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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

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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

Volume 77, issue C, 2017

On the optimality of periodic barrier strategies for a spectrally positive Lévy process pp. 1-13 Downloads
José-Luis Pérez and Kazutoshi Yamazaki
Wanting robustness in insurance: A model of catastrophe risk pricing and its empirical test pp. 14-23 Downloads
Wenge Zhu
Pareto-optimal reinsurance arrangements under general model settings pp. 24-37 Downloads
Jun Cai, Haiyan Liu and Ruodu Wang
Remarks on composite Bernstein copula and its application to credit risk analysis pp. 38-48 Downloads
Nan Guo, Fang Wang and Jingping Yang
A general approach to full-range tail dependence copulas pp. 49-64 Downloads
Jianxi Su and Lei Hua
Modelling censored losses using splicing: A global fit strategy with mixed Erlang and extreme value distributions pp. 65-77 Downloads
Tom Reynkens, Roel Verbelen, Jan Beirlant and Katrien Antonio
Interplay of subexponential and dependent insurance and financial risks pp. 78-83 Downloads
Yiqing Chen
Time-consistent mean–variance asset–liability management with random coefficients pp. 84-96 Downloads
Jiaqin Wei and Tianxiao Wang
A class of random field memory models for mortality forecasting pp. 97-110 Downloads
P. Doukhan, D. Pommeret, J. Rynkiewicz and Y. Salhi
Optimal insurance design with a bonus pp. 111-118 Downloads
Yongwu Li and Zuo Quan Xu
Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process pp. 119-132 Downloads
Xiaoqing Liang and Yi Lu
Purchasing casualty insurance to avoid lifetime ruin pp. 133-142 Downloads
Virginia R. Young
Some comparison results for finite-time ruin probabilities in the classical risk model pp. 143-149 Downloads
Claude Lefèvre, Julien Trufin and Pierre Zuyderhoff
Model spaces for risk measures pp. 150-165 Downloads
Felix-Benedikt Liebrich and Gregor Svindland
Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach pp. 166-176 Downloads
Han Li and O’Hare, Colin
Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints pp. 177-188 Downloads
Thiago B. Duarte, Davi M. Valladão and Álvaro Veiga

Volume 76, issue C, 2017

Hierarchical Archimedean copulas through multivariate compound distributions pp. 1-13 Downloads
Hélène Cossette, Simon-Pierre Gadoury, Étienne Marceau and Itre Mtalai
Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency pp. 14-27 Downloads
Jan Dhaene, Ben Stassen, Karim Barigou, Daniël Linders and Ze Chen
Haezendonck–Goovaerts risk measure with a heavy tailed loss pp. 28-47 Downloads
Qing Liu, Liang Peng and Xing Wang
De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information pp. 48-55 Downloads
Xiang Hu, Baige Duan and Lianzeng Zhang
Multiple risk factor dependence structures: Distributional properties pp. 56-68 Downloads
Jianxi Su and Edward Furman
On taxed spectrally negative Lévy processes with draw-down stopping pp. 69-74 Downloads
Florin Avram, Nhat Linh Vu and Xiaowen Zhou
Longevity-linked assets and pre-retirement consumption/portfolio decisions pp. 75-86 Downloads
Francesco Menoncin and Luca Regis
Efficient randomized quasi-Monte Carlo methods for portfolio market risk pp. 87-94 Downloads
Halis Sak and İsmail Başoğlu
Evaluation of credit value adjustment in K-forward pp. 95-103 Downloads
Xuemiao Hao, Chunli Liang and Linghua Wei
Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate pp. 104-117 Downloads
Pavel V. Shevchenko and Xiaolin Luo
Modeling partial Greeks of variable annuities with dependence pp. 118-134 Downloads
Guojun Gan and Emiliano A. Valdez
Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function pp. 135-140 Downloads
Agata Boratyńska
Joint stochastic orders of high degrees and their applications in portfolio selections pp. 141-148 Downloads
Wei Wei
Unit-linked life insurance policies: Optimal hedging in partially observable market models pp. 149-163 Downloads
Claudia Ceci, Katia Colaneri and Alessandra Cretarola
Solvency II reporting: How to interpret funds’ aggregate solvency capital requirement figures pp. 164-171 Downloads
Balázs Mezőfi, Andras Niedermayer, Daniel Niedermayer and Balázs Márton Süli
Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework pp. 172-184 Downloads
Francesco Menoncin and Elena Vigna
Optimal insurance design in the presence of exclusion clauses pp. 185-195 Downloads
Yichun Chi and Fangda Liu
Page updated 2018-03-20