In this article, we study a new notion called upper comonotonicity, which is a generalization of the classical notion of comonotonicity. A random vector is upper-comonotonic if its components are moving in the same direction simultaneously when their values are greater than some thresholds. We...

Owing to fluctuations in the financial markets from time to time, the rate [lambda] of Poisson process and jump sequence {Vi} in the Merton's normal jump-diffusion model cannot be expected in a precise sense. Therefore, the fuzzy set theory proposed by Zadeh [Zadeh, L.A., 1965. Fuzzy sets....

Due to advances in extreme value theory, the generalized Pareto distribution (GPD) emerged as a natural family for modeling exceedances over a high threshold. Its importance in applications (e.g., insurance, finance, economics, engineering and numerous other fields) can hardly be overstated...

Given the high competitiveness in the vehicle insurance market, the need arises for an adequate pricing policy. To this end, insurance companies must select risks in a way that allows the expected claims ratio to come as close as possible to the real claims ratio. The use of new analytical tools...

In most methods for modeling mortality rates, the idiosyncratic shocks are assumed to be homoskedastic. This study investigates the conditional heteroskedasticity of mortality in terms of statistical time series. We start from testing the conditional heteroskedasticity of the period effect in...

Because of regulation projects from control organisations such as the European solvency II reform and recent economic events, insurance companies need to consolidate their capital reserve with coherent amounts allocated to the whole company and to each line of business. The present study...

Regression models are popular tools for rate-making in the framework of heterogeneous insurance portfolios; however, the traditional regression methods have some disadvantages particularly their sensitivity to the assumptions which significantly restrict the area of their applications. This...

In the last decennium a vast literature on stochastic mortality models has been developed. All well-known models have nice features but also disadvantages. In this paper a stochastic mortality model is proposed that aims at combining the nice features from the existing models, while eliminating...

This paper uses an overlapping generations model to investigate the urban public pension in China. It examines the effects of the replacement rates and population growth rate on the capital-labor ratio, pension benefits, consumption and utility, and finds the optimal replacement rate. It is...

The paper proposes a new approach to study a general class of ruin-related quantities in the context of a renewal risk model. While the classical approaches in Sparre Andersen models have their own merits, the approach presented in this paper has its advantages from the following perspectives....