This paper illustrates an analytic method that can be used to determine the total capital requirements necessary to properly provide for the future obligations of a portfolio of annuity liabilities and to protect the enterprise from the related risks it faces. This example is based on the work...

In an actuarial or financial context one often encounters the calculation of risk measures of random variables of the type S r:1 Xi' In many applications, the individual risks Xi are not mutually independent, for example because their outcomes are all influenced by the same economic or physical...

We consider a continuous-time Markowitz type portfolio problem that consists of minimizing the discounted cost of a given cash-fl ow under the constraint of a restricted Capital at Risk. In a Black-Scholes setting, upper and lower bounds are obtained by means of simple analytical expressions...

In the present paper we consider several measures Ior the risk that is present in all insurance environment. We look for desirable properties for two types of risk measures, the ones reflecting both negative and positive results, and the measures for insolvency risks dealing with aspects of...

Toespraak van Prof. J. Dhaene op de Academische Zitting op 1 febniari 2001 te Leuven naar aanleiding van de viering van 60 jaar actuariële opleiding en ter gelegenheid van het toekennen van een eredoctoraat aan Prof. Dr. H. Gerber.

In this short paper we discuss a new methodology for estimating reserves for IBNR (incurred but not reported) claims.

In this paper we give the outline of a research project developed in a cooperation between the actuarial, financial and statistical research groups of the Faculty of Economics and Applied Economics and the research group on statistics in the Mathematical Department. The main purpose consists...