New regulations, stronger competitions and more volatile capital markets have increased the demand for stochastic asset-liability management (ALM) models for insurance companies in recent years. The numerical simulation of such models is usually performed by Monte Carlo methods which suffer from...

In this paper, we present a class of multivariate copulas whose two-dimensional marginals belong to the family of bivariate Frechet copulas. The coordinates of a random vector distributed as one of these copulas are conditionally independent. We prove that these multivariate copulas are uniquely...

Mainly due to new capital adequacy standards for banking and insurance, an increased interest exists in the aggregation properties of risk measures like Value-at-Risk (VaR). We show how VaR can change from sub to superadditivity depending on the properties of the underlying model. Mainly, the...

The expected discounted penalty function proposed in the seminal paper by Gerber and Shiu [Gerber, H.U., Shiu, E.S.W., 1998. On the time value of ruin. North Amer. Actuarial J. 2 (1), 48-78] has been widely used to analyze the joint distribution of the time of ruin, the surplus immediately...

We introduce a novel approach to optimal investment-reinsurance problems of an insurance company facing model uncertainty via a game theoretic approach. The insurance company invests in a capital market index whose dynamics follow a geometric Brownian motion. The risk process of the company is...

In this paper a purely theoretical reinsurance model is presented, where the reinsurance contract is assumed to be simultaneously of an excess-of-loss and of a proportional type. The stochastic structure of the set of pairs (claim's arrival time, claim's size) is described by a Spatial Mixed...

The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Conventional methods, such as ladder or separation methods based on aggregated or grouped claims of the so-called "run-off triangle", have...

Many proposals have been made recently for goodness-of-fit testing of copula models. After reviewing them briefly, the authors concentrate on "blanket tests", i.e., those whose implementation requires neither an arbitrary categorization of the data nor any strategic choice of smoothing...

This paper studies the optimal reinsurance problem when risk is measured by a general risk measure. Necessary and sufficient optimality conditions are given for a wide family of risk measures, including deviation measures, expectation bounded risk measures and coherent measures of risk. The...