Description: This is the abstract of a paper that complements the existing research on optimal reinsurance by proposing another model for the determination of the optimal reinsurance design.

Description: This abstract describes a paper that studies Gerber-Shiu functions and dividend payments in an insurance risk model driven by a spectrally negative Levy process of bounded variation.

Description: This abstract describes a paper that proposes a Bayesian hierarchical model to analyze intercompany claim triangles.

Description: Several authors have used Fourier inversion to compute prices of puts and calls, some using Parseval’s theorem. The expected value of max[S K,0] also arises in excess-of-loss of stop-loss insurance. This is the abstract of a paper that shows that Fourier methods may be used to compute them. The authors take the idea of using Parseval’s theorem further: 1. formulas requiring weaker assumptions, 2. relationship with classical inversion theorems for probability distributions, 3. formulas for pay-offs which occur in insurance. Numerical examples are provided.

Description: This is an abstract for a research paper that compares the generalized linear array model [GLAM] and Lee-Carter models by fitting them to Swedish mortality data. GLAM is presented as an alternative to Lee-Carter for modeling mortality by age and calendar year.

Description: This abstract describes a paper that investigates model uncertainty arising from different ways of treating the operational loss data collection threshold.

Description: This abstract describes a paper that produces a high-resolution, 100-member simulation of surface atmospheric temperature over North America for 1979–2015.

Description: This abstract describes a study in which a goal programming model is constructed for analysis of a non-life insurance sector.

Description: This is the abstract of a paper that presents an iterative procedure for computing the lower approximation of the Snell envelope - a value process of the American option. The method produces an increasing sequence of approximations of the Snell envelope from below, which coincide with the Snell envelope in discrete time after finite steps. Advantages of this method compared with other well-known traditional approaches are discussed first. Then, elaborate algorithm details associated with theoretical proofs are discussed. An example of constructing the lower approximation is available with numerical results, which are demonstrated in figures. Some characteristics of the implementation in the computational environment and an improvement are mentioned at the end.