In a 2-dimensional space, Fréchet–Hoeffding upper and lower bounds define comonotonicity and countermonotonicity, respectively. Similarly, in the multidimensional case, comonotonicity can be defined using the Fréchet–Hoeffding upper bound. However, since the multidimensional...

Haezendonck–Goovaerts risk measures is a recently introduced class of risk measures which includes, as its minimal member, the Tail Value-at-Risk (T-VaR)—T-VaR arguably the most popular risk measure in global insurance regulation. In applications often one has to estimate the risk measure...

In an attempt to transfer the loss rate risks in motor insurance to the capital market, we use the tranche technique to hedge the motor insurance risks. This paper illustrates AXA and their securitization of French motor insurance in 2005 as an example. Though this application is new, this...