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....

In this paper we study the benefits derived from international diversification of equity portfolios from the German and the Hungarian points of view...

In this paper we extend the work of Reinhard and Snoussi (2000) by developing a recursive system ...

In this paper we analyse, in a contingent-claims framework, one of the most common life insurance policies sold in Italy during the last two decades. The policy, of the endowment type, is initially priced as a standard one, given a mortality table and a technical interest rate...

For the purpose of Value-at-Risk (VaR) analysis, a model for the return distribution is important because it describes the potential behavior of a financial security in the future. We analyze the extension of the normal distribution function to allow for fatter tails and for time-varying...

The majority of optimal Bonus-Malus Systems (BMS) presented up to now in the actuarial literature assign to each policyholder a premium based on the number of his accidents...

In this paper we study a class of Mixed Bivariate Poisson Distributions by extending the Hofmann Distribution from the univariate case to the bivariate case. We show how to evaluate the bivariate aggregate claims distribution and we fit some insurance portfolios given in the literature...

The normal inverted gamma mixture or generalized Student t and the symmetric double Weibull, as well as their logarithmic counterparts, are proposed for modeling some loss distributions in non-life insurance and daily index return distributions in financial markets...

In the last few years we have witnessed growing interest in Dynamic Financial Analysis (DFA) in the nonlife insurance. DFA combines many economic and mathematical concepts and methods...

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