Should the pricing of reinsurance catastrophes be related to the price of the default risk embedded in corporate bonds?...

In this paper we compare, from the point of view of reinsurance, the severalrisk adjusted premium calculation principles considered in Wang (1996b).We conclude that, with the exception of the proportional hazard (PH)premium calculation principle, all the others behave in a way similar to...

Largest claims reinsurance covers are reconsidered. Allowing the original...

For estimating the shape parameter of Paretian excess claims, certainBayesian estimators, which are closely related to the Hill estimator, have been suggested in the insurance literature...

Under a guaranteed annuity option, an insurer guarantees to convert a policyholder`s accumulated funds to a life annuity at a fixed rate when the policy matures. If the annuity rates provided under the guarantee are more beneficial to the policyholder than the prevailing rates in the market the...

The paper derives many existing risk measures and premium principles by minimizing a Markow bound for the tail probability. Our approach involves two exogenous functions v(S) and ... Minimizing a general Markow bound leads to the following unifying equation. [Marc J. Goovaerts, Rob Kaas, Jan...

The idea of using common Posson shock processes to model dependent event frequencies is well known in the reliability literature. In this paper we examine these models in the context of insurance loss modelling and credit risk modelling...

The claim ladder forecast of outstanding losses is known to be unbiases under suitable assumptions. According to these assumptions, claim payments in any cell of a payment triangle are dependent on those from preceding development years of the same accident year.

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...

How does a change in the risk-free interest-rate affect the value of a non-life insurance company or portfolio? Risk managers typically argue that there should be little impact as long as assets and liabilities are properly matched.