Given a portfolio of risks, we study the marginal behavior of the ith risk under an adverse event, such as an unusually large loss in the portfolio or, in the case of a portfolio with a positive dependence structure, to an unusually large loss for another risk. By considering some particular...

In actuarial theory, the Lp-metric is used to evaluate how well a probability distribution approximates another one. In the context of the distorted expectation hypothesis, the actuary replaces the original probability distribution by a distorted probability, so it makes sense to interpret the...