In this study, we propose new risk measures from a regulator’s perspective on the regulatory capital requirements. The proposed risk measures possess many desired properties, including monotonicity, translation-invariance, positive homogeneity, subadditivity, nonnegative loading, and stop-loss order preserving. The new risk measures not only generalize the existing, well-known risk measures in the literature, including the Dutch, tail value-at-risk (TVaR), and expectile measures, but also provide new approaches to generate feasible and practical coherent risk measures. As examples of the new risk measures, TVaR-type generalized expectiles are investigated in detail. In particular, we present the dual and Kusuoka representations of the TVaR-type generalized expectiles and discuss their robustness with respect to the Wasserstein distance.

We consider the multivariate Value-at-Risk (VaR) and Conditional-Tail-Expectation (CTE) risk measures introduced in Cousin and Di Bernardino (Cousin, A. and Di Bernardino, E. (2013) Journal of Multivariate Analysis, 119, 32–46; Cousin, A. and Di Bernardino, E. (2014) Insurance: Mathematics and Economics, 55(C), 272–282). For absolutely continuous Archimedean copulas, we derive integral formulas for the multivariate VaR and CTE Archimedean risk measures. We show that each component of the multivariate VaR and CTE functional vectors is an integral transform of the corresponding univariate VaR measures. For the class of Archimedean copulas, the marginal components of the CTE vector satisfy the following properties: positive homogeneity (PH), translation invariance (TI), monotonicity (MO), safety loading (SL) and VaR inequality (VIA). In case marginal risks satisfy the subadditivity (MSA) property, the marginal CTE components are also sub-additive and hitherto coherent risk measures in the usual sense. Moreover, the increasing risk (IR) or stop-loss order preserving property of the marginal CTE components holds for the class of bivariate Archimedean copulas. A counterexample to the (IR) property for the trivariate Clayton copula is included.