus on which risk measures should be used in
practice. Our objective is to give at least a partial solution to this problem. We study …

By extending the notion of weighted premium calculation principles, we introduce weighted
risk capital allocations, explore their properties, and develop computational methods. When …