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Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
The paper studies asymptotic infinite-time ruin probabilities for a bidimensional time-dependent risk model, in which two insurance companies divide...
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The Matrix Sequential Probability Ratio Test and Multivariate Ruin Theory
The matrix sequential probability ratio test (MSPRT) is a statistical method to decide which law governs a collection of independent and identically...
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On optimal proportional reinsurance and investment in a hidden Markov financial market
This paper investigates the optimal reinsurance and investment in a hidden Markov financial market consisting of non-risky (bond) and risky (stock)...
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Gambling for Resurrection and the Heat Equation on a Triangle
We consider the problem of controlling the diffusion coefficient of a diffusion with constant negative drift rate such that the probability of...
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Peer effect and dynamic ALM games among insurers
Technology advances have enhanced competition in insurance industry. This paper investigates a class of dynamic asset and liability management(ALM)...
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Matching tower information with piecewise Pareto
Pricing tools for non-proportional reinsurance treaties often only provide layer prices, but no layer-independent collective risk model. There are,...
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Economics of Risk and Insurance
In this chapter, we provide an overview of four risk management techniques that are commonly used in practice, namely risk avoidance, risk retention,...
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Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses
Motivated by macroeconomic risks, such as the COVID-19 pandemic, we consider different risk management setups and study efficient insurance schemes...
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Optimal dividends and capital injection under dividend restrictions
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the...
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What Data?
Actuaries now collect all kinds of information about policyholders, which can not only be used to refine a premium calculation but also to carry out...
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On some effects of dependencies on an insurer’s risk exposure, probability of ruin, and optimal premium loading
We study how the presence of dependencies between risks in a population of prospective insurance customers translates into risk exposure for an...
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The effect of risk constraints on the optimal insurance policy
This paper studies the optimal insurance policy that maximizes the decision maker (DM)’s expected utility under distortion risk constraints. To...
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Chapter VIII: Orderings and Comparisons
We consider orderings between one-dimensional r.v.s X, Y (risks). An obvious example is a.s. ordering, X ≤a.s.Y . We shall, however, mainly be...
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Chapter I: Basics
The last decades have seen the areas of insurance mathematics and mathematical finance coming closer together. One reason is the growing linking of...
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Optimal Insurance Strategy Design in a Risk Process under Value-at-Risk Constraints on Capital Increments
The problem of designing an optimal insurance strategy in a new multistep insurance model is investigated. This model introduces stepwise...
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The 1-year premium risk
A general definition of the 1-year premium risk in non-life insurance is given, which fully covers the risk associated with the change in premium...
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Prediction of the Number of BPJS Claims due to COVID-19 Based on Community Mobility and Vaccination in DIY Province Using the Bayesian Structural Time Series
In this study, an analysis was carried out on the number of BPJS claims due to COVID-19 by considering the mobility factor of the community and the...
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Aggregate Risk Pooling
The innovations of decentralized insurance can be found in different steps in an insurance process, from pricing, underwriting, to claims. The focus...
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Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
This paper considers a proportional reinsurance-investment problem and an excess-of-loss reinsurance-investment problem for an insurer, where price...
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Robust optimal investment and reinsurance problem for a general insurance company under Heston model
In this paper, we study a robust optimal investment and reinsurance problem for a general insurance company which contains an insurer and a...