Insurance: Mathematics and Economics

1982 - 2023

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

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Volume 110, issue C, 2023

Robust retirement and life insurance with inflation risk and model ambiguity pp. 1-30

Kyunghyun Park, Hoi Ying Wong and Tingjin Yan

Optimal entry decision of unemployment insurance under partial information pp. 31-52

Jie Xing, Jingtang Ma and Wensheng Yang

Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach pp. 53-71

Jackson P. Lautier, Vladimir Pozdnyakov and Jun Yan

Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes pp. 72-81

Duy Phat Nguyen and Konstantin Borovkov

Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory pp. 82-105

Hui Mi and Zuo Quan Xu

Empirical tail risk management with model-based annealing random search pp. 106-124

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

Yue He, Reiichiro Kawai, Yasutaka Shimizu and Kazutoshi Yamazaki

Dependence modeling of frequency-severity of insurance claims using waiting time pp. 29-51

Guangyuan Gao and Jiahong Li

Managing reputational risk in the decumulation phase of a pension fund pp. 52-68

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

Wenyue Liu and Abel Cadenillas

Deep quantile and deep composite triplet regression pp. 94-112

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

Ou Dang, Mingbin Feng and Mary R. Hardy

Optimal consumption and life insurance under shortfall aversion and a drawdown constraint pp. 25-45

Xun Li, Xiang Yu and Qinyi Zhang

From risk reduction to risk elimination by conditional mean risk sharing of independent losses pp. 46-59

Michel Denuit and Christian Y. Robert

Portfolio choice with illiquid asset for a loss-averse pension fund investor pp. 60-83

Zheng Chen, Zhongfei Li and Yan Zeng

Pricing extreme mortality risk in the wake of the COVID-19 pandemic pp. 84-106

Han Li, Haibo Liu, Qihe Tang and Zhongyi Yuan

Probability equivalent level of Value at Risk and higher-order Expected Shortfalls pp. 107-128

Mátyás Barczy, Fanni K. Nedényi and László Sütő

Optimal investment and consumption strategies for pooled annuity with partial information pp. 129-155

Lin Xie, Lv Chen, Linyi Qian, Danping Li and Zhixin Yang

Inf-convolution and optimal allocations for mixed-VaRs pp. 156-164

Zichao Xia, Zhenfeng Zou and Taizhong Hu

A new stochastic dominance criterion for dependent random variables with applications pp. 165-176

Félix Belzunce and Carolina Martínez-Riquelme

Nonparametric density estimation and risk quantification from tabulated sample moments pp. 177-189

Philippe Lambert

Volume 107, issue C, 2022

Copula-based inference for bivariate survival data with left truncation and dependent censoring pp. 1-21

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

Hamza Hanbali, Jan Dhaene and Daniël Linders

Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model pp. 38-56

Jinzhu Li

BERT-based NLP techniques for classification and severity modeling in basic warranty data study pp. 57-67

Shuzhe Xu, Chuanlong Zhang and Don Hong

Mortality modeling and regression with matrix distributions pp. 68-87

Hansjörg Albrecher, Martin Bladt, Mogens Bladt and Jorge Yslas

Cyber-contagion model with network structure applied to insurance pp. 88-101

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

Yuri Goegebeur, Armelle Guillou, Tine Pedersen and Jing Qin

Basis risk management and randomly scaled uncertainty pp. 123-139

M. Mercè Claramunt, Claude Lefèvre, Stéphane Loisel and Pierre Montesinos

The Parisian and ultimate drawdowns of Lévy insurance models pp. 140-160

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

Lisa Gao and Peng Shi

Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models pp. 180-198

Tsz Chai Fung

Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants pp. 199-222

N.V. Gribkova, J. Su and R. Zitikis

Asymptotic theory for Mack's model pp. 223-268

Julia Steinmetz and Carsten Jentsch

Multivariate claim processes with rough intensities: Properties and estimation pp. 269-287

Donatien Hainaut

Extension of as-if-Markov modeling to scaled payments pp. 288-306

Marcus C. Christiansen and Christian Furrer

Pareto-optimal reinsurance under individual risk constraints pp. 307-325

Mario Ghossoub, Wenjun Jiang and Jiandong Ren

Irreversible reinsurance: A singular control approach pp. 326-348

Tingjin Yan, Kyunghyun Park and Hoi Ying Wong

Ratemaking territories and adverse selection for flood insurance pp. 349-360

Mathieu Boudreault and Angelica Ojeda

Bilateral risk sharing in a comonotone market with rank-dependent utilities pp. 361-378

Tim J. Boonen and Wenjun Jiang

Frequency-severity experience rating based on latent Markovian risk profiles pp. 379-392

Robert Matthijs Verschuren

Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk pp. 393-417

Haiyan Liu and Tiantian Mao

Volume 106, issue C, 2022

Earthquake parametric insurance with Bayesian spatial quantile regression pp. 1-12

Jeffrey Pai, Yunxian Li, Aijun Yang and Chenxu Li

Imbalanced learning for insurance using modified loss functions in tree-based models pp. 13-32

Changyue Hu, Zhiyu Quan and Wing Fung Chong

Frequency and severity estimation of cyber attacks using spatial clustering analysis pp. 33-45

Boyuan Ma, Tingjin Chu and Zhuo Jin

Dynamic optimal adjustment policies of hybrid pension plans pp. 46-68

Lin He, Zongxia Liang and Sheng Wang

Care-dependent tontines pp. 69-89

An Chen, Yusha Chen and Xian Xu

Cyber risk frequency, severity and insurance viability pp. 90-114

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

Shengwang Meng, Yaqian Gao and Yifan Huang

Stackelberg differential game for insurance under model ambiguity pp. 128-145

Jingyi Cao, Dongchen Li, Virginia R. Young and Bin Zou

Optimal dividends under Markov-modulated bankruptcy level pp. 146-172

Giorgio Ferrari, Patrick Schuhmann and Shihao Zhu

Avoiding zero probability events when computing Value at Risk contributions pp. 173-192

Takaaki Koike, Yuri Saporito and Rodrigo Targino

Robust equilibrium strategies in a defined benefit pension plan game pp. 193-217

Guohui Guan, Jiaqi Hu and Zongxia Liang

Stochastic mortality dynamics driven by mixed fractional Brownian motion pp. 218-238

Hongjuan Zhou, Kenneth Q. Zhou and Xianping Li

Multi-population modelling and forecasting life-table death counts pp. 239-253

Han Lin Shang, Steven Haberman and Ruofan Xu

Combining multi-asset and intrinsic risk measures pp. 254-269

Christian Laudagé, Jörn Sass and Jörg Wenzel

Parametric measures of variability induced by risk measures pp. 270-284

Fabio Bellini, Tolulope Fadina, Ruodu Wang and Yunran Wei

Green nested simulation via likelihood ratio: Applications to longevity risk management pp. 285-301

Ben Mingbin Feng, Johnny Siu-Hang Li and Kenneth Q. Zhou

Asymptotic analysis of portfolio diversification pp. 302-325

Hengxin Cui, Ken Seng Tan, Fan Yang and Chen Zhou

Model mortality rates using property and casualty insurance reserving methods pp. 326-340

Cary Chi-Liang Tsai and Seyeon Kim

Modeling pandemic mortality risk and its application to mortality-linked security pricing pp. 341-363

Fen-Ying Chen, Sharon S. Yang and Hong-Chih Huang

Multivariate matrix-exponential affine mixtures and their applications in risk theory pp. 364-389

Eric C.K. Cheung, Oscar Peralta and Jae-Kyung Woo