We consider the problem of claims reserving and estimatingrun-off triangles. We generalize the gamma cell distributions model which leads to Tweedie`s compound Poisson model. Choosing a suitable parametrization, we estimate the parameters of our model within the framework of generalized linear...

We estimate Value-at-Risk for sums of dependent random variables.We model multivariate dependent random variables using archimedean copulas. This structure allows one to calculate the asymptotic behaviour of extremal events. An important application of such results are Value-at-Risk estimates...