TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts

► We use a multivariate compound distribution to model a portfolio of n risks. ► The total capital is equal to the TVaR of the sum of the n risks. ► We use a TVaR based approach to find the part allocated to each risk. ► For special cases, analytic expressions are found for the TVaR and for each part. ► Special cases: multivariate compound Poisson and mixed Erlang claims.