In this note we provide an operational interpretation of the economic index of riskiness of Aumann and Serrano (2008) and discuss its existence in the case of non-finite gambles.

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...

We prove some heavy-traffic limit theorems for processes which encompass the fractionally integrated random walk as well as some FARIMA processes, when the innovations are in the domain of attraction of a non-Gaussian stable distribution.

We consider a renewal jump–diffusion process, more specifically a renewal insurance risk model with investments in a stock whose price is modeled by a geometric Brownian motion. Using Laplace transforms and regular variation theory, we introduce a transparent and unifying analytic method for...

One possible way of risk management for an insurance company is to develop an early and appropriate alarm system before the possible ruin. The ruin is defined through the status of the aggregate risk process, which in turn is determined by premium accumulation as well as claim settlement outgo...

In this paper, we establish the second order asymptotics of ruin probabilities of a renewal risk model under the condition that the equilibrium distribution of claim sizes belongs to a rather general heavy-tailed distribution subclass—the class of second order subexponential distributions with...

Downgrade-triggered termination clause is a recent innovation in credit risk management to control counterparty credit risk. It allows one party of an over-the-counter derivative to close off its position at marked-to-market price when the other party’s credit rating downgrades to an agreed...

In this paper, we consider an extension of the classical risk model in which the premium rate policy is adaptive to claim experience. We assume that the premium rate is reviewed each time the surplus reaches a new descending ladder height. A choice between a finite number m of rates is then made...