In this paper we study the asymptotic behaviour of the joint distribution of reinsurance aggregate claim amounts for large values of the retention level under various dependence assumptions.

The claim ladder forecast of outstanding losses is known to be unbiases under suitable assumptions. According to these assumptions, claim payments in any cell of a payment triangle are dependent on those from preceding development years of the same accident year.

We consider the problem of claims reserving and estimatingrun-off triangles. We generalize the gamma cell distributions model which leads to Tweedie`s compound Poisson model. Choosing a suitable parametrization, we estimate the parameters of our model within the framework of generalized linear...

Variable rate savings accounts have two main features. The interest rate paid on the account is variable and deposits can be invested and withdrawn at any time. However, customer behaviour is not fully rational and withdrawals of balances are often performed with a delay.(...)

While the traditional R value is useful to evaluate the quality of a fit, it does not work when it comes to evaluating the predictive power of estimated financial models in finite samples.

In this paper, based on the additive measure integral representation of a non-additive measure integral, it is shown that any comonotonically additive premium principle can be represented as an integral of the distorted decumulative distribution function of the insurance risk.

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...