Purpose In view of the fact that claim payouts account for about 70 per cent of annual direct costs in non-life insurance companies and that claims-handling staff sums up to 10-20 per cent of all employees, an optimal claims management environment is of strategic importance. The purpose of this...

Purpose – The concept of value at risk is used in the risk-based calculation of solvency capital requirements in the Basel II/III banking regulations and in the planned Solvency II insurance regulation framework planned in the European Union. While this measure controls the ruin probability of...

Abstract Assume that the surplus process of an insurance company is described by a general Lévy process and that possible dividend pay-outs to shareholders are restricted to random discrete times which are determined by an independent renewal process. Under this setting we show that the optimal...

We consider the Sparre Andersen risk process with interclaim times that belong to the class of distributions with rational Laplace transform. We construct error bounds for the ruin probability based on the Pollaczek-Khintchine formula, and develop an efficient algorithm to approximate the ruin...

We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees the process as negative, where the observation rate may...

Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace...