In order to protect stakeholders of insurance companies and financial institutions against adverse outcomes of risky businesses, regulators and senior management use capital allocation techniques. For enterprise-wide risk management, it has become important to calculate the contribution of each risk within a portfolio. For that purpose, bivariate lower and upper orthant tail value-at-risk can be used for capital allocation. In this paper, we present multivariate value-at-risk and tail-value-at-risk for $d\ge 2$ , and we focus on three different methods to calculate optimal values for the contribution of each risk within the sums of random vectors to the overall portfolio, which could particularly apply to insurance and financial portfolios.

A generalization of range-value-at-risk (RVaR) and tail-value-at-risk (TVaR) for d-dimensional distribution functions is introduced. Properties of these new risk measures are studied and illustrated. We provide special cases, applications and a comparison with traditional univariate and multivariate versions of the TVaR and RVaR.

Climate change is expected to increase the frequency and intensity of extreme weather events. To properly assess the increased economical risk of these events, actuaries can gain in relying on expert models/opinions from multiple different sources, which requires the use of model combination techniques. From non-parametric to Bayesian approaches, different methods rely on varying assumptions potentially leading to very different results. In this paper, we apply multiple model combination methods to an ensemble of 24 experts in a pooling approach and use the differences in outputs from the different combinations to illustrate how one can gain additional insight from using multiple methods. The densities obtained from pooling in Montreal and Quebec City highlight the significant changes in higher quantiles obtained through different combination approaches. Areal reduction factor and quantile projected changes are used to show that consistency, or lack thereof, across approaches reflects the uncertainty of combination methods. This shows how an actuary using multiple expert models should consider more than one combination method to properly assess the impact of climate change on loss distributions, seeing as a single method can lead to overconfidence in projections.