We extend the classical compound Poisson risk model to consider the distribution of the maximum surplus before ruin where the claim sizes depend on inter-claim times via the Farlie-Gumbel-Morgenstern copula. We derive an integro-differential equation with certain boundary conditions for this...

This paper establishes some enlightening connections between the explicit formulas of the finite-time ruin probability established by Ignatov and Kaishev (2000, 2004) and Ignatov et al. (2001) for a risk model allowing dependence. The numerical properties of these formulas are investigated and...

This research studies a dynamic reinsurance model for an ambiguity-averse insurer. The insurer can manage its risk exposure through the purchase of reinsurance and the issuance of catastrophe bonds (CAT bonds) which are linked to an exogenous trigger index. The insurer worries about the veracity...

Grundlagen: Risikotheoretische Grundlagen und Verfahren; Grundlagen der Finanzderivate; Gesetzliche Grundlagen an das Risikomanagement; Kontrollaufgaben -- Liability Management: Versicherungsrisiken; Verfahren der Versicherungstechnik; Kontrollaufgaben -- Asset Management: Anlagengrundsätze;...

Digitalisierung, regulatorische Anforderungen, demografischer Wandel, Telematik, technische Unterstützungssysteme. - Digitization, regulatory requirements, demographic change, telematic technologies, technical support systems