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Insurance: Mathematics and Economics

1982 - 2024

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

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

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Volume 116, issue C, 2024

A Hawkes model with CARMA(p,q) intensity pp. 1-26 Downloads
Lorenzo Mercuri, Andrea Perchiazzo and Edit Rroji
Scenario selection with LASSO regression for the valuation of variable annuity portfolios pp. 27-43 Downloads
Hang Nguyen, Michael Sherris, Andrés M. Villegas and Jonathan Ziveyi
Inter-order relations between equivalence for Lp-quantiles of the Student's t distribution pp. 44-50 Downloads
Valeria Bignozzi, Luca Merlo and Lea Petrella
Random distortion risk measures pp. 51-73 Downloads
Xin Zang, Fan Jiang, Chenxi Xia and Jingping Yang
Can price collars increase insurance loss coverage? pp. 74-94 Downloads
Indradeb Chatterjee, MingJie Hao, Pradip Tapadar and R. Guy Thomas
A Dirichlet process mixture regression model for the analysis of competing risk events pp. 95-113 Downloads
Francesco Ungolo and Edwin R. van den Heuvel
Quantile mortality modelling of multiple populations via neural networks pp. 114-133 Downloads
Stefania Corsaro, Zelda Marino and Salvatore Scognamiglio
Risk quantization by magnitude and propensity pp. 134-147 Downloads
Olivier P. Faugeras and Gilles Pagès
Optimal payout strategies when Bruno de Finetti meets model uncertainty pp. 148-164 Downloads
Yang Feng, Tak Kuen Siu and Jinxia Zhu
Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools pp. 165-188 Downloads
Doreen Kabuche, Michael Sherris, Andrés M. Villegas and Jonathan Ziveyi
Stackelberg equilibria with multiple policyholders pp. 189-201 Downloads
Mario Ghossoub and Michael B. Zhu
A mean field game approach to optimal investment and risk control for competitive insurers pp. 202-217 Downloads
Lijun Bo, Shihua Wang and Chao Zhou
Tail mean-variance portfolio selection with estimation risk pp. 218-234 Downloads
Zhenzhen Huang, Pengyu Wei and Chengguo Weng
Worst-case risk with unspecified risk preferences pp. 235-248 Downloads
Haiyan Liu

Volume 115, issue C, 2024

Adjusted higher-order expected shortfall pp. 1-12 Downloads
Zhenfeng Zou and Taizhong Hu
Tweedie multivariate semi-parametric credibility with the exchangeable correlation pp. 13-21 Downloads
Himchan Jeong
Probability equivalent level for CoVaR and VaR pp. 22-35 Downloads
Patricia Ortega-Jiménez, Franco Pellerey, Miguel A. Sordo and Alfonso Suárez-Llorens
Bowley solution under the reinsurer's default risk pp. 36-61 Downloads
Yanhong Chen, Ka Chun Cheung and Yiying Zhang
Variance insurance contracts pp. 62-82 Downloads
Yichun Chi, Xun Yu Zhou and Sheng Chao Zhuang
Bootstrap consistency for the Mack bootstrap pp. 83-121 Downloads
Julia Steinmetz and Carsten Jentsch
Pricing guaranteed annuity options in a linear-rational Wishart mortality model pp. 122-131 Downloads
José Da Fonseca
Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models pp. 132-150 Downloads
Zhenzhen Huang, Yue Kuen Kwok and Ziqing Xu
Moral hazard in loss reduction and state-dependent utility pp. 151-168 Downloads
S. Hun Seog and Jimin Hong

Volume 114, issue C, 2024

Risk-neutral valuation of GLWB riders in variable annuities pp. 1-14 Downloads
Anna Rita Bacinello, Rosario Maggistro and Ivan Zoccolan
Analyzing the interest rate risk of equity-indexed annuities via scenario matrices pp. 15-28 Downloads
Sascha Günther and Peter Hieber
Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm pp. 29-42 Downloads
Guangyuan Gao
Asymptotic results on tail moment for light-tailed risks pp. 43-55 Downloads
Bingjie Wang and Jinzhu Li
Stressing dynamic loss models pp. 56-78 Downloads
Emma Kroell, Silvana M. Pesenti and Sebastian Jaimungal
Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks pp. 79-107 Downloads
Yang Yang, Guojing Wang and Jing Yao
Bayesian CART models for insurance claims frequency pp. 108-131 Downloads
Yaojun Zhang, Lanpeng Ji, Georgios Aivaliotis and Charles Taylor
A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment pp. 132-155 Downloads
Keisuke Kizaki, Taiga Saito and Akihiko Takahashi
Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates pp. 156-175 Downloads
Chaoyi Zhao, Zijian Jia and Lan Wu
Optimal annuitization and asset allocation under linear habit formation pp. 176-191 Downloads
Guohui Guan, Zongxia Liang and Xingjian Ma
Optimal investment in defined contribution pension schemes with forward utility preferences pp. 192-211 Downloads
Kenneth Tsz Hin Ng and Wing Fung Chong
A family of variability measures based on the cumulative residual entropy and distortion functions pp. 212-222 Downloads
Georgios Psarrakos, Abdolsaeed Toomaj and Polyxeni Vliora
On the factors determining the health profiles and care needs of institutionalized elders pp. 223-241 Downloads
Aleksandr Shemendyuk and Joël Wagner
Longevity hedge effectiveness using socioeconomic indices pp. 242-251 Downloads
Malene Kallestrup-Lamb and Nicolai Søgaard Laursen

Volume 113, issue C, 2023

Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach pp. 1-23 Downloads
Ming Qiu, Zhuo Jin and Shuanming Li
Equilibria and efficiency in a reinsurance market pp. 24-49 Downloads
Michael B. Zhu, Mario Ghossoub and Tim J. Boonen
Aggregate Markov models in life insurance: Properties and valuation pp. 50-69 Downloads
Jamaal Ahmad, Mogens Bladt and Christian Furrer
Optimal investment, consumption and life insurance purchase with learning about return predictability pp. 70-95 Downloads
Xingchun Peng and Baihui Li
Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach pp. 96-121 Downloads
Johnny Siu-Hang Li, Yanxin Liu and Wai-Sum Chan
Joint life care annuities to help retired couples to finance the cost of long-term care pp. 122-139 Downloads
Manuel Ventura-Marco, Carlos Vidal-Melia and Juan Manuel Pérez-Salamero González
Intergenerational sharing of unhedgeable inflation risk pp. 140-160 Downloads
Damiaan H.J. Chen, Roel Beetsma and Sweder J.G. van Wijnbergen
Intergenerational actuarial fairness when longevity increases: Amending the retirement age pp. 161-184 Downloads
Jorge M. Bravo, Mercedes Ayuso, Robert Holzmann and Edward Palmer
Diversification quotients based on VaR and ES pp. 185-197 Downloads
Xia Han, Liyuan Lin and Ruodu Wang
Multi-constrained optimal reinsurance model from the duality perspectives pp. 199-214 Downloads
Ka Chun Cheung, Wanting He and He Wang
Bivariate distribution regression with application to insurance data pp. 215-232 Downloads
Yunyun Wang, Tatsushi Oka and Dan Zhu
European option pricing with market frictions, regime switches and model uncertainty pp. 233-250 Downloads
Tak Kuen Siu
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics pp. 251-273 Downloads
Ning Wang and Yumo Zhang
Optimal risk management with reinsurance and its counterparty risk hedging pp. 274-292 Downloads
Yichun Chi, Tao Hu and Yuxia Huang
Two-phase selection of representative contracts for valuation of large variable annuity portfolios pp. 293-309 Downloads
Ruihong Jiang, David Saunders and Chengguo Weng
Diagnostic tests before modeling longitudinal actuarial data pp. 310-325 Downloads
Yinhuan Li, Tsz Chai Fung, Liang Peng and Linyi Qian
Page updated 2024-05-23