Description: This paper derives limited fluctuations credibility results for the Generalized Linear Model GLM and the extended case of generalized linear mixed model GLMM. It shows how credibility depends on the sample size, the distribution of covariates, and the link function. This provides a mechanism to obtain confidence intervals for the GLM and GLMM estimators.

Description: In this paper some general properties of compound nonstationary Poisson processes are discussed as well as the possible shapes of the intensity function. A decomposition of the accumulated claims as a sum of independent compound Poisson sums is shown. An embedded discrete risk model is introduced. It is shown that ruin probabilities and maximal losses for the nonstationary risk model find lower bounds with the embedded discrete model. From Actuarial Research Clearing House 1994 VOL. 1.

Description: Two renewal processes, known in reliability maintenance as minimal repair and replacement policy, are introduced in this paper. Their properties are studied in the case where the generating random sequence has a distribution with periodic failure rate. Applications in risk theory are shown. From Actuarial Research Clearing House 1993, VOL. 1.

Description: This abstract describes a paper that shows how to calculate the distribution of discounted compound PH-renewal sums by inverting the Laplace transform.

Description: The main objective of this study is to analyze and control a surplus dependent risk process, where larger surpluses allow for a wider underwriting policy. We focus here mostly on the diffusion approximation of the risk process. The results are derived in two papers Brownian motion in Risk Theory, submitted for publication, and Surplus dependent risk processes defined by stochastic differential equations, in preparation. We only include here a long summary of these papers.

Description: In this article the authors work out the expected discounted penalty function for Levy processes. Unlike the classical compound Poisson case that models the individual claim size distribution and obtains from it the aggregate distribution, here the aggregate claims distribution is known. From Actuarial Research Clearing House, 2006.

Description: This abstract describes a paper that studies the relation between the two basic random events associated with human mortality: birth and death.

Description: This abstract describes research that provides an alternative approach for establishing insurance premiums which takes into account the dependence between the claim frequency and severity.