Section: Articles Title: On evaluation of joint risk for nonnegative multivariate risks under dependence uncertainty / Shuo Gong, Yijun Hu and Linxiao WeiAuthor: Gong, Shuo Notes: Sumario: The article develops a novel axiomatic approach to the evaluation of joint risk in multivariate vectors of non-negative risks under dependence uncertainty. It introduces distortion-based joint risk measures, both scalar and vector-valued, and analyses their fundamental properties. The work explicitly addresses model uncertainty through model-free frameworks and the use of copulas. In addition, it establishes formal connections with existing multivariate risk measures such as Value at Risk (VaR), Conditional Tail Expectation (CTE), and tail-based risk measures. The results provide a solid theoretical foundation for advanced risk management in insurance and financeRelated records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 20/04/2026 Volumen 56 Número 2 - abril 2026 , 25 p.Materia / lugar / evento: Cálculo actuarial Gerencia de riesgos Riesgo actuarial Dependencia Análisis multivariante Otros autores: Hu, Yijun Wei, Linxiao International Actuarial Association Other categories: 6 Rights: In Copyright (InC)
Centro de Documentación y Conocimiento
Centro de Documentación y Conocimiento