Insurance: Mathematics and Economics

1982 - 2021

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

From Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 98, issue C, 2021

Fair dynamic valuation of insurance liabilities via convex hedging pp. 1-13

Ze Chen, Bingzheng Chen, Jan Dhaene and Tianyu Yang

Mortality forecasting using factor models: Time-varying or time-invariant factor loadings? pp. 14-34

Lingyu He, Fei Huang, Jianjie Shi and Yanrong Yang

Bowley solution of a mean–variance game in insurance pp. 35-43

Danping Li and Virginia R. Young

The tail mean–variance optimal portfolio selection under generalized skew-elliptical distribution pp. 44-50

Esmat Jamshidi Eini and Hamid Khaloozadeh

Optimal investment for a retirement plan with deferred annuities pp. 51-62

Iqbal Owadally, Chul Jang and Andrew Clare

Self-protection with random costs pp. 63-67

David Crainich and Mario Menegatti

Prepayment risk in reverse mortgages: An intensity-governed surrender model pp. 68-82

Tianxiang Shi and Yung-Tsung Lee

Law-invariant functionals that collapse to the mean pp. 83-91

Fabio Bellini, Pablo Koch-Medina, Cosimo Munari and Gregor Svindland

Cyber claim analysis using Generalized Pareto regression trees with applications to insurance pp. 92-105

Sébastien Farkas, Olivier Lopez and Maud Thomas

Micro-level parametric duration-frequency-severity modeling for outstanding claim payments pp. 106-119

Juan Sebastian Yanez and Mathieu Pigeon

A fractional multi-states model for insurance pp. 120-132

Donatien Hainaut

An insurance risk process with a generalized income process: A solvency analysis pp. 133-146

Zijia Wang, David Landriault and Shu Li

Sensitivity analysis and tail variability for the Wang’s actuarial index pp. 147-152

Georgios Psarrakos and Polyxeni Vliora

Volume 97, issue C, 2021

Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times pp. 1-6

Yiqing Chen, Toby White and Kam Chuen Yuen

A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems pp. 7-23

Luis Chavez-Bedoya and Ranu Castaneda

Modality for scenario analysis and maximum likelihood allocation pp. 24-43

Takaaki Koike and Marius Hofert

Pricing in a competitive stochastic insurance market pp. 44-56

Fotios Mourdoukoutas, Tim J. Boonen, Bonsoo Koo and Athanasios A. Pantelous

Univariate and multivariate claims reserving with Generalized Link Ratios pp. 57-67

Luís Portugal, Athanasios A. Pantelous and Richard Verrall

Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process pp. 68-80

Yang Shen and Bin Zou

Dynamics of state-wise prospective reserves in the presence of non-monotone information pp. 81-98

Marcus C. Christiansen and Christian Furrer

Volume 96, issue C, 2021

Volterra mortality model: Actuarial valuation and risk management with long-range dependence pp. 1-14

Ling Wang, Mei Choi Chiu and Hoi Ying Wong

Robust optimal investment and reinsurance for an insurer with inside information pp. 15-30

Xingchun Peng, Fenge Chen and Wenyuan Wang

Calendar effect and in-sample forecasting pp. 31-52

Enno Mammen, María Dolores Martínez-Miranda, Jens Perch Nielsen and Michael Vogt

Economic Neutral Position: How to best replicate not fully replicable liabilities? pp. 53-67

Andreas Kunz and Markus Popp

Extreme value estimation of the conditional risk premium in reinsurance pp. 68-80

Yuri Goegebeur, Armelle Guillou and Jing Qin

Pricing longevity derivatives via Fourier transforms pp. 81-97

Jorge M. Bravo and João Pedro Vidal Nunes

Mortality options: The point of view of an insurer pp. 98-115

Maren Diane Schmeck and Hanspeter Schmidli

From risk sharing to pure premium for a large number of heterogeneous losses pp. 116-126

Michel Denuit and Christian Y. Robert

Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information pp. 127-139

Rosy Oh, Youngju Lee, Dan Zhu and Jae Youn Ahn

Transforming public pensions: A mixed scheme with a credit granted by the state pp. 140-152

M. Carmen Boado-Penas, Julia Eisenberg and Ralf Korn

Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type pp. 153-167

Edward Furman, Yisub Kye and Jianxi Su

Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints pp. 168-184

Ning Wang, Nan Zhang, Zhuo Jin and Linyi Qian

Pareto-optimal reinsurance policies with maximal synergy pp. 185-198

Wenjun Jiang, Hanping Hong and Jiandong Ren

Stochastic orders and multivariate measures of risk contagion pp. 199-207

P. Ortega-Jiménez, M.A. Sordo and A. Suárez-Llorens

Improved index insurance design and yield estimation using a dynamic factor forecasting approach pp. 208-221

Hong Li, Lysa Porth, Ken Seng Tan and Wenjun Zhu

Dynamic hazards modelling for predictive longevity risk assessment pp. 222-231

Elena Kulinskaya, Lisanne Andra Gitsels, Ilyas Bakbergenuly and Nigel R. Wright

Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models pp. 232-247

Riccardo Brignone, Ioannis Kyriakou and Gianluca Fusai

Sparse regression with Multi-type Regularized Feature modeling pp. 248-261

Sander Devriendt, Katrien Antonio, Tom Reynkens and Roel Verbelen

A hybrid deep learning method for optimal insurance strategies: Algorithms and convergence analysis pp. 262-275

Zhuo Jin, Hailiang Yang and G. Yin

Model-independent price bounds for Catastrophic Mortality Bonds pp. 276-291

Raj Kumari Bahl and Sotirios Sabanis

Volume 95, issue C, 2020

A BSDE-based approach for the optimal reinsurance problem under partial information pp. 1-16

M. Brachetta and C. Ceci

Pareto-optimal insurance contracts with premium budget and minimum charge constraints pp. 17-27

Alexandru V. Asimit, Ka Chun Cheung, Wing Fung Chong and Junlei Hu

Spatial patterns of mortality in the United States: A spatial filtering approach pp. 28-38

Kyran Cupido, Petar Jevtić and Antonio Paez

Optimal risk-sharing across a network of insurance companies pp. 39-47

Nicolas Ettlin, Walter Farkas, Andreas Kull and Alexander Smirnow

Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods pp. 48-58

Giovanni Rabitti and Emanuele Borgonovo

Empirical analysis and forecasting of multiple yield curves pp. 59-78

Christoph Gerhart and Eva Lütkebohmert

Center-outward quantiles and the measurement of multivariate risk pp. 79-100

J. Beirlant, S. Buitendag, E. del Barrio, Marc Hallin and F. Kamper

Statistical estimation for some dividend problems under the compound Poisson risk model pp. 101-115

Jiayi Xie and Zhimin Zhang

Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions pp. 116-128

Yang-Che Wu

A continuous-time theory of reinsurance chains pp. 129-146

Lv Chen, Yang Shen and Jianxi Su

Term structure of discount rates for firms in the insurance industry pp. 147-158

Carmelo Giaccotto, Xiao Lin and Yanhui Zhao

Positivity properties of the ARFIMA(0,d,0) specifications and credibility analysis of frequency risks pp. 159-165

Jean Pinquet

Modeling stochastic mortality for joint lives through subordinators pp. 166-172

Yuxin Zhang and Patrick Brockett

On a family of coherent measures of variability pp. 173-182

Taizhong Hu and Ouxiang Chen

Risk aggregation in non-life insurance: Standard models vs. internal models pp. 183-198

Martin Eling and Kwangmin Jung

On a robust risk measurement approach for capital determination errors minimization pp. 199-211

Marcelo Brutti Righi, Fernanda Maria Müller and Marlon Ruoso Moresco