The concepts of convex order and comonotonicity have become quite popular in risk theory, essentially since Kaas et al. [Kaas, R., Dhaene, J., Goovaerts, M.J., 2000. Upper and lower bounds for sums of random variables. Insurance: Math. Econ. 27, 151-168] constructed bounds in the convex order...

We analyze the effect of enhanced annuities on an insurer engaging in individual underwriting. We use a frailty model for heterogeneity of the insured population and model individual underwriting by a random variable that positively correlates with the corresponding frailty factor. For a given...

The CreditRisk+ model is one of the industry standards for estimating the credit default risk for a portfolio of credit loans. The natural parameterization of this model requires the default probability to be apportioned using a number of (non-negative) factor loadings. However, in practice only...

In this paper, we introduce a consistent pricing method for life insurance products whose benefits are contingent on the level of interest rates. Since these products involve mortality as well as financial risks, we present an approach that introduces stochastic models for insurance products...

Life insurance products are usually equipped with minimum guarantee and bonus provision options. The pricing of such claims is of vital importance for the insurance industry. Risk management, strategic asset allocation, and product design depend on the correct evaluation of the written options....

The main purpose of this paper is a risk theory insight into the problem of asset-liability and solvency adaptive management. In the multiperiodic insurance risk model composed of chained classical risk models, a zone-adaptive control strategy, essentially similar to that applied in Directives...

The paper is devoted to risk theory insight into the problem of asset-liability and solvency adaptive management. Two adaptive control strategies in the multiperiodic insurance risk model composed of chained classical risk models are introduced and their performance in terms of probability of...

We consider an extended version of a model proposed by Ledford and Tawn [Ledford, A.W., Tawn, J.A., 1997. Modelling dependence within joint tail regions. J. R. Stat. Soc. 59 (2), 475-499] for the joint tail distribution of a bivariate random vector, which essentially assumes an asymptotic power...

In this paper, we consider the Gerber-Shiu expected discounted penalty function for the perturbed compound Poisson risk process with constant force of interest. We decompose the Gerber-Shiu function into two parts: the expected discounted penalty at ruin that is caused by a claim and the...