In this paper, we generalize the Cramer-Lundberg risk model perturbed by diffusion to incorporate jumps due to the surplus investment return and to relax the positive loading condition. Assuming that the surplus process has exponential upward and arbitrary downward jumps, we analyze the expected...

This paper presents an extension of the classical compound Poisson risk model for which the inter-claim time and the forthcoming claim amount are no longer independent random variables. Asymptotic tail probabilities for the discounted aggregate claims are presented when the force of interest is...

In this paper, we introduce a class of multivariate Erlang mixtures and present its desirable properties. We show that a multivariate Erlang mixture could be an ideal multivariate parametric model for insurance modeling, especially when modeling dependence is a concern. When multivariate losses...