A new family of bivariate max-infinitely divisible distributions

In this article we discuss the asymptotic behaviour of the componentwise maxima for a specific bivariate triangular array. Its components are given in terms of linear transformations of bivariate generalised symmetrised Dirichlet random vectors introduced in Fang and Fang (Statistical inference in elliptically contoured and related distributions. Allerton Press, New York, 1990). We show that the componentwise maxima of such triangular arrays is attracted by a bivariate max-infinitely divisible distribution function, provided that the associated random radius is in the Weibull max-domain of attraction.     

Gaussian risk models with financial constraints

In this paper, we investigate Gaussian risk models which include financial elements, such as inflation and interest rates. For some general models for inflation and interest rates, we obtain an asymptotic expansion of the finite-time ruin probability for Gaussian risk models. Furthermore, we derive an approximation of the conditional ruin time by an exponential random variable as the initial capital tends to infinity.     

Analysis of a change-point regression problem in quality control by partial sums processes and Kolmogorov type tests

In practice, it is an important problem (especially in quality control) to secure that a known regression function occurs during a certain period in time. In the present paper, we consider the change-point problem that under the null hypothesis this known regression function occurs. As alternative, we consider a certain non-parametric class of functions that is of particular interest in quality control. We analyze this test problem by using partial sums of the data. Asymptotically, we get Brownian motion and Brownian motion with trend (≠0) under the hypothesis and under the alternative, respectively. We prove that tests based on partial sums have a larger power when the partial sums are taken from the time reversed data. This can be quantitatively determined in an asymptotic way by some new results on Kolmogorov type tests for Brownian motion with trend. We illustrate our results by a certain model that is interesting in quality control and by an example with real data.Supported in part by the Deutsche Forschungsgemeinschaft Grant Bi655.Supported in part by the Deutsche Forschungsgemeinschaft Grant Bi655 and by the Swiss National Science Foundation Grant 20-55586.98.     

Some mathematical aspects of price optimisation

Calculation of an optimal tariff is a principal challenge for pricing actuaries. In this contribution we are concerned with the renewal insurance business discussing various mathematical aspects of calculation of an optimal renewal tariff. Our motivation comes from two important actuarial tasks, namely (a) construction of an optimal renewal tariff subject to business and technical constraints, and (b) determination of an optimal allocation of certain premium loadings. We consider both continuous and discrete optimisation and then present several algorithmic suboptimal solutions. Additionally, we explore some simulation techniques. Several illustrative examples show both the complexity and the importance of the optimisation approach.     

Limit theorems for the spacings of weak records

Let W(1), W(2), . . . be weak record values obtained from a sample of independent variables with common discrete distribution. In the present paper, we derive weak and strong limit theorems for the spacings W(n + m) − W(n), m ≥ 1, n → ∞.