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Insurance: Mathematics and Economics

1982 - 2023

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

From Elsevier
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Volume 110, issue C, 2023

Robust retirement and life insurance with inflation risk and model ambiguity pp. 1-30 Downloads
Kyunghyun Park, Hoi Ying Wong and Tingjin Yan
Optimal entry decision of unemployment insurance under partial information pp. 31-52 Downloads
Jie Xing, Jingtang Ma and Wensheng Yang
Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach pp. 53-71 Downloads
Jackson P. Lautier, Vladimir Pozdnyakov and Jun Yan
Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes pp. 72-81 Downloads
Duy Phat Nguyen and Konstantin Borovkov
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory pp. 82-105 Downloads
Hui Mi and Zuo Quan Xu
Empirical tail risk management with model-based annealing random search pp. 106-124 Downloads
Qi Fan, Ken Seng Tan and Jinggong Zhang

Volume 109, issue C, 2023

The Gerber-Shiu discounted penalty function: A review from practical perspectives pp. 1-28 Downloads
Yue He, Reiichiro Kawai, Yasutaka Shimizu and Kazutoshi Yamazaki
Dependence modeling of frequency-severity of insurance claims using waiting time pp. 29-51 Downloads
Guangyuan Gao and Jiahong Li
Managing reputational risk in the decumulation phase of a pension fund pp. 52-68 Downloads
M. Carmen Boado-Penas, Leonie V. Brinker, Julia Eisenberg and Ralf Korn
Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions pp. 69-93 Downloads
Wenyue Liu and Abel Cadenillas
Deep quantile and deep composite triplet regression pp. 94-112 Downloads
Tobias Fissler, Michael Merz and Mario V. Wüthrich

Volume 108, issue C, 2023

Two-stage nested simulation of tail risk measurement: A likelihood ratio approach pp. 1-24 Downloads
Ou Dang, Mingbin Feng and Mary R. Hardy
Optimal consumption and life insurance under shortfall aversion and a drawdown constraint pp. 25-45 Downloads
Xun Li, Xiang Yu and Qinyi Zhang
From risk reduction to risk elimination by conditional mean risk sharing of independent losses pp. 46-59 Downloads
Michel Denuit and Christian Y. Robert
Portfolio choice with illiquid asset for a loss-averse pension fund investor pp. 60-83 Downloads
Zheng Chen, Zhongfei Li and Yan Zeng
Pricing extreme mortality risk in the wake of the COVID-19 pandemic pp. 84-106 Downloads
Han Li, Haibo Liu, Qihe Tang and Zhongyi Yuan
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls pp. 107-128 Downloads
Mátyás Barczy, Fanni K. Nedényi and László Sütő
Optimal investment and consumption strategies for pooled annuity with partial information pp. 129-155 Downloads
Lin Xie, Lv Chen, Linyi Qian, Danping Li and Zhixin Yang
Inf-convolution and optimal allocations for mixed-VaRs pp. 156-164 Downloads
Zichao Xia, Zhenfeng Zou and Taizhong Hu
A new stochastic dominance criterion for dependent random variables with applications pp. 165-176 Downloads
Félix Belzunce and Carolina Martínez-Riquelme
Nonparametric density estimation and risk quantification from tabulated sample moments pp. 177-189 Downloads
Philippe Lambert

Volume 107, issue C, 2022

Copula-based inference for bivariate survival data with left truncation and dependent censoring pp. 1-21 Downloads
N.W. Deresa, I. Van Keilegom and Katrien Antonio
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables pp. 22-37 Downloads
Hamza Hanbali, Jan Dhaene and Daniël Linders
Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model pp. 38-56 Downloads
Jinzhu Li
BERT-based NLP techniques for classification and severity modeling in basic warranty data study pp. 57-67 Downloads
Shuzhe Xu, Chuanlong Zhang and Don Hong
Mortality modeling and regression with matrix distributions pp. 68-87 Downloads
Hansjörg Albrecher, Martin Bladt, Mogens Bladt and Jorge Yslas
Cyber-contagion model with network structure applied to insurance pp. 88-101 Downloads
Caroline Hillairet, Olivier Lopez, Louise d'Oultremont and Brieuc Spoorenberg
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating pp. 102-122 Downloads
Yuri Goegebeur, Armelle Guillou, Tine Pedersen and Jing Qin
Basis risk management and randomly scaled uncertainty pp. 123-139 Downloads
M. Mercè Claramunt, Claude Lefèvre, Stéphane Loisel and Pierre Montesinos
The Parisian and ultimate drawdowns of Lévy insurance models pp. 140-160 Downloads
Shu Li and Xiaowen Zhou
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns pp. 161-179 Downloads
Lisa Gao and Peng Shi
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models pp. 180-198 Downloads
Tsz Chai Fung
Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants pp. 199-222 Downloads
N.V. Gribkova, J. Su and R. Zitikis
Asymptotic theory for Mack's model pp. 223-268 Downloads
Julia Steinmetz and Carsten Jentsch
Multivariate claim processes with rough intensities: Properties and estimation pp. 269-287 Downloads
Donatien Hainaut
Extension of as-if-Markov modeling to scaled payments pp. 288-306 Downloads
Marcus C. Christiansen and Christian Furrer
Pareto-optimal reinsurance under individual risk constraints pp. 307-325 Downloads
Mario Ghossoub, Wenjun Jiang and Jiandong Ren
Irreversible reinsurance: A singular control approach pp. 326-348 Downloads
Tingjin Yan, Kyunghyun Park and Hoi Ying Wong
Ratemaking territories and adverse selection for flood insurance pp. 349-360 Downloads
Mathieu Boudreault and Angelica Ojeda
Bilateral risk sharing in a comonotone market with rank-dependent utilities pp. 361-378 Downloads
Tim J. Boonen and Wenjun Jiang
Frequency-severity experience rating based on latent Markovian risk profiles pp. 379-392 Downloads
Robert Matthijs Verschuren
Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk pp. 393-417 Downloads
Haiyan Liu and Tiantian Mao

Volume 106, issue C, 2022

Earthquake parametric insurance with Bayesian spatial quantile regression pp. 1-12 Downloads
Jeffrey Pai, Yunxian Li, Aijun Yang and Chenxu Li
Imbalanced learning for insurance using modified loss functions in tree-based models pp. 13-32 Downloads
Changyue Hu, Zhiyu Quan and Wing Fung Chong
Frequency and severity estimation of cyber attacks using spatial clustering analysis pp. 33-45 Downloads
Boyuan Ma, Tingjin Chu and Zhuo Jin
Dynamic optimal adjustment policies of hybrid pension plans pp. 46-68 Downloads
Lin He, Zongxia Liang and Sheng Wang
Care-dependent tontines pp. 69-89 Downloads
An Chen, Yusha Chen and Xian Xu
Cyber risk frequency, severity and insurance viability pp. 90-114 Downloads
Matteo Malavasi, Gareth W. Peters, Pavel V. Shevchenko, Stefan Trück, Jiwook Jang and Georgy Sofronov
Actuarial intelligence in auto insurance: Claim frequency modeling with driving behavior features and improved boosted trees pp. 115-127 Downloads
Shengwang Meng, Yaqian Gao and Yifan Huang
Stackelberg differential game for insurance under model ambiguity pp. 128-145 Downloads
Jingyi Cao, Dongchen Li, Virginia R. Young and Bin Zou
Optimal dividends under Markov-modulated bankruptcy level pp. 146-172 Downloads
Giorgio Ferrari, Patrick Schuhmann and Shihao Zhu
Avoiding zero probability events when computing Value at Risk contributions pp. 173-192 Downloads
Takaaki Koike, Yuri Saporito and Rodrigo Targino
Robust equilibrium strategies in a defined benefit pension plan game pp. 193-217 Downloads
Guohui Guan, Jiaqi Hu and Zongxia Liang
Stochastic mortality dynamics driven by mixed fractional Brownian motion pp. 218-238 Downloads
Hongjuan Zhou, Kenneth Q. Zhou and Xianping Li
Multi-population modelling and forecasting life-table death counts pp. 239-253 Downloads
Han Lin Shang, Steven Haberman and Ruofan Xu
Combining multi-asset and intrinsic risk measures pp. 254-269 Downloads
Christian Laudagé, Jörn Sass and Jörg Wenzel
Parametric measures of variability induced by risk measures pp. 270-284 Downloads
Fabio Bellini, Tolulope Fadina, Ruodu Wang and Yunran Wei
Green nested simulation via likelihood ratio: Applications to longevity risk management pp. 285-301 Downloads
Ben Mingbin Feng, Johnny Siu-Hang Li and Kenneth Q. Zhou
Asymptotic analysis of portfolio diversification pp. 302-325 Downloads
Hengxin Cui, Ken Seng Tan, Fan Yang and Chen Zhou
Model mortality rates using property and casualty insurance reserving methods pp. 326-340 Downloads
Cary Chi-Liang Tsai and Seyeon Kim
Modeling pandemic mortality risk and its application to mortality-linked security pricing pp. 341-363 Downloads
Fen-Ying Chen, Sharon S. Yang and Hong-Chih Huang
Multivariate matrix-exponential affine mixtures and their applications in risk theory pp. 364-389 Downloads
Eric C.K. Cheung, Oscar Peralta and Jae-Kyung Woo
Page updated 2023-05-30