This paper proposes a consistent approach to discrete time valuation in insurance and finance. This approach uses the growth optimal portfolio as references unit or benchmark. When used as benchmark, it is shown that all benchmarked price processes are supermartingales.

The model used in the technique of the Life Actuary is built oni) probabilities of insured events, e.g. death, survival, disablement...

We derive some decision rules to select best predictive regression models in a credibility context, that is, in a 'random effects' linear regression model with replicates. In contrast to usual model selection techniques on a collective level, our proposal allows to detect individual structures,...

This paper deals with Esscher transforms in discrete finance models.

The Bornhuetter-Ferguson (BF) reserve of an accident year is the product of an a priori estimate of the expected ultimate claim and the estimated 'still to come percentage'. In practice, these a priori estimates are often adjusted over time. We call this process 'repricing'. In this paper we...