Before revision: In this paper, we introduce a multivariate extension of the classical univariate Value-at-Risk (VaR)  . This extension may be useful to understand how solvency capital requirement is affected by the presence of risks that cannot be diversify away.
After revision: In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) . This extension may be useful to understand how solvency capital requirement is affected by the presence of risks that cannot be diversify away.