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

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<dc:creator>Gong, Shuo</dc:creator>
<dc:creator>Hu, Yijun</dc:creator>
<dc:creator>Wei, Linxiao</dc:creator>
<dc:creator>International Actuarial Association</dc:creator>
<dc:date>2026-04-20</dc:date>
<dc:description xml:lang="es">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 finance</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/190615.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Riesgo actuarial</dc:subject>
<dc:subject xml:lang="es">Dependencia</dc:subject>
<dc:subject xml:lang="es">Análisis multivariante</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">On evaluation of joint risk for nonnegative multivariate risks under dependence uncertainty</dc:title>
<dc:relation xml:lang="es">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.</dc:relation>
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