We consider an extension of the classical compound Poisson risk model, where the waiting time between two consecutive claims and the forthcoming claim are no longer independent. Asymptotic tail probabilities of the reinsurance amount under ECOMOR and LCR treaties are obtained. Simulation results...

Many quantities arising in non-life insurance depend on claim severity distributions, which are usually modeled assuming a parametric form. Obtaining good estimates of the quantities, therefore, reduces to having good estimates of the model parameters. However, the notion of ‘good estimate'...

The classical problem of identifying the optimal reinsurance arrangement for a one-period model is examined under some risk measure criteria. We develop a new methodology via a two-stage optimisation procedure which allows us to not only recover some existing results in the literature, but also...

A multivariate distribution possessing arbitrarily parameterized Pareto margins is formulated and studied. The distribution is believed to allow for an adequate modeling of dependent heavy tailed risks with a non-zero probability of simultaneous loss. Numerous links to certain nowadays existing...

Assuming the multiplicative background risk model, which has been a popular model due to its practical applicability and technical tractability, we develop a general framework for analyzing portfolio performance based on its subportfolios. Since the performance of subportfolios is easier to...

Capital efficiency and asset/liability management are part of the Enterprise Risk Management Process of any insurance/reinsurance conglomerate and serve as quantitative methods to fulfill the strategic planning within an insurance organisation. There has been a considerable amount of work in...

The risk exposure of a business line could be perceived in many ways and is sensitive to the exercise that is performed. One way is to understand the effect of some common/reference risk over the performance of the business line in question, but irrespective of the modelling exercise, the...

In various fields of applications such as capital allocation, sensitivity analysis and systemic risk evaluation, one often needs to compute or estimate the expectation of a random variable given that another random variable is equal to its quantile at some pre-specified probability level. A...