Insurance: Mathematics and Economics

1982 - 2025

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

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Volume 121, issue C, 2025

Dividend corridors and a ruin constraint pp. 1-25

Hansjörg Albrecher, Brandon Garcia Flores and Christian Hipp

Tail similarity pp. 26-44

Vali Asimit, Zhongyi Yuan and Feng Zhou

Insurance loss modeling with gradient tree-boosted mixture models pp. 45-62

Yanxi Hou, Jiahong Li and Guangyuan Gao

Uncertainty in heteroscedastic Bayesian model averaging pp. 63-78

Sébastien Jessup, Mélina Mailhot and Mathieu Pigeon

Innovative combo product design embedding variable annuity and long-term care insurance contracts pp. 79-99

Yang Shen, Michael Sherris, Yawei Wang and Jonathan Ziveyi

Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes pp. 100-110

Ricardo Josa-Fombellida and Paula López-Casado

Designing and valuing new equity-linked insurance products for couples pp. 111-132

Kelvin Tang, Eric C.K. Cheung and Jae-Kyung Woo

Axiomatic risk sharing and capital allocation pp. 133-143

Tim J. Boonen and Maurice Koster

Estimating the impact of COVID-19 on mortality using granular data pp. 144-156

Frank van Berkum, Bertrand Melenberg and Michel Vellekoop

Bowley-optimal convex-loaded premium principles pp. 157-180

Mario Ghossoub, Bin Li and Benxuan Shi

Volume 120, issue C, 2025

Comonotonicity and Pareto optimality, with application to collaborative insurance pp. 1-16

Michel Denuit, Jan Dhaene, Mario Ghossoub and Christian Y. Robert

Automated machine learning in insurance pp. 17-41

Panyi Dong and Zhiyu Quan

A risk measurement approach from risk-averse stochastic optimization of score functions pp. 42-50

Marcelo Brutti Righi, Fernanda Maria Müller and Marlon Ruoso Moresco

Automobile Insurance Fraud Detection Based on PSO-XGBoost Model and Interpretable Machine Learning Method pp. 51-60

Ning Ding, Xiao Ruan, Hao Wang and Yuan Liu

Distributionally robust insurance under the Wasserstein distance pp. 61-78

Tim J. Boonen and Wenjun Jiang

Continuous-time optimal reporting with full insurance under the mean-variance criterion pp. 79-90

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

Hidden semi-Markov models for rainfall-related insurance claims pp. 91-106

Yue Shi, Antonio Punzo, Håkon Otneim and Antonello Maruotti

Evolution of institutional long-term care costs based on health factors pp. 107-130

Aleksandr Shemendyuk and Joël Wagner

How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model pp. 131-158

Yang Feng, Tak Kuen Siu and Jinxia Zhu

Optimal consumption and annuity equivalent wealth with mortality model uncertainty pp. 159-188

Zhengming Li, Yang Shen and Jianxi Su

Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin pp. 189-206

Félix Locas and Jean-François Renaud

Mean-variance longevity risk-sharing for annuity contracts pp. 207-235

Hamza Hanbali

Robust Nash equilibrium for defined contribution pension games with delay under multivariate stochastic covariance models pp. 236-268

Huainian Zhu and Yumo Zhang

Valuation of variable annuity portfolios using finite and infinite width neural networks pp. 269-284

Hong Beng Lim, Nariankadu D. Shyamalkumar and Siyang Tao

Target benefit pension with longevity risk and stochastic interest rate valuation pp. 285-301

Cheng Tao, Ximin Rong and Hui Zhao

Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information pp. 302-324

Xingchun Peng and Liuling Luo

Volume 119, issue C, 2024

A buy-hold-sell pension saving strategy pp. 1-16

Gaurav Khemka, Mogens Steffensen and Geoffrey J. Warren

A life insurance model with asymmetric time preferences pp. 17-31

Joakim Alderborn

Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach pp. 32-47

Fotios Mourdoukoutas, Tim J. Boonen, Bonsoo Koo and Athanasios A. Pantelous

Value-enhancing modeling of surrenders and lapses pp. 48-63

Hsiao-Tzu Huang, Yawen Hwang, Linus Fang-Shu Chan and Chenghsien Jason Tsai

Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation pp. 64-92

Haoran Jiang, Zhehao Zhang and Xiaojun Zhu

Blended insurance scheme: A synergistic conventional-index insurance mixture pp. 93-105

Jinggong Zhang

On the effects of public subsidies for severe and mild dependency on long-term care insurance pp. 106-118

Christophe Courbage and Cornel Oros

Spatial copula-based modeling of claim frequency and claim size in third-party car insurance: A Poisson-mixed approach for predictive analysis pp. 119-129

Vahid Tadayon and Mitra Ghanbarzadeh

Multinomial backtesting of distortion risk measures pp. 130-145

Sören Bettels, Sojung Kim and Stefan Weber

Uniqueness of equilibrium with survival probability heterogeneity and endogenous annuity price pp. 146-156

Sau-Him Paul Lau, Yinan Ying and Qilin Zhang

A unified theory of decentralized insurance pp. 157-178

Runhuan Feng, Ming Liu and Ning Zhang

Valuation of guaranteed lifelong withdrawal benefit with the long-term care option pp. 179-193

Yang Yang, Shaoying Chen, Zhenyu Cui and Zhimin Zhang

Optimal insurance design under asymmetric Nash bargaining pp. 194-209

Yichun Chi, Tao Hu, Zhengtang Zhao and Jiakun Zheng

Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models pp. 210-225

Dante Mata López, Kei Noba, José-Luis Pérez and Kazutoshi Yamazaki

A two-layer stochastic game approach to reinsurance contracting and competition pp. 226-237

Zongxia Liang, Yi Xia and Bin Zou

Egalitarian pooling and sharing of longevity risk a.k.a. can an administrator help skin the tontine cat? pp. 238-250

Jan Dhaene and Moshe Milevsky

Bivariate Tail Conditional Co-Expectation for elliptical distributions pp. 251-260

Roy Cerqueti and Arsen Palestini

A new characterization of second-order stochastic dominance pp. 261-267

Yuanying Guan, Muqiao Huang and Ruodu Wang

Pension funds with longevity risk: an optimal portfolio insurance approach pp. 268-297

Marina Di Giacinto, Daniele Mancinelli, Mario Marino and Immacolata Oliva

Volume 118, issue C, 2024

Optimal insurance with mean-deviation measures pp. 1-24

Tim J. Boonen and Xia Han

Effective experience rating for large insurance portfolios via surrogate modeling pp. 25-43

Sebastián Calcetero Vanegas, Andrei L. Badescu and X. Sheldon Lin

An excursion theoretic approach to Parisian ruin problem pp. 44-58

Bo Li and Xiaowen Zhou

Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet pp. 59-71

Darcy Harcourt, Toby Daglish and Eric R. Ulm

Benefit volatility-targeting strategies in lifetime pension pools pp. 72-94

Jean-François Bégin and Barbara Sanders

Comparing and quantifying tail dependence pp. 95-103

Karl Friedrich Siburg, Christopher Strothmann and Gregor Weiß

Stochastic orders and distortion risk contribution ratio measures pp. 104-122

Yiying Zhang

Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments pp. 123-128

Michel Denuit and Julien Trufin

Are reference measures of law-invariant functionals unique? pp. 129-141

Felix-Benedikt Liebrich

Probabilistic approach to risk processes with level-dependent premium rate pp. 142-156

Denis Denisov, Niklas Gotthardt, Dmitry Korshunov and Vitali Wachtel

Correlation aversion and bivariate stochastic dominance with respect to reference functions pp. 157-174

Jingyuan Li, Jianli Wang and Lin Zhou

Precautionary risk-reduction and saving decisions: Two sides of the same coin? pp. 175-194

Richard Peter and Annette Hofmann

Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity pp. 195-222

Tao Wang and Zhiping Chen