This paper proposes bonus-malus systems for fleets of vehicles, by using the individual characteristics of both the vehicles and the carriers. Bonus-malus coefficients are computed from the history of claims or from the history of safety offences of the carriers and the drivers...

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?...

We apply Lemaire's algorithm and a non-parametric mixed Poisson fit to a motor insurance portfolio in order to find the true claim frequency and claim amount distributions...

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...

For the construction of bonus-malus systems, we propose to show how to apply, thanks to simple mathematics, a parametric method encompassing those encountered in the literature...

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