We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times
depending on the claims that arrive within a fixed (past) time window. This dependence …

Classical compound Poisson risk models consider the premium rate to be constant. By
adjusting the premium rate to the claims history, one can emulate a Bonus–Malus system …

Ruin capital is a function of premium rate set to render the probability of ruin within finite time
equal to a given value. The analytical studies of this function in the classical Lundberg …

This paper aims to analyze unstructured data using a text mining approach. The work was
motivated in order to organize and structure research in Risk Theory. In our study, the …

In this dissertation we consider the problem of pricing and hedging insurance liabilities, by
extending concepts and methodologies recently introduced in the mathematical literature for …

Esta tese apresenta avanços teóricos e práticos na ciência atuarial. É composta por seis
capítulos que consistem em seis artigos sobre temas da ciência atuarial, ou seja, tópicos em …

In the present paper, we consider the classical compound Poisson risk model with
dependence between claim sizes and claim inter-arrival time. We attempt to analyze the …

This thesis constitutes a research work on Bonus-Malus (BM) systems in insurance
portfolios, featuring designing pricing strategies and examining associated solvency risks …

Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining
loan even if their house was destroyed by a catastrophic event, we model the lender's cash …

Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining
loan even if their house was destroyed by a catastrophic event, we model the lender's cash …