Godin, Frédéric; Hamel, Emmanuel; Gaillardetz, Patrice; Hon-Man Ng, Edwin Risk allocation through Shapley decompositions, with applications to variable annuities. (English) Zbl 1520.91327 ASTIN Bull. 53, No. 2, 311-331 (2023). MSC: 91G05 PDFBibTeX XMLCite \textit{F. Godin} et al., ASTIN Bull. 53, No. 2, 311--331 (2023; Zbl 1520.91327) Full Text: DOI
Cheung, Eric C. K.; Peralta, Oscar; Woo, Jae-Kyung Multivariate matrix-exponential affine mixtures and their applications in risk theory. (English) Zbl 1498.91354 Insur. Math. Econ. 106, 364-389 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{E. C. K. Cheung} et al., Insur. Math. Econ. 106, 364--389 (2022; Zbl 1498.91354) Full Text: DOI arXiv
Cai, Jun; Jia, Huameng; Mao, Tiantian A multivariate CVaR risk measure from the perspective of portfolio risk management. (English) Zbl 1490.91248 Scand. Actuar. J. 2022, No. 3, 189-215 (2022). MSC: 91G70 PDFBibTeX XMLCite \textit{J. Cai} et al., Scand. Actuar. J. 2022, No. 3, 189--215 (2022; Zbl 1490.91248) Full Text: DOI
Beck, Nicholas; Di Bernardino, Elena; Mailhot, Mélina Semi-parametric estimation of multivariate extreme expectiles. (English) Zbl 1467.62084 J. Multivariate Anal. 184, Article ID 104758, 23 p. (2021). MSC: 62H12 62G32 60F10 60G70 90C53 PDFBibTeX XMLCite \textit{N. Beck} et al., J. Multivariate Anal. 184, Article ID 104758, 23 p. (2021; Zbl 1467.62084) Full Text: DOI HAL
Shushi, Tomer; Yao, Jing Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models. (English) Zbl 1446.91073 Insur. Math. Econ. 93, 178-186 (2020). MSC: 91G05 91G70 91G45 PDFBibTeX XMLCite \textit{T. Shushi} and \textit{J. Yao}, Insur. Math. Econ. 93, 178--186 (2020; Zbl 1446.91073) Full Text: DOI
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina Multivariate geometric tail- and range-value-at-risk. (English) Zbl 1431.91441 ASTIN Bull. 50, No. 1, 265-292 (2020). MSC: 91G70 91G05 62P05 PDFBibTeX XMLCite \textit{K. Herrmann} et al., ASTIN Bull. 50, No. 1, 265--292 (2020; Zbl 1431.91441) Full Text: DOI
Beck, Nicholas; Mailhot, Mélina A consistent estimator to the orthant-based tail value-at-risk. (English) Zbl 1409.62206 ESAIM, Probab. Stat. 22, 163-177 (2018). MSC: 62P05 62H12 62H20 91G70 PDFBibTeX XMLCite \textit{N. Beck} and \textit{M. Mailhot}, ESAIM, Probab. Stat. 22, 163--177 (2018; Zbl 1409.62206) Full Text: DOI
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina Multivariate geometric expectiles. (English) Zbl 1398.62302 Scand. Actuar. J. 2018, No. 7, 629-659 (2018). MSC: 62P05 62H05 91B30 91G70 PDFBibTeX XMLCite \textit{K. Herrmann} et al., Scand. Actuar. J. 2018, No. 7, 629--659 (2018; Zbl 1398.62302) Full Text: DOI arXiv
Brahim, Brahimi; Fatah, Benatia; Djabrane, Yahia Copula conditional tail expectation for multivariate financial risks. (English) Zbl 1413.91035 Arab J. Math. Sci. 24, No. 1, 82-100 (2018). MSC: 91B30 62P05 62H20 91B26 62H05 PDFBibTeX XMLCite \textit{B. Brahim} et al., Arab J. Math. Sci. 24, No. 1, 82--100 (2018; Zbl 1413.91035) Full Text: DOI