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Insurance: Mathematics and Economics

1982 - 2019

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

From Elsevier
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Volume 87, issue C, 2019

A censored copula model for micro-level claim reserving pp. 1-14 Downloads
Olivier Lopez
Optimal proportional reinsurance and investment for stochastic factor models pp. 15-33 Downloads
M. Brachetta and C. Ceci
The collective reserving model pp. 34-50 Downloads
Felix Wahl, Mathias Lindholm and Richard Verrall
Optimal insurance under rank-dependent expected utility pp. 51-66 Downloads
Mario Ghossoub
Optimal robust insurance with a finite uncertainty set pp. 67-81 Downloads
Alexandru V. Asimit, Junlei Hu and Yuantao Xie
Optimal reinsurance for Gerber–Shiu functions in the Cramér–Lundberg model pp. 82-91 Downloads
M. Preischl and S. Thonhauser
Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market pp. 92-100 Downloads
Søren Asmussen, Bent Jesper Christensen and Julie Thøgersen
Robust estimation of the Pickands dependence function under random right censoring pp. 101-114 Downloads
Yuri Goegebeur, Armelle Guillou and Jing Qin
A dependent frequency–severity approach to modeling longitudinal insurance claims pp. 115-129 Downloads
Gee Y. Lee and Peng Shi
Option pricing under regime-switching models: Novel approaches removing path-dependence pp. 130-142 Downloads
Frédéric Godin, Van Son Lai and Denis-Alexandre Trottier
Optimal reinsurance to minimize the discounted probability of ruin under ambiguity pp. 143-152 Downloads
Danping Li and Virginia R. Young
Collective risk models with dependence pp. 153-168 Downloads
Hélène Cossette, Etienne Marceau and Itre Mtalai

Volume 86, issue C, 2019

Optimal dividend policy when risk reserves follow a jump–diffusion process with a completely monotone jump density under Markov-regime switching pp. 1-7 Downloads
Zhengjun Jiang
Subgroup analysis of zero-inflated Poisson regression model with applications to insurance data pp. 8-18 Downloads
Kun Chen, Rui Huang, Ngai Hang Chan and Chun Yip Yau
Affordable and adequate annuities with stable payouts: Fantasy or reality? pp. 19-42 Downloads
Servaas van Bilsen and Daniël Linders
Dynamic risk measures for processes via backward stochastic differential equations pp. 43-50 Downloads
Ronglin Ji, Xuejun Shi, Shijie Wang and Jinming Zhou
Valuation of risk-based premium of DB pension plan with terminations pp. 51-63 Downloads
Linyi Qian, Yang Shen, Wei Wang and Zhixin Yang
Risk-adjusted Bowley reinsurance under distorted probabilities pp. 64-72 Downloads
Ka Chun Cheung, Sheung Chi Phillip Yam and Yiying Zhang
Model-free bounds on Value-at-Risk using extreme value information and statistical distances pp. 73-83 Downloads
Thibaut Lux and Antonis Papapantoleon
Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns pp. 84-91 Downloads
Chen Li and Xiaohu Li
On a family of risk measures based on largest claims pp. 92-97 Downloads
Castaño-Martínez, A., G. Pigueiras and M.A. Sordo
Conditional tail risk measures for the skewed generalised hyperbolic family pp. 98-114 Downloads
Katja Ignatieva and Zinoviy Landsman
Analysis of risk bounds in partially specified additive factor models pp. 115-121 Downloads
L. Rüschendorf
A forecast reconciliation approach to cause-of-death mortality modeling pp. 122-133 Downloads
Han Li, Hong Li, Yang Lu and Anastasios Panagiotelis
Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes? pp. 134-144 Downloads
Tomás Gutierrez, Bernardo Pagnoncelli, Davi Valladão and Arturo Cifuentes
Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions pp. 145-157 Downloads
Joseph H.T. Kim and So-Yeun Kim
A dynamic equivalence principle for systematic longevity risk management pp. 158-167 Downloads
Hamza Hanbali, Michel Denuit, Jan Dhaene and Julien Trufin
Modern tontine with bequest: Innovation in pooled annuity products pp. 168-188 Downloads
Thomas Bernhardt and Catherine Donnelly
A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans pp. 189-204 Downloads
Yuying Li and Peter A. Forsyth
Asymptotics of multivariate conditional risk measures for Gaussian risks pp. 205-215 Downloads
Chengxiu Ling
Dynamic risk-sharing game and reinsurance contract design pp. 216-231 Downloads
Shumin Chen, Yanchu Liu and Chengguo Weng
On a family of risk measures based on proportional hazards models and tail probabilities pp. 232-240 Downloads
Georgios Psarrakos and Miguel A. Sordo
Reinsurance contract design when the insurer is ambiguity-averse pp. 241-255 Downloads
Duni Hu and Hailong Wang

Volume 85, issue C, 2019

Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets pp. 1-14 Downloads
Junna Bi and Jun Cai
To borrow or insure? Long term care costs and the impact of housing pp. 15-34 Downloads
Adam W. Shao, Hua Chen and Michael Sherris
On modeling left-truncated loss data using mixtures of distributions pp. 35-46 Downloads
Martin Blostein and Tatjana Miljkovic
Optimal investment of DC pension plan under short-selling constraints and portfolio insurance pp. 47-59 Downloads
Yinghui Dong and Harry Zheng
Quantitative modeling of risk management strategies: Stochastic reserving and hedging of variable annuity guaranteed benefits pp. 60-73 Downloads
Runhuan Feng and Bingji Yi
On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins pp. 74-88 Downloads
P.D. England, R.J. Verrall and M.V. Wüthrich
Multivariate count data generalized linear models: Three approaches based on the Sarmanov distribution pp. 89-103 Downloads
Catalina Bolancé and Raluca Vernic
Time-consistent investment-proportional reinsurance strategy with random coefficients for mean–variance insurers pp. 104-114 Downloads
Hao Wang, Rongming Wang and Jiaqin Wei
Optimal initial capital induced by the optimized certainty equivalent pp. 115-125 Downloads
Takuji Arai, Takao Asano and Katsumasa Nishide
A Cape Cod model for the exponential dispersion family pp. 126-137 Downloads
Greg Taylor
Dynamic capital allocation with irreversible investments pp. 138-152 Downloads
Daniel Bauer, Shinichi Kamiya, Xiaohu Ping and George Zanjani
Mean-risk portfolio management with bankruptcy prohibition pp. 153-172 Downloads
K.C. Wong, S.C.P. Yam and J. Zeng
On optimal reinsurance treaties in cooperative game under heterogeneous beliefs pp. 173-184 Downloads
Wenjun Jiang, Jiandong Ren, Chen Yang and Hanping Hong
An analysis of transaction costs in participating life insurance under mean–variance preferences pp. 185-197 Downloads
Nadine Gatzert
Random distribution kernels and three types of defaultable contingent payoffs pp. 198-204 Downloads
Jinchun Ye
An approach to merit rating by means of autoregressive sequences pp. 205-217 Downloads
László Martinek and N. Miklós Arató

Volume 84, issue C, 2019

Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk pp. 1-21 Downloads
Kenneth Q. Zhou and Johnny Siu-Hang Li
Budget-constrained optimal insurance without the nonnegativity constraint on indemnities pp. 22-39 Downloads
Mario Ghossoub
Derivatives trading for insurers pp. 40-53 Downloads
Xiaole Xue, Pengyu Wei and Chengguo Weng
Dynamic hybrid products with guarantees—An optimal portfolio framework pp. 54-66 Downloads
Hayk Hambardzumyan and Ralf Korn
On randomized reinsurance contracts pp. 67-78 Downloads
Hansjörg Albrecher and Arian Cani
Forecasting compositional risk allocations pp. 79-86 Downloads
Tim J. Boonen, Montserrat Guillen and Miguel Santolino
An optimization approach to adaptive multi-dimensional capital management pp. 87-97 Downloads
G.A. Delsing, M.R.H. Mandjes, P.J.C. Spreij and E.M.M. Winands
Hedging of crop harvest with derivatives on temperature pp. 98-114 Downloads
Donatien Hainaut
Robust non-zero-sum investment and reinsurance game with default risk pp. 115-132 Downloads
Ning Wang, Nan Zhang, Zhuo Jin and Linyi Qian
Page updated 2019-08-23