In this paper, we study the valuation of stochastic cash flows that exhibit dependence on interest rates. We focus on insurance liability cash flows linked to an index, such as a consumer price index or wage index, where changes in the index value can be partially understood in terms of changes...

In this paper, we study the valuation of stochastic cash flows that exhibit dependence on interest rates. We focus on insurance liability cash flows linked to an index, such as a consumer price index or wage index, where changes in the index value can be partially understood in terms of changes...

The idea of using common Posson shock processes to model dependent event frequencies is well known in the reliability literature. In this paper we examine these models in the context of insurance loss modelling and credit risk modelling...

The general principles for determining the financial performance of a company is that revenue is earned as goods are delivered or services provided, and that expenses in the period are made up of the costs associated with this earned revenue. To follow these principles in the insurance industry...

This paper studies estimation of conditional mean squared error of prediction, conditional on what is known at the time of prediction. The particular problem considered is the assessment of actuarial reserving methods given data in the form of runoff triangles (trapezoids), where the use of...