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Insurance: Mathematics and Economics

1982 - 2025

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

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

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Volume 123, issue C, 2025

Portfolio benchmarks in defined contribution pension plan management Downloads
Daxin Huang and Yang Liu
Improving detections of serial dynamics for longitudinal actuarial data with underwriting-controlled testing Downloads
Tsz Chai Fung
Approximations of multi-period liability values by simple formulas Downloads
Nils Engler and Filip Lindskog
Learning from COVID-19: A catastrophe mortality bond solution in the post-pandemic era Downloads
Ze Chen, Hong Li, Yu Mao and Kenneth Q. Zhou
Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models Downloads
José Da Fonseca and Patrick Wong
Optimal insurance contract under mean-variance preference with value at risk constraint Downloads
Zixuan Li, Hui Meng and Ming Zhou
Efficient hedging of life insurance portfolio for loss-averse insurers Downloads
Edouard Motte and Donatien Hainaut

Volume 122, issue C, 2025

Robust indifference valuation of catastrophe bonds pp. 1-10 Downloads
Haibo Liu
Subjective survival beliefs and the life-cycle model pp. 11-29 Downloads
Seung Yeon Jeong, Iqbal Owadally, Steven Haberman and Douglas Wright
Identifying scenarios for the own risk and Solvency assessment of insurance companies pp. 30-43 Downloads
Philipp Aigner
Auto insurance fraud detection: Leveraging cost sensitive and insensitive algorithms for comprehensive analysis pp. 44-60 Downloads
Meryem Yankol Schalck
Insurance contract for electric vehicle charging stations: A Stackelberg game-theoretic approach pp. 61-81 Downloads
Yuanmin Jin, Zhuo Jin and Jiaqin Wei
Almost stochastic dominance: Magnitude constraints on risk aversion pp. 82-90 Downloads
Liqun Liu and Jack Meyer
Efficient and proper generalised linear models with power link functions pp. 91-118 Downloads
Vali Asimit, Alexandru Badescu, Ziwei Chen and Feng Zhou
Efficient evaluation of risk allocations pp. 119-136 Downloads
Christopher Blier-Wong, Hélène Cossette and Etienne Marceau
Self-protection under Nth-degree risk increase of random unit cost pp. 137-142 Downloads
Yongjin Yin and Shengwang Meng
The impact of intermediaries on insurance demand and pricing pp. 143-156 Downloads
Dongchen Li, Yan Zeng and Yixing Zhao
A generalized tail mean-variance model for optimal capital allocation pp. 157-179 Downloads
Yang Yang, Guojing Wang, Jing Yao and Hengyue Xie
Pricing insurance contracts with an existing portfolio as background risk pp. 180-193 Downloads
Corrado De Vecchi and Matthias Scherer
Optimal reinsurance from an optimal transport perspective pp. 194-213 Downloads
Beatrice Acciaio, Hansjörg Albrecher and Brandon García Flores
Length of stay in residential aged care: Patterns and determinants from a population-based cohort study pp. 214-229 Downloads
Mengyi Xu and Gaoyun Yan
Mean-variance optimization for participating life insurance contracts pp. 230-248 Downloads
Felix Fießinger and Mitja Stadje
Forecasting age distribution of deaths: Cumulative distribution function transformation pp. 249-261 Downloads
Han Lin Shang and Steven Haberman
Bayesian adaptive portfolio optimization for DC pension plans pp. 262-274 Downloads
Shuping Gao, Junyi Guo and Xiaoqing Liang
Equilibrium intergenerational risk-sharing design for a target benefit pension plan pp. 275-299 Downloads
Lv Chen, Danping Li, Yumin Wang and Xiaobai Zhu

Volume 121, issue C, 2025

Dividend corridors and a ruin constraint pp. 1-25 Downloads
Hansjörg Albrecher, Brandon Garcia Flores and Christian Hipp
Tail similarity pp. 26-44 Downloads
Vali Asimit, Zhongyi Yuan and Feng Zhou
Insurance loss modeling with gradient tree-boosted mixture models pp. 45-62 Downloads
Yanxi Hou, Jiahong Li and Guangyuan Gao
Uncertainty in heteroscedastic Bayesian model averaging pp. 63-78 Downloads
Sébastien Jessup, Mélina Mailhot and Mathieu Pigeon
Innovative combo product design embedding variable annuity and long-term care insurance contracts pp. 79-99 Downloads
Yang Shen, Michael Sherris, Yawei Wang and Jonathan Ziveyi
Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes pp. 100-110 Downloads
Ricardo Josa-Fombellida and Paula López-Casado
Designing and valuing new equity-linked insurance products for couples pp. 111-132 Downloads
Kelvin Tang, Eric C.K. Cheung and Jae-Kyung Woo
Axiomatic risk sharing and capital allocation pp. 133-143 Downloads
Tim J. Boonen and Maurice Koster
Estimating the impact of COVID-19 on mortality using granular data pp. 144-156 Downloads
Frank van Berkum, Bertrand Melenberg and Michel Vellekoop
Bowley-optimal convex-loaded premium principles pp. 157-180 Downloads
Mario Ghossoub, Bin Li and Benxuan Shi

Volume 120, issue C, 2025

Comonotonicity and Pareto optimality, with application to collaborative insurance pp. 1-16 Downloads
Michel Denuit, Jan Dhaene, Mario Ghossoub and Christian Y. Robert
Automated machine learning in insurance pp. 17-41 Downloads
Panyi Dong and Zhiyu Quan
A risk measurement approach from risk-averse stochastic optimization of score functions pp. 42-50 Downloads
Marcelo Brutti Righi, Fernanda Maria Müller and Marlon Ruoso Moresco
Automobile Insurance Fraud Detection Based on PSO-XGBoost Model and Interpretable Machine Learning Method pp. 51-60 Downloads
Ning Ding, Xiao Ruan, Hao Wang and Yuan Liu
Distributionally robust insurance under the Wasserstein distance pp. 61-78 Downloads
Tim J. Boonen and Wenjun Jiang
Continuous-time optimal reporting with full insurance under the mean-variance criterion pp. 79-90 Downloads
Jingyi Cao, Dongchen Li, Virginia R. Young and Bin Zou
Hidden semi-Markov models for rainfall-related insurance claims pp. 91-106 Downloads
Yue Shi, Antonio Punzo, Håkon Otneim and Antonello Maruotti
Evolution of institutional long-term care costs based on health factors pp. 107-130 Downloads
Aleksandr Shemendyuk and Joël Wagner
How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model pp. 131-158 Downloads
Yang Feng, Tak Kuen Siu and Jinxia Zhu
Optimal consumption and annuity equivalent wealth with mortality model uncertainty pp. 159-188 Downloads
Zhengming Li, Yang Shen and Jianxi Su
Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin pp. 189-206 Downloads
Félix Locas and Jean-François Renaud
Mean-variance longevity risk-sharing for annuity contracts pp. 207-235 Downloads
Hamza Hanbali
Robust Nash equilibrium for defined contribution pension games with delay under multivariate stochastic covariance models pp. 236-268 Downloads
Huainian Zhu and Yumo Zhang
Valuation of variable annuity portfolios using finite and infinite width neural networks pp. 269-284 Downloads
Hong Beng Lim, Nariankadu D. Shyamalkumar and Siyang Tao
Target benefit pension with longevity risk and stochastic interest rate valuation pp. 285-301 Downloads
Cheng Tao, Ximin Rong and Hui Zhao
Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information pp. 302-324 Downloads
Xingchun Peng and Liuling Luo
Page updated 2025-06-28