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Insurance: Mathematics and Economics

1982 - 2022

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

From Elsevier
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Volume 105, issue C, 2022

Three-step risk inference in insurance ratemaking pp. 1-13 Downloads
Yanxi Hou, Seul Ki Kang, Chia Chun Lo and Liang Peng
Decrease of capital guarantees in life insurance products: Can reinsurance stop it? pp. 14-40 Downloads
Marcos Escobar-Anel, Yevhen Havrylenko, Michel Kschonnek and Rudi Zagst
Automatic Fatou property of law-invariant risk measures pp. 41-53 Downloads
Shengzhong Chen, Niushan Gao, Denny H. Leung and Lei Li
Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels pp. 54-63 Downloads
Zi Qing Ang and See Keong Lee
The location of a minimum variance squared distance functional pp. 64-78 Downloads
Zinoviy Landsman and Tomer Shushi
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data pp. 79-95 Downloads
Roel Henckaerts and Katrien Antonio
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method pp. 96-127 Downloads
Boda Kang, Yang Shen, Dan Zhu and Jonathan Ziveyi
Exact credibility reference Bayesian premiums pp. 128-143 Downloads
Emilio Gómez-Déniz and Francisco J. Vázquez-Polo
Stochastic loss reserving with mixture density neural networks pp. 144-174 Downloads
Muhammed Taher Al-Mudafer, Benjamin Avanzi, Greg Taylor and Bernard Wong
Refundable income annuities: Feasibility of money-back guarantees pp. 175-193 Downloads
Moshe Milevsky and Thomas S. Salisbury
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves pp. 194-202 Downloads
Agata Boratyńska and Zofia Zielińska-Kolasińska
Similar risks have similar prices: A useful and exact quantification pp. 203-210 Downloads
Stephen J. Mildenhall
Annuity and insurance choice under habit formation pp. 211-237 Downloads
Phelim Boyle, Ken Seng Tan, Pengyu Wei and Sheng Chao Zhuang
An asymptotic study of systemic expected shortfall and marginal expected shortfall pp. 238-251 Downloads
Yiqing Chen and Jiajun Liu
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets pp. 252-278 Downloads
Claudia Ceci, Katia Colaneri and Alessandra Cretarola
S-shaped narrow framing, skewness and the demand for insurance pp. 279-292 Downloads
Yichun Chi, Jiakun Zheng and Shengchao Zhuang
Controlling the effects of adverse selection in flexible benefit plans: A pricing-based approach pp. 293-312 Downloads
Cherie Ng, Barbara Sanders and Jean-François Bégin
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin pp. 313-335 Downloads
Hansjörg Albrecher, Dina Finger and Pierre-O. Goffard
Sample recycling method – a new approach to efficient nested Monte Carlo simulations pp. 336-359 Downloads
Runhuan Feng and Peng Li

Volume 104, issue C, 2022

Estimating and backtesting risk under heavy tails pp. 1-14 Downloads
Marcin Pitera and Thorsten Schmidt
COVID-19 and credit risk: A long memory perspective pp. 15-34 Downloads
Jie Yin, Bingyan Han and Hoi Ying Wong
Optimal insurance to maximize RDEU under a distortion-deviation premium principle pp. 35-59 Downloads
Xiaoqing Liang, Ruodu Wang and Virginia R. Young
Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses pp. 60-75 Downloads
Jin Meng and Kung-Sik Chan
On capital allocation for a risk measure derived from ruin theory pp. 76-98 Downloads
G.A. Delsing, M.R.H. Mandjes, P.J.C. Spreij and E.M.M. Winands
Optimal long-term contracts with disability insurance under limited commitment pp. 99-132 Downloads
Kyoung Jin Choi, Junkee Jeon, Ho-Seok Lee and Hsuan-Chih Lin
Estimating the time value of ruin in a Lévy risk model under low-frequency observation pp. 133-157 Downloads
Wenyuan Wang, Jiayi Xie and Zhimin Zhang
A hierarchical reserving model for reported non-life insurance claims pp. 158-184 Downloads
Jonas Crevecoeur, Jens Robben and Katrien Antonio
What can we learn from telematics car driving data: A survey pp. 185-199 Downloads
Guangyuan Gao, Shengwang Meng and Mario V. Wüthrich
Revisiting the optimal insurance design under adverse selection: Distortion risk measures and tail-risk overestimation pp. 200-221 Downloads
Zhihang Liang, Jushen Zou and Wenjun Jiang
Unraveling heterogeneity in cyber risks using quantile regressions pp. 222-242 Downloads
Martin Eling, Kwangmin Jung and Jeungbo Shim
A new class of copula regression models for modelling multivariate heavy-tailed data pp. 243-261 Downloads
Zhengxiao Li, Jan Beirlant and Liang Yang
A general optimal approach to Bühlmann credibility theory pp. 262-282 Downloads
Yujie Yan and Kai-Sheng Song
A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference pp. 283-301 Downloads
Yanxi Hou

Volume 103, issue C, 2022

Valuing guaranteed minimum accumulation benefits by a change of numéraire approach pp. 1-26 Downloads
Yiming Huang, Rogemar Mamon and Heng Xiong
Risk transference constraints in optimal reinsurance pp. 27-40 Downloads
Alejandro Balbás, Beatriz Balbás, Raquel Balbás and Antonio Heras
Multi-population mortality modeling: When the data is too much and not enough pp. 41-55 Downloads
Ko-Lun Kung, Richard D. MacMinn, Weiyu Kuo and Chenghsien Jason Tsai
Risk measures induced by efficient insurance contracts pp. 56-65 Downloads
Qiuqi Wang, Ruodu Wang and Ričardas Zitikis
Statistical inference for tail-based cumulative residual entropy pp. 66-95 Downloads
Hongfang Sun, Yu Chen and Taizhong Hu
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process pp. 96-118 Downloads
Hansjörg Albrecher, Eric C.K. Cheung, Haibo Liu and Jae-Kyung Woo
On non-negative equity guarantee calculations with macroeconomic variables related to house prices pp. 119-138 Downloads
Alexandru Badescu, Enoch Quaye and Radu Tunaru

Volume 102, issue C, 2022

Measuring and comparing risks of different types pp. 1-21 Downloads
Maximilian Aigner, Valérie Chavez-Demoulin and Armelle Guillou
Regret-based optimal insurance design pp. 22-41 Downloads
Yichun Chi and Sheng Chao Zhuang
Stackelberg differential game for reinsurance: Mean-variance framework and random horizon pp. 42-55 Downloads
Danping Li and Virginia R. Young
Short term decumulation strategies for underspending retirees pp. 56-74 Downloads
Peter A. Forsyth
Risk aggregation and capital allocation using a new generalized Archimedean copula pp. 75-90 Downloads
Fouad Marri and Khouzeima Moutanabbir
Portfolio risk analysis of excess of loss reinsurance pp. 91-110 Downloads
Qihe Tang, Zhiwei Tong and Li Xun
Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims pp. 111-125 Downloads
Raluca Vernic, Catalina Bolancé and Ramon Alemany
Systemic risk: Conditional distortion risk measures pp. 126-145 Downloads
Jan Dhaene, Roger Laeven and Yiying Zhang
Asymptotic results on marginal expected shortfalls for dependent risks pp. 146-168 Downloads
Jinzhu Li
Risk aggregation under dependence uncertainty and an order constraint pp. 169-187 Downloads
Yuyu Chen, Liyuan Lin and Ruodu Wang
Optimal asset allocation, consumption and retirement time with the variation in habitual persistence pp. 188-202 Downloads
Lin He, Zongxia Liang, Yilun Song and Qi Ye
Page updated 2022-06-30