Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red

Methodology and Computing in Applied Probability - In this paper, we study a generalized version of the expected time in the red and the expected area in red introduced in Loisel (2005). We derive...     

Bounds on Multivariate Kendall’s Tau and Spearman’s Rho for Zero-Inflated Continuous Variables and their Application to Insurance

Methodology and Computing in Applied Probability - In this note, we derive upper bounds on Kendall’s tau and Spearman’s rho for multivariate zero-inflated continuous variables often...     

Ruin problems under IBNR dynamics

In this paper, we consider a discrete‐time risk process allowing for delay in claim settlement, which introduces a certain type of dependence in the process. From martingale theory, an expression for the ultimate ruin probability is obtained, and Lundberg‐type inequalities are derived. The impact of delay in claim settlement is then investigated. To this end, a convex order comparison of the aggregate claim amounts is performed with the corresponding non‐delayed risk model, and numerical simulations are carried out with Belgian market data. Copyright © 2011 John Wiley & Sons, Ltd.