We consider a discrete-time model for the cash flow of an insurance portfolio/business in which the net losses are random variables, while the return rates are fuzzy numbers. We choose the shape of these fuzzy numbers trapezoidal, Gaussian or lognormal, the last one having a more flexible shape...

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be...

In the present paper, we study error bounds for approximations to multivariate distributions. In particular, we discuss some general versions of compound multivariate distributions and look at distributions of dependent random variables constructed by linear transforms of independent random...

We present an algorithm for recursive evaluation of the corresponding...

Prediction is a very important and not so easy task for an actuary. An insurance company needs predictions of the future claims in order to evaluate premiums, to assess its financial situation, probabilities of ruin, etc. Therefore, modeling the claims distribution is of great importance, but...

A multivariate distribution possessing arbitrarily parameterized Pareto margins is formulated and studied. The distribution is believed to allow for an adequate modeling of dependent heavy tailed risks with a non-zero probability of simultaneous loss. Numerous links to certain existing...

We consider a discrete-time insurance risk model, in which the financial risks constitute a stationary process with finite dimensional distributions of Farlie-Gumbel-Morgenstern type. We obtain an exact asymptotic formula for the ruin probability, reflecting the impact of this kind of...