EconPapers    
Economics at your fingertips  
 

Insurance: Mathematics and Economics

1982 - 2021

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

From Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().

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 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