This paper studies the optimal control problems of continuous-benefit tontine funds and multi-cohort tontine models. Firstly, we take a limit on the number of members in the tontine pool and obtain a continuous form of benefits by Borel's law of large numbers. This continuous framework provides...

In this paper, we present a Markov chain Monte Carlo (MCMC) simulation algorithm for estimating parameters in the kernel density estimation of bivariate insurance claim data via transformations. Our data set consists of two types of auto insurance claim costs and exhibit a high-level of skewness...

This paper studies the moments and the distribution of the aggregate discounted claims (ADCs) in a Markovian environment, where the claim arrivals, claim amounts, and forces of interest (for discounting) are influenced by an underlying Markov process. Specifically, we assume that claims occur...