We consider the optimal dividend distribution problem of a financial corporation whose surplus is modeled by a general diffusion process with both the drift and diffusion coefficients depending on the external economic regime as well as the surplus itself through general functions. The aim is to...

A Bayesian approach is presented in order to model long tail loss reserving data using the generalized beta distribution of the second kind (GB2) with dynamic mean functions and mixture model representation. The proposed GB2 distribution provides a flexible probability density function, which...

To deal with multi-country longevity risk, this article investigates the long-run equilibrium of mortality rates and introduces mortality correlations across countries as a means for pricing a multi-country longevity bond. The examination of the long-run equilibrium of the mortality rate relies...

We consider an approach based on the hierarchical generalized linear models and h-likelihood estimators for claims reserving in non-life insurance. The hierarchical generalized linear models represent a class of flexible mixture models that extend the generalized linear models and the...

We show that by modeling the time series of mortality rate changes rather than mortality rate levels we can better model human mortality. Leveraging on this, we propose a model that expresses log mortality rate changes as an age group dependent linear transformation of a mortality index. The...

In this paper the interest is in testing for tail monotonicity dependence structures between two random variables. The main focus in the presentation of the statistical methodology is on left tail decreasingness, but the developed procedures can also be used for testing for other specific tail...

The paper considers a renewal risk process in which a given inter-arrival time possibly has an impact on the size of the resulting claim. Under a fairly general dependency structure which contains various well-known examples in the literature as special cases, recursive formulas for the moments...

This paper presents a contingent claim model similar to the one described by Lee and Yu (2002) for pricing catastrophe risk bonds. First, we derive a bond pricing formula in a stochastic interest rates environment with the losses following a compound nonhomogeneous Poisson process. Furthermore,...

As a necessary requirement for multi-period risk measure, time consistency can be examined from two aspects: dynamic risk measure and optimal investment policy. In this paper, we first study the relationship between the time consistency of dynamic risk measure and the time consistency of optimal...

In this paper, we study the generalized expected discounted penalty (Gerber–Shiu) function in a risk process with credit and debit interests. We define Tu,z to be the first time that the surplus process drops below a certain level z from the initial surplus u(z). The time of ruin and the time...