In their seminal paper, Gerber and Shiu (1994) introduced the concept of the Esscher transform for option pricing. As examples they considered the shifted Poisson process, the random walk, a shifted gamma process, and a shifted inverse Gaussian process to describe the logarithm of the stock...

In the present paper we consider several measures Ior the risk that is present in all insurance environment. We look for desirable properties for two types of risk measures, the ones reflecting both negative and positive results, and the measures for insolvency risks dealing with aspects of...

Toespraak van Prof. J. Dhaene op de Academische Zitting op 1 febniari 2001 te Leuven naar aanleiding van de viering van 60 jaar actuariële opleiding en ter gelegenheid van het toekennen van een eredoctoraat aan Prof. Dr. H. Gerber.

In this short paper we discuss a new methodology for estimating reserves for IBNR (incurred but not reported) claims.

In this paper we give the outline of a research project developed in a cooperation between the actuarial, financial and statistical research groups of the Faculty of Economics and Applied Economics and the research group on statistics in the Mathematical Department. The main purpose consists...