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 authors review various facts about copulas linking discrete distributions. They show how
the possibility of ties that results from atoms in the probability distribution invalidates various …

In this paper, we consider different issues related to Archimedean copulae and positive
dependence. In the first part, we characterize Archimedean copulae that possess positive …

In this paper, we consider a portfolio of n dependent risks X1,…, Xn and we study the
stochastic behavior of the aggregate claim amount S= X1+⋯+ Xn. Our objective is to …

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In this paper we obtain closed expressions for the probability distribution function of
aggregated risks with multivariate dependent Pareto distributions. We work with the …

A new family of copulas is introduced that provides flexible dependence structure while
being tractable and simple to use for multivariate discrete data modeling. The construction …

Several credibility models found in published literature have largely been single
dimensional in the sense that the observable claims are derived from a single individual risk …

Compound Poisson approximation appears naturally in situations where one deals with a
large number of rare events. It has important applications in insurance, extreme value …

This papers deals with credit portfolio risk analysis. The benchmark Basel II IRB approach
relies on the independence between losses given defaults and default events. Nevertheless …