In the literature of risk measures, cash subadditivity was proposed to replace cash additivity,
motivated by the presence of stochastic or ambiguous interest rates and defaultable …

A new risk measure, the Lambda Value-at-Risk (VaR), was proposed from a theoretical point
of view as a generalization of the ordinary VaR in the literature. Motivated by the recent …

In this paper, we study the risk-sharing problem among multiple agents using lambda value
at risk (Λ VaR) as their preferences via the tool of inf-convolution, where Λ VaR is an …

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and
Tail-Value-at-Risk (TVaR), have been studied in recent literature. However, losses based on …

In this paper, we study the risk sharing problem among multiple agents using Lambda value
at risk as their preferences under heterogenous beliefs, where the beliefs are represented …

We offer a minimalist axiomatization of quantiles among all real-valued mappings on a
general set of distributions through only one axiom. This axiom is called ordinality: Quantiles …

In this paper, we investigate the robust models for $\Lambda $-quantiles with partial
information regarding the loss distribution, where $\Lambda $-quantiles extend the classical …

This paper explores optimal insurance solutions based on the Lambda-Value-at-Risk
($\Lambda\VaR $). If the expected value premium principle is used, our findings confirm that …

Risk contributions of portfolios form an indispensable part of risk-adjusted performance
measurement. The risk contribution of a portfolio, eg in the Euler or Aumann-Shapley …

Max-stability is the property that taking a maximum between two inputs results in a maximum
between two outputs. We investigate max-stability with respect to first-order stochastic …