Insurance: Mathematics and Economics

1982 - 2025

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

From Elsevier
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Volume 123, issue C, 2025

Portfolio benchmarks in defined contribution pension plan management

Daxin Huang and Yang Liu

Improving detections of serial dynamics for longitudinal actuarial data with underwriting-controlled testing

Tsz Chai Fung

Approximations of multi-period liability values by simple formulas

Nils Engler and Filip Lindskog

Learning from COVID-19: A catastrophe mortality bond solution in the post-pandemic era

Ze Chen, Hong Li, Yu Mao and Kenneth Q. Zhou

Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models

José Da Fonseca and Patrick Wong

Optimal insurance contract under mean-variance preference with value at risk constraint

Zixuan Li, Hui Meng and Ming Zhou

Efficient hedging of life insurance portfolio for loss-averse insurers

Edouard Motte and Donatien Hainaut

Volume 122, issue C, 2025

Robust indifference valuation of catastrophe bonds pp. 1-10

Haibo Liu

Subjective survival beliefs and the life-cycle model pp. 11-29

Seung Yeon Jeong, Iqbal Owadally, Steven Haberman and Douglas Wright

Identifying scenarios for the own risk and Solvency assessment of insurance companies pp. 30-43

Philipp Aigner

Auto insurance fraud detection: Leveraging cost sensitive and insensitive algorithms for comprehensive analysis pp. 44-60

Meryem Yankol Schalck

Insurance contract for electric vehicle charging stations: A Stackelberg game-theoretic approach pp. 61-81

Yuanmin Jin, Zhuo Jin and Jiaqin Wei

Almost stochastic dominance: Magnitude constraints on risk aversion pp. 82-90

Liqun Liu and Jack Meyer

Efficient and proper generalised linear models with power link functions pp. 91-118

Vali Asimit, Alexandru Badescu, Ziwei Chen and Feng Zhou

Efficient evaluation of risk allocations pp. 119-136

Christopher Blier-Wong, Hélène Cossette and Etienne Marceau

Self-protection under Nth-degree risk increase of random unit cost pp. 137-142

Yongjin Yin and Shengwang Meng

The impact of intermediaries on insurance demand and pricing pp. 143-156

Dongchen Li, Yan Zeng and Yixing Zhao

A generalized tail mean-variance model for optimal capital allocation pp. 157-179

Yang Yang, Guojing Wang, Jing Yao and Hengyue Xie

Pricing insurance contracts with an existing portfolio as background risk pp. 180-193

Corrado De Vecchi and Matthias Scherer

Optimal reinsurance from an optimal transport perspective pp. 194-213

Beatrice Acciaio, Hansjörg Albrecher and Brandon García Flores

Length of stay in residential aged care: Patterns and determinants from a population-based cohort study pp. 214-229

Mengyi Xu and Gaoyun Yan

Mean-variance optimization for participating life insurance contracts pp. 230-248

Felix Fießinger and Mitja Stadje

Forecasting age distribution of deaths: Cumulative distribution function transformation pp. 249-261

Han Lin Shang and Steven Haberman

Bayesian adaptive portfolio optimization for DC pension plans pp. 262-274

Shuping Gao, Junyi Guo and Xiaoqing Liang

Equilibrium intergenerational risk-sharing design for a target benefit pension plan pp. 275-299

Lv Chen, Danping Li, Yumin Wang and Xiaobai Zhu

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