The aim of the paper is twofold. Firstly, it develops a model for risk assessment in a portfolio of life annuities with long term care benefits. These products are usually represented by a Markovian Multi-State model and are affected by both longevity and disability risks. Here, a stochastic...

This paper studies capital allocation problems using a general loss function. Stochastic comparisons are conducted for general loss functions in several scenarios: independent and identically distributed risks; independent but non-identically distributed risks; comonotonic risks. Applications in...

This literature review summarizes the results from a collection of research papers that relate to modeling insurance claims and the processes associated with them. We consider work by more than 55 authors, published or presented between 1971 and 2008.

Although controversial from the theoretical point of view, quantile risk measures are widely used by institutions and regulators.

This paper illustrates the modeling of dependence structures of non-life insurance risks using the Bernstein copula. We conduct a goodness-of-fit analysis and compare the Bernstein copula with other widely used copulas. Then, we illustrate the use of the Bernstein copula in a value-at-risk and...

Many insurance loss data are known to be heavy-tailed. In this article we study the class of Log phase-type (LogPH) distributions as a parametric alternative in fitting heavy tailed data. Transformed from the popular phase-type distribution class, the LogPH introduced by Ramaswami exhibits...

A distortion risk measure used in finance and insurance is defined as the expected value of potential loss under a scenario probability measure. In this paper, the tail distortion risk measure is introduced to assess tail risks of excess losses modeled by the right tails of loss distributions....

In this paper, we introduce a new multivariate stochastic order that compares random vectors in a direction which is determined by a unit vector, generalizing the previous upper and lower orthant orders. The main properties of this new order, together with its relationships with other...

We consider a renewal risk model with phase-type claims, and obtain an explicit expression for the joint transform of the time to ruin and the number of claims until ruin, with a penalty function applied to the deficit at ruin. The approach is via the duality between a risk model with phase-type...

Insurers, investors and regulators are interested in understanding the behavior of insurance company expenses, due to the high operating cost of the industry. Expense models can be used for prediction, to identify unusual behavior, and to measure firm efficiency. Current literature focuses on...