Related papers: A bivariate risk model with mutual deficit coverag…
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…
We extend the now classic structural credit modeling approach of Black and Cox to a class of "two-factor" models that unify equity securities such as options written on the stock price, and credit products like bonds and credit default…
We introduce a dynamic model of the default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its allocation among clearing members. Using a Markovian…
We propose a stochastic model allowing property and casualty insurers with multiple business lines to measure their liabilities for incurred claims risk and calculate associated capital requirements. Our model includes many desirable…
In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random…
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The…
We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…
The paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motion whose parameters depend on a Markov process describing a…
In this article we consider an aggregate loss model with dependent losses. The losses occurrence process is governed by a two-state Markovian arrival process (MAP2), a Markov renewal process process that allows for (1) correlated…
In this article we consider the parameter risk in the context of internal modelling of the reserve risk under Solvency II. We discuss two opposed perspectives on parameter uncertainty and point out that standard methods of classical…
In the context of a locally risk-minimizing approach, the problem of hedging defaultable claims and their Follmer-Schweizer decompositions are discussed in a structural model. This is done when the underlying process is a finite variation…
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…
In this paper, we discuss the Cram\'er-Lundberg model with investments, where the price of the invested risk asset follows a geometric Brownian motion with drift $a$ and volatility $\sigma> 0.$ By assuming there is a cap on the claim sizes,…
We study the closure properties of the class of Bivariate Regular Variation, symbolically BRV , in standard and nonstandard cases, with respect to the randomly weighted sums. However, we take into consideration a weak dependence structure…
We review Markov models of surplus in life insurance based on a counting process following Norberg (1991), uniting probabilistic theory with elements of practice largely drawn from UK experience. First, we organize models systematically…
We consider the problem of constructing an appropriate multivariate model for the study of the counterparty credit risk in credit rating migration problem. For this financial problem different multivariate Markov chain models were proposed.…
In this paper, we study an optimal reinsurance-investment problem in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. We assume that the…
In this paper we examine a multivariate risk model, with common renewal counting process, constant interest rate, and each claim vector is accompanied by a random number of delayed claim vectors. The interest is focused on the asymptotic…
We introduce a novel class of bivariate common-shock discrete phase-type (CDPH) distributions to describe dependencies in loss modeling, with an emphasis on those induced by common shocks. By constructing two jointly evolving terminating…
It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more…