To predict future claims, it is well-known that the most recent claims are more predictive than
older ones. However, classic panel data models for claim counts, such as the multivariate …

The interdependence between multiple lines of business has an important impact on
determining loss reserves and risk capital, which are crucial for the solvency of a property …

The paper is concerned with multiple claim arrays. In recognition of the extensive use by
practitioners of large correlation matrices for the estimation of diversification benefits in …

We develop a claim score based on the Bonus-Malus approach proposed by [7]. We
compare the fit and predictive ability of this new model with various models for of panel …

Following some recent works on risk aggregation and capital allocation for mixed Erlang
risks joined by Sarmanov's multivariate distribution, in this paper we present some closed …

In this paper, we address the aggregation of dependent stop loss reinsurance risks where
the dependence among the ceding insurer (s) risks is governed by the Sarmanov …

An essential tool for comprehending the variable of interest is possessing a variable that can
interpret the behavior of another. The concept of dependency has been intensively …

The systemic risk measure plays a crucial role in analyzing individual losses conditioned on
extreme system-wide disasters. In this paper, we provide a unified asymptotic treatment for …

In this paper, we are interested in the dependence between lifetimes based on a joint
survival model. This model is built using the bivariate Sarmanov distribution with Phase …

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 …