We apply Lemaire's algorithm and a non-parametric mixed Poisson fit to a motor insurance portfolio in order to find the true claim frequency and claim amount distributions...

Young (1999) discussed the conjecture proposed by Christofides (1998) regarding the premium principle of Wang (1995, 1996)...

This paper proposes a multivariate generalization of the generalized Poisson distribution...

In the present paper we extend a recursive algorithm developed by Vernic (1999) for compound distributions...

In the present paper we generalise Panjer's (1981) recursion for compound distributions to a multivariate situation where each claim event generates a random vector...

For the construction of bonus-malus systems, we propose to show how to apply, thanks to simple mathematics, a parametric method encompassing those encountered in the literature...

In January 1997, Winterthur Insurance, together with Credit Smsse FirstBoston (CSFB), issued the first listed CAT bond...

This paper deals with Esscher transforms in discrete finance models.

In this paper we compare, from the point of view of reinsurance, the severalrisk adjusted premium calculation principles considered in Wang (1996b).We conclude that, with the exception of the proportional hazard (PH)premium calculation principle, all the others behave in a way similar to...

Largest claims reinsurance covers are reconsidered. Allowing the original...