Insurance: Mathematics and Economics

1982 - 2018

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

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Volume 79, issue C, 2018

Pricing insurance drawdown-type contracts with underlying Lévy assets pp. 1-14

Zbigniew Palmowski and Joanna Tumilewicz

Insurance loss coverage and demand elasticities pp. 15-25

MingJie Hao, Angus S. Macdonald, Pradip Tapadar and R. Guy Thomas

An IBNR–RBNS insurance risk model with marked Poisson arrivals pp. 26-42

Soohan Ahn, Andrei L. Badescu, Eric C.K. Cheung and Jeong-Rae Kim

Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates pp. 43-56

Boda Kang and Jonathan Ziveyi

A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes pp. 57-68

Camilo Hernández, Mauricio Junca and Harold Moreno-Franco

Ruin probability via Quantum Mechanics Approach pp. 69-74

Muhsin Tamturk and Sergey Utev

Weighted risk capital allocations in the presence of systematic risk pp. 75-81

Edward Furman, Alexey Kuznetsov and Ričardas Zitikis

Distortion measures and homogeneous financial derivatives pp. 82-91

John A. Major

An approximation method for risk aggregations and capital allocation rules based on additive risk factor models pp. 92-100

Ming Zhou, Jan Dhaene and Jing Yao

Using fuzzy logic to interpret dependent risks pp. 101-106

Sibel Acik Kemaloglu, Arnold F. Shapiro, Fatih Tank and Aysen Apaydin

Robust evaluation of SCR for participating life insurances under Solvency II pp. 107-123

Donatien Hainaut, Pierre Devolder and Antoon Pelsser

De-risking strategy: Longevity spread buy-in pp. 124-136

D’Amato, Valeria, Emilia Di Lorenzo, Steven Haberman, Pretty Sagoo and Marilena Sibillo

Expected utility of the drawdown-based regime-switching risk model with state-dependent termination pp. 137-147

David Landriault, Bin Li and Shu Li

Stochastic distortion and its transformed copula pp. 148-166

Feng Lin, Liang Peng, Jiehua Xie and Jingping Yang

Annuitization and asset allocation under exponential utility pp. 167-183

Xiaoqing Liang and Virginia R. Young

On the evaluation of some multivariate compound distributions with Sarmanov’s counting distribution pp. 184-193

Raluca Vernic

Optimal investment under VaR-Regulation and Minimum Insurance pp. 194-209

An Chen, Thai Nguyen and Mitja Stadje

Optimal investment management for a defined contribution pension fund under imperfect information pp. 210-224

Ling Zhang, Hao Zhang and Haixiang Yao

Optimal dividends under Erlang(2) inter-dividend decision times pp. 225-242

Benjamin Avanzi, Vincent Tu and Bernard Wong

On existence and uniqueness of the principle of equivalent utility under Cumulative Prospect Theory pp. 243-246

J. Chudziak

On generalized log-Moyal distribution: A new heavy tailed size distribution pp. 247-259

Deepesh Bhati and Sreenivasan Ravi

Volume 78, issue C, 2018

An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks pp. 1-12

Yixing Zhao and Rogemar Mamon

From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions pp. 13-29

Andrea Fontanari, Pasquale Cirillo and Cornelis W. Oosterlee

Early default risk and surrender risk: Impacts on participating life insurance policies pp. 30-43

Chunli Cheng and Jing Li

Duality in ruin problems for ordered risk models pp. 44-52

Pierre-Olivier Goffard and Claude Lefèvre

Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications pp. 53-71

Hélène Cossette, Etienne Marceau, Itre Mtalai and Déry Veilleux

Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility pp. 72-86

Danping Li, Yang Shen and Yan Zeng

Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee pp. 87-104

Mei-Ling Tang, Son-Nan Chen, Gene C. Lai and Ting-Pin Wu

Stochastic orders and co-risk measures under positive dependence pp. 105-113

M.A. Sordo, A.J. Bello and A. Suárez-Llorens

Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications pp. 114-122

J. Beirlant, G. Maribe and A. Verster

Non-cooperative dynamic games for general insurance markets pp. 123-135

Tim J. Boonen, Athanasios A. Pantelous and Renchao Wu

Approximation of ruin probabilities via Erlangized scale mixtures pp. 136-156

Oscar Peralta, Leonardo Rojas-Nandayapa, Wangyue Xie and Hui Yao

Longevity risk and capital markets: The 2015–16 update pp. 157-173

David Blake, Nicole El Karoui, Stéphane Loisel and Richard MacMinn

The choice of trigger in an insurance linked security: The mortality risk case pp. 174-182

Richard MacMinn and Andreas Richter

Pension risk management with funding and buyout options pp. 183-200

Samuel H. Cox, Yijia Lin and Tianxiang Shi

The effect of longevity drift and investment volatility on income sufficiency in retirement pp. 201-211

Les Mayhew, David Smith and Douglas Wright

Valuation of longevity-linked life annuities pp. 212-229

Jorge Miguel Bravo and Najat El Mekkaoui de Freitas

Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company? pp. 230-245

Sandy Bruszas, Barbara Kaschützke, Raimond Maurer and Ivonne Siegelin

Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approach pp. 246-254

Ming-hua Hsieh, Jennifer L. Wang, Yu-Fen Chiu and Yen-Chih Chen

Profitability and risk profile of reverse mortgages: A cross-system and cross-plan comparison pp. 255-266

Yung-Tsung Lee, Ko-Lun Kung and I-Chien Liu

A strategy for hedging risks associated with period and cohort effects using q-forwards pp. 267-285

Yanxin Liu and Johnny Siu-Hang Li

Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets pp. 286-300

Enareta Kurtbegu

Cause-of-death mortality: What can be learned from population dynamics? pp. 301-315

Alexandre Boumezoued, Héloïse Labit Hardy, Nicole El Karoui and Séverine Arnold

Using Taiwan National Health Insurance Database to model cancer incidence and mortality rates pp. 316-324

Jack C. Yue, Hsin-Chung Wang, Yin-Yee Leong and Wei-Ping Su

Do actuaries believe in longevity deceleration? pp. 325-338

Edouard Debonneuil, Stéphane Loisel and Frédéric Planchet

The double-gap life expectancy forecasting model pp. 339-350

Marius D. Pascariu, Vladimir Canudas-Romo and James W. Vaupel

Mortality models and longevity risk for small populations pp. 351-359

Hsin-Chung Wang, Ching-Syang Jack Yue and Chen-Tai Chong

Identifiability, cointegration and the gravity model pp. 360-368

Andrew Hunt and David Blake

Modeling trend processes in parametric mortality models pp. 369-380

Matthias Börger and Johannes Schupp

Volume 77, issue C, 2017

On the optimality of periodic barrier strategies for a spectrally positive Lévy process pp. 1-13

José-Luis Pérez and Kazutoshi Yamazaki

Wanting robustness in insurance: A model of catastrophe risk pricing and its empirical test pp. 14-23

Wenge Zhu

Pareto-optimal reinsurance arrangements under general model settings pp. 24-37

Jun Cai, Haiyan Liu and Ruodu Wang

Remarks on composite Bernstein copula and its application to credit risk analysis pp. 38-48

Nan Guo, Fang Wang and Jingping Yang

A general approach to full-range tail dependence copulas pp. 49-64

Jianxi Su and Lei Hua

Modelling censored losses using splicing: A global fit strategy with mixed Erlang and extreme value distributions pp. 65-77

Tom Reynkens, Roel Verbelen, Jan Beirlant and Katrien Antonio

Interplay of subexponential and dependent insurance and financial risks pp. 78-83

Yiqing Chen

Time-consistent mean–variance asset–liability management with random coefficients pp. 84-96

Jiaqin Wei and Tianxiao Wang

A class of random field memory models for mortality forecasting pp. 97-110

P. Doukhan, D. Pommeret, J. Rynkiewicz and Y. Salhi

Optimal insurance design with a bonus pp. 111-118

Yongwu Li and Zuo Quan Xu

Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process pp. 119-132

Xiaoqing Liang and Yi Lu

Purchasing casualty insurance to avoid lifetime ruin pp. 133-142

Virginia R. Young

Some comparison results for finite-time ruin probabilities in the classical risk model pp. 143-149

Claude Lefèvre, Julien Trufin and Pierre Zuyderhoff

Model spaces for risk measures pp. 150-165

Felix-Benedikt Liebrich and Gregor Svindland

Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach pp. 166-176

Han Li and O’Hare, Colin

Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints pp. 177-188

Thiago B. Duarte, Davi M. Valladão and Álvaro Veiga