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>

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....

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...