This paper is a follow-up of the study realized by Vernic (2014) on the aggregation of dependent random variables joined by Sarmanov's multivariate distribution, with accent on the particular case of exponentially distributed marginals. More precisely, in this paper we present capital allocation...

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...