Young (1999) discussed the conjecture proposed by Christofides (1998) regarding the premium principle of Wang (1995, 1996)...

This paper proposes a multivariate generalization of the generalized Poisson distribution...

In the present paper we extend a recursive algorithm developed by Vernic (1999) for compound distributions...

In the present paper we generalise Panjer's (1981) recursion for compound distributions to a multivariate situation where each claim event generates a random vector...

In January 1997, Winterthur Insurance, together with Credit Smsse FirstBoston (CSFB), issued the first listed CAT bond...

This paper deals with Esscher transforms in discrete finance models.

In this paper we compare, from the point of view of reinsurance, the severalrisk adjusted premium calculation principles considered in Wang (1996b).We conclude that, with the exception of the proportional hazard (PH)premium calculation principle, all the others behave in a way similar to...

Largest claims reinsurance covers are reconsidered. Allowing the original...

Bfihlmann-Straub credibility is used to find an estimate of the mortality lossratio for a company, relative to a standard table, for use in the statutoryvaluation of life insurance business. A method for calculating the margin foradverse deviation to be added to the mortality rate (in accordance...

This artmle presents an exphcit formula for the value of a withdrawal benefitwhen the times of death and withdrawal are dependent. The denvauon isbased on an actuarml eqmvalence principle...