In an insurance context, one is often interested in the distribution function of a sum of
random variables. Such a sum appears when considering the aggregate claims of an …

Stochastic Processes for Insurance and Finance offers a thorough yet accessible reference
for researchers and practitioners of insurance mathematics. Building on recent and rapid …

The increasing complexity of insurance and reinsurance products has seen a growing
interest amongst actuaries in the modelling of dependent risks. For efficient risk …

Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool
for solving several research and practical problems in the domain of finance and insurance …

The correlation order, which is defined as a partial order between bivariate distributions with
equal marginals, is shown to be a helpfull tool for deriving results concerning the riskiness of …

We compare some popular CDO pricing models, related to the bottom-up approach.
Dependence between default times is modelled through Gaussian, stochastic correlation …

In this contribution, the upper bounds for sums of dependent random variables X1+ X2+⋯+
Xn derived by using comonotonicity are sharpened for the case when there exists a random …

The paper considers the riskiness of portfolios of dependent risks. The supermodular
stochastic order is used to compare the dependence of multivariate distributions with equal …

There is a growing concern in the actuarial literature for the effect of dependence between
individual risks Xi on the distribution of the aggregate claim S= X1+⋯+ Xn. Recent work by …

In this paper we investigate multivariate risk portfolios, where the risks are dependent. By
providing some natural models for risk portfolios with the same marginal distributions we are …