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Insurance: Mathematics and Economics

1982 - 2019

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

From Elsevier
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Volume 84, issue C, 2019

Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk pp. 1-21 Downloads
Kenneth Q. Zhou and Johnny Siu-Hang Li
Budget-constrained optimal insurance without the nonnegativity constraint on indemnities pp. 22-39 Downloads
Mario Ghossoub
Derivatives trading for insurers pp. 40-53 Downloads
Xiaole Xue, Pengyu Wei and Chengguo Weng
Dynamic hybrid products with guarantees—An optimal portfolio framework pp. 54-66 Downloads
Hayk Hambardzumyan and Ralf Korn
On randomized reinsurance contracts pp. 67-78 Downloads
Hansjörg Albrecher and Arian Cani
Forecasting compositional risk allocations pp. 79-86 Downloads
Tim J. Boonen, Montserrat Guillen and Miguel Santolino
An optimization approach to adaptive multi-dimensional capital management pp. 87-97 Downloads
G.A. Delsing, M.R.H. Mandjes, P.J.C. Spreij and E.M.M. Winands
Hedging of crop harvest with derivatives on temperature pp. 98-114 Downloads
Donatien Hainaut
Robust non-zero-sum investment and reinsurance game with default risk pp. 115-132 Downloads
Ning Wang, Nan Zhang, Zhuo Jin and Linyi Qian

Volume 83, issue C, 2018

Bayesian nonparametric regression models for modeling and predicting healthcare claims pp. 1-8 Downloads
Robert Richardson and Brian Hartman
Time-consistent mean–variance portfolio optimization: A numerical impulse control approach pp. 9-28 Downloads
Pieter M. Van Staden, Duy-Minh Dang and Peter A. Forsyth
Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018) pp. 29-31 Downloads
Silvana M. Pesenti, Andreas Tsanakas and Pietro Millossovich
Does hunger for bonuses drive the dependence between claim frequency and severity? pp. 32-46 Downloads
Sojung C. Park, Joseph H.T. Kim and Jae Youn Ahn
Dividends: From refracting to ratcheting pp. 47-58 Downloads
Hansjörg Albrecher, Nicole Bäuerle and Martin Bladt
Extreme quantile estimation for β-mixing time series and applications pp. 59-74 Downloads
Chavez-Demoulin, Valérie and Armelle Guillou
A stochastic order for the analysis of investments affected by the time value of money pp. 75-82 Downloads
López-Díaz, María Concepción, López-Díaz, Miguel and Martínez-Fernández, Sergio
The dual risk model with dividends taken at arrival pp. 83-92 Downloads
Onno Boxma and Esther Frostig
Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities pp. 93-109 Downloads
Junkee Jeon and Minsuk Kwak
The role of heterogeneous parameters for the detection of selection in insurance contracts pp. 110-121 Downloads
Martin Karlsson, Florian Klohn and Ben Rickayzen
Time-consistent proportional reinsurance and investment strategies under ambiguous environment pp. 122-133 Downloads
Guohui Guan, Zongxia Liang and Jian Feng
Portfolio management with targeted constant market volatility pp. 134-147 Downloads
Bao Doan, Nicolas Papageorgiou, Jonathan J. Reeves and Michael Sherris
Optimality of multi-refraction control strategies in the dual model pp. 148-160 Downloads
Irmina Czarna, José-Luis Pérez and Kazutoshi Yamazaki
Allowing for time and cross dependence assumptions between claim counts in ratemaking models pp. 161-169 Downloads
Lluís Bermúdez, Montserrat Guillén and Dimitris Karlis
The average risk sharing problem under risk measure and expected utility theory pp. 170-179 Downloads
Tiantian Mao, Jiuyun Hu and Haiyan Liu
Bayesian credibility for GLMs pp. 180-189 Downloads
Oscar Alberto Quijano Xacur and José Garrido
Discounted penalty function at Parisian ruin for Lévy insurance risk process pp. 190-197 Downloads
R. Loeffen, Z. Palmowski and B.A. Surya
Insurance choice under third degree stochastic dominance pp. 198-205 Downloads
Yichun Chi
Bayesian mortality forecasting with overdispersion pp. 206-221 Downloads
Jackie S.T. Wong, Jonathan J. Forster and Peter W.F. Smith

Volume 82, issue C, 2018

The impact of negative interest rates on optimal capital injections pp. 1-10 Downloads
Julia Eisenberg and Paul Krühner
On fair reinsurance premiums; Capital injections in a perturbed risk model pp. 11-20 Downloads
Zied Ben Salah and José Garrido
Non-parametric inference of transition probabilities based on Aalen–Johansen integral estimators for acyclic multi-state models: application to LTC insurance pp. 21-36 Downloads
Quentin Guibert and Frédéric Planchet
Optimal risk allocation in reinsurance networks pp. 37-47 Downloads
Nicole Bäuerle and Alexander Glauner
Continuity inequalities for multidimensional renewal risk models pp. 48-54 Downloads
E. Gordienko and Vázquez-Ortega, P.
Reinsurance versus securitization of catastrophe risk pp. 55-72 Downloads
Ajay Subramanian and Jinjing Wang
Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance pp. 73-86 Downloads
Josa-Fombellida, Ricardo, López-Casado, Paula and Juan Pablo Rincón-Zapatero
Bayesian ratemaking with common effects modeled by mixture of Polya tree processes pp. 87-94 Downloads
Jianjun Zhang, Chunjuan Qiu and Xianyi Wu
A comparative study of pricing approaches for longevity instruments pp. 95-116 Downloads
Melvern Leung, Man Chung Fung and O’Hare, Colin
Conditional expectiles, time consistency and mixture convexity properties pp. 117-123 Downloads
Fabio Bellini, Valeria Bignozzi and Giovanni Puccetti
Estimating loss reserves using hierarchical Bayesian Gaussian process regression with input warping pp. 124-140 Downloads
Nathan Lally and Brian Hartman
Upper bounds for strictly concave distortion risk measures on moment spaces pp. 141-151 Downloads
D. Cornilly, L. Rüschendorf and S. Vanduffel
Poissonian potential measures for Lévy risk models pp. 152-166 Downloads
David Landriault, Bin Li, Jeff T.Y. Wong and Di Xu
Copula approaches for modeling cross-sectional dependence of data breach losses pp. 167-180 Downloads
Martin Eling and Kwangmin Jung
Minimizing the probability of ruin: Optimal per-loss reinsurance pp. 181-190 Downloads
Xiaoqing Liang and Virginia R. Young
Solvency II, or how to sweep the downside risk under the carpet pp. 191-200 Downloads
Stefan Weber

Volume 81, issue C, 2018

VIX-linked fees for GMWBs via explicit solution simulation methods pp. 1-17 Downloads
Michael A. Kouritzin and Anne MacKay
Which eligible assets are compatible with comonotonic capital requirements? pp. 18-26 Downloads
Koch-Medina, Pablo, Cosimo Munari and Gregor Svindland
A multivariate tail covariance measure for elliptical distributions pp. 27-35 Downloads
Zinoviy Landsman, Udi Makov and Tomer Shushi
Life insurance settlement and the monopolistic insurance market pp. 36-50 Downloads
Jimin Hong and S. Hun Seog
Long-term care models and dependence probability tables by acuity level: New empirical evidence from Switzerland pp. 51-70 Downloads
Michel Fuino and Joël Wagner
LLN-type approximations for large portfolio losses pp. 71-77 Downloads
Jing Liu
Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause pp. 78-94 Downloads
Lihua Bian, Zhongfei Li and Haixiang Yao
Compound unimodal distributions for insurance losses pp. 95-107 Downloads
Antonio Punzo, Luca Bagnato and Antonello Maruotti
Optimal reinsurance under risk and uncertainty on Orlicz hearts pp. 108-116 Downloads
Dezhou Kong, Lishan Liu and Yonghong Wu
Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts pp. 117-129 Downloads
Anna Maria Gambaro, Riccardo Casalini, Gianluca Fusai and Alessandro Ghilarducci
Parameter uncertainty and reserve risk under Solvency II pp. 130-141 Downloads
Andreas Fröhlich and Annegret Weng
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