In an editorial in ASTIN Bulletin, Hans Bühlmann (2002) suggests it is time to change the teaching of life insurance theory towards the real life challenges of that industry. The following note is a response to this editorial

Under a guaranteed annuity option, an insurer guarantees to convert a policyholder`s accumulated funds to a life annuity at a fixed rate when the policy matures. If the annuity rates provided under the guarantee are more beneficial to the policyholder than the prevailing rates in the market the...

The paper derives many existing risk measures and premium principles by minimizing a Markow bound for the tail probability. Our approach involves two exogenous functions v(S) and ... Minimizing a general Markow bound leads to the following unifying equation. [Marc J. Goovaerts, Rob Kaas, Jan...

We consider a risk process modelled as a compound Poisson process. We find the optimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton- Jacobi- Bellmann equation as well...

The idea of using common Posson shock processes to model dependent event frequencies is well known in the reliability literature. In this paper we examine these models in the context of insurance loss modelling and credit risk modelling...

An assumption concerning the long-term rate of return on assets is made by actuaries when they value defined-benefit pension plans.

The claim ladder forecast of outstanding losses is known to be unbiases under suitable assumptions. According to these assumptions, claim payments in any cell of a payment triangle are dependent on those from preceding development years of the same accident year.

We consider the problem of claims reserving and estimatingrun-off triangles. We generalize the gamma cell distributions model which leads to Tweedie`s compound Poisson model. Choosing a suitable parametrization, we estimate the parameters of our model within the framework of generalized linear...

How does a change in the risk-free interest-rate affect the value of a non-life insurance company or portfolio? Risk managers typically argue that there should be little impact as long as assets and liabilities are properly matched.

Several recent papers treated robust and efficient estimation of tail index parameters for (equivalent) Pareto and truncated exponential models, for large and small samples...