By formulating a constrained optimization model, we address the problem of optimal reinsurance design using the criterion of minimizing the conditional tail expectation (CTE) risk measure of the insurer's total risk. For completeness, we analyze the optimal reinsurance model under both binding...

This work proposes a new copula class that we call the MGB2 copula. The new copula originates from extracting the dependence function of the multivariate GB2 distribution (MGB2) whose marginals follow the univariate generalized beta distribution of the second kind (GB2). The MGB2 copula can...

In this paper, we study the term structures of interest rates and foreign exchange rates through establishing a state-price deflator. The state-price deflator considered here can be viewed as an extension to the potential representation of the state-price density in [Rogers, L.C.G., 1997. The...

In this article, we present a copula regression model for testing asymmetric information as well as for predictive modeling applications in automobile insurance market. We use the Frank copula to jointly model the type of coverage and the number of accidents, with the dependence parameter...

Index-linked catastrophic loss instruments represent an alternative to traditional reinsurance to hedge against catastrophic losses. The use of these instruments comes with benefits, such as a reduction of moral hazard and higher transparency. However, at the same time, it introduces basis risk...

In this paper, we study the linear hazard transform and its applications in life contingencies. Under the linear hazard transform, the survival function of a risk is distorted, which provides a safety margin for pricing insurance products. Combining the assumption of [alpha]-power approximation...