Because of the profitable nature of risk businesses in the long term, de Finetti (1957) suggested that surplus models should allow for cash leakages, as otherwise the surplus would unrealistically grow (on average) to the infinity. These leakages were interpreted as 'dividends'. Subsequent...

In the classical optimal dividends problem, dividend decisions are allowed to be made at any point in time - according to a continuous strategy. Depending on the surplus process that is considered and whether dividend payouts are bounded or not, optimal strategies are generally of a band,...

In this paper, we consider a profitable, risky setting with two separate, correlated asset and liability processes (first introduced by Gerber and Shiu, 2003). The company that is considered is allowed to distribute excess profits (traditionally referred to as dividends in the literature), but...

The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and barrier (reflective) dividend strategies. These were shown to be optimal in a number of different contexts for...

Introducing common shocks is a popular dependence modelling approach, with some recent applications in loss reserving. The main advantage of this approach is the ability to capture structural dependence coming from known relationships. In addition, it helps with the parsimonious construction of...

When calculating the risk margins of a company with multiple Lines of Business–typically, a quantile in the right tail of an aggregate loss, assumptions about the dependence structure between the different Lines are crucial. Many current multivariate reserving methodologies focus on aggregated...

The dual model with diffusion is appropriate for companies with continuous expenses that are offset by stochastic and irregular gains. Examples include research-based or commission-based companies. In this context, Avanzi and Gerber (2008) showed how to determine the expected present value of...

The dual model with diffusion is appropriate for companies with continuous expenses that are offset by stochastic and irregular gains. Examples include research-based or commission-based companies. In this context, Avanzi and Gerber (2008) showed how to determine the expected present value of...

In this paper we investigate the potential of Lévy copulas as a tool for modelling dependence between compound Poisson processes and their applications in insurance. We analyse characteristics regarding the dependence in frequency and dependence in severity allowed by various Lévy copula...

In actuarial risk theory, the introduction of dividend pay-outs in surplus models goes back to Bruno de Finetti (1957). Dividend strategies that can be found in the literature often yield pay-out patterns that are inconsistent with actual practice. One issue is the high variability of the...