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The proportional hazards model represents the most commonly assumed hazard structure when analysing time to event data using regression models. We study a general hazard structure which contains, as particular cases, proportional hazards,…
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…
In this paper, we extend the vertical modeling approach for the analysis of survival data with competing risks to incorporate a cured fraction in the population, that is, a proportion of the population for which none of the competing events…
This paper proposes a new extension of the linear failure rate (LFR) model to better capture real-world lifetime data. The model incorporates an additional shape parameter to increase flexibility. It helps model the minimum survival time…
We propose a new definition of a multivariate subexponential distribution. We compare this definition with the two existing notions of multivariate subexponentiality, and compute the asymptotic behaviour of the ruin probability in the…
The Cram\'er-Lundberg model with exponential claims and proportional investment is solved exactly: the integro-differential equation for the survival probability reduces to a doubly confluent Heun equation, yielding an explicit solution in…
We study a general perturbed risk process with cumulative claims modelled by a subordinator with finite expectation, with the perturbation being a spectrally negative Levy process with zero expectation. We derive a Pollaczek-Hinchin type…
It has been decades since the academic world of ruin theory defined the insolvency of an insurance company as the time when its surplus falls below zero. This simplification, however, needs careful adaptions to imitate the real-world…
An insurance company, as a risk bearer, is exposed to the likelihood of running into ruin. This is the situation where the initial surplus falls below zero. There is the need to find the required start-up capital to hedge against…
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…
Following some recent works on risk aggregation and capital allocation for mixed Erlang risks joined by Sarmanov's multivariate distribution, in this paper we present some closed-form formulas for the same topic by considering, however, a…
We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…
We study the probability of ruin before time $t$ for the family of tempered stable L\'evy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution…
This paper considers a Cram\'er-Lundberg risk setting, where the components of the underlying model change over time. These components could be thought of as the claim arrival rate, the claim-size distribution, and the premium rate, but we…
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…
In survival analysis, cure models have gained much importance due to rapid advancements in medical sciences. More recently, a subset of cure models, called destructive cure models, have been studied extensively under competing risks…
We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes…
The paper proposes an original methodology for constructing quantitative statistical models based on multidimensional distribution functions constructed on the basis of the insurance companies' data on inshurance policies (including…
We formulate the insurance risk process in a general Levy process setting, and give general theorems for the ruin probability and the asymptotic distribution of the overshoot of the process above a high level, when the process drifts to…
The claim experience of the past is a very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance depend on the number of claims the driver…