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.

This paper aims to study the kind of dependence induced by the introduction of correlated latent variables in the annual numbers of claims reported by policyholders.

In this paper non-normal distributions via scale mixtures are introduced into insurance applications. The symmetric distributions of interest are the Student-t and exponential power (EP) distributions. ... We shall show that the computational burden for the Bayesian calculations is alleviated...

This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or liability can be either traded or not traded...

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

For the Cramer-Lundberg risk model with phase-type claims, it is shown that the probability of ruin before an independent phase-type time H coincides with the ruin probability in a certain Markovian fluid model and therefore has an matrix-exponential form. When H is exponential, this yields in...

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...