This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of … returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk … measures or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to …

in the computation of Value-at-Risk (VaR). Results show that copulas provide more sophisticated results in terms of the …

insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula … is a measure of positive dependence through variance of the aggregate risk. During gross loss accumulation, the marginals …