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...

A method of inverting the Laplace transform based on the integration between zeros technique and a simple acceleration algorithm is presented. This approach was designed to approximate ultimate ruin probabilities for G-convolutions claim sizes, but it can be also used with other distributions...

Based on the notions of value-at-risk and expected shortfall, we consider two functionals, abbreviated VaR and RaC, which represent the economic risk capital of a risky business over some time period required to cover losses with a high probability. These functionals are consistent with the risk...

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

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...