The purpose of this work is to provide upper bounds on the stop-loss and total variation distances between random sums. The main theoretical argument consists in defining discrete analogs of the classical ideal metrics considered by Rachev and Rüschendorf (Adv. Appl. Probab. 22 (1990) 350). An...

We consider distributional free inference to test for positive quadrant dependence, that is, for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent. Tests for its generalization to higher dimensions, namely positive...

Generalized additive models for location, scale and shape define a flexible, semi-parametric class of regression models for analyzing insurance data in which the exponential family assumption for the response is relaxed. This approach allows the actuary to include risk factors not only in the...

In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency...

Purpose – The purpose of this paper is to highlight some testing procedures, both in time/frequency framework, useful to test for significant cycles in insurance data. The US underwriting cycle is measured using the growth rates of real premiums. Design/methodology/approach – In addition to...