We review several common discretization schemes and study a particular class of power-tail
probability distributions on integers, obtained by discretizing continuous Pareto II (Lomax) …

We develop a stochastic model for the sum X and the maximum Y of dependent, heavy-tail
Pareto components. Our results include explicit forms of the probability density and …

We present basic properties and discuss potential insurance applications of a new class of
probability distributions on positive integers with power law tails. The distributions in this …

In this paper, we study a discrete time risk model based on exchangeable dependent claim
occurrences. In particular, we obtain expressions for the finite time non-ruin probability, and …

We study a single server queue, where a certain type of dependence is introduced between
the service times, or between the inter-arrival times, or both between the service times and …

In this paper we establish multivariate likelihood ratio, hazard rate, and reversed hazard rate
stochastic orderings between two mixtures of multivariate distributions. The new results in …

The goal of this paper is to give recent results in risk theory presented at the Conference”
Journée MAS 2012” which took place in Clermont Ferrand. After a brief state of the art on …

Accurately capturing the dependence between risks, if it exists, is an increasingly relevant
topic of actuarial research. In recent years, several authors have started to relax the …

This habilitation thesis to supervise research deals with statistical and game-theoretic
models and their use for actuarial science. It is composed of five chapters. Chapter 1 focuses …

ABSTRACT A discrete-time risk process is considered where the full distribution of the claim
size X is not completely known to the insurance company. Rather, it assumes that the …