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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 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

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 Downloads
Yixing Zhao and Rogemar Mamon
From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions pp. 13-29 Downloads
Andrea Fontanari, Pasquale Cirillo and Cornelis W. Oosterlee
Early default risk and surrender risk: Impacts on participating life insurance policies pp. 30-43 Downloads
Chunli Cheng and Jing Li
Duality in ruin problems for ordered risk models pp. 44-52 Downloads
Pierre-Olivier Goffard and Claude Lefèvre
Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications pp. 53-71 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
J. Beirlant, G. Maribe and A. Verster
Non-cooperative dynamic games for general insurance markets pp. 123-135 Downloads
Tim J. Boonen, Athanasios A. Pantelous and Renchao Wu
Approximation of ruin probabilities via Erlangized scale mixtures pp. 136-156 Downloads
Oscar Peralta, Leonardo Rojas-Nandayapa, Wangyue Xie and Hui Yao
Longevity risk and capital markets: The 2015–16 update pp. 157-173 Downloads
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 Downloads
Richard MacMinn and Andreas Richter
Pension risk management with funding and buyout options pp. 183-200 Downloads
Samuel H. Cox, Yijia Lin and Tianxiang Shi
The effect of longevity drift and investment volatility on income sufficiency in retirement pp. 201-211 Downloads
Les Mayhew, David Smith and Douglas Wright
Valuation of longevity-linked life annuities pp. 212-229 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
Yanxin Liu and Johnny Siu-Hang Li
Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets pp. 286-300 Downloads
Enareta Kurtbegu
Cause-of-death mortality: What can be learned from population dynamics? pp. 301-315 Downloads
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 Downloads
Jack C. Yue, Hsin-Chung Wang, Yin-Yee Leong and Wei-Ping Su
Do actuaries believe in longevity deceleration? pp. 325-338 Downloads
Edouard Debonneuil, Stéphane Loisel and Frédéric Planchet
The double-gap life expectancy forecasting model pp. 339-350 Downloads
Marius D. Pascariu, Vladimir Canudas-Romo and James W. Vaupel
Mortality models and longevity risk for small populations pp. 351-359 Downloads
Hsin-Chung Wang, Ching-Syang Jack Yue and Chen-Tai Chong
Identifiability, cointegration and the gravity model pp. 360-368 Downloads
Andrew Hunt and David Blake
Modeling trend processes in parametric mortality models pp. 369-380 Downloads
Matthias Börger and Johannes Schupp
Page updated 2018-08-21