type="main" xml:lang="en" <title type="main">Abstract</title> <p>In this article, we study the problem of optimal reinsurance policy for multivariate risks whose quantitative analysis in the realm of general law-invariant convex risk measures, to the best of our knowledge, is still absent in the literature. In reality, it is...</p>

We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial institution. We demonstrate that the subadditivity condition that is often imposed on solvency capital principles can lead to the undesirable situation where the shortfall...

We investigate multiperiod portfolio selection problems in a Black and Scholes type market where a basket of 1 riskfree and "m" risky securities are traded continuously. We look for the optimal allocation of wealth within the class of "constant mix" portfolios. First, we consider the portfolio...

In their seminal paper, Gerber and Shiu (1994) introduced the concept of the Esscher transform for option pricing. As examples they considered the shifted Poisson process, the random walk, a shifted gamma process, and a shifted inverse Gaussian process to describe the logarithm of the stock...

The "hunger for bonus" is a well-known phenomenon in insurance, meaning that the insured does not report all of his accidents to save bonus on his next year's premium. In this article, we assume that the number of accidents is based on a Poisson distribution but that the number of claims is...

Longevity risk is a major issue for insurers and pension funds, especially in the selling of annuity products. In that respect, securitization of this risk could offer great opportunities for hedging. This article proposes to design survivor bonds which could be issued directly by insurers. In...

This article proposes a computer-intensive methodology to build bonus-malus scales in automobile insurance. The claim frequency model is taken from Pinquet, Guillén, and Bolancé (2001). It accounts for overdispersion, heteroskedasticity, and dependence among repeated observations. Explanatory...

This article is devoted to the design of bonus-malus scales involving different types of claims. Typically, claims with or without bodily injuries, or claims with full or partial liability of the insured driver, are distinguished and entail different penalties. Under mild assumptions, claim...