The interdependence between multiple lines of business has an important impact on determining loss reserves and risk … robust estimation, and better captures the dependence between the risks. We also show that it generates smaller risk capital …

global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its …-called multivariate conditional value-at-risk (MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a … Delta MCoVaR, we found the crypto assets to be potential sources of systemic risk jointly transmitted within the crypto …

This paper considers the risk model perturbed by a diffusion process with a time delay in the arrival of the first two …

insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula … is a measure of positive dependence through variance of the aggregate risk. During gross loss accumulation, the marginals …

Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example …, essentially, minimal assumptions. As an application, an optimisation method for a large class of Quota Share (QS) risk sharing …

Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default … also discuss estimates for Value-at-Risk, and observe that our results may be extended to cases where the number of factors …

Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable … distribution function can provide a full quantification of risk and stress propagation in the system. However, multivariate … distributions, discussing their estimation from data and proposing novel measures for stress impact and systemic risk in systems …

investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of …