This paper analyzes whether the skew-normal and skew-student distributions recently discussed in the finance literature are reasonable models for describing claims in property-liability insurance. We consider two well-known datasets from actuarial science and fit a number of parametric...

We give an explicit expression for the optimal investment strategy, under the constant elasticity of variance (CEV) model, which maximizes the expected HARA utility of the final value of the surplus at the maturity time. To do this, the corresponding HJB equation will be transformed into a...

We determine the optimal allocation of funds between the fixed and variable subaccounts in a variable annuity with a GMDB (Guaranteed Minimum Death Benefit) clause featuring partial withdrawals by using a utility-based approach. The Merton method is applied by assuming that individuals allocate...

This paper investigates the optimal dividend problem of an insurance company, which controls risk exposure by reinsurance and by issuing new equity to protect from bankruptcy. Transaction costs are incurred by these business activities: reinsurance is non-cheap, dividend is taxed and fixed costs...

We consider a model which allows data-driven threshold selection in extreme value analysis. A mixture exponential distribution is employed as the thin-tailed distribution in view of the special structure of insurance claims, where individuals are often grouped into categories. An EM...

The demand for integrated risk management solutions and the need for new sources of capital have led to the development of innovative risk management products that mix the characteristics of traditional insurance and financial products. Such products, usually referred as Alternative Risk...

Using a standard reduction argument based on conditional expectations, this paper argues that risk sharing is always beneficial (with respect to convex order or second degree stochastic dominance) provided the risk-averse agents share the total losses appropriately (whatever the distribution of...

In this paper, we study an optimal stochastic control problem for an insurance company whose surplus process is modeled by a Brownian motion with drift (the diffusion approximation model). The company can purchase reinsurance to lower its risk and receive cash injections at discrete times to...

Reduced form credit risk models are important ones in credit risk theory. In such a model, certain correlated relations are constructed to represent the default dependence structure among the default intensity processes. In this paper, we introduced a reduced form credit risk model in which the...

We find the optimal dividend strategy in a diffusion risk model under a penalty for ruin, as in Thonhauser and Albrecher (2007), although we allow for both a positive and a negative penalty. Furthermore, we determine the optimal proportional reinsurance strategy, when so-called expensive...