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In actuarial practice, the usual independence assumptions for the collective risk model are often violated, implying a growing need for considering more general models that incorporate dependence. To this purpose, the present paper studies…

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,…

Statistical inference in high-dimensional settings is challenging when standard unregularized methods are employed. In this work, we focus on the case of multiple correlated proportions for which we develop a Bayesian inference framework.…

This paper introduces a cure rate survival model by assuming that the time to the event of interest follows a beta prime distribution and that the number of competing causes of the event of interest follows a negative binomial distribution.…

This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest…

Prudent management of insurance investment portfolios requires competent asset pricing of fixed-income assets with time-to-event contingent cash flows, such as consumer asset-backed securities (ABS). Current market pricing techniques for…

We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features - an important type of policy increasingly offered by major insurance companies. The bundling…

In this paper, we discuss some theoretical results and properties of a discrete version of the Birnbaum-Saunders distribution. We present a proof of the unimodality of this model. Moreover, results on moments, quantile function, reliability…

In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing several auxiliary random processes.

In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, finance and insurance industries. A recent empirical study by…

In this article, we consider a risk process to model the capital of a household. Our work focuses on the analysis of the trapping time of such a process, where trapping occurs when a household's capital level falls into the poverty area. A…

This article proposes a method for measuring the latent risks involved in the recovery process of non performing loans in financial institutions and business firms that deal with collection and recovery processes. To that end, we apply the…

The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions.} Under the condition that the two Brownian motions $\{B_1(t), t\ge 0\}$ and…

In this paper, we consider the optimal dividend problem of the renewal risk model with phase-type distributed interclaim times and exponentially distributed claim sizes. Assume that the phases of the interclaim times can be observed. We…

We apply the theory of linear recurrence sequences to find an expression for the ultimate ruin probability in a discrete-time risk process. We assume the claims follow an arbitrary distribution with support $\{0,1,\ldots,m\}$, for some…

In this note we consider the two-dimensional risk model introduced in Avram et al. \cite{APP08} with constant interest rate. We derive the integral-differential equations of the Laplace transforms, and asymptotic expressions for the finite…

Dividend discount models have been developed in a deterministic setting. Some authors (Hurley and Johnson, 1994 and 1998; Yao, 1997) have introduced randomness in terms of stochastic growth rates, delivering closed-form expressions for the…

Real-world problems, often couched as machine learning applications, involve quantities of interest that have real-world meaning, independent of any statistical model. To avoid potential model misspecification bias or over-complicating the…

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 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…