Damage sizes, i.e. all damages occurring to a policy and not only those that are reported to an insurance company, are modelled as a linear mixed model. Only those damages that are larger than their deductibles are reported to the company, and this fact should be taken into account when...

A methodology for fitting general stochastic volatility (SV) models that are naturally cast in terms of a positive volatility process is developed. Two well known methods for evaluating the likelihood function, sequential importance sampling and Laplace importance sampling, are combined. The...

This paper addresses the problem of finding an optimal dividend policy for a class of jump-diffusion processes. The jump component is a compound Poisson process with negative jumps, and the drift and diffusion components are assumed to satisfy some regularity and growth restrictions. Each...