Variable annuities are insurance products that contain guarantees and using the Monte Carlo method to calculate the fair market values of these guarantees for a large portfolio of such products is extremely time consuming. In this paper, we propose the class of GB2 distributions to model the...

A variable annuity is a popular life insurance product that comes with financial guarantees. Using Monte Carlo simulation to value a large variable annuity portfolio is extremely time-consuming. Metamodeling approaches have been proposed in the literature to speed up the valuation process. In...

In this article, we propose a multivariate Pascal mixture regression model as an alternative to understand the association between multivariate count response variables and their covariates. When compared to the copula approach, this proposed class of regression models is not only less complex...

In ratemaking, calculation of a pure premium has traditionally been based on modeling frequency and severity in an aggregated claims model. For simplicity, it has been a standard practice to assume the independence of loss frequency and loss severity. In recent years, there is sporadic interest...