Related papers: A bivariate risk model with mutual deficit coverag…
In this paper, we study a multidimensional risk model with a common renewal process and in the presence of a constant interest force. The claim sizes are independent and identically distributed random vectors, with the distribution of…
Cost-of-capital valuation is a well-established approach to the valuation of liabilities and is one of the cornerstones of current regulatory frameworks for the insurance industry. Standard cost-of-capital considerations typically rely on…
The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough study over the years. Although interesting in their own right,…
We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an exact asymptotic of the ruin probabilities for the case of…
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…
We build on the theory of capital requirements (CRs) to create a new framework for modeling dynamic risk preferences. The key question is how to evaluate the risk of a payoff stream sequentially as new information is revealed. In our model,…
Time-to-event semi-competing risk endpoints may be correlated when both events are occurring on the same individual. These events and the association between them may also be influenced by individual characteristics. In this paper, we…
This paper investigates an insurance model with a finite number of major clients and a large number of small clients, where the dynamics of the latter group are modeled by a spectrally positive L\'evy process. We begin by analyzing this…
We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a…
The main goal of this paper is an application of Bayesian inference in testing the relation between risk and return on the financial instruments. On the basis of the Intertemporal CAPM model we built a general sampling model suitable in…
We investigate the asymptotic of ruin probabilities when the company combines the life- and non-life insurance businesses and invests its reserve into a risky asset with stochastic volatility and drift driven by a two-state Markov process.…
We analyze the practical consequences of the bilateral counterparty risk adjustment. We point out that past literature assumes that, at the moment of the first default, a risk-free closeout amount will be used. We argue that the legal…
This paper focuses on linearisation techniques for a class of mixed singular/continuous control problems and ensuing algorithms. The motivation comes from (re)insurance problems with reserve-dependent premiums with Cram{\'e}r-Lundberg…
In this paper, we study an optimal excess-of-loss reinsurance and investment problem for an insurer in defaultable market. The insurer can buy reinsurance and invest in the following securities: a bank account, a risky asset with stochastic…
In this paper we introduce a mixture cure model with a linear hazard rate regression model for the event times. Cure models are statistical models for event times that take into account that a fraction of the population might never…
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of asset values, a bank must closely…
In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to extend…
This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of…
In this paper we introduce a bivariate distribution on $\mathbb{R}_{+} \times \mathbb{N}$ arising from a single underlying Markov jump process. The marginal distributions are phase-type and discrete phase-type distributed, respectively,…
Recent models of the insurance risk process use a L\'evy process to generalise the traditional Cram\'er-Lundberg compound Poisson model. This paper is concerned with the behaviour of the distributions of the overshoot and undershoots of a…