We introduce a parametric class of composite probability distortions that can be combined to converge to a target survival function. These distortions respect analytic invertibility and stability, which are shown to be relevant in many actuarial fields. We study the asymptotic impact of such...

We consider a bottom-up Markovian copula model of portfolio credit risk where dependence among credit names mainly stems from the possibility of simultaneous defaults. Due to the Markovian copula nature of the model, calibration of marginals and dependence parameters can be performed separately...

We consider the classical risk model and carry out a sensitivity and robustness analysis of finite-time ruin probabilities. We provide algorithms to compute the related influence functions. We also prove the weak convergence of a sequence of empirical finite-time ruin probabilities starting from...

This paper is dedicated to risk analysis of credit portfolios. Assuming that default indicators form an exchangeable sequence of Bernoulli random variables and as a consequence of de Finetti's theorem, default indicators are Binomial mixtures. We can characterize the supermodular order between...

In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-valued measures with the same dimension as the underlying risk portfolio. The lower-orthant VaR is constructed from level...

In this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-Expectation (CTE) in a multivariate setting. The two proposed multivariate CTEs are vector-valued measures with the same dimension as the underlying risk portfolio. As for the multivariate...

In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible properties: arbitrage-freeness, ability to fit market quotes and a certain degree of smooth- ness. When present values...