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 43, issue 3, 2008

Preface pp. 279-279

Ken Seng Tan and Gordon Willmot

Dynamic asset liability management with tolerance for limited shortfalls pp. 281-294

Jérôme Detemple and Marcel Rindisbacher

Pricing currency options under two-factor Markov-modulated stochastic volatility models pp. 295-302

Tak Kuen Siu, Hailiang Yang and John W. Lau

The design of equity-indexed annuities pp. 303-315

Phelim Boyle and Weidong Tian

Simulation of jump diffusions and the pricing of options pp. 316-326

Joe DiCesare and Don Mcleish

Computation of optimal portfolios using simulation-based dimension reduction pp. 327-338

Phelim Boyle, Junichi Imai and Ken Seng Tan

Estimation and evaluation of the term structure of credit default swaps: An empirical study pp. 339-349

Ren-Raw Chen, Xiaolin Cheng and Bo Liu

A model of R&D valuation and the design of research incentives pp. 350-367

Jason C. Hsu and Eduardo S. Schwartz

Claims reserving: A correlated Bayesian model pp. 368-376

Enrique de Alba and Luis E. Nieto-Barajas

Government-provided annuities under insolvency risk pp. 377-385

Rachel Juiching Huang, Jeffrey T. Tsai and Larry Y. Tzeng

Skewed bivariate models and nonparametric estimation for the CTE risk measure pp. 386-393

Catalina Bolance, Montserrat Guillen, Elena Pelican and Raluca Vernic

Applications of a multi-state risk factor/mortality model in life insurance pp. 394-402

Hyuk-Sung Kwon and Bruce L. Jones

Characterization of comonotonicity using convex order pp. 403-406

Ka Chun Cheung

Dependence and the asymptotic behavior of large claims reinsurance pp. 407-411

Alexandru V. Asimit and Bruce L. Jones

Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed pp. 412-421

Romain Biard, Claude Lefèvre and Stéphane Loisel

Pricing catastrophe options in discrete operational time pp. 422-430

Carolyn W. Chang, Jack S.K. Chang and WeiLi Lu

Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims pp. 431-436

Jun Jiang and Qihe Tang

Determination of risk pricing measures from market prices of risk pp. 437-443

Henryk Gzyl and Silvia Mayoral

On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula pp. 444-455

Hélène Cossette, Etienne Marceau and Fouad Marri

Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model pp. 456-465

Ping Chen, Hailiang Yang and George Yin

Joint modelling of the total amount and the number of claims by conditionals pp. 466-473

José María Sarabia and Montserrat Guillen

Optimal control of the insurance company with proportional reinsurance policy under solvency constraints pp. 474-479

Lin He, Ping Hou and Zongxia Liang

Volume 43, issue 2, 2008

Tail bounds for the distribution of the deficit in the renewal risk model pp. 197-202

Georgios Psarrakos

Edgeworth expansion for an estimator of the adjustment coefficient pp. 203-208

Margarida Brito and Ana Cristina Moreira Freitas

On the link between credibility and frequency premium pp. 209-213

Catalina Bolancé, Montserrat Guillen and Jean Pinquet

Pricing of catastrophe insurance options written on a loss index with reestimation pp. 214-222

Francesca Biagini, Yuliya Bregman and Thilo Meyer-Brandis

Asset proportions in optimal portfolios with dependent default risks pp. 223-226

Zijin Chen and Taizhong Hu

Optimal dividends with incomplete information in the dual model pp. 227-233

Hans U. Gerber and Nathaniel Smith

Modelling stochastic mortality for dependent lives pp. 234-244

Elisa Luciano, Jaap Spreeuw and Elena Vigna

Bayesian modelling of financial guarantee insurance pp. 245-254

Anne Puustelli, Lasse Koskinen and Arto Luoma

Actuarial comparisons for aggregate claims with randomly right-truncated claims pp. 255-262

Laureano F. Escudero and Eva-María Ortega

Weighted risk capital allocations pp. 263-269

Edward Furman and Ricardas Zitikis

Optimal dividend strategies in a Cramér-Lundberg model with capital injections pp. 270-278

Natalie Kulenko and Hanspeter Schmidli

Volume 43, issue 1, 2008

The impact of illiquidity on the asset management of insurance companies pp. 1-14

Thomas R. Berry-Stölzle

Optimal investment and life insurance strategies under minimum and maximum constraints pp. 15-28

Peter Holm Nielsen and Mogens Steffensen

Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment pp. 29-40

Katharina Zaglauer and Daniel Bauer

Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios pp. 41-55

Jérôme Barbarin

Optimal consumption and portfolio choice for pooled annuity funds pp. 56-68

Michael Z. Stamos

GARCH option pricing: A semiparametric approach pp. 69-84

Alexandru M. Badescu and Reg J. Kulperger

Tails of random sums of a heavy-tailed number of light-tailed terms pp. 85-92

Christian Y. Robert and Johan Segers

Worst allocations of policy limits and deductibles pp. 93-98

Lei Hua and Ka Chun Cheung

On option pricing under a completely random measure via a generalized Esscher transform pp. 99-107

John W. Lau and Tak Kuen Siu

Threshold control of mutual insurance with limited commitment pp. 108-115

Jia Yan, John J. Liu and Kevin X. Li

A uniform asymptotic estimate for discounted aggregate claims with subexponential tails pp. 116-120

Xuemiao Hao and Qihe Tang

Fitting mixed-effects models when data are left truncated pp. 121-133

Jostein Paulsen, Astrid Lunde and Hans Julius Skaug

Optimal dividend strategies for a risk process under force of interest pp. 134-149

Hansjörg Albrecher and Stefan Thonhauser

Enhanced annuities and the impact of individual underwriting on an insurer's profit situation pp. 150-157

Gudrun Hoermann and Jochen Ruß

Tail asymptotic results for elliptical distributions pp. 158-164

Enkelejd Hashorva

The effect of modelling parameters on the value of GMWB guarantees pp. 165-173

Z. Chen, K. Vetzal and P.A. Forsyth

Quadratic stochastic intensity and prospective mortality tables pp. 174-184

Christian S. Gourieroux and Alain Monfort

Optimal reinsurance under VaR and CTE risk measures pp. 185-196

Jun Cai, Ken Seng Tan, Chengguo Weng and Yi Zhang