This article reviews methods from extreme value analysis with applications to risk
assessment in finance. It covers three main methodological paradigms: the classical …

This book covers some of the main aspects of insurance mathematics, parts of risk
management and financial risk, and some relevant probabilistic tools. The view is theoretical …

Preface... then, prudence cannot be science. Nor can it be skill. It is not science because the
matters of conduct may vary; and it is not skill because the genus of action is different from …

This paper is organized in three parts closely related to closure properties of heavy-tailed
distributions and heavy-tailed random vectors. In the first part we consider two random …

The asymptotic behaviour of the tail expectation E (S n ξ) α 𝕝 {S n ξ> x} is investigated,
where exponent α is a nonnegative real number and S n ξ= ξ 1+…+ ξ n is a sum of …

In actuarial statistics, distributions with heavy tails are of great interest to actuaries, as they
represent a better description of risk exposure through a type of indicator with a certain …

In this paper, we investigate the asymptotic behavior of randomly weighted sums of the form
of S n θ ξ= θ 1 ξ 1+⋯+ θ n ξ n under the transformation φ: ℝ→ ℝ satisfying several asymptotic …

Multivariate regular variation is a key concept that has been applied in finance, insurance,
and risk management. This paper proposes a new dependence assumption via a framework …

Data including significant losses are a pervasive issue in general insurance. The
computation of premiums and reinsurance premiums, using deductibles, in situations of …

The multidimensional distributions with heavy tails attracted recently the attention of several
papers on Applied Probability. However, the most of the works of the last decades are …