Based on many numerical examples, Raducan et al. (2015b) stated a conjecture that relates the order in which some nonhomogeneous claims arrive to the magnitude of the corresponding ruin probability. In that conjecture, the usual stochastic order has been considered for the claims. However, in...

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...