In this paper we investigate the potential of Lévy copulas as a tool for modelling dependence between compound Poisson processes and their applications in insurance. We analyse characteristics regarding the dependence in frequency and dependence in severity allowed by various Lévy copula...

We consider the dual model, which is appropriate for modelling the surplus of companies with deterministic expenses and stochastic gains, such as pharmaceutical, petroleum or commission-based companies. Dividend strategies for this model that can be found in the literature include the barrier...

The dual model with diffusion is appropriate for companies with continuous expenses that are offset by stochastic and irregular gains. Examples include research-based or commission-based companies. In this context, Bayraktar et al. (2013a) show that a dividend barrier strategy is optimal when...

In actuarial risk theory, the introduction of dividend pay-outs in surplus models goes back to Bruno de Finetti (1957). Dividend strategies that can be found in the literature often yield pay-out patterns that are inconsistent with actual practice. One issue is the high variability of the...

The dual model with diffusion is appropriate for companies with continuous expenses that are offset by stochastic and irregular gains. Examples include research-based or commission-based companies. In this context, Avanzi and Gerber (2008) showed how to determine the expected present value of...

We investigate the arbitrage-free property of stock price models where the local martingale component is based on an ergodic diffusion with a specified stationary distribution. These models are particularly useful for insurer asset-liability management as they allow the modelling of long term...

We provide a simple and explicit construction of a family of stochastic exponentials with expectation k$/in$(0,1). Our family of stochastic exponentials can be constructed to be either strictly positive of merely non-negative

In his seminal paper, Bruno de Finetti (1957) laid the foundations of what would become an increasingly popular branch of risk theory: the study of dividend strategies. The recent burst of research in this field encouraged the author to carry out a systematic literature review of modern...

Although it is generally agreed that companies are better off with shorter manufacturing lead times, investment in lead time reduction is often difficult to justify using traditional project valuation techniques such as net present value (NPV). In this article, we suggest that evaluating...

We develop a generalization of the World Bank (1994) model of forced saving for retirement. This broader model consists of two tiers of second pillar savings --- mandated and non-mandated (voluntary). Furthermore, the government can set two types of guarantees on the first (mandated) tier ---...