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Insurance: Mathematics and Economics

1982 - 2017

Current editor(s): R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

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Volume 73, issue C, 2017

Complete discounted cash flow valuation pp. 1-19 Downloads
Lesław Gajek and Łukasz Kuciński
Risk aggregation in Solvency II through recursive log-normals pp. 20-26 Downloads
Erik Bølviken and Montserrat Guillen
A note on risky targets and effort pp. 27-30 Downloads
Kit Pong Wong
Ordering optimal deductible allocations for stochastic arrangement increasing risks pp. 31-40 Downloads
Chen Li and Xiaohu Li
Full Bayesian analysis of claims reserving uncertainty pp. 41-53 Downloads
Gareth W. Peters, Rodrigo Targino and Mario V. Wüthrich
Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks pp. 54-67 Downloads
Nan-Wei Han and Mao-Wei Hung
Incorporating model uncertainty into optimal insurance contract design pp. 68-74 Downloads
Georg Ch. Pflug, Anna Timonina-Farkas and Stefan Hochrainer-Stigler
A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks pp. 75-81 Downloads
Yiqing Chen and Zhongyi Yuan
Optimal dividend payout model with risk sensitive preferences pp. 82-93 Downloads
Nicole Bäuerle and Anna Jaśkiewicz
On a bivariate copula with both upper and lower full-range tail dependence pp. 94-104 Downloads
Lei Hua
On the effects of changing mortality patterns on investment, labour and consumption under uncertainty pp. 105-115 Downloads
Christian-Oliver Ewald and Aihua Zhang
On the distribution of cumulative Parisian ruin pp. 116-123 Downloads
Hélène Guérin and Jean-François Renaud
A unisex stochastic mortality model to comply with EU Gender Directive pp. 124-136 Downloads
An Chen and Elena Vigna
Optimal investment strategies for participating contracts pp. 137-155 Downloads
Hongcan Lin, David Saunders and Chengguo Weng
A limit distribution of credit portfolio losses with low default probabilities pp. 156-167 Downloads
Xiaojun Shi, Qihe Tang and Zhongyi Yuan

Volume 72, issue C, 2017

Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization pp. 1-5 Downloads
Michel M. Denuit and Mhamed Mesfioui
Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model pp. 6-20 Downloads
Danping Li, Ximin Rong, Hui Zhao and Bo Yi
A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches pp. 21-35 Downloads
Catalin Cantia and Radu Tunaru
Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits pp. 36-48 Downloads
Runhuan Feng and Xiaochen Jing
Multi-period risk sharing under financial fairness pp. 49-66 Downloads
Hailong Bao, Eduard Ponds and Johannes Schumacher
Measuring mortality heterogeneity with multi-state models and interval-censored data pp. 67-82 Downloads
Alexandre Boumezoued, Nicole El Karoui and Stéphane Loisel
The valuation of life contingencies: A symmetrical triangular fuzzy approximation pp. 83-94 Downloads
Jorge de Andrés-Sánchez and Laura González-Vila Puchades
Capital allocation for portfolios with non-linear risk aggregation pp. 95-106 Downloads
Tim J. Boonen, Andreas Tsanakas and Mario V. Wüthrich
Existence of optimal consumption strategies in markets with longevity risk pp. 107-121 Downloads
J. de Kort and M.H. Vellekoop
Modeling operational risk incorporating reputation risk: An integrated analysis for financial firms pp. 122-137 Downloads
Christian Eckert and Nadine Gatzert
Cliquet-style return guarantees in a regime switching Lévy model pp. 138-147 Downloads
Peter Hieber
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models pp. 148-162 Downloads
Benjamin Avanzi, José-Luis Pérez, Bernard Wong and Kazutoshi Yamazaki
Efficient option risk measurement with reduced model risk pp. 163-174 Downloads
Sovan Mitra
Redistribution of longevity risk: The effect of heterogeneous mortality beliefs pp. 175-188 Downloads
Tim J. Boonen, Anja De Waegenaere and Henk Norde
Intensity-based framework for surrender modeling in life insurance pp. 189-196 Downloads
Vincenzo Russo, Rosella Giacometti and Frank J. Fabozzi
Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework pp. 197-214 Downloads
Haoze Sun, Chengguo Weng and Yi Zhang
Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform pp. 215-227 Downloads
Hao Chang and Kai Chang
On compound sums under dependence pp. 228-234 Downloads
Serkan Eryilmaz
Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity pp. 235-249 Downloads
Ailing Gu, Frederi G. Viens and Bo Yi
Insurance valuation: A computable multi-period cost-of-capital approach pp. 250-264 Downloads
Hampus Engsner, Mathias Lindholm and Filip Lindskog
On optimal dividends with exponential and linear penalty payments pp. 265-270 Downloads
Matthias Vierkötter and Hanspeter Schmidli

Volume 71, issue C, 2016

A micro-level claim count model with overdispersion and reporting delays pp. 1-14 Downloads
Benjamin Avanzi, Bernard Wong and Xinda Yang
Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach pp. 15-26 Downloads
Anthony Floryszczak, Olivier Le Courtois and Mohamed Majri
On a class of dependent Sparre Andersen risk models and a bailout application pp. 27-39 Downloads
F. Avram, A.L. Badescu, M.R. Pistorius and L. Rabehasaina
Move-based hedging of variable annuities: A semi-analytic approach pp. 40-49 Downloads
X. Sheldon Lin, Panpan Wu and Xiao Wang
Longevity risk and retirement income tax efficiency: A location spending rate puzzle pp. 50-62 Downloads
Huaxiong Huang and Moshe A. Milevsky
Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach pp. 63-78 Downloads
Benjamin Avanzi, Greg Taylor, Phuong Anh Vu and Bernard Wong
Catastrophe equity put options with target variance pp. 79-86 Downloads
Xingchun Wang
Optimal allocation of policy deductibles for exchangeable risks pp. 87-92 Downloads
Sirous Fathi Manesh, Baha-Eldin Khaledi and Jan Dhaene
Issues with the Smith–Wilson method pp. 93-102 Downloads
Andreas Lagerås and Mathias Lindholm
Multi-period defined contribution pension funds investment management with regime-switching and mortality risk pp. 103-113 Downloads
Haixiang Yao, Ping Chen and Xun Li
Polynomial diffusion models for life insurance liabilities pp. 114-129 Downloads
Francesca Biagini and Yinglin Zhang
Coherent modeling of male and female mortality using Lee–Carter in a complex number framework pp. 130-137 Downloads
Piet de Jong, Leonie Tickle and Jianhui Xu
On capital injections and dividends with tax in a classical risk model pp. 138-144 Downloads
Hanspeter Schmidli
Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods pp. 145-153 Downloads
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral
Risk aggregation in multivariate dependent Pareto distributions pp. 154-163 Downloads
José María Sarabia, Emilio Gómez-Déniz, Faustino Prieto and Vanesa Jordá
Optimal mean–variance efficiency of a family with life insurance under inflation risk pp. 164-178 Downloads
Zongxia Liang and Xiaoyang Zhao
Tail conditional moments for elliptical and log-elliptical distributions pp. 179-188 Downloads
Zinoviy Landsman, Udi Makov and Tomer Shushi
A note on the Log-Lindley distribution pp. 189-194 Downloads
P. Jodrá and M.D. Jiménez-Gamero
Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return pp. 195-204 Downloads
Jinzhu Li
The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options pp. 205-219 Downloads
Griselda Deelstra, Martino Grasselli and Christopher Van Weverberg
Tail asymptotics of generalized deflated risks with insurance applications pp. 220-231 Downloads
Chengxiu Ling and Zuoxiang Peng
Optimal reinsurance under dynamic VaR constraint pp. 232-243 Downloads
Nan Zhang, Zhuo Jin, Shuanming Li and Ping Chen
Bayesian multinomial latent variable modeling for fraud and abuse detection in health insurance pp. 244-252 Downloads
Andreas Bayerstadler, Linda van Dijk and Fabian Winter
Constrained investment–reinsurance optimization with regime switching under variance premium principle pp. 253-267 Downloads
Lv Chen, Linyi Qian, Yang Shen and Wei Wang
Accounting and actuarial smoothing of retirement payouts in participating life annuities pp. 268-283 Downloads
Raimond Maurer, Olivia Mitchell, Ralph Rogalla and Ivonne Siegelin
A pair of optimal reinsurance–investment strategies in the two-sided exit framework pp. 284-294 Downloads
David Landriault, Bin Li, Danping Li and Dongchen Li
From regulatory life tables to stochastic mortality projections: The exponential decline model pp. 295-303 Downloads
Michel Denuit and Julien Trufin
On the occupation times in a delayed Sparre Andersen risk model with exponential claims pp. 304-316 Downloads
Can Jin, Shuanming Li and Xueyuan Wu
Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors pp. 317-331 Downloads
Flavia Barsotti, Xavier Milhaud and Yahia Salhi
Extremes for coherent risk measures pp. 332-341 Downloads
Alexandru V. Asimit and Jinzhu Li
Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting pp. 342-352 Downloads
Łukasz Delong and An Chen
Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration pp. 353-366 Downloads
Kai Yin Kwok, Mei Choi Chiu and Hoi Ying Wong
Impact of volatility clustering on equity indexed annuities pp. 367-381 Downloads
Donatien Hainaut
Valuation and risk assessment of participating life insurance in the presence of credit risk pp. 382-393 Downloads
Johanna Eckert, Nadine Gatzert and Michael Martin
Cooperative investment in incomplete markets under financial fairness pp. 394-406 Downloads
Jaroslav Pazdera, Johannes Schumacher and Bas J.M. Werker
Page updated 2017-06-22