Variable rate savings accounts have two main features. The interest rate paid on the account is variable and deposits can be invested and withdrawn at any time. However, customer behaviour is not fully rational and withdrawals of balances are often performed with a delay.(...)

While the traditional R value is useful to evaluate the quality of a fit, it does not work when it comes to evaluating the predictive power of estimated financial models in finite samples.

In this paper, based on the additive measure integral representation of a non-additive measure integral, it is shown that any comonotonically additive premium principle can be represented as an integral of the distorted decumulative distribution function of the insurance risk.

The probability density function of the time of ruin in the classical model with exponential claim sizes is obtained directly by inversion of the associated Laplace transform.

Based on a recent contribution by Baione and others in this Journal, some consequences of the decrease of the mean merit coefficient for portfolios of Bonus-Malus policies...

In the present paper, we study error bounds for approximations to multivariate distributions. In particular, we discuss some general versions of compound multivariate distributions and look at distributions of dependent random variables constructed by linear transforms of independent random...

In the recent actuarial literature, several proofs have been given for the fact that if a random vector (XI, X2, ..., X~) with given marginals has a comonotonic joint distribution, the sum XI + X2 + ...+ Xn is the largest possible in convex order...

BMS in force show a progressive reduction of the observed average premium, which causes a financial imbalance in the system (see LEMAIRE (1995)...

The purpose of the paper is to use the age of claims in the prediction of risks. A dynamic random effects model on longitudinal count data is presented...

A method of inverting the Laplace transform based on the integration between zeros technique and a simple acceleration algorithm is presented. This approach was designed to approximate ultimate ruin probabilities for G-convolutions claim sizes, but it can be also used with other distributions...