| In this paper, the expressions of tail value of risk (TVaR) and exponential tail value of risk (EVaR) for the total risk portfolio are given, which are splitted into two cases:the bivariate case and the multivariate case according to the number of the insurances. Then the risk contributions of the insurances portfolio and the credit portfolio are also obtained. Further more, for clarifying the above results, a numerical example is given. |
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