The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...

The aim of this paper is to understand and to model claims arrival and reporting delay in general insurance. We calibrate two real individual claims data sets to the statistical model of Jewell and Norberg. One data set considers property insurance and the other one casualty insurance. For our...

The discrete-time multifactor Vasiček model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between yields with different times to maturity in an appropriate way. In practice, re-calibration of the model to the...

We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture...

The study of random graphs has become very popular for real-life network modeling, such as social networks or financial networks. Inhomogeneous long-range percolation (or scale-free percolation) on the lattice Zd, d ≥ 1, is a particular attractive example of a random graph model because it...