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Insurance: Mathematics and Economics

1982 - 2018

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

From Elsevier
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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 P. Vázquez-Ortega
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
Ricardo Josa-Fombellida, Paula López-Casado 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
Pablo Koch-Medina, 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

Volume 80, issue C, 2018

Optimal investment strategies and intergenerational risk sharing for target benefit pension plans pp. 1-14 Downloads
Suxin Wang, Yi Lu and Barbara Sanders
Optimal insurance design under background risk with dependence pp. 15-28 Downloads
Zhiyi Lu, Shengwang Meng, Leping Liu and Ziqi Han
On optimal periodic dividend strategies for Lévy risk processes pp. 29-44 Downloads
Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki and Kouji Yano
Banach Contraction Principle and ruin probabilities in regime-switching models pp. 45-53 Downloads
Lesław Gajek and Marcin Rudź
Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data pp. 54-65 Downloads
Carolin Margraf, Valandis Elpidorou and Richard Verrall
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility pp. 67-83 Downloads
Pei Wang and Zhongfei Li
Large deviations for risk measures in finite mixture models pp. 84-92 Downloads
Valeria Bignozzi, Claudio Macci and Lea Petrella
Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing pp. 93-109 Downloads
Ailing Gu, Frederi G. Viens and Haixiang Yao

Volume 79, issue C, 2018

Pricing insurance drawdown-type contracts with underlying Lévy assets pp. 1-14 Downloads
Zbigniew Palmowski and Joanna Tumilewicz
Insurance loss coverage and demand elasticities pp. 15-25 Downloads
MingJie Hao, Angus S. Macdonald, Pradip Tapadar and R. Guy Thomas
An IBNR–RBNS insurance risk model with marked Poisson arrivals pp. 26-42 Downloads
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 Downloads
Boda Kang and Jonathan Ziveyi
A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes pp. 57-68 Downloads
Camilo Hernández, Mauricio Junca and Harold Moreno-Franco
Ruin probability via Quantum Mechanics Approach pp. 69-74 Downloads
Muhsin Tamturk and Sergey Utev
Weighted risk capital allocations in the presence of systematic risk pp. 75-81 Downloads
Edward Furman, Alexey Kuznetsov and Ričardas Zitikis
Distortion measures and homogeneous financial derivatives pp. 82-91 Downloads
John A. Major
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models pp. 92-100 Downloads
Ming Zhou, Jan Dhaene and Jing Yao
Using fuzzy logic to interpret dependent risks pp. 101-106 Downloads
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 Downloads
Donatien Hainaut, Pierre Devolder and Antoon Pelsser
De-risking strategy: Longevity spread buy-in pp. 124-136 Downloads
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 Downloads
David Landriault, Bin Li and Shu Li
Stochastic distortion and its transformed copula pp. 148-166 Downloads
Feng Lin, Liang Peng, Jiehua Xie and Jingping Yang
Annuitization and asset allocation under exponential utility pp. 167-183 Downloads
Xiaoqing Liang and Virginia R. Young
On the evaluation of some multivariate compound distributions with Sarmanov’s counting distribution pp. 184-193 Downloads
Raluca Vernic
Optimal investment under VaR-Regulation and Minimum Insurance pp. 194-209 Downloads
An Chen, Thai Nguyen and Mitja Stadje
Optimal investment management for a defined contribution pension fund under imperfect information pp. 210-224 Downloads
Ling Zhang, Hao Zhang and Haixiang Yao
Optimal dividends under Erlang(2) inter-dividend decision times pp. 225-242 Downloads
Benjamin Avanzi, Vincent Tu and Bernard Wong
On existence and uniqueness of the principle of equivalent utility under Cumulative Prospect Theory pp. 243-246 Downloads
J. Chudziak
On generalized log-Moyal distribution: A new heavy tailed size distribution pp. 247-259 Downloads
Deepesh Bhati and Sreenivasan Ravi
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