In insurance and related industries including healthcare, it is common to have several outcome measures that the analyst wishes to understand using explanatory variables. For example, in automobile insurance, an accident may result in payments for damage to one's own vehicle, damage to another...

This paper presents a generalisation of quantile regressions to the multivariate case and its possible applications to Expected Shortfall estimation. The suggested methodology leverages on Pair-Copula Construction (PCC) and Extreme Value Theory (EVT).We extend the quantile regression model to...