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Insurance: Mathematics and Economics

1982 - 2021

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

From Elsevier
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Volume 98, issue C, 2021

Fair dynamic valuation of insurance liabilities via convex hedging pp. 1-13 Downloads
Ze Chen, Bingzheng Chen, Jan Dhaene and Tianyu Yang
Mortality forecasting using factor models: Time-varying or time-invariant factor loadings? pp. 14-34 Downloads
Lingyu He, Fei Huang, Jianjie Shi and Yanrong Yang
Bowley solution of a mean–variance game in insurance pp. 35-43 Downloads
Danping Li and Virginia R. Young
The tail mean–variance optimal portfolio selection under generalized skew-elliptical distribution pp. 44-50 Downloads
Esmat Jamshidi Eini and Hamid Khaloozadeh
Optimal investment for a retirement plan with deferred annuities pp. 51-62 Downloads
Iqbal Owadally, Chul Jang and Andrew Clare
Self-protection with random costs pp. 63-67 Downloads
David Crainich and Mario Menegatti
Prepayment risk in reverse mortgages: An intensity-governed surrender model pp. 68-82 Downloads
Tianxiang Shi and Yung-Tsung Lee
Law-invariant functionals that collapse to the mean pp. 83-91 Downloads
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 Downloads
Sébastien Farkas, Olivier Lopez and Maud Thomas
Micro-level parametric duration-frequency-severity modeling for outstanding claim payments pp. 106-119 Downloads
Juan Sebastian Yanez and Mathieu Pigeon
A fractional multi-states model for insurance pp. 120-132 Downloads
Donatien Hainaut
An insurance risk process with a generalized income process: A solvency analysis pp. 133-146 Downloads
Zijia Wang, David Landriault and Shu Li
Sensitivity analysis and tail variability for the Wang’s actuarial index pp. 147-152 Downloads
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 Downloads
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 Downloads
Luis Chavez-Bedoya and Ranu Castaneda
Modality for scenario analysis and maximum likelihood allocation pp. 24-43 Downloads
Takaaki Koike and Marius Hofert
Pricing in a competitive stochastic insurance market pp. 44-56 Downloads
Fotios Mourdoukoutas, Tim J. Boonen, Bonsoo Koo and Athanasios A. Pantelous
Univariate and multivariate claims reserving with Generalized Link Ratios pp. 57-67 Downloads
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 Downloads
Yang Shen and Bin Zou
Dynamics of state-wise prospective reserves in the presence of non-monotone information pp. 81-98 Downloads
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 Downloads
Ling Wang, Mei Choi Chiu and Hoi Ying Wong
Robust optimal investment and reinsurance for an insurer with inside information pp. 15-30 Downloads
Xingchun Peng, Fenge Chen and Wenyuan Wang
Calendar effect and in-sample forecasting pp. 31-52 Downloads
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 Downloads
Andreas Kunz and Markus Popp
Extreme value estimation of the conditional risk premium in reinsurance pp. 68-80 Downloads
Yuri Goegebeur, Armelle Guillou and Jing Qin
Pricing longevity derivatives via Fourier transforms pp. 81-97 Downloads
Jorge M. Bravo and João Pedro Vidal Nunes
Mortality options: The point of view of an insurer pp. 98-115 Downloads
Maren Diane Schmeck and Hanspeter Schmidli
From risk sharing to pure premium for a large number of heterogeneous losses pp. 116-126 Downloads
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 Downloads
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 Downloads
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 Downloads
Edward Furman, Yisub Kye and Jianxi Su
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints pp. 168-184 Downloads
Ning Wang, Nan Zhang, Zhuo Jin and Linyi Qian
Pareto-optimal reinsurance policies with maximal synergy pp. 185-198 Downloads
Wenjun Jiang, Hanping Hong and Jiandong Ren
Stochastic orders and multivariate measures of risk contagion pp. 199-207 Downloads
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 Downloads
Hong Li, Lysa Porth, Ken Seng Tan and Wenjun Zhu
Dynamic hazards modelling for predictive longevity risk assessment pp. 222-231 Downloads
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 Downloads
Riccardo Brignone, Ioannis Kyriakou and Gianluca Fusai
Sparse regression with Multi-type Regularized Feature modeling pp. 248-261 Downloads
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 Downloads
Zhuo Jin, Hailiang Yang and G. Yin
Model-independent price bounds for Catastrophic Mortality Bonds pp. 276-291 Downloads
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 Downloads
M. Brachetta and C. Ceci
Pareto-optimal insurance contracts with premium budget and minimum charge constraints pp. 17-27 Downloads
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 Downloads
Kyran Cupido, Petar Jevtić and Antonio Paez
Optimal risk-sharing across a network of insurance companies pp. 39-47 Downloads
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 Downloads
Giovanni Rabitti and Emanuele Borgonovo
Empirical analysis and forecasting of multiple yield curves pp. 59-78 Downloads
Christoph Gerhart and Eva Lütkebohmert
Center-outward quantiles and the measurement of multivariate risk pp. 79-100 Downloads
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 Downloads
Jiayi Xie and Zhimin Zhang
Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions pp. 116-128 Downloads
Yang-Che Wu
A continuous-time theory of reinsurance chains pp. 129-146 Downloads
Lv Chen, Yang Shen and Jianxi Su
Term structure of discount rates for firms in the insurance industry pp. 147-158 Downloads
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 Downloads
Jean Pinquet
Modeling stochastic mortality for joint lives through subordinators pp. 166-172 Downloads
Yuxin Zhang and Patrick Brockett
On a family of coherent measures of variability pp. 173-182 Downloads
Taizhong Hu and Ouxiang Chen
Risk aggregation in non-life insurance: Standard models vs. internal models pp. 183-198 Downloads
Martin Eling and Kwangmin Jung
On a robust risk measurement approach for capital determination errors minimization pp. 199-211 Downloads
Marcelo Brutti Righi, Fernanda Maria Müller and Marlon Ruoso Moresco
Page updated 2021-06-23