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...

This paper investigates the limiting distributions of the component-wise maxima and minima of suitably normalized iid multivariate phase-type random vectors. In the case of maxima, a large parametric class of multivariate extreme value (MEV) distributions is obtained. The flexibility of this new...

This paper exploits a stochastic representation of bivariate elliptical distributions in order to obtain asymptotic results which are determined by the tail behavior of the generator. Under certain specified assumptions, we present the limiting distribution of component-wise maxima, the limiting...