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Insurance: Mathematics and Economics
1982 - 2011
Edited by R. Kaas , H. U. Gerber , M. J. Goovaerts and E. S. W. Shiu
from Elsevier
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Volume 49, issue 2 , 2011
A dynamic parameterization modeling for the age-period-cohort mortality pp. 155-174 P. Hatzopoulos and S. Haberman Optimality of general reinsurance contracts under CTE risk measure pp. 175-187 Ken Seng Tan , Chengguo Weng and Yi Zhang Detection and correction of outliers in the bivariate chain-ladder method pp. 188-193 T. Verdonck and M. Van Wouwe Minimizing the probability of lifetime ruin under stochastic volatility pp. 194-206 Erhan Bayraktar , Xueying Hu and Virginia R. Young Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process pp. 207-215 Zhibin Liang , Kam Chuen Yuen and Junyi Guo Exponential change of measure applied to term structures of interest rates and exchange rates pp. 216-225 Lijun Bo A copula approach to test asymmetric information with applications to predictive modeling pp. 226-239 Peng Shi and Emiliano A. Valdez A recursive approach to mortality-linked derivative pricing pp. 240-248 Zhaoning Shang , Marc Goovaerts and Jan Dhaene Risk comparison of different bonus distribution approaches in participating life insurance pp. 249-264 Alexandra Zemp A generalized beta copula with applications in modeling multivariate long-tailed data pp. 265-284 Xipei Yang , Edward W. Frees and Zhengjun Zhang Volume 49, issue 1 , 2011
A utility-based comparison of pension funds and life insurance companies under regulatory constraints pp. 1-10 Dirk Broeders , An Chen and Birgit Koos Stochastic comparisons of distorted variability measures pp. 11-17 Miguel A. Sordo and Alfonso Suárez-Llorens Bias-reduced estimators for bivariate tail modelling pp. 18-26 J. Beirlant , G. Dierckx and A. Guillou A generalized linear model with smoothing effects for claims reserving pp. 27-37 Susanna Björkwall , Ola Hössjer , Esbjörn Ohlsson and Richard Verrall Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing pp. 38-46 Wenge Zhu Stochastic orders in time transformed exponential models with applications pp. 47-52 Xiaohu Li and Jianhua Lin Calibrating affine stochastic mortality models using term assurance premiums pp. 53-60 Vincenzo Russo , Rosella Giacometti , Sergio Ortobelli , Svetlozar Rachev and Frank J. Fabozzi On "optimal pension management in a stochastic framework" with exponential utility pp. 61-69 Qing-Ping Ma Actuarial applications of the linear hazard transform in life contingencies pp. 70-80 Cary Chi-Liang Tsai and Lingzhi Jiang Time-simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortality pp. 81-88 Johnny Siu-Hang Li and Wai-Sum Chan Reactive investment strategies pp. 89-99 Andrew P. Leung Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives pp. 100-114 Andrew Ngai and Michael Sherris Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches pp. 115-125 Stefan Graf , Alexander Kling and Jochen Ruß A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process pp. 126-131 Peter Diko and Miguel Usábel The influence of non-linear dependencies on the basis risk of industry loss warranties pp. 132-144 Nadine Gatzert and Ralf Kellner Optimal time-consistent investment and reinsurance policies for mean-variance insurers pp. 145-154 Yan Zeng and Zhongfei Li Volume 48, issue 3 , 2011
Household consumption, investment and life insurance pp. 315-325 Kenneth Bruhn and Mogens Steffensen On the threshold dividend strategy for a generalized jump-diffusion risk model pp. 326-337 Yichun Chi and X. Sheldon Lin Stochastic comparisons for allocations of policy limits and deductibles with applications pp. 338-343 ZhiYi Lu and LiLi Meng Classical and singular stochastic control for the optimal dividend policy when there is regime switching pp. 344-354 Luz R. Sotomayor and Abel Cadenillas Mortality density forecasts: An analysis of six stochastic mortality models pp. 355-367 Andrew J.G. Cairns , David Blake , Kevin Dowd , Guy D. Coughlan , David Epstein and Marwa Khalaf-Allah Characterization of upper comonotonicity via tail convex order pp. 368-373 Hee Seok Nam , Qihe Tang and Fan Yang Convolutions of multivariate phase-type distributions pp. 374-377 Jasmin Berdel and Christian Hipp Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size pp. 378-383 Éva Orbán Mihálykó and Csaba Mihálykó A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium pp. 384-397 Eric C.K. Cheung Optimal control and dependence modeling of insurance portfolios with Lévy dynamics pp. 398-405 Nicole Bäuerle and Anja Blatter A new discrete distribution with actuarial applications pp. 406-412 Emilio Gómez-Déniz , José María Sarabia and Enrique Calderín-Ojeda Volume 48, issue 2 , 2011
Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee pp. 161-175 Oberlain Nteukam T. , Frédéric PLANCHET and Pierre-Emmanuel Thérond Optimal investment and consumption decision of a family with life insurance pp. 176-188 Minsuk Kwak , Yong Hyun Shin and U Jin Choi Refinements of two-sided bounds for renewal equations pp. 189-196 Jae-Kyung Woo Entropy, longevity and the cost of annuities pp. 197-204 Steven Haberman , Marwa Khalaf-Allah and Richard Verrall Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas pp. 205-213 Geon Ho Choe and Hyun Jin Jang A new proof of Cheung's characterization of comonotonicity pp. 214-216 Tiantian Mao and Taizhong Hu On 1-convexity and nucleolus of co-insurance games pp. 217-225 Theo S.H. Driessen , Vito Fragnelli , Ilya V. Katsev and Anna B. Khmelnitskaya Bayesian multivariate Poisson models for insurance ratemaking pp. 226-236 Lluís Bermúdez and Dimitris Karlis Adaptive Importance Sampling for simulating copula-based distributions pp. 237-245 Marco Bee Approximation of bivariate copulas by patched bivariate Fréchet copulas pp. 246-256 Yanting Zheng , Jingping Yang and Jianhua Z. Huang Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums pp. 257-264 Hristo S. Sendov , Ying Wang and Ricardas Zitikis Explicit ruin formulas for models with dependence among risks pp. 265-270 Hansjörg Albrecher , Corina Constantinescu and Stéphane Loisel An application of comonotonicity theory in a stochastic life annuity framework pp. 271-279 Xiaoming Liu , Jisoo Jang and Sun Mee Kim Quantile hedging for equity-linked contracts pp. 280-286 Przemyslaw Klusik and Zbigniew Palmowski Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses? pp. 287-303 Gareth W. Peters , Aaron D. Byrnes and Pavel V. Shevchenko An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models pp. 304-313 Runhuan Feng Volume 48, issue 1 , 2011
Three retirement decision models for defined contribution pension plan members: A simulation study pp. 1-18 Bonnie-Jeanne MacDonald and Andrew J.G. Cairns Risk models based on time series for count random variables pp. 19-28 Hélène Cossette , Étienne Marceau and Florent Toureille The strictest common relaxation of a family of risk measures pp. 29-34 Berend Roorda and Johannes M. Schumacher A comparative study of parametric mortality projection models pp. 35-55 Steven Haberman and Arthur Renshaw On the distribution of the (un)bounded sum of random variables pp. 56-63 Umberto Cherubini , Sabrina Mulinacci and Silvia Romagnoli Optimal non-proportional reinsurance control and stochastic differential games pp. 64-71 Michael Taksar and Xudong Zeng Robust-efficient credibility models with heavy-tailed claims: A mixed linear models perspective pp. 72-84 Harald Dornheim and Vytaras Brazauskas The influence of individual claims on the chain-ladder estimates: Analysis and diagnostic tool pp. 85-98 T. Verdonck and M. Debruyne Multivariate density estimation using dimension reducing information and tail flattening transformations pp. 99-110 Tine Buch-Kromann , Montserrat Guillen , Oliver Bruce Linton and Jens Perch Nielsen Risk measures in ordered normed linear spaces with non-empty cone-interior pp. 111-122 Dimitrios G. Konstantinides and Christos E. Kountzakis On absolute ruin minimization under a diffusion approximation model pp. 123-133 Shangzhen Luo and Michael Taksar Risk processes with shot noise Cox claim number process and reserve dependent premium rate pp. 134-145 Claudio Macci and Giovanni Luca Torrisi Portfolio selection and duality under mean variance preferences pp. 146-152 Thomas Eichner Tails of correlation mixtures of elliptical copulas pp. 153-160 Hans Manner and Johan Segers
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