Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …

distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in at least … degrees of freedom. As such, the resulting economic impact in financial risk management applications could be significant. We …

underlying risk portfolio. As for the multivariate Value-at-Risk measures introduced by Cousin and Di Bernardino (2013), the …. of multivariate survival distribution functions). Contrary to allocation measures or systemic risk measures, these … measures are also suitable for multivariate risk problems where risks are heterogeneous in nature and cannot be aggregated …

In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a … multivariate setting. The two proposed multivariate VaR are vector-valued measures with the same dimension as the underlying risk …, we show that both these risk measures satisfy the positive homogeneity and the translation invariance property …

) in a multivariate setting. Contrary to allocation measures or systemic risk measures, these measures are also suitable … for multivariate risk problems where risks are heterogenous in nature and cannot be aggregated together. …