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Insurance: Mathematics and Economics
1982 - 2013
Edited by R. Kaas , H. U. Gerber , M. J. Goovaerts and E. S. W. Shiu
from Elsevier
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Volume 39, issue 3 , 2006
Editorial pp. v-v E. Marceau and V. Goulet IME-award pp. 285-286 A.F. Shapiro Fuzzy formulation of the Lee-Carter model for mortality forecasting pp. 287-309 Marie-Claire Koissi and Arnold F. Shapiro Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts pp. 310-329 Alexander Melnikov and Yulia Romaniuk Asset and liability management under a continuous-time mean-variance optimization framework pp. 330-355 Mei Choi Chiu and Duan Li The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements pp. 356-375 Laura Ballotta , Giorgia Esposito and Steven Haberman Excess of loss reinsurance under joint survival optimality pp. 376-389 Vladimir K. Kaishev and Dimitrina S. Dimitrova Third Brazilian conference on statistical modelling in insurance and finance First announcement -- Call for papers pp. 390-390 N. Kolev Call for papers American Risk and Insurance Association 2007 annual meeting August 5-8, 2007 Quebec City, Canada pp. 392-392 Terri Vaughan Announcement and call for papers pp. 393-393 R. Kaas Volume 39, issue 2 , 2006
Risk-neutral valuation of participating life insurance contracts pp. 171-183 Daniel Bauer , Rudiger Kiesel , Alexander Kling and Ru[ss], Jochen Multivariate loss prediction in the multivariate additive model pp. 185-191 Klaus Th. Hess , Klaus D. Schmidt and Mathias Zocher Valuation and hedging of life insurance liabilities with systematic mortality risk pp. 193-217 Mikkel Dahl and Thomas Moller Regret, portfolio choice, and guarantees in defined contribution schemes pp. 219-229 Alexander Muermann , Olivia S. Mitchell and Jacqueline M. Volkman Measuring the effect of mortality improvements on the cost of annuities pp. 231-249 M. Khalaf-Allah , S. Haberman and R. Verrall Demand and adverse selection in a pooled annuity fund pp. 251-266 Emiliano A. Valdez , John Piggott and Liang Wang Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and independence pp. 267-284 Jingping Yang , Shihong Cheng and Lihong Zhang Volume 39, issue 1 , 2006
The compound binomial model with randomized decisions on paying dividends pp. 1-18 Jiyang Tan and Xiangqun Yang Risk measures via g-expectations pp. 19-34 Emanuela Rosazza Gianin A private management strategy for the crop yield insurer: A theoretical approach and tests pp. 35-46 Phelippe-Guinvarc'h, Martial V. and Jean Cordier Optimal insurance in a continuous-time model pp. 47-68 Kristen S. Moore and Virginia R. Young Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts pp. 69-80 C. Sanguesa Optimal investment decisions with a liability: The case of defined benefit pension plans pp. 81-98 Ricardo Josa-Fombellida and Juan Pablo Rincón-Zapatero Generalized estimating equations for variance and covariance parameters in regression credibility models pp. 99-113 Chi Ho Lo , Wing Kam Fung and Zhong Yi Zhu On the use of posterior regret [Gamma]-minimax actions to obtain credibility premiums pp. 115-121 E. Gomez-Deniz , José M. Perez-Sanchez and F.J. Vazquez-Polo Dynamic greeks pp. 123-133 Ragnar Norberg Pricing of multi-period rate of return guarantees: The Monte Carlo approach pp. 135-149 Henrik Bakken , Snorre Lindset and Lars Hesstvedt Olson On the stop-loss transform and order for the surplus process perturbed by diffusion pp. 151-170 Cary Chi-Liang Tsai Volume 38, issue 3 , 2006
Mortality-dependent financial risk measures pp. 427-440 Kevin Dowd , Andrew J.G. Cairns and David Blake On univariate extreme value statistics and the estimation of reinsurance premiums pp. 441-459 B. Vandewalle and J. Beirlant Variability of total claim amounts under dependence between claims severity and number of events pp. 460-468 Felix Belzunce , Eva-Maria Ortega , Franco Pellerey and Jose M. Ruiz Catastrophe options with stochastic interest rates and compound Poisson losses pp. 469-483 Sebastian Jaimungal and Tao Wang Monotonicity results for portfolios with heterogeneous claims arrival processes pp. 484-494 Esther Frostig and Michel Denuit Enhancing insurer value through reinsurance optimization pp. 495-517 Yuriy Krvavych and Michael Sherris Minimax pricing and Choquet pricing pp. 518-528 Zengjing Chen and Reg Kulperger The maximum surplus before ruin in an Erlang(n) risk process and related problems pp. 529-539 Shuanming Li and David C.M. Dickson Modelling negatives in stochastic reserving models pp. 540-555 Michael Kunkler A cohort-based extension to the Lee-Carter model for mortality reduction factors pp. 556-570 A.E. Renshaw and S. Haberman Weak convergence of a bootstrap geometric-type estimator with applications to risk theory pp. 571-584 Margarida Brito and Ana Cristina Moreira Freitas Pricing and hedging guaranteed returns on mix funds pp. 585-598 M.H. Vellekoop , A.A. Vd Kamp and B.A. Post Hedging life insurance contracts in a Lévy process financial market pp. 599-608 Martin Riesner Claim dependence with common effects in credibility models pp. 609-629 Keng Leong Yeo and Emiliano A. Valdez Analysis of risk measures for reinsurance layers pp. 630-639 Sophie A. Ladoucette and Jef L. Teugels Volume 38, issue 2 , 2006
Hedging guarantees in variable annuities under both equity and interest rate risks pp. 215-228 Thomas F. Coleman , Yuying Li and Maria-Cristina Patron Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims pp. 229-252 Montserrat Guillen , Peter Løchte Jørgensen and Jens Perch Nielsen Testing hypotheses about the equality of several risk measure values with applications in insurance pp. 253-270 Bruce L. Jones , Madan L. Puri and Ricardas Zitikis The impact of the determinants of mortality on life insurance and annuities pp. 271-288 Hyuk-Sung Kwon and Bruce L. Jones Consistent risk measures for portfolio vectors pp. 289-297 Christian Burgert and Ludger Ruschendorf On the first time of ruin in the bivariate compound Poisson model pp. 298-308 Kam C. Yuen , Junyi Guo and Xueyuan Wu Ruin probabilities in the discrete time renewal risk model pp. 309-323 Helene Cossette , David Landriault and Etienne Marceau A new characterization of distortion premiums via countable additivity for comonotonic risks pp. 324-334 Xianyi Wu and Xian Zhou Survival risks, intertemporal consumption, and insurance: The case of distorted probabilities pp. 335-346 Han Bleichrodt and Louis Eeckhoudt Production under uncertainty with insurance or hedging pp. 347-359 Arthur Hau Copula credibility for aggregate loss models pp. 360-373 Edward W. Frees and Ping Wang An insurance network: Nash equilibrium pp. 374-390 S. Ramasubramanian The preservation of classes of discrete distributions under convolution and mixing pp. 391-405 Kristina P. Pavlova , Jun Cai and Gordon E. Willmot Preservation of the location independent risk order under convolution pp. 406-412 Taizhong Hu , Jing Chen and Junchao Yao Multivariate skew-normal distributions with applications in insurance pp. 413-426 Raluca Vernic Volume 38, issue 1 , 2006
Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval pp. 1-20 Marie-Claire Koissi , Arnold F. Shapiro and Goran Hognas Financial valuation of guaranteed minimum withdrawal benefits pp. 21-38 Moshe A. Milevsky and Thomas S. Salisbury Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities pp. 39-56 J.L. Geluk and Casper G. de Vries The compound Poisson risk model with a threshold dividend strategy pp. 57-80 X.Sheldon Lin and Kristina P. Pavlova Affine stochastic mortality pp. 81-97 David F. Schrager An application of the [alpha]-power approximation in multiple life insurance pp. 98-112 Zhang Yi and Chengguo Weng On the control of defined-benefit pension plans pp. 113-131 Hong-Chih Huang and Andrew J.G. Cairns Stochastic orders and risk measures: Consistency and bounds pp. 132-148 Nicole Bauerle and Alfred Müller Recursions for compound phase distributions pp. 149-156 Karl-Theodor Eisele A volatility-varying and jump-diffusion Merton type model of interest rate risk pp. 157-166 Fernando Espinosa and Josep Vives Optimal portfolio problem with unknown dependency structure pp. 167-175 Ka Chun Cheung Speedy convolution algorithms and Panjer recursions for phase-type distributions pp. 176-188 Christian Hipp Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach pp. 189-194 Fatih Tank , Omer L. Gebizlioglu and Aysen Apaydin The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case pp. 195-214 Laura Ballotta and Steven Haberman
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