This paper proposes a new class of premium calculation principles based on the multivariate weighted distribution, where risk loadings are imposed by transforming the density of the underlying actuarial risk by encompassing a number of external risk factors. This is a highly flexible class of...

Tail risk measures such as Value at Risk (VaR) and Conditional Value at Risk (CVaR) are popularly accepted criteria for financial risk management, but are usually difficult to optimize. Especially for VaR, it generally leads to a non-convex NP-hard problem which is computationally challenging....