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

The theory of copulae is known to provide a useful tool for modelling dependence in
integrated risk management. In the present paper we review and extend some of the more …

This report summarizes methods to incorporate information (or lack of information) about
inter-variable dependence into risk assessments that use Dempster-Shafer theory or …

The problem of finding the best-possible lower bound on the distribution of a non-
decreasing function of n dependent risks is solved when n= 2 and a lower bound on the …

Let (Y1,…, Yn) have a joint n-dimensional Gaussian distribution with a general mean vector
and a general covariance matrix, and let [Formula: see text], Sn= X1+⋯+ Xn. The …

Let X 1, X 2 denote positive heavy-tailed random variables with continuous marginal
distribution functions F 1 and F 2, respectively. The asymptotic behavior of the tail of X 1+ X 2 …

The limitations of the deterministic formulation of scheduling are outlined and a probabilistic
approach is motivated. A number of models are reviewed with one being chosen as a basic …

We give a new proof of the central result in Wüthrich [Astin Bulletin 33 (1)(2003) 75]. For d
identically and continuously distributed dependent risks X1,…, xd, the probability of a large …

We consider the problem of efficient estimation of tail probabilities of sums of correlated
lognormals via simulation. This problem is motivated by the tail analysis of portfolios of …

This report summarizes methods to incorporate information (or lack of information) about
inter-variable dependence into risk assessments that use Dempster-Shafer theory or …