framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … sensitivity analysis framework suitable for risk models. …

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 …

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk …. In this paper, we introduce a new risk indicator that extends TCE to take into account higher-order risks. We compare the …