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?...

Nielsen (1999) showed the surprising fact that a nonparametric one-dimensional hazard as a function of time can be estimated x/~-consistently if a high quality marker is observed...

In this note we give a lnultivariate extension of the proof of Ospina &Gerber (1987) of the result of Feller (1968) that a univariate distribution on the non-negative integers...

Credibility weighting is helpful in many insurance applications where sparse data crave information from other sources of data. In this paper we aim at estimating a hazard curve using the nonparametric kernel method...

We consider an alternative to the usual credibility premium that arises from squared-error loss, namely, a so-called equitable credibility premium (Promislow and Young, 1999)...

We extend the Cox-Ingersoll-Ross (1985) model of the short interest rate by assuming a stochastic reversion level, which better reflects the time dependence caused by the cyclical nature of the economy or by expectations concerning the future impact of monetary policies. In this framework, we...

This paper explains securitization of insurance risk by describing its essential components and its economic rationale. We use examples and describe recent securitization transactions...

Algorithms for the calculation of the distribution of the aggregate claimsfrom a life insurance portfolio have been derived by Kornya (1983), Hipp(1986) and De Pril (1986 and 1989)...

The aim of this work is to present a method to compute the expected amount of annual claims in the health insurance. We will be especially concerned with the permanent health insurance and compare our numerical results with those computed and published for the permanent health insurance in...