Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …

Risk transmission among financial markets and their participants is time- evolving, especially for the extreme risk … scenarios. Possibly sudden time variation of such risk structures ask for quantitative technology that is able to cope with such … situations. Here we present a novel localized multivariate CAViaR-type model to respond to the challenge of time-varying risk …