In this project, we consider the occupation times in a renewal (Sparre Andersen) insurance risk model with exponential claim sizes. Following the idea in Landriault et al. (2015)[4], we use the fluid flow technique to freeze/unfreeze the sample path and make connections to a corresponding Compound Poisson model.

In the collective risk model, the aggregate claim amount for the portfolio is denoted by S = X1 + X2 + · · · + XN where Xi , i ≥ 1, is the amount of loss resulting from the ith accident and N the total number of accidents incurred by the insurance company during a certain reference period (e.g. one year). Suppose that the amount of a loss is the sum of the claims related to the different covera...

This article provides an overview of the audit process along with the belief-function approach to audit decisions. In particular, the article highlights the advantages of using belief functions for representing uncertainties in the audit evidence and discusses the audit risk model of the American Institute of Certified Public Accountants as a plausibility model. Also, the article discusses the ...

Motivated by the wide applications of distortion function and copulas in insurance and finance, this paper generalizes the notion of deterministic distortion function to a stochastic distortion function, i.e., a random process, and employs the defined stochastic distortion function to construct a so-called stochastic distorted copula. One method for constructing stochastic distortions is provid...

Implementing large strategic IS in the UK health sector has recently become the subject of much debate, as hospitals have undergone wide-reaching government-led institutional reforms involving the introduction of IT. Many of the developments have followed the patterns in the U.S. One such example is that of Case Mix, introduced strategically as part of the Resource Management Initiative and aim...

The paper studies structural credit risk models with incomplete information of the asset value. It is shown that the pricing of typical corporate securities such as equity, corporate bonds or CDSs leads to a nonlinear filtering problem. This problem cannot be tackled with standard techniques as the default time does not have an intensity under full information. Using the Dellacherie-formula the...

Let {Xk, k ≥ 1} be a sequence of independent, identically distributed nonnegative random variables with common distribution function F and finite expectation μ > 0. Under the assumption that the tail probability F(x) = 1−F(x) is consistently varying as x tends to infinity, this paper investigates precise large deviations for both the partial sums Sn and the random sums SN(t), where N(·) is a co...

This paper examines how stochastic changes in risk a¤ect the demand for saving. We consider two models of savings demand: one in which future labor income is risky and one in which the return on savings is risky. In each model, we examine the e¤ects of anN -degree stochastic change in the risk. For each case, we establish necessary and su¢ cient conditions on preferences that will guarantee tha...

In this paper, we study the discounted free Gerber-Shiu function for the compound binomial risk model with by-claims and randomized dividend policy. Specifically, explicit expression for the discounted free Gerber-Shiu function is obtained. This result allows us to derive formulae for some useful insurance quantities, including the ruin probability, the probability function of the deficit at ru...

SongTao Jiang CreditX ShangHai, China [email protected] Wei Min CreditX ShangHai, China [email protected] Qiang Gao CreditX ShangHai, China [email protected]