In the recent Basel Accords, the expected shortfall (ES) replaces the value-at-risk (VaR) as
the standard risk measure for market risk in the banking sector, making it the most popular …

This article introduces novel backtests for the risk measure Expected Shortfall (ES) following
the testing idea of. Estimating a regression model for the ES stand-alone is infeasible and …

In this paper, monetary risk measures that are positively superhomogeneous, called star-
shaped risk measures, are characterized and their properties are studied. The measures in …

Decentralized insurance can be used to describe risk sharing mechanisms under which
participants trade risks among each other as opposed to passing risks mostly to an insurer in …

This paper studies the set of Pareto optimal insurance contracts and the core of an
insurance game. Our setting allows multiple insurers with translation invariant preferences …

We study an axiomatic framework for anonymized risk sharing. In contrast to traditional risk
sharing settings, our framework requires no information on preferences, identities, private …

In this paper, we study Pareto optimality of reinsurance arrangements under general model
settings. We give the necessary and sufficient conditions for a reinsurance contract to be …

Traditional insurance is based on a centralized approach of risk transfer from the insureds to
an insurer. A traditional insurance contract is a bilateral contract between an insured and an …

The notion of “tail risk” has been a crucial consideration in modern risk management and
financial regulation, as very well documented in the recent regulatory documents. To …

Entropy is a measure of self information or uncertainty. Using different concepts of entropy,
we may get different risk measures by dual representation. In this paper, we introduce and …