  We generalize Quasi-Linear Means by restricting to the tail of the risk
distribution and show that this can be a useful quantity in risk management
since it comprises in its general form the Value at Risk, the Tail Value at
Risk and the Entropic Risk Measure in a unified way. We then investigate the
fundamental properties of the proposed measure and show its unique features and
implications in the risk measurement process. Furthermore, we derive formulas
for truncated elliptical models of losses and provide formulas for selected
members of such models.
