The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the collective risk model, where the total claim size in a...

In the Solvency II framework, insurance companies need to calculate the Best Estimate valuation of Liabilities (BEL) and the Market Value Margin (MVM) for non-hedgeable insurance-technical risks. The Cost-of-Capital approach defines the MVM as the present value of the current and future Solvency...