In this contribution, the upper bounds for sums of dependent random variables X1 + X2 +...+ Xn derived by using comonotonicity are sharpened for the case when there exists a random variable Z such that the distribution functions of the Xi, given Z = z, are known. By a similar technique, lower...

Utility theory and insurance -- The individual risk model -- Collective risk models -- Ruin theory -- Premium principles -- Bonus-malus systems -- Credibility theory -- Generalized linear models -- IBNR techniques -- Ordering of risks.

The distribution of the present value of a series of cash flows under stochastic interest rates has been investigated by many researchers. One of the main problems in this context is the fact that the calculation of exact analytical results for this type of distributions turns out to be rather...

In this paper we investigate approximations for the distribution function of a sum S of lognormal random variables. These approximations are obtained by considering the conditional expectation E[S | Lambda ] of S with respect to a conditioning random variable Lambda.The choice for Lambda is...

In this paper we examine and summarize properties of several well-known risk measures that can be used in the framework of setting solvency capital requirements for a risky business. Special attention is given to the class of (concave) distortion risk measures. We investigate the relationship...