We consider a risk process modelled as a compound Poisson process. We find the otimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a...

In an editorial in ASTIN Bulletin, Hans Bühlmann (2002) suggests it is time to change the teaching of life insurance theory towards the real life challenges of that industry. The following note is a response to this editorial

Under a guaranteed annuity option, an insurer guarantees to convert a policyholder`s accumulated funds to a life annuity at a fixed rate when the policy matures. If the annuity rates provided under the guarantee are more beneficial to the policyholder than the prevailing rates in the market the...

How does a change in the risk-free interest-rate affect the value of a non-life insurance company or portfolio? Risk managers typically argue that there should be little impact as long as assets and liabilities are properly matched.

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.

The model used in the technique of the Life Actuary is built oni) probabilities of insured events, e.g. death, survival, disablement...

We study the distribution of the time to ruin in the classical risk model. We consider some methods of calculating this distribution...

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...

The purpose of this paper is to obtain approximations to the transition intensities defined for a multiple state model for Permanent Health Insurance (PHI) which enables us to analyse PHI claims by cause of disability...