EconPapers    
Economics at your fingertips  
 

Insurance: Mathematics and Economics

1982 - 2018

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

From Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

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 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
Page updated 2018-10-13