4 papers
On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation
Gildas Ratovomirija, Maissa Tamraz, Raluca Vernic
Following some recent works on risk aggregation and capital allocation for mixed Erlang risks joined by Sarmanov's multivariate distribution, in this paper we present some closed-f…
Some Mathematical Aspects of Price Optimisation
Y. Bai, E. Hashorva, G. Ratovomirija +1
Calculation of an optimal tariff is a principal challenge for pricing actuaries. In this contribution we are concerned with the renewal insurance business discussing various mathem…
Insurance Applications of Some New Dependence Models derived from Multivariate Collective Models
Enkelejd Hashorva, Gildas Ratovomirija, Maissa Tamraz
Consider two different portfolios which have claims triggered by the same events. Their corresponding collective model over a fixed time period is given in terms of individual clai…
On bivariate lifetime modelling in life insurance applications
François Dufresne, Enkelejd Hashorva, Gildas Ratovomirija +1
Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common…