Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, different loss reserving models specialise in capturing different aspects of loss data. This is recognised in practice in the sense that results from different models are...

The Markov-modulated Poisson process is utilised for count modelling in a variety of areas such as queueing, reliability, network and insurance claims analysis. In this paper, we extend the Markov-modulated Poisson process framework through the introduction of a flexible frequency perturbation...

The accurate estimation of outstanding liabilities of an insurance company is an essential task. This is to meet regulatory requirements, but also to achieve efficient internal capital management. Over the recent years, there has been increasing interest in the utilisation of insurance data at a...

This paper is concerned with dependency between business segments in the Property & Casualty industry. When considering the business of an insurance company at the aggregate level, dependence structures can have a major impact in several areas of Enterprise Risk Management, such as in claims...

In this paper, we develop a multivariate evolutionary generalised linear model (GLM) framework for claims reserving, which allows for dynamic features of claims activity in conjunction with dependency across business lines to accurately assess claims reserves. We extend the traditional GLM...

The class of spectrally positive Lévy processes is a frequent choice for modelling loss processes in areas such as insurance or operational risk. Dependence between such processes (for example, between different lines of business) can be modelled with Lévy copulas. This approach is a...

We consider the dual model, which is appropriate for modelling the surplus of companies with deterministic expenses and stochastic gains, such as pharmaceutical, petroleum or commission-based companies. Dividend strategies for this model that can be found in the literature include the barrier...

We consider the dual model, which is appropriate for modelling the surplus of companies with deterministic expenses and stochastic gains, such as pharmaceutical, petroleum or commission-based companies. Dividend strategies for this model that can be found in the literature include the barrier...

We solve the optimal asset allocation problem for an insurer or pension fund by using a benchmarking approach. Under this approach the objective is an increasing function of the relative performance of the asset portfolio compared to a benchmark. The benchmark can be, for example, a function of...

We provide a simple and explicit construction of a family of stochastic exponentials with expectation k[set membership, variant](0,1). Our family of stochastic exponentials can be constructed to be either strictly positive or merely non-negative.