Before revision:  One of the most extensively used risk measures is the Value at Risk, which is investigated and used by both researchers and practitioners as a powerful tool that measures the risk under some quantile level which allows focusing on the extreme amount of losses. In this paper, we propose a natural generalization of the Certainty Equivalent measure that, similar to the Value at Risk measure, is focusing on the tail distribution of the risk, and thus, focusing on extreme financial and insurance risk events .
After revision:  One of the most extensively used risk measures is the Value at Risk, the Tail Value at Risk measure, is focusing on the tail distribution of the risk, and thus, focusing on extreme financial and insurance risk events .