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Insurance: Mathematics and Economics

1982 - 2020

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

From Elsevier
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Volume 92, issue C, 2020

Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments pp. 1-16 Downloads
Ran Xu and Jae-Kyung Woo
On occupation times in the red of Lévy risk models pp. 17-26 Downloads
David Landriault, Bin Li and Mohamed Amine Lkabous
Robust optimal reinsurance–investment strategy with price jumps and correlated claims pp. 27-46 Downloads
Zhiping Chen and Peng Yang
On sums of two counter-monotonic risks pp. 47-60 Downloads
Ihsan Chaoubi, Hélène Cossette, Simon-Pierre Gadoury and Etienne Marceau
On the increasing convex order of generalized aggregation of dependent random variables pp. 61-69 Downloads
Yiying Zhang and Ka Chun Cheung
Distributionally robust inference for extreme Value-at-Risk pp. 70-89 Downloads
Robert Yuen, Stilian Stoev and Daniel Cooley
Long-term real dynamic investment planning pp. 90-103 Downloads
Russell Gerrard, Munir Hiabu, Jens Perch Nielsen and Peter Vodička
Optimal insurance with belief heterogeneity and incentive compatibility pp. 104-114 Downloads
Yichun Chi and Sheng Chao Zhuang
On the asymptotic equilibrium of a population system with migration pp. 115-127 Downloads
Augusto Pianese, Anna Attias, Sergio Bianchi and Zoltàn Varga
Optimal reinsurance under the mean–variance premium principle to minimize the probability of ruin pp. 128-146 Downloads
Xiaoqing Liang, Zhibin Liang and Virginia R. Young
Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age? pp. 147-161 Downloads
Moshe A. Milevsky
Multi-stage nested classification credibility quantile regression model pp. 162-176 Downloads
Georgios Pitselis

Volume 91, issue C, 2020

Weak limits of random coefficient autoregressive processes and their application in ruin theory pp. 1-11 Downloads
Y. Dong and J. Spielmann
Generalized expected discounted penalty function at general drawdown for Lévy risk processes pp. 12-25 Downloads
Wenyuan Wang, Ping Chen and Shuanming Li
The Poisson random effect model for experience ratemaking: Limitations and alternative solutions pp. 26-36 Downloads
Woojoo Lee, Jeonghwan Kim and Jae Youn Ahn
Incorporating hierarchical credibility theory into modelling of multi-country mortality rates pp. 37-54 Downloads
Cary Chi-Liang Tsai and Adelaide Di Wu
Validation of association pp. 55-67 Downloads
Bogdan Ćmiel and Teresa Ledwina
A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates pp. 68-84 Downloads
Francesco Ungolo, Torsten Kleinow and Angus S. Macdonald
Fast and efficient nested simulation for large variable annuity portfolios: A surrogate modeling approach pp. 85-103 Downloads
X. Sheldon Lin and Shuai Yang
A cyclic approach on classical ruin model pp. 104-110 Downloads
Fei Lung Yuen, Wing Yan Lee and Derrick W.H. Fung
Health shock risk, critical illness insurance, and housing services pp. 111-128 Downloads
Christoph Hambel
An age-at-death distribution approach to forecast cohort mortality pp. 129-143 Downloads
Ugofilippo Basellini, Søren Kjærgaard and Carlo Giovanni Camarda
Is the inf-convolution of law-invariant preferences law-invariant? pp. 144-154 Downloads
Peng Liu, Ruodu Wang and Linxiao Wei
Concave distortion risk minimizing reinsurance design under adverse selection pp. 155-165 Downloads
Ka Chun Cheung, Sheung Chi Phillip Yam, Fei Lung Yuen and Yiying Zhang
Copula-based Markov process pp. 166-187 Downloads
Jun Fang, Fan Jiang, Yong Liu and Jingping Yang
A Bowley solution with limited ceded risk for a monopolistic reinsurer pp. 188-201 Downloads
Yichun Chi, Ken Seng Tan and Sheng Chao Zhuang
Optimal prevention strategies in the classical risk model pp. 202-208 Downloads
Romain Gauchon, Stéphane Loisel, Jean-Louis Rullière and Julien Trufin
Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology pp. 209-223 Downloads
Petar Jevtić and Nicolas Lanchier
Dynamic consumption and portfolio choice under prospect theory pp. 224-237 Downloads
Servaas van Bilsen and Roger Laeven
Risk analysis with categorical explanatory variables pp. 238-243 Downloads
Seul Ki Kang, Liang Peng and Hongmin Xiao
Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes pp. 244-256 Downloads
Jiaqin Wei, Xiang Cheng, Zhuo Jin and Hao Wang
Modelling extreme claims via composite models and threshold selection methods pp. 257-268 Downloads
Yinzhi Wang, Ingrid Hobæk Haff and Arne Huseby

Volume 90, issue C, 2020

The equivalence of two tax processes pp. 1-6 Downloads
Dalal Al Ghanim, Ronnie Loeffen and Alexander R. Watson
Unhedgeable inflation risk within pension schemes pp. 7-24 Downloads
D.H.J. Chen, Roel Beetsma and Sweder van Wijnbergen
Approximating the time-weighted return: The case of flows at unknown time pp. 25-34 Downloads
Marco Guzzetti
On the Type I multivariate zero-truncated hurdle model with applications in health insurance pp. 35-45 Downloads
Pengcheng Zhang, Enrique Calderin, Shuanming Li and Xueyuan Wu
The diffusion of complex securities: The case of CAT bonds pp. 46-57 Downloads
José Afonso Faias and José Guedes
Livestock mortality catastrophe insurance using fatal shock process pp. 58-65 Downloads
Jeffrey Pai and Nalini Ravishanker
Convex risk functionals: Representation and applications pp. 66-79 Downloads
Fangda Liu, Jun Cai, Christiane Lemieux and Ruodu Wang
Pitfalls and merits of cointegration-based mortality models pp. 80-93 Downloads
Søren F. Jarner and Snorre Jallbjørn
Optimal allocation to Deferred Income Annuities pp. 94-104 Downloads
F. Habib, H. Huang, A. Mauskopf, B. Nikolic and T.S. Salisbury
Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility pp. 105-119 Downloads
Tingjin Yan and Hoi Ying Wong
On log-normal convolutions: An analytical–numerical method with applications to economic capital determination pp. 120-134 Downloads
Edward Furman, Daniel Hackmann and Alexey Kuznetsov
Parisian ruin with a threshold dividend strategy under the dual Lévy risk model pp. 135-150 Downloads
Chen Yang, Kristina P. Sendova and Zhong Li
Duration of long-term care: Socio-economic factors, type of care interactions and evolution pp. 151-168 Downloads
Michel Fuino and Joël Wagner

Volume 89, issue C, 2019

Rank-based inference tools for copula regression, with property and casualty insurance applications pp. 1-15 Downloads
Marie-Pier Côté, Christian Genest and Marek Omelka
How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach pp. 16-37 Downloads
Sarah Kaakaï, Héloïse Labit Hardy, Séverine Arnold and Nicole El Karoui
On the distribution of classic and some exotic ruin times pp. 38-45 Downloads
David Landriault, Bin Li, Tianxiang Shi and Di Xu
Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan pp. 46-62 Downloads
Suxin Wang and Yi Lu
Robust optimal reinsurance and investment strategies for an AAI with multiple risks pp. 63-78 Downloads
Guohui Guan and Zongxia Liang
Budget-constrained optimal insurance with belief heterogeneity pp. 79-91 Downloads
Mario Ghossoub
Nonparametric inference for distortion risk measures on tail regions pp. 92-110 Downloads
Yanxi Hou and Xing Wang
A class of mixture of experts models for general insurance: Theoretical developments pp. 111-127 Downloads
Tsz Chai Fung, Andrei L. Badescu and X. Sheldon Lin
Model selection based on Lorenz and concentration curves, Gini indices and convex order pp. 128-139 Downloads
Michel Denuit, Dominik Sznajder and Julien Trufin
Explicit moments for a class of micro-models in non-life insurance pp. 140-156 Downloads
Felix Wahl
Robust optimal investment–reinsurance strategies for an insurer with multiple dependent risks pp. 157-170 Downloads
Jingyun Sun, Haixiang Yao and Zhilin Kang
Pricing industry loss warranties in a Lévy–Frailty framework pp. 171-181 Downloads
Simone Beer, Alexander Braun and Andrin Marugg
Options on tontines: An innovative way of combining tontines and annuities pp. 182-192 Downloads
An Chen and Manuel Rach
Stochastic utilities with subsistence and satiation: Optimal life insurance purchase, consumption and investment pp. 193-212 Downloads
Jinchun Ye
Page updated 2020-07-13