Insurance: Mathematics and Economics

1982 - 2009

Edited by R. Kaas, H. U. Gerber, M. J. Goovaerts and E. S. W. Shiu

from Elsevier
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Volume 45, issue 1, 2009

Semiparametric model for prediction of individual claim loss reserving pp. 1-8

Xiao Bing Zhao, Xian Zhou and Jing Long Wang

Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model pp. 9-18

Jianwei Gao

A Markov-modulated model for stocks paying discrete dividends pp. 19-24

E. Sakkas and H. Le

Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints pp. 25-34

Raimond Maurer, Olivia Mitchell and Ralph Rogalla

Upper comonotonicity pp. 35-40

Ka Chun Cheung

An optimal dividends problem with transaction costs for spectrally negative Lévy processes pp. 41-48

R.L. Loeffen

Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts pp. 49-58

Abdelhakim Necir and Djamel Meraghni

A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts pp. 59-64

Roy Cerqueti, Rachele Foschi and Fabio Spizzichino

The valuation of contingent capital with catastrophe risks pp. 65-73

Lin, Shih-Kuei, Chang, Chia-Chien and Michael R. Powers

Sample path large and moderate deviations for risk model with delayed claims pp. 74-80

Fuqing Gao and Jun Yan

Optimal investment and reinsurance of an insurer with model uncertainty pp. 81-88

Xin Zhang and Tak Kuen Siu

Applications of conditional comonotonicity to some optimization problems pp. 89-93

Ka Chun Cheung

What is the impact of stock market contagion on an investor's portfolio choice? pp. 94-112

Nicole Branger, Holger Kraft and Christoph Meinerding

Minimum standards for investment performance: A new perspective on non-life insurer solvency pp. 113-122

Martin Eling, Nadine Gatzert and Hato Schmeiser

Stochastic portfolio specific mortality and the quantification of mortality basis risk pp. 123-132

Richard Plat

Ruin probability in the presence of interest earnings and tax payments pp. 133-138

Li Wei

A class of multivariate copulas with bivariate Frechet marginal copulas pp. 139-147

Jingping Yang, Yongcheng Qi and Ruodu Wang

Continuous-time mean-variance portfolio selection with liability and regime switching pp. 148-155

Shuxiang Xie

Volume 44, issue 3, 2009

[Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC pp. 325-336

SADEFO KAMDEM Jules

A jump-diffusion model for option pricing under fuzzy environments pp. 337-344

Weidong Xu, Chongfeng Wu, Weijun Xu and Hongyi Li

Univariate and bivariate GPD methods for predicting extreme wind storm losses pp. 345-356

Erik Brodin and Holger Rootzén

A capital allocation based on a solvency exchange option pp. 357-366

Joseph H.T. Kim and Mary R. Hardy

A claims persistence process and insurance pp. 367-373

Pierre Vallois and Charles S. Tapiero

Optimal reinsurance with general risk measures pp. 374-384

Alejandro Balbás, Beatriz Balbás and Antonio Heras

Bounds and approximations for sums of dependent log-elliptical random variables pp. 385-397

Emiliano A. Valdez, Jan Dhaene, Mateusz Maj and Steven Vanduffel

Decomposition of a Schur-constant model and its applications pp. 398-408

Yichun Chi, Jingping Yang and Yongcheng Qi

Optimal allocation of policy limits and deductibles under distortion risk measures pp. 409-414

Weiwei Zhuang, Zijin Chen and Taizhong Hu

Global loss diversification in the insurance sector pp. 415-425

Oleg Sheremet and Andre Lucas

Optimal risk sharing with different reference probabilities pp. 426-433

Beatrice Acciaio and Gregor Svindland

Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance pp. 434-446

Thomas Gerstner, Michael Griebel and Markus Holtz

Minimizing the lifetime shortfall or shortfall at death pp. 447-458

Erhan Bayraktar and Virginia R. Young

Long time behaviour of stochastic interest rate models pp. 459-463

Juan Zhao

Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times pp. 464-472

Rohana S. Ambagaspitiya

Optimal proportional reinsurance and investment with transaction costs, I: Maximizing the terminal wealth pp. 473-478

Zhang, Xin-Li, Zhang, Ke-Cun and Yu, Xing-Jiang

Optimal portfolios for DC pension plans under a CEV model pp. 479-490

Jianwei Gao

Survival probability for a two-dimensional risk model pp. 491-496

Lanfen Dang, Ning Zhu and Haiming Zhang

Computing the mean and the variance of the cedent's share for largest claims reinsurance covers pp. 497-504

Christian Hess

Adverse selection or advantageous selection? Risk and underwriting in China's health-insurance market pp. 505-510

Feng Gao, Michael R. Powers and Jun Wang

Volume 44, issue 2, 2009

Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance pp. 143-145

Christian Genest, Hans U. Gerber, Marc J. Goovaerts and Roger J.A. Laeven

Worst VaR scenarios with given marginals and measures of association pp. 146-158

Rob Kaas, Roger J.A. Laeven and Roger B. Nelsen

Worst VaR scenarios: A remark pp. 159-163

Roger J.A. Laeven

Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness pp. 164-169

Paul Embrechts, Johanna Neslehová and Mario V. Wüthrich

Estimating copula densities through wavelets pp. 170-181

Christian Genest, Esterina Masiello and Karine Tribouley

Pair-copula constructions of multiple dependence pp. 182-198

Kjersti Aas, Claudia Czado, Arnoldo Frigessi and Henrik Bakken

Goodness-of-fit tests for copulas: A review and a power study pp. 199-213

Christian Genest, Bruno Rémillard and David Beaudoin

Multivariate probit models for conditional claim-types pp. 214-228

Gary Young, Emiliano A. Valdez and Robert Kohn

Modelling dynamic portfolio risk using risk drivers of elliptical processes pp. 229-244

Rafael Schmidt and Christian Schmieder

On the discrete-time compound renewal risk model with dependence pp. 245-259

Etienne Marceau

Editorial pp. 261-263

Rob Kaas, Jeroen Loos, Hans Gerber, Marc Goovaerts and Elias Shiu

Editorial pp. 267-267

Marc Goovaerts, Rob Kaas and Elias Shiu

To split or not to split: Capital allocation with convex risk measures pp. 268-277

Andreas Tsanakas

Further improved recursions for a class of compound Poisson distributions pp. 278-286

Stathis Chadjiconstantinidis and Georgios Pitselis

Pricing perpetual American catastrophe put options: A penalty function approach pp. 287-295

X. Sheldon Lin and Tao Wang

The Markovian regime-switching risk model with a threshold dividend strategy pp. 296-303

Yi Lu and Shuanming Li

The tax identity in risk theory -- a simple proof and an extension pp. 304-306

Hansjörg Albrecher, Sem Borst, Onno Boxma and Jacques Resing

Fuzzy random variables pp. 307-314

Arnold F. Shapiro

On a dual model with a dividend threshold pp. 315-324

Andrew C.Y. Ng

Volume 44, issue 1, 2009

Optimal surrender strategies for equity-indexed annuity investors pp. 1-18

Kristen S. Moore

The credibility premiums for models with dependence induced by common effects pp. 19-25

Limin Wen, Xianyi Wu and Xian Zhou

Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints pp. 26-34

Pablo Azcue and Nora Muler

Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios pp. 35-47

Peter Laurence and Wang, Tai-Ho

Securitization of motor insurance loss rate risks pp. 48-58

Taehan Bae, Changki Kim and Reginald J. Kulperger

Analytical valuation of catastrophe equity options with negative exponential jumps pp. 59-69

Chang, Lung-fu and Hung, Mao-wei

A new aspect of a risk process and its statistical inference pp. 70-77

Yasutaka Shimizu

Valuation and hedging of participating life-insurance policies under management discretion pp. 78-87

Torsten Kleinow

Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs pp. 88-94

Lin He and Zongxia Liang

Closed-form valuations of basket options using a multivariate normal inverse Gaussian model pp. 95-102

Wu, Yang-Che, Liao, Szu-Lang and Shyu, So-De

A parameterized approach to modeling and forecasting mortality pp. 103-123

P. Hatzopoulos and S. Haberman

Analytical approximations for prices of swap rate dependent embedded options in insurance products pp. 124-134

Richard Plat and Antoon Pelsser

A priori ratemaking using bivariate Poisson regression models pp. 135-141

Lluís Bermúdez Morata