The paper discusses an extension of the variance-gamma process with stochastic linear
drift coefficient. It is assumed that the linear drift coefficient may switch to a different value at
the exponentially distributed time. The size of the drift jump is supposed to have a multinomial
distribution. We have obtained the distribution function, the probability density function and the
lower partial expectation for the considered process in closed forms. The results are applied to the
calculation of the value at risk and the expected shortfall of the investment portfolio in the related
multivariate stochastic model.