The probability density function of the time of ruin in the classical model with exponential claim sizes is obtained directly by inversion of the associated Laplace transform.

Based on a recent contribution by Baione and others in this Journal, some consequences of the decrease of the mean merit coefficient for portfolios of Bonus-Malus policies...

In the present paper, we study error bounds for approximations to multivariate distributions. In particular, we discuss some general versions of compound multivariate distributions and look at distributions of dependent random variables constructed by linear transforms of independent random...

In the recent actuarial literature, several proofs have been given for the fact that if a random vector (XI, X2, ..., X~) with given marginals has a comonotonic joint distribution, the sum XI + X2 + ...+ Xn is the largest possible in convex order...

BMS in force show a progressive reduction of the observed average premium, which causes a financial imbalance in the system (see LEMAIRE (1995)...

The purpose of the paper is to use the age of claims in the prediction of risks. A dynamic random effects model on longitudinal count data is presented...

A method of inverting the Laplace transform based on the integration between zeros technique and a simple acceleration algorithm is presented. This approach was designed to approximate ultimate ruin probabilities for G-convolutions claim sizes, but it can be also used with other distributions...

This paper proposes bonus-malus systems for fleets of vehicles, by using the individual characteristics of both the vehicles and the carriers. Bonus-malus coefficients are computed from the history of claims or from the history of safety offences of the carriers and the drivers...

Based on the notions of value-at-risk and expected shortfall, we consider two functionals, abbreviated VaR and RaC, which represent the economic risk capital of a risky business over some time period required to cover losses with a high probability. These functionals are consistent with the risk...

Should the pricing of reinsurance catastrophes be related to the price of the default risk embedded in corporate bonds?...