The dynamic evolution of tail–risk interdependence among institutions is of primary
importance when extreme events such as financial crisis occur. In this paper we introduce …

In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and
distortion risk contribution (ΔCoD) measures as measures of systemic risk and analyze their …

Aging tendency of items and compound structures is an important and challenging subject of
the lifetime analysis. This phenomenon attracts the attention of an increasing number of …

We present a novel methodology to compute conditional risk measures when the
conditioning event depends on a number of random variables. Specifically, given a random …

Co-risk measures and risk contributions measures are used in portfolio risk analysis to
assess and quantify the risk of contagion, given that one or more assets in the portfolio are in …

Conditional risk measures (or co-risk measures) and risk contribution measures are
increasingly used in actuarial portfolio analysis to evaluate the systemic risk, which is related …

We prove that different conditional distributions can be represented as distorted
distributions. These representations are used to obtain stochastic comparisons and bounds …

This paper proposes a variance-based measure of importance for coherent systems with
dependent and heterogeneous components. The particular cases of independent …

For a given risk, the well-known classical definition of Value-at-Risk (VaR) does not take into
account possible interactions with other observable risks. For this reason, conditional VaRs …

The aim of this paper is twofold. First, we show that the expectation of the absolute value of
the difference between two copies, not necessarily independent, of a random variable is a …