In this paper, we consider a general Lévy risk model with two-sided jumps and a constant dividend barrier. We connect the ruin problem of the ex-dividend risk process with the first passage problem of the Lévy process reflected at its running maximum. We prove that if the positive jumps of the...

Within the context of a competitive insurance market, this paper examines the impact of ambiguity on the behavior of buyers and sellers. Ambiguity is described through a probability measure on an extended state space that includes extra ambiguous states. It is shown that if insurers face the...

With the decline in the mortality level of populations, national social security systems and insurance companies of most developed countries are reconsidering their mortality tables taking into account the longevity risk. The Lee and Carter model is the first discrete-time stochastic model to...

Stochastic modeling of mortality rates focuses on fitting linear models to logarithmically adjusted mortality data from the middle or late ages. Whilst this modeling enables insurers to project mortality rates and hence price mortality products it does not provide good fit for younger aged...

Standard annuities are offered at one price to all individuals of the same age and gender. Individual mortality heterogeneity exposes insurers to adverse selection since only relatively healthy lives are expected to purchase annuities. As a result standard annuities are priced assuming...

We consider the optimal dividend distribution problem of a financial corporation whose surplus is modeled by a general diffusion process with both the drift and diffusion coefficients depending on the external economic regime as well as the surplus itself through general functions. The aim is to...

We consider an optimal impulse control problem on reinsurance, dividend and reinvestment of an insurance company. To close reality, we add fixed and proportional transaction costs to this problem. The value of the company is associated with expected present value of net dividends pay out minus...

In this paper we address the problem of projecting mortality when data are severely affected by random fluctuations, due in particular to a small sample size, or when data are scanty. Such situations may emerge when dealing with small populations, such as small countries (possibly previously...

We consider an approach based on the hierarchical generalized linear models and h-likelihood estimators for claims reserving in non-life insurance. The hierarchical generalized linear models represent a class of flexible mixture models that extend the generalized linear models and the...

This paper considers the pricing of European call options written on pure endowment and deferred life annuity contracts, also known as guaranteed annuity options. These contracts provide a guaranteed value at the maturity of the option. The contract valuation is dependent on the stochastic...