Insurance: Mathematics and Economics

1982 - 2022

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

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Volume 105, issue C, 2022

Three-step risk inference in insurance ratemaking pp. 1-13

Yanxi Hou, Seul Ki Kang, Chia Chun Lo and Liang Peng

Decrease of capital guarantees in life insurance products: Can reinsurance stop it? pp. 14-40

Marcos Escobar-Anel, Yevhen Havrylenko, Michel Kschonnek and Rudi Zagst

Automatic Fatou property of law-invariant risk measures pp. 41-53

Shengzhong Chen, Niushan Gao, Denny H. Leung and Lei Li

Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels pp. 54-63

Zi Qing Ang and See Keong Lee

The location of a minimum variance squared distance functional pp. 64-78

Zinoviy Landsman and Tomer Shushi

The added value of dynamically updating motor insurance prices with telematics collected driving behavior data pp. 79-95

Roel Henckaerts and Katrien Antonio

Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method pp. 96-127

Boda Kang, Yang Shen, Dan Zhu and Jonathan Ziveyi

Exact credibility reference Bayesian premiums pp. 128-143

Emilio Gómez-Déniz and Francisco J. Vázquez-Polo

Stochastic loss reserving with mixture density neural networks pp. 144-174

Muhammed Taher Al-Mudafer, Benjamin Avanzi, Greg Taylor and Bernard Wong

Refundable income annuities: Feasibility of money-back guarantees pp. 175-193

Moshe Milevsky and Thomas S. Salisbury

Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves pp. 194-202

Agata Boratyńska and Zofia Zielińska-Kolasińska

Similar risks have similar prices: A useful and exact quantification pp. 203-210

Stephen J. Mildenhall

Annuity and insurance choice under habit formation pp. 211-237

Phelim Boyle, Ken Seng Tan, Pengyu Wei and Sheng Chao Zhuang

An asymptotic study of systemic expected shortfall and marginal expected shortfall pp. 238-251

Yiqing Chen and Jiajun Liu

Optimal reinsurance and investment under common shock dependence between financial and actuarial markets pp. 252-278

Claudia Ceci, Katia Colaneri and Alessandra Cretarola

S-shaped narrow framing, skewness and the demand for insurance pp. 279-292

Yichun Chi, Jiakun Zheng and Shengchao Zhuang

Controlling the effects of adverse selection in flexible benefit plans: A pricing-based approach pp. 293-312

Cherie Ng, Barbara Sanders and Jean-François Bégin

Blockchain mining in pools: Analyzing the trade-off between profitability and ruin pp. 313-335

Hansjörg Albrecher, Dina Finger and Pierre-O. Goffard

Sample recycling method – a new approach to efficient nested Monte Carlo simulations pp. 336-359

Runhuan Feng and Peng Li

Volume 104, issue C, 2022

Estimating and backtesting risk under heavy tails pp. 1-14

Marcin Pitera and Thorsten Schmidt

COVID-19 and credit risk: A long memory perspective pp. 15-34

Jie Yin, Bingyan Han and Hoi Ying Wong

Optimal insurance to maximize RDEU under a distortion-deviation premium principle pp. 35-59

Xiaoqing Liang, Ruodu Wang and Virginia R. Young

Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses pp. 60-75

Jin Meng and Kung-Sik Chan

On capital allocation for a risk measure derived from ruin theory pp. 76-98

G.A. Delsing, M.R.H. Mandjes, P.J.C. Spreij and E.M.M. Winands

Optimal long-term contracts with disability insurance under limited commitment pp. 99-132

Kyoung Jin Choi, Junkee Jeon, Ho-Seok Lee and Hsuan-Chih Lin

Estimating the time value of ruin in a Lévy risk model under low-frequency observation pp. 133-157

Wenyuan Wang, Jiayi Xie and Zhimin Zhang

A hierarchical reserving model for reported non-life insurance claims pp. 158-184

Jonas Crevecoeur, Jens Robben and Katrien Antonio

What can we learn from telematics car driving data: A survey pp. 185-199

Guangyuan Gao, Shengwang Meng and Mario V. Wüthrich

Revisiting the optimal insurance design under adverse selection: Distortion risk measures and tail-risk overestimation pp. 200-221

Zhihang Liang, Jushen Zou and Wenjun Jiang

Unraveling heterogeneity in cyber risks using quantile regressions pp. 222-242

Martin Eling, Kwangmin Jung and Jeungbo Shim

A new class of copula regression models for modelling multivariate heavy-tailed data pp. 243-261

Zhengxiao Li, Jan Beirlant and Liang Yang

A general optimal approach to Bühlmann credibility theory pp. 262-282

Yujie Yan and Kai-Sheng Song

A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference pp. 283-301

Yanxi Hou

Volume 103, issue C, 2022

Valuing guaranteed minimum accumulation benefits by a change of numéraire approach pp. 1-26

Yiming Huang, Rogemar Mamon and Heng Xiong

Risk transference constraints in optimal reinsurance pp. 27-40

Alejandro Balbás, Beatriz Balbás, Raquel Balbás and Antonio Heras

Multi-population mortality modeling: When the data is too much and not enough pp. 41-55

Ko-Lun Kung, Richard D. MacMinn, Weiyu Kuo and Chenghsien Jason Tsai

Risk measures induced by efficient insurance contracts pp. 56-65

Qiuqi Wang, Ruodu Wang and Ričardas Zitikis

Statistical inference for tail-based cumulative residual entropy pp. 66-95

Hongfang Sun, Yu Chen and Taizhong Hu

A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process pp. 96-118

Hansjörg Albrecher, Eric C.K. Cheung, Haibo Liu and Jae-Kyung Woo

On non-negative equity guarantee calculations with macroeconomic variables related to house prices pp. 119-138

Alexandru Badescu, Enoch Quaye and Radu Tunaru

Volume 102, issue C, 2022

Measuring and comparing risks of different types pp. 1-21

Maximilian Aigner, Valérie Chavez-Demoulin and Armelle Guillou

Regret-based optimal insurance design pp. 22-41

Yichun Chi and Sheng Chao Zhuang

Stackelberg differential game for reinsurance: Mean-variance framework and random horizon pp. 42-55

Danping Li and Virginia R. Young

Short term decumulation strategies for underspending retirees pp. 56-74

Peter A. Forsyth

Risk aggregation and capital allocation using a new generalized Archimedean copula pp. 75-90

Fouad Marri and Khouzeima Moutanabbir

Portfolio risk analysis of excess of loss reinsurance pp. 91-110

Qihe Tang, Zhiwei Tong and Li Xun

Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims pp. 111-125

Raluca Vernic, Catalina Bolancé and Ramon Alemany

Systemic risk: Conditional distortion risk measures pp. 126-145

Jan Dhaene, Roger Laeven and Yiying Zhang

Asymptotic results on marginal expected shortfalls for dependent risks pp. 146-168

Jinzhu Li

Risk aggregation under dependence uncertainty and an order constraint pp. 169-187

Yuyu Chen, Liyuan Lin and Ruodu Wang

Optimal asset allocation, consumption and retirement time with the variation in habitual persistence pp. 188-202

Lin He, Zongxia Liang, Yilun Song and Qi Ye