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...

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.

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.

While the traditional R value is useful to evaluate the quality of a fit, it does not work when it comes to evaluating the predictive power of estimated financial models in finite samples.

The probability density function of the time of ruin in the classical model with exponential claim sizes is obtained directly by inversion of the associated Laplace transform.

Based on a recent contribution by Baione and others in this Journal, some consequences of the decrease of the mean merit coefficient for portfolios of Bonus-Malus policies...

In the present paper, we study error bounds for approximations to multivariate distributions. In particular, we discuss some general versions of compound multivariate distributions and look at distributions of dependent random variables constructed by linear transforms of independent random...