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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 74, issue C, 2017

A note on the convexity of ruin probabilities pp. 1-6 Downloads
David Landriault, Bin Li, Sooie-Hoe Loke, Gordon E. Willmot and Di Xu
Optimal investment and reinsurance for an insurer under Markov-modulated financial market pp. 7-19 Downloads
Lin Xu, Liming Zhang and Dingjun Yao
Intergenerational risk sharing in closing pension funds pp. 20-30 Downloads
Tim J. Boonen and Anja De Waegenaere
Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér–Lundberg model pp. 31-45 Downloads
Shumin Chen, Yan Zeng and Zhifeng Hao
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps pp. 46-62 Downloads
Zhenyu Cui, J. Lars Kirkby and Duy Nguyen
Contagion modeling between the financial and insurance markets with time changed processes pp. 63-77 Downloads
Donatien Hainaut
Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model pp. 78-83 Downloads
A. Touazi, Z. Benouaret, D. Aissani and S. Adjabi
Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus pp. 84-98 Downloads
Yasutaka Shimizu and Zhimin Zhang
Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks pp. 99-108 Downloads
Alexandra Lauer and Henryk Zähle
Multiple risk factor dependence structures: Copulas and related properties pp. 109-121 Downloads
Jianxi Su and Edward Furman
Risk measures in a quantile regression credibility framework with Fama/French data applications pp. 122-134 Downloads
Georgios Pitselis
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes pp. 135-146 Downloads
Yongxia Zhao, Ping Chen and Hailiang Yang
Characterization of acceptance sets for co-monotone risk measures pp. 147-152 Downloads
Marc Oliver Rieger
Parisian ruin for a refracted Lévy process pp. 153-163 Downloads
Mohamed Amine Lkabous, Irmina Czarna and Jean-François Renaud
A new uncertain insurance model with variational lower limit pp. 164-169 Downloads
Yang Liu, Xingfang Zhang and Weimin Ma
A state dependent reinsurance model pp. 170-181 Downloads
Onno Boxma, Esther Frostig, David Perry and Rami Yosef
Sustainability of participation in collective pension schemes: An option pricing approach pp. 182-196 Downloads
Damiaan H.J. Chen, Roel M.W.J. Beetsma, Dirk W.G.A. Broeders and Antoon A.J. Pelsser
On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation pp. 197-209 Downloads
Gildas Ratovomirija, Maissa Tamraz and Raluca Vernic

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
Page updated 2017-08-16