Insurance: Mathematics and Economics

1982 - 2025

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

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Volume 119, issue C, 2024

A buy-hold-sell pension saving strategy pp. 1-16

Gaurav Khemka, Mogens Steffensen and Geoffrey J. Warren

A life insurance model with asymmetric time preferences pp. 17-31

Joakim Alderborn

Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach pp. 32-47

Fotios Mourdoukoutas, Tim J. Boonen, Bonsoo Koo and Athanasios A. Pantelous

Value-enhancing modeling of surrenders and lapses pp. 48-63

Hsiao-Tzu Huang, Yawen Hwang, Linus Fang-Shu Chan and Chenghsien Jason Tsai

Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation pp. 64-92

Haoran Jiang, Zhehao Zhang and Xiaojun Zhu

Blended insurance scheme: A synergistic conventional-index insurance mixture pp. 93-105

Jinggong Zhang

On the effects of public subsidies for severe and mild dependency on long-term care insurance pp. 106-118

Christophe Courbage and Cornel Oros

Spatial copula-based modeling of claim frequency and claim size in third-party car insurance: A Poisson-mixed approach for predictive analysis pp. 119-129

Vahid Tadayon and Mitra Ghanbarzadeh

Multinomial backtesting of distortion risk measures pp. 130-145

Sören Bettels, Sojung Kim and Stefan Weber

Uniqueness of equilibrium with survival probability heterogeneity and endogenous annuity price pp. 146-156

Sau-Him Paul Lau, Yinan Ying and Qilin Zhang

A unified theory of decentralized insurance pp. 157-178

Runhuan Feng, Ming Liu and Ning Zhang

Valuation of guaranteed lifelong withdrawal benefit with the long-term care option pp. 179-193

Yang Yang, Shaoying Chen, Zhenyu Cui and Zhimin Zhang

Optimal insurance design under asymmetric Nash bargaining pp. 194-209

Yichun Chi, Tao Hu, Zhengtang Zhao and Jiakun Zheng

Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models pp. 210-225

Dante Mata López, Kei Noba, José-Luis Pérez and Kazutoshi Yamazaki

A two-layer stochastic game approach to reinsurance contracting and competition pp. 226-237

Zongxia Liang, Yi Xia and Bin Zou

Egalitarian pooling and sharing of longevity risk a.k.a. can an administrator help skin the tontine cat? pp. 238-250

Jan Dhaene and Moshe Milevsky

Bivariate Tail Conditional Co-Expectation for elliptical distributions pp. 251-260

Roy Cerqueti and Arsen Palestini

A new characterization of second-order stochastic dominance pp. 261-267

Yuanying Guan, Muqiao Huang and Ruodu Wang

Pension funds with longevity risk: an optimal portfolio insurance approach pp. 268-297

Marina Di Giacinto, Daniele Mancinelli, Mario Marino and Immacolata Oliva

Volume 118, issue C, 2024

Optimal insurance with mean-deviation measures pp. 1-24

Tim J. Boonen and Xia Han

Effective experience rating for large insurance portfolios via surrogate modeling pp. 25-43

Sebastián Calcetero Vanegas, Andrei L. Badescu and X. Sheldon Lin

An excursion theoretic approach to Parisian ruin problem pp. 44-58

Bo Li and Xiaowen Zhou

Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet pp. 59-71

Darcy Harcourt, Toby Daglish and Eric R. Ulm

Benefit volatility-targeting strategies in lifetime pension pools pp. 72-94

Jean-François Bégin and Barbara Sanders

Comparing and quantifying tail dependence pp. 95-103

Karl Friedrich Siburg, Christopher Strothmann and Gregor Weiß

Stochastic orders and distortion risk contribution ratio measures pp. 104-122

Yiying Zhang

Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments pp. 123-128

Michel Denuit and Julien Trufin

Are reference measures of law-invariant functionals unique? pp. 129-141

Felix-Benedikt Liebrich

Probabilistic approach to risk processes with level-dependent premium rate pp. 142-156

Denis Denisov, Niklas Gotthardt, Dmitry Korshunov and Vitali Wachtel

Correlation aversion and bivariate stochastic dominance with respect to reference functions pp. 157-174

Jingyuan Li, Jianli Wang and Lin Zhou

Precautionary risk-reduction and saving decisions: Two sides of the same coin? pp. 175-194

Richard Peter and Annette Hofmann

Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity pp. 195-222

Tao Wang and Zhiping Chen

Volume 117, issue C, 2024

Optimal investment-disinvestment choices in health-dependent variable annuity pp. 1-15

Guglielmo D'Amico, Shakti Singh and Dharmaraja Selvamuthu

Optimal control under uncertainty: Application to the issue of CAT bonds pp. 16-44

Nicolas Baradel

A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data pp. 45-66

Zhengxiao Li, Fei Wang and Zhengtang Zhao

Robust asset-liability management games for n players under multivariate stochastic covariance models pp. 67-98

Ning Wang and Yumo Zhang

An analysis of precautionary behavior in retirement decision making with an application to pension system reform pp. 99-113

Marco Magnani

On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization pp. 114-129

An Chen, Mitja Stadje and Fangyuan Zhang

Testing for auto-calibration with Lorenz and Concentration curves pp. 130-139

Michel Denuit, Julie Huyghe, Julien Trufin and Thomas Verdebout

Law-invariant return and star-shaped risk measures pp. 140-153

Roger Laeven, Emanuela Rosazza Gianin and Marco Zullino

Coping with longevity via hedging: Fair dynamic valuation of variable annuities pp. 154-169

Ze Chen, Runhuan Feng, Hong Li and Tianyu Yang

Star-shaped acceptability indexes pp. 170-181

Marcelo Righi

Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm pp. 182-195

Taehan Bae and Tatjana Miljkovic

Volume 116, issue C, 2024

A Hawkes model with CARMA(p,q) intensity pp. 1-26

Lorenzo Mercuri, Andrea Perchiazzo and Edit Rroji

Scenario selection with LASSO regression for the valuation of variable annuity portfolios pp. 27-43

Hang Nguyen, Michael Sherris, Andrés M. Villegas and Jonathan Ziveyi

Inter-order relations between equivalence for Lp-quantiles of the Student's t distribution pp. 44-50

Valeria Bignozzi, Luca Merlo and Lea Petrella

Random distortion risk measures pp. 51-73

Xin Zang, Fan Jiang, Chenxi Xia and Jingping Yang

Can price collars increase insurance loss coverage? pp. 74-94

Indradeb Chatterjee, MingJie Hao, Pradip Tapadar and R. Guy Thomas

A Dirichlet process mixture regression model for the analysis of competing risk events pp. 95-113

Francesco Ungolo and Edwin R. van den Heuvel

Quantile mortality modelling of multiple populations via neural networks pp. 114-133

Stefania Corsaro, Zelda Marino and Salvatore Scognamiglio

Risk quantization by magnitude and propensity pp. 134-147

Olivier P. Faugeras and Gilles Pagès

Optimal payout strategies when Bruno de Finetti meets model uncertainty pp. 148-164

Yang Feng, Tak Kuen Siu and Jinxia Zhu

Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools pp. 165-188

Doreen Kabuche, Michael Sherris, Andrés M. Villegas and Jonathan Ziveyi

Stackelberg equilibria with multiple policyholders pp. 189-201

Mario Ghossoub and Michael B. Zhu

A mean field game approach to optimal investment and risk control for competitive insurers pp. 202-217

Lijun Bo, Shihua Wang and Chao Zhou

Tail mean-variance portfolio selection with estimation risk pp. 218-234

Zhenzhen Huang, Pengyu Wei and Chengguo Weng

Worst-case risk with unspecified risk preferences pp. 235-248

Haiyan Liu