This paper investigates the limiting distributions of the component-wise maxima and minima of suitably normalized iid multivariate phase-type random vectors. In the case of maxima, a large parametric class of multivariate extreme value (MEV) distributions is obtained. The flexibility of this new...

This paper exploits a stochastic representation of bivariate elliptical distributions in order to obtain asymptotic results which are determined by the tail behavior of the generator. Under certain specified assumptions, we present the limiting distribution of component-wise maxima, the limiting...

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...

How DO, COULD, and SHOULD retirees draw down their financial savings? This paper reviews over one hundred papers on this topic from the perspective of individuals, families, governments and financial institutions. Three significant conceptual/methodological weaknesses in the existing literature...

Many quantities arising in non-life insurance depend on claim severity distributions, which are usually modeled assuming a parametric form. Obtaining good estimates of the quantities, therefore, reduces to having good estimates of the model parameters. However, the notion of ‘good estimate'...