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- Jun Cai, Ken Seng Tan, Chengguo Weng, Yi Zhang
- 2007

Let X denote the loss initially assumed by an insurer. In a reinsurance design, the insurer cedes part of its loss, say f(X), to a reinsurer, and thus the insurer retains a loss If (X) = X − f(X). In return, the insurer is obligated to compensate the reinsurer for undertaking the risk by paying the reinsurance premium. Hence, the sum of the retained loss… (More)

- Yi Zhang, Xinmei Shen, Chengguo Weng
- 2008

Consider the problem of approximating the tail probability of randomly weighted sums ∑n i=1 ΘiXi and their maxima, where {Xi, i ≥ 1} is a sequence of identically distributed but not necessarily independent random variables from the extended regular variation class and {Θi, i ≥ 1} is a sequence of nonnegative random variables, independent of {Xi, i ≥ 1} and… (More)

- Chengguo Weng, Yi Zhang
- J. Multivariate Analysis
- 2012

The multivariate regular variation (MRV) is one of the most important tools in modeling multivariate heavy-tailed phenomena. This paper characterizes the MRV distributions through the tail dependence function of the copula associated with them. Along with some existing results, our studies indicate that the existence of the lower tail dependence function of… (More)

- Julia I. Borman, Barry K. Goodwin, +12 authors Zhiwei Shen
- 2015

Purpose – The purpose of this paper is to be an academic inquiry into rating issues confronted by the US Federal Crop Insurance program stemming from changes in participation rates as well as the weighting of data to reflect longer-run weather patterns. Design/methodology/approach – The authors investigate two specific approaches that differ from those… (More)

Under certain assumptions on the dependence structure of the residual lives of the insureds (independent, positively/negatively associated), in this paper we establish some laws of large numbers for the convex upper bounds, derived by the technique of comonotonicity, of the present value function of a homogenous portfolio composed of the whole-life… (More)

This paper establishes some asymptotic results for both finite and ultimate ruin probabilities in a discrete time risk model with constant interest rates, and individual net losses in R−α, the class of regular variation with index α > 0. The individual net losses are allowed to be generally dependent while they have zero index of upper tail dependence, so… (More)

This research paper uses partially historical corn yields of each county over five states as training set for calibrating alternative yield models including single parametric distributions, nonparametric distributions, semiparametric distributions, mixing models, and other nontraditional models. The calibrated models are applied to predict the yield of the… (More)

- Chengguo Weng
- 2009

It is well-known that reinsurance can be an effective risk management technique for an insurer. An appropriate use of reinsurance reduces the adverse risk exposure of an insurer and improves the overall viability of the underlying business. The use of reinsurance, on the other hand, incurs additional cost to the insurer in the form of reinsurance premium.… (More)

- Eric C. K. Cheung, David Landriault, +16 authors David Landriault
- 2008

In the context of a dividend barrier strategy, we analyze the moments of the discounted dividend payments and the expected discounted penalty function for surplus processes with a claim arrival process of a Markovian type. We show that a relationship similar to the dividend-penalty identity of Gerber et al. (2006) can be derived for the class of perturbed… (More)

- Enrique Guzmán de Alba, Gordon E. Willmot, +15 authors Enrique de Alb
- 2008

In non-life insurance the traditional chain-ladder method for claims reserving is widely used and its results frequently serve as benchmark. From the actuarial point of view, reserving is a problem of estimation, or more precisely, forecasting. As in many fields the estimation or prediction methods can range from very simple deterministic techniques to some… (More)