A sensitivity analysis concept is introduced for prospective reserves of individual life insurance contracts as deterministic mappings of the actuarial assumptions interest rate, mortality probability, disability probability, etc. Upon modeling these assumptions as functions on a real time line,...

The valuation of options embedded in insurance contracts using concepts from financial mathematics (in particular, from option pricing theory), typically referred to as fair valuation, has recently attracted considerable interest in academia as well as among practitioners. The aim of this...

Suppose that, over a fixed time interval of interest, an insurance portfolio generates a random number of independent and identically distributed claims. Under the LCR treaty the reinsurance covers the first l largest claims, while under the ECOMOR treaty it covers the first l-1 largest claims...

This paper uses a development technique to estimate the loss reserve in a classical run-off triangle setting. Closed-form solutions for unbiased estimates of reserves and their corresponding standard errors can be obtained by assuming lognormal distributions of the development factors. The...

We consider a discrete time risk model where dividends are paid to insureds and the claim size has a discrete phase-type distribution, but the claim sizes vary according to an underlying Markov process called an environment process. In addition, the probability of paying the next dividend is...

In this paper, a class C1 of risk measures, which generalizes the class of risk measures for the right-tail deviation suggested by Wang [Wang, S., 1998. An actuarial index of the right-tail risk. North Amer. Actuarial J. 2, 88-101], is characterized in terms of dispersive order. If dispersive...

This paper has two parts. In the first, we apply the Heath-Jarrow-Morton (HJM) methodology to the modelling of longevity bond prices. The idea of using the HJM methodology is not new. We can cite Cairns et al. [Cairns A.J., Blake D., Dowd K, 2006. Pricing death: framework for the valuation...

We employ a doubly-binomial process as in Gerber [Gerber, H.U., 1988. Mathematical fun with the compound binomial process. ASTIN Bull. 18, 161-168] to discretize and generalize the continuous "randomized operational time" model of Chang et al. ([Chang, C.W., Chang, J.S.K., Yu, M.T., 1996....

In this paper, we consider the Sparre Andersen risk model with an arbitrary interclaim time distribution and a fairly general class of distributions for the claim sizes. Via a two-step procedure which involves a combination of a probabilitic and an analytic argument, an explicit expression is...

In the standard model for insurance demand, the risk is totally exogenous and the insurance premium is paid for out of riskless wealth. This model yields results that are mostly in contradiction to everyday observation and have been used to question the pertinence of expected utility theory on...