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Modeling and performance of bonus-malus systems : stationarity versus age-correction

Asmussen, Søren - In: Risks : open access journal 2 (2014) 1, pp. 49-73

In a bonus-malus system in car insurance, the bonus class of a customer is updated from one year to the next as a function of the current class and the number of claims in the year (assumed Poisson). Thus the sequence of classes of a customer in consecutive years forms a Markov chain, and most...

Persistent link: https://www.econbiz.de/10010338093

Statistical tools for finance and insurance

Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2005

-instructional book makes a good use of extensive examples and full explanations. Thedesign of the text links theory and computational … the Scale in the Gamma Family.- Pricing of Catastrophe (CAT) Bonds.- Extreme Value Theory - Modeling and Financial … Theory.- Diffusion Approximation in Risk Theory …

Persistent link: https://www.econbiz.de/10002123307

Asymptotic finite-time ruin probability for bidimensional renewal risk model with constant interest force and dependent subexponential claims

Yang, Haizhong; Li, Jinzhu - In: Insurance / Mathematics & economics 58 (2014), pp. 185-192

Persistent link: https://www.econbiz.de/10010437565

On the analysis of ruin-related quantities in the delayed renewal risk model

Kim, So-Yeun; Willmot, Gordon E. - In: Insurance / Mathematics & economics 66 (2016), pp. 77-85

Persistent link: https://www.econbiz.de/10011442700

Finite time ruin probability of the compound renewal model with constant interest rate and weakly negatively dependent claims with heavy tails

Thampi, K. K. - In: International game theory review 17 (2015) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10010526708

Finite time ruin problems for the Markov-modulated risk model

Li, Jingchao; Dickson, David C. M.; Li, Shuanming - 2014

Persistent link: https://www.econbiz.de/10011342005

The effects of largest claim and excess of loss reinsurance on a company's ruin time and valuation

Fan, Yuguang; Griffin, Philip S.; Maller, Ross A.; … - In: Risks : open access journal 5 (2017) 1, pp. 1-27

We compare two types of reinsurance: excess of loss (EOL) and largest claim reinsurance (LCR), each of which transfers the payment of part, or all, of one or more large claims from the primary insurance company (the cedant) to a reinsurer. The primary insurer’s point of view is documented in...

Persistent link: https://www.econbiz.de/10011636215

Estimating large losses in insurance analytics and operational risk using the g-and-h distribution

Bee, Marco; Hambuckers, J.; Trapin, L. - In: Quantitative finance 21 (2021) 7, pp. 1207-1221

Persistent link: https://www.econbiz.de/10012588037

Ruin probability in the delayed renewal risk model perturbed by a diffusion process

Adékambi, Franck; Takouda, Essodina - In: Risk and decision analysis 8 (2021) 3/4, pp. 127-144

Persistent link: https://www.econbiz.de/10013173245

Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims

Fu, Ke-ang; Ng, Cheuk Yin Andrew - In: Insurance / Mathematics & economics 56 (2014), pp. 80-87

Persistent link: https://www.econbiz.de/10010385027