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Insurance: Mathematics and Economics

1982 - 2017

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

From Elsevier
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Volume 75, issue C, 2017

Optimal hedging with basis risk under mean–variance criterion pp. 1-15 Downloads
Jingong Zhang, Ken Seng Tan and Chengguo Weng
Analysis of survivorship life insurance portfolios with stochastic rates of return pp. 16-31 Downloads
Li Chen, Luyao Lin, Yi Lu and Gary Parker
Optimal consumption, investment and housing with means-tested public pension in retirement pp. 32-47 Downloads
Johan G. Andréasson, Pavel V. Shevchenko and Alex Novikov
Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models pp. 48-57 Downloads
César Neves, Cristiano Fernandes and Henrique Hoeltgebaum
A reinsurance and investment game between two insurance companies with the different opinions about some extra information pp. 58-70 Downloads
Ming Yan, Fanyi Peng and Shuhua Zhang
Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model pp. 71-81 Downloads
Lukas Hahn
Optimality of excess-loss reinsurance under a mean–variance criterion pp. 82-89 Downloads
Danping Li, Dongchen Li and Virginia R. Young
The joint mortality of couples in continuous time pp. 90-97 Downloads
P. Jevtić and T.R. Hurd
Confidence sets and confidence bands for a beta distribution with applications to credit risk management pp. 98-104 Downloads
Seksan Kiatsupaibul, Anthony J. Hayter and Sarunya Somsong
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures pp. 105-116 Downloads
Jun Cai, Ying Wang and Tiantian Mao
Identifiability issues of age–period and age–period–cohort models of the Lee–Carter type pp. 117-125 Downloads
Eric Beutner, Simon Reese and Jean-Pierre Urbain
Data breaches: Goodness of fit, pricing, and risk measurement pp. 126-136 Downloads
Martin Eling and Nicola Loperfido
Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk pp. 137-150 Downloads
Zheng Chen, Zhongfei Li, Yan Zeng and Jingyun Sun
Characterization of between-group inequality of longevity in European Union countries pp. 151-165 Downloads
A. Debón, L. Chaves, S. Haberman and F. Villa
Grouped multivariate and functional time series forecasting:An application to annuity pricing pp. 166-179 Downloads
Han Lin Shang and Steven Haberman
The fundamental theorem of mutual insurance pp. 180-188 Downloads
Peter Albrecht and Markus Huggenberger
Fuzzy logic modifications of the Analytic Hierarchy Process pp. 189-202 Downloads
Arnold F. Shapiro and Marie-Claire Koissi

Volume 74, issue C, 2017

A note on the convexity of ruin probabilities pp. 1-6 Downloads
David Landriault, Bin Li, Sooie-Hoe Loke, Gordon E. Willmot and Di Xu
Optimal investment and reinsurance for an insurer under Markov-modulated financial market pp. 7-19 Downloads
Lin Xu, Liming Zhang and Dingjun Yao
Intergenerational risk sharing in closing pension funds pp. 20-30 Downloads
Tim J. Boonen and Anja De Waegenaere
Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér–Lundberg model pp. 31-45 Downloads
Shumin Chen, Yan Zeng and Zhifeng Hao
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps pp. 46-62 Downloads
Zhenyu Cui, J. Lars Kirkby and Duy Nguyen
Contagion modeling between the financial and insurance markets with time changed processes pp. 63-77 Downloads
Donatien Hainaut
Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model pp. 78-83 Downloads
A. Touazi, Z. Benouaret, D. Aissani and S. Adjabi
Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus pp. 84-98 Downloads
Yasutaka Shimizu and Zhimin Zhang
Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks pp. 99-108 Downloads
Alexandra Lauer and Henryk Zähle
Multiple risk factor dependence structures: Copulas and related properties pp. 109-121 Downloads
Jianxi Su and Edward Furman
Risk measures in a quantile regression credibility framework with Fama/French data applications pp. 122-134 Downloads
Georgios Pitselis
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes pp. 135-146 Downloads
Yongxia Zhao, Ping Chen and Hailiang Yang
Characterization of acceptance sets for co-monotone risk measures pp. 147-152 Downloads
Marc Oliver Rieger
Parisian ruin for a refracted Lévy process pp. 153-163 Downloads
Mohamed Amine Lkabous, Irmina Czarna and Jean-François Renaud
A new uncertain insurance model with variational lower limit pp. 164-169 Downloads
Yang Liu, Xingfang Zhang and Weimin Ma
A state dependent reinsurance model pp. 170-181 Downloads
Onno Boxma, Esther Frostig, David Perry and Rami Yosef
Sustainability of participation in collective pension schemes: An option pricing approach pp. 182-196 Downloads
Damiaan H.J. Chen, Roel M.W.J. Beetsma, Dirk W.G.A. Broeders and Antoon A.J. Pelsser
On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation pp. 197-209 Downloads
Gildas Ratovomirija, Maissa Tamraz and Raluca Vernic

Volume 73, issue C, 2017

Complete discounted cash flow valuation pp. 1-19 Downloads
Lesław Gajek and Łukasz Kuciński
Risk aggregation in Solvency II through recursive log-normals pp. 20-26 Downloads
Erik Bølviken and Montserrat Guillen
A note on risky targets and effort pp. 27-30 Downloads
Kit Pong Wong
Ordering optimal deductible allocations for stochastic arrangement increasing risks pp. 31-40 Downloads
Chen Li and Xiaohu Li
Full Bayesian analysis of claims reserving uncertainty pp. 41-53 Downloads
Gareth W. Peters, Rodrigo Targino and Mario V. Wüthrich
Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks pp. 54-67 Downloads
Nan-Wei Han and Mao-Wei Hung
Incorporating model uncertainty into optimal insurance contract design pp. 68-74 Downloads
Georg Ch. Pflug, Anna Timonina-Farkas and Stefan Hochrainer-Stigler
A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks pp. 75-81 Downloads
Yiqing Chen and Zhongyi Yuan
Optimal dividend payout model with risk sensitive preferences pp. 82-93 Downloads
Nicole Bäuerle and Anna Jaśkiewicz
On a bivariate copula with both upper and lower full-range tail dependence pp. 94-104 Downloads
Lei Hua
On the effects of changing mortality patterns on investment, labour and consumption under uncertainty pp. 105-115 Downloads
Christian-Oliver Ewald and Aihua Zhang
On the distribution of cumulative Parisian ruin pp. 116-123 Downloads
Hélène Guérin and Jean-François Renaud
A unisex stochastic mortality model to comply with EU Gender Directive pp. 124-136 Downloads
An Chen and Elena Vigna
Optimal investment strategies for participating contracts pp. 137-155 Downloads
Hongcan Lin, David Saunders and Chengguo Weng
A limit distribution of credit portfolio losses with low default probabilities pp. 156-167 Downloads
Xiaojun Shi, Qihe Tang and Zhongyi Yuan
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