We consider here term and whole-life cases of the equity-linked life insurance(ELLI), and the guaranteed annuity option (GAO). We present a financial instrument which is a combination of ELLI and GAO in a stochastic interest rate framework.

This paper is intended as a guide to statistical inference for loss distributions. There are three basic approaches to deriving the loss distribution in an insurance risk model: empirical, analytical, and moment based. The empirical method is based on a sufficiently smooth and accurate estimate...

This paper is intended as a guide to simulation of risk processes. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing the arrival of claims and another describing the...

This paper is intended as a guide to building insurance risk (loss) models. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing the arrival of claims and another...

In this paper, we present a procedure for consistent estimation of the severity and frequency distributions based on incomplete insurance data and demonstrate that ignoring the thresholds leads to a serious underestimation of the ruin probabilities. The event frequency is modelled with a...