We study the distribution of the time to ruin in the classical risk model. We consider some methods of calculating this distribution...

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...

The purpose of this paper is to obtain approximations to the transition intensities defined for a multiple state model for Permanent Health Insurance (PHI) which enables us to analyse PHI claims by cause of disability...

In this paper, we investigate asymptotic properties of the tail probabilities of the maxima of partial sums of independent random variables. For some large classes of heavy-tailed distributions, we show that the tail probabilities of the maxima of the partial sums asymptotically equal to the sum...

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...

In this paper a class of risk processes in which claims occur as a renewal process is studied. A clear expression for Laplace transform of the finite time ruin probability is well given when the claim amount distribution is a mixed exponential... br>

A method for analysing the risk of taking a too low reserve level by the use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder standard error has to be added to the Chain Ladder reserve in order to reach a specified...

Haberman and Sung (1994) have presented a dynamic model for a defined benefit occupational pension scheme which considered two types of risk: the "contribution rate" and the "solvency" risk...

We reconsider the problem of producing fair and accurate tariffs based on aggregated insurance data giving numbers of claims and total costs for the claims. Jorgensen and de Souza (Scand. Actuarial J., 1994) assumed Poisson arrival of claims and gamma distributed costs for individual claims....