In the line of Cossette et al. (2003), we adapt and refine known Markovian-type risk models of Asmussen (1989) and Lu and Li (2005) to a hurricane risk context. These models are supported by the findings that El Niño/Southern Oscillation (as well as other natural phenomena) influence both the...

We consider a model for price calculations based on three components: a fair premium; price loadings reflecting general expenses and solvency requirements; and profit. The first two components are typically evaluated on a yearly basis, while the third is viewed from a longer perspective. When...

This paper deals with ruin capital uα,t(c∣λ,μ) in the classical Lundberg model of risk. It is defined as the initial capital needed to keep the probability of ruin within finite time t equal to a predefined value α. Considered as a decreasing function of premium rate c, the ruin capital is...

In the statistical and actuarial literature several generalizations of quantiles have been considered, by means of the minimization of a suitable asymmetric loss function. All these generalized quantiles share the important property of elicitability, which has received a lot of attention...

One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized time series model, that allows for modeling the conditional mean and variance of the claim amounts, is proposed for the claims development. On contrary to the classical stochastic reserving...

In this paper we consider a multidimensional renewal risk model with regularly varying claims. This model may be used to describe the surplus of an insurance company possessing several lines of business where a large claim possibly puts multiple lines in a risky condition. Conditional on the...

The goal of this paper is to investigate (locally) risk-minimizing hedging strategies under the benchmark approach in a financial semimartingale market model where there are restrictions on the available information. More precisely, we characterize the optimal strategy as the integrand appearing...

In this paper we analyze a measure of the insurance company’s value in an extended Lundberg model which includes the effect of competition on pricing. The extended model is designed to be an integral part of a multi-year controlled risk model of a company operating on both competitive...

The paper deals with orthogonal polynomials as a useful technique which can be attracted to actuarial and financial modeling. We use Pearson’s differential equation as a way for orthogonal polynomials construction and solution. The generalized Rodrigues formula is used for this goal. Deriving...

We study capital requirements for bounded financial positions defined as the minimum amount of capital to invest in a chosen eligible asset targeting a pre-specified acceptability test. We allow for general acceptance sets and general eligible assets, including defaultable bonds. Since the...