Description: In this paper we give new general criteria for the weak convergence of one-dimensional distributions of generalized risk processes and describe the class of possible limit laws under an infinite growth of stochastic portfolio size and stochastic intensity of insurance payment.

Description: Sometimes, rare things happen and the least expected occurs. Indeed, some events occur once or twice in a lifetime leaving little room to learn from experiences. In financial markets, extreme events, no matter how rare, could have a profound impact on a company or even the whole country. Insurers are also not free from the impact of catastrophic large-scale extreme events. As a result, with pervasive economic and financial revolutions sweeping our world and potential devastative catastrophes, the increasing interest in tail risk management is fuelled by practical issues, including investment downside risk and insurance catastrophe risk. Thus, developing statistical techniques to model extreme investment and insurance losses is certainly a major task for risk managers. the purpose of our paper is to apply moment methods to estimate the joint events such as concurrent extreme investment loss and insurance loss. A novel aspect of this article is that it takes into account the correlation between different assets and insurance lines of business.

Description: This article pertains to the optimal asset allocation of surplus from an insurance company model. The insurance company is represented by a compound Poisson risk process which is perturbed by diffusion and has investments. The investments are in both risky and risk-free types of assets similar to stocks/real estate and bonds. The insurance company can borrow at a constant interest rate in the event of a negative surplus. Numerical analysis appears to show that an optimal asset allocation range can be estimated for certain parameters and compared with insurance data. Using a conservative method to minimize the probability of ruin, a reasonable optimal asset allocation range for a typical insurance company is about 4.5 to 8.2 percent invested in risky stock/real estate assets. An inequality and the exact solution are obtained for the pure diffusion equation. In addition, the asymptotic form of the ruin probability is shown to be a power function.

Description: Presented at August 2011 46th Actuarial Research Conference. This paper focuses on mainly focus on the case in which the risk variable follows a distribution function from a max-domain of attraction.

Description: The Committee on Finance Research makes available a research report exploring the mechanics and implementation of economic capital programs for life insurance companies. Discussion items include common methods for calculating economic capital advantages and disadvantages of each method.