The quantitative modeling of complex systems of interacting risks is a fairly recent
development in the financial and insurance industries. Over the past decades, there has …

Denote the loss return on the equity of a financial institution as X and that of the entire
market as Y. For a given very small value of p> 0, the marginal expected shortfall (MES) is …

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 …

In this paper, we investigate risk aggregation and capital allocation problems for a portfolio
of possibly dependent risks whose multivariate distribution is defined with the Farlie …

We offer a new perspective on risk aggregation with FGM copulas. Along the way, we
discover new results and revisit existing ones, providing simpler formulas than one can find …

In this paper, we consider a portfolio of n dependent risks X1,…, Xn and we study the
stochastic behavior of the aggregate claim amount S= X1+⋯+ Xn. Our objective is to …

This paper introduces a flexible risk decomposition method for life insurance contracts
embedding several risk factors. Hedging can be naturally embedded in the framework …

In this paper, we introduce two alternative extensions of the classical univariate Conditional-
Tail-Expectation (CTE) in a multivariate setting. The two proposed multivariate CTEs are …

We discuss some properties of a class of multivariate mixed Erlang distributions with
different scale parameters and describes various distributional properties related to …

We deal with a multivariate conditional value at risk. Compared with the usual notion for the
single random variable, a multivariate value at risk is concerned with several variables, and …