On evaluation of joint risk for nonnegative multivariate risks under dependence uncertainty

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<title>On evaluation of joint risk for nonnegative multivariate risks under dependence uncertainty</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20260008127">
<namePart>Hu, Yijun</namePart>
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<namePart>Wei, Linxiao</namePart>
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<namePart>International Actuarial Association</namePart>
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<abstract displayLabel="Summary">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 finance</abstract>
<note type="statement of responsibility">Shuo Gong, Yijun Hu and Linxiao Wei</note>
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<topic>Cálculo actuarial</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591182">
<topic>Gerencia de riesgos</topic>
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<topic>Riesgo actuarial</topic>
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<topic>Dependencia</topic>
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<topic>Análisis multivariante</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>20/04/2026 Volumen 56 Número 2 - abril 2026 , 25 p.</text>
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