  We introduce a class of dependence structures, that we call the Multiple Risk
Factor (MRF) dependence structures. On the one hand, the new constructions
extend the popular CreditRisk+ approach, and as such they formally describe
default risk portfolios exposed to an arbitrary number of fatal risk factors
with conditionally exponential and dependent hitting (or occurrence) times. On
the other hand, the MRF structures can be seen as an encompassing family of
multivariate probability distributions with univariate margins distributed
Pareto of the 2nd kind, and in this role they can be used to model insurance
risk portfolios of dependent and heavy tailed risk components.
