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Insurance: Mathematics and Economics

1982 - 2017

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

From Elsevier
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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

Volume 75, issue C, 2017

Optimal hedging with basis risk under mean–variance criterion pp. 1-15 Downloads
Jingong Zhang, Ken Seng Tan and Chengguo Weng
Analysis of survivorship life insurance portfolios with stochastic rates of return pp. 16-31 Downloads
Li Chen, Luyao Lin, Yi Lu and Gary Parker
Optimal consumption, investment and housing with means-tested public pension in retirement pp. 32-47 Downloads
Johan G. Andréasson, Pavel V. Shevchenko and Alex Novikov
Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models pp. 48-57 Downloads
César Neves, Cristiano Fernandes and Henrique Hoeltgebaum
A reinsurance and investment game between two insurance companies with the different opinions about some extra information pp. 58-70 Downloads
Ming Yan, Fanyi Peng and Shuhua Zhang
Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model pp. 71-81 Downloads
Lukas Hahn
Optimality of excess-loss reinsurance under a mean–variance criterion pp. 82-89 Downloads
Danping Li, Dongchen Li and Virginia R. Young
The joint mortality of couples in continuous time pp. 90-97 Downloads
P. Jevtić and T.R. Hurd
Confidence sets and confidence bands for a beta distribution with applications to credit risk management pp. 98-104 Downloads
Seksan Kiatsupaibul, Anthony J. Hayter and Sarunya Somsong
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures pp. 105-116 Downloads
Jun Cai, Ying Wang and Tiantian Mao
Identifiability issues of age–period and age–period–cohort models of the Lee–Carter type pp. 117-125 Downloads
Eric Beutner, Simon Reese and Jean-Pierre Urbain
Data breaches: Goodness of fit, pricing, and risk measurement pp. 126-136 Downloads
Martin Eling and Nicola Loperfido
Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk pp. 137-150 Downloads
Zheng Chen, Zhongfei Li, Yan Zeng and Jingyun Sun
Characterization of between-group inequality of longevity in European Union countries pp. 151-165 Downloads
A. Debón, L. Chaves, S. Haberman and F. Villa
Grouped multivariate and functional time series forecasting:An application to annuity pricing pp. 166-179 Downloads
Han Lin Shang and Steven Haberman
The fundamental theorem of mutual insurance pp. 180-188 Downloads
Peter Albrecht and Markus Huggenberger
Fuzzy logic modifications of the Analytic Hierarchy Process pp. 189-202 Downloads
Arnold F. Shapiro and Marie-Claire Koissi
Page updated 2017-12-18