A generalized Sparre Andersen risk process is examined, whereby the joint distribution of the interclaim time and the ensuing claim amount is assumed to have a particular mathematical structure. This structure is present in various dependency models which have previously been proposed and...

Payandeh [Payandeh Najafabadi, A.T., 2010. A new approach to credibility formula. Insurance: Mathematics and Economy 46, 334–338] introduced a new technique to approximate a Bayes’ estimator with the exact credibility’s form. This article employs a well known and powerful maximum-entropy...

We consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cramér–Lundberg model with arbitrary claim-size distribution. Our objective is to find the dividend payment policy which maximizes the cumulative expected...

This paper considers the optimal time-consistent investment and reinsurance strategies for an insurer under Heston’s stochastic volatility (SV) model. Such an SV model applied to insurers’ portfolio problems has not yet been discussed as far as we know. The surplus process of the insurer is...

Motivated by the Guaranteed Minimum Death Benefits in various deferred annuities, we investigate the calculation of the expected discounted value of a payment at the time of death. The payment depends on the price of a stock at that time and possibly also on the history of the stock price. If...

In this paper, we consider a risk process with the arrival of claims modelled by a dynamic contagion process, a generalisation of the Cox process and Hawkes process introduced by Dassios and Zhao (2011). We derive results for the infinite horizon model that are generalisations of the...

In this paper, we consider a general Lévy risk model with two-sided jumps and a constant dividend barrier. We connect the ruin problem of the ex-dividend risk process with the first passage problem of the Lévy process reflected at its running maximum. We prove that if the positive jumps of the...

Convenient expressions for the Esscher pricing functional in the context of the compound Poisson processes with dependent loss amounts and loss inter-arrival times are developed. To this end, the moment generating function of the aforementioned dependent processes is derived and studied. Various...

In this paper, we introduce a multivariate aggregate loss model, where multiple categories of losses are considered. The model assumes that different types of claims arrive according to a Marked Markovian arrival process (MMAP) introduced by He and Neuts (1998) in the queuing literature. This...

In this paper, we are interested in the calculation of the Haezendonck–Goovaerts risk measure, which is defined via a convex Young function and a parameter q∈(0,1) representing the confidence level. We mainly focus on the case in which the risk variable follows a distribution function from a...