We introduce a parametric class of composite probability distortions that can be combined to converge to a target survival function. These distortions respect analytic invertibility and stability, which are shown to be relevant in many actuarial fields. We study the asymptotic impact of such...

Abstract Multivariate expectiles, a new family of vector-valued risk measures, were recently introduced in the literature. [ 22 ]. Here we investigate the asymptotic behavior of these measures in a multivariate regular variation context. For models with equivalent tails, we propose an estimator...

We consider the classical risk model and carry out a sensitivity and robustness analysis of finite-time ruin probabilities. We provide algorithms to compute the related influence functions. We also prove the weak convergence of a sequence of empirical finite-time ruin probabilities starting from...

The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of <italic>n</italic> firms that may default directly or may be infected by other defaulting firms (a domino effect also being...

In the classical risk model, we prove the weak convergence of a sequence of empirical finite-time ruin probabilities. In an earlier paper (see Loisel et al., (2008)), we proved an equivalent result in the special case where the initial reserve is zero, and checked that numerically the general...

In this paper, we propose a parametric model for multivariate distributions. The model is based on distortion functions, i.e. some transformations of a multivariate distribution which permit to generate new families of multivariate distribution functions. We derive some properties of considered...