The Aggregate Claims Distribution in the Individual Model with Arbitrary Positive Claims

The Claims Library Capability Maturity Model Evaluating a Claims Library

One of the problem that plagues Human-Computer Interaction (HCI) software is its development cost. Many software companies forego the usability engineering aspect of their projects due to the time required to design and test user interfaces. Unfortunately, there is no “silver bullet” for user interface design and implementation because they are inherently difficult tasks. As computers are movin...

An Aggregate Claims Model Between Independence and Comonotone Dependence

We introduce a simple aggregate claims model, which is able to take into account a continuous range of positive dependence between independence and comonotone dependence. It is based on a multivariate extension of the one-parameter bivariate Fréchet copula, which finds a justification as follows. The chosen model uses only one additional dependence parameter, which is chosen such that it yields...

How should we aggregate competing claims ?

Numerical Algorithm for the Stochastic Present Value of Aggregate Claims in the Renewal Risk Model

For the stochastic present value of aggregate claims in the renewal risk model, a numerical algorithm is constructed based on the Monte Carlo and random process principle. The basic idea and design process of this algorithm is detailed. The numerical simulation results show that it is consistence with the theory analysis result under different parameter different distribution. The numerical alg...

Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

Consider an insurer who is allowed to make risk-free and risky investments. The price process of the investment portfolio is described as a geometric Lévy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of Pareto type, we obtain a simple asymptotic formula which holds uniformly for all time horizons. The same...