We present some new evidence on the tail distribution of commercial property losses based on a recently constructed dataset on large commercial risks. The dataset is based on contributions from Lloyd's of London syndicates, and provides information on over three thousand claims occurred during...

We present some new evidence on the tail distribution of commercial property losses based on a recently constructed dataset on large commercial risks. The dataset is based on contributions from Lloyd’s of London syndicates, and provides information on over three thousand claims occurred during...

We examine discounted penalties at ruin for surplus dynamics driven by a general spectrally negative Lévy process; the natural class of stochastic processes which contains many examples of risk processes which have already been considered in the existing literature. Following from the important...

The Expected Discounted Penalty Function (EDPF) was introduced in a series of now classical papers ([9], [11] and [12]). Motivated by applications in option pricing and risk management, and inspired by recent developments in fluctuation theory for Lévy processes, we study an extended definition...