The Markov-modulated Poisson process is utilised for count modelling in a variety of areas such as queueing, reliability, network and insurance claims analysis. In this paper, we extend the Markov-modulated Poisson process framework through the introduction of a flexible frequency perturbation...

We consider the general class of spectrally positive Lévy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes are stochastic. Motivated by the fact that dividends are paid periodically in real life, we study periodic dividend...

In today's world of financial uncertainty, one major public concern is to assess (and possibly improve) the stability of companies that take on risks. Actuaries are aware of that issue for a very long time and have a great experience in modeling the activity of a risk business. During the first...

In this paper, we develop a multivariate evolutionary generalised linear model (GLM) framework for claims reserving, which allows for dynamic features of claims activity in conjunction with dependency across business lines to accurately assess claims reserves. We extend the traditional GLM...

The paper is concerned with multiple claim arrays. We construct a broad and flexible family of models, where dependency is induced by common shock components. Models incorporate dependencies between observations both within arrays and between arrays. Arrays are of general shape (possibly with...

The accurate estimation of outstanding liabilities of an insurance company is an essential task. This is to meet regulatory requirements, but also to achieve efficient internal capital management. Over the recent years, there has been increasing interest in the utilisation of insurance data at a...

Because of the profitable nature of risk businesses in the long term, de Finetti (1957) suggested that surplus models should allow for cash leakages, as otherwise the surplus would unrealistically grow (on average) to the infinity. These leakages were interpreted as 'dividends'. Subsequent...

This paper is concerned with dependency between business segments in the Property & Casualty industry. When considering the business of an insurance company at the aggregate level, dependence structures can have a major impact in several areas of Enterprise Risk Management, such as in claims...

In this paper, we bootstrap data on Canadian pensioners' mortality (spanning 1999-2008) that was recently published by the CIA (2014) in order to study the characteristics of its implied heterogeneity. We find strong support for the gamma frailty model. It is remarkable that our results are...

In the classical optimal dividends problem, dividend decisions are allowed to be made at any point in time - according to a continuous strategy. Depending on the surplus process that is considered and whether dividend payouts are bounded or not, optimal strategies are generally of a band,...