摘要：In this paper we examine and summarize properties of several well-known risk
measures that can be used in the framework of setting solvency capital requirements
for a risky business. Special attention is given to the class of (concave) distortion
risk measures. We investigate the relationship between these risk measures and theories
of choice under risk. Furthermore we consider the problem of how to evaluate
risk measures for sums of non-independent random variables. Approximations for
such sums, based on the concept of comonotonicity, are proposed. Several examples
are provided to illustrate properties or to prove that certain properties do not
hold. Although the paper contains several new results, it is written as an overview
and pedagogical introduction to the subject of risk measurement. The paper is an
extended version of Dhaene et al. (2003).
