Abstract. An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help ofâ€¦ (More)

In an insurance context, the discounted sum of losses within a finite or infinite time period can be described as a randomly weighted sum of a sequence of independent random variables. Theseâ€¦ (More)

This paper deals with the blvarlate generahzed Po~sson distribution. The distribution ~s fitted to the aggregate amount of claims for a compound class of policies submitted to clarets of two kindsâ€¦ (More)

In this paper we introduce a composite Exponential-Pareto model, which equals an exponential density up to a certain threshold value, and a two parameter Pareto density for the rest of the model.â€¦ (More)

In this paper we study the multivariate skew-normal distribution and its scale mixtures, as extensions of the similar non-skewed distributions. Different parameterizations and some properties areâ€¦ (More)

In this paper we consider compound distributions where the counting distribution is a bivariate distribution with the probability function (Pn,,,2)n,,n2_>0 that satisfies a recursion in the formâ€¦ (More)

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplishedâ€¦ (More)

This paper proposes a multivariate generalization of the generalized Poisson distribution. Its definition and main properties are given. The parameters are estimated by the method of moments.

Based on the statistical analysis of a data sample from property insurance, in this paper we consider two lognormal mixture models that we fitted to our data sample. The first model is a usual twoâ€¦ (More)