Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool
for solving several research and practical problems in the domain of finance and insurance …

Risk aggregation with dependence uncertainty refers to the sum of individual risks with
known marginal distributions and unspecified dependence structure. We introduce the …

We study bounds on the Value‐at‐Risk (VaR) of a portfolio when besides the marginal
distributions of the components its variance is also known, a situation that is of considerable …

Actuaries are often in search of finding an adequate model for actuarial and financial risk
management problems. In the present work, we introduce a class of claim distributions …

Exponential dispersion models are well used and studied in quantitative risk management
and actuarial science. One of the main interests is the risk measurement analysis of such …

This paper focuses on modelling the severity distribution. We directly model the small,
moderate and large losses with the Pareto Positive Stable (PPS) distribution and thus it is …

This paper deals with the estimation of loss severity distributions arising from historical data
on univariate and multivariate losses. We present an innovative theoretical framework where …

This paper introduces a new family of Generalised Hyper-Elliptical (GHE) distributions
providing further generalisation of the generalised hyperbolic (GH) family of distributions …

In this article, we propose the multivariate range Value-at-Risk (MRVaR) and the multivariate
range covariance (MRCov) as two risk measures and explore their desirable properties in …

Closed-form expressions for basic risk measures, such as value-at-risk and tail value-at-risk,
are given for a family of statistical distributions that are specially suitable for right-skewed …