2016 June - 9 articles
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure. The main inspi...
This paper studies the dependence between coupled lives, i.e., the spouses’ dependence, across different generations, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochasti...
Binomial trees are very popular in both theory and applications of option pricing. As they often suffer from an irregular convergence behavior, improving this is an important task. We build upon a new version of the Edgeworth expansion for lattice mo...
This paper discusses different classes of loss models in non-life insurance settings. It then overviews the class of Tukey transform loss models that have not yet been widely considered in non-life insurance modelling, but offer opportunities to prod...
Traditionally, actuaries have used run-off triangles to estimate reserve (“macro” models, on aggregated data). However, it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate uncerta...
We analyze the daily returns of stock market indices and currencies of 56 countries over the period of 2002–2012. We build a network model consisting of two layers, one being the stock market indices and the other the foreign exchange markets. Synchr...
Traditional participating life insurance contracts with year-to-year (cliquet-style) guarantees have come under pressure in the current situation of low interest rates and volatile capital markets, in particular when priced in a market-consistent val...
Pay-as-you-drive (PAYD), or usage-based automobile insurance (UBI), is a policy agreement tied to vehicle usage. In this paper we analyze the effect of the distance traveled on the risk of accidents among young drivers with a PAYD policy. We use regr...
In this paper, a dynamic inflation-protected investment strategy is presented, which is based on traditional asset classes and Markov-switching models. Different stock market, as well as inflation regimes are identified, and within those regimes, the...
