A multivariate distribution possessing arbitrarily parameterized Pareto margins is formulated and studied. The distribution is believed to allow for an adequate modeling of dependent heavy tailed risks with a non-zero probability of simultaneous loss. Numerous links to certain existing...

We consider an extension of the classical compound Poisson risk model, where the waiting time between two consecutive claims and the forthcoming claim are no longer independent. Asymptotic tail probabilities of the reinsurance amount under ECOMOR and LCR treaties are obtained. Simulation results...

Asymptotic results are obtained for several conditional measures of association. The chosen random variables are the first two order statistics and the total sum within a random sum. Many of the results have confirmed the “one-jump” property of the risk model. Non-trivial limits are...

The classical problem of identifying the optimal risk transfer from one insurance company to multiple reinsurance companies is examined under some quantile-based risk measure criteria. We develop a new methodology via a two-stage optimisation procedure which not only allows us to recover some...

The optimal reinsurance arrangement is identified whenever the reinsurer counterparty default risk is incorporated in a one-period model. Our default risk model allows the possibility for the reinsurer to fail paying in full the promised indemnity, whenever it exceeds the level of regulatory...

In this paper, we illustrate the use of the Conditional Tail Expectation (CTE) risk measure on a set of bivariate real data consisting of two types of auto insurance claim costs. Several continuous bivariate distributions (normal, lognormal, skew-normal with the alternative log-skew-normal) are...