Insurance claims data usually contains a large number of zeros and exhibits fat-tail behavior. Misestimation of one end of the tail impacts the other end of the tail of the claims distribution; such can affect both the adequacy of premiums and needed reserves to hold. In addition, insured...

In optimal portfolio allocation, Black and Litterman (1992) provide for a pioneering framework of allowing to incorporate investors' views based on a prior distribution to derive a posterior distribution of portfolio returns and optimal asset allocations. Meucci (2005) rephrases the model in...