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 ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

Volume 115, issue C, 2024

Adjusted higher-order expected shortfall pp. 1-12

Zhenfeng Zou and Taizhong Hu

Tweedie multivariate semi-parametric credibility with the exchangeable correlation pp. 13-21

Himchan Jeong

Probability equivalent level for CoVaR and VaR pp. 22-35

Patricia Ortega-Jiménez, Franco Pellerey, Miguel A. Sordo and Alfonso Suárez-Llorens

Bowley solution under the reinsurer's default risk pp. 36-61

Yanhong Chen, Ka Chun Cheung and Yiying Zhang

Variance insurance contracts pp. 62-82

Yichun Chi, Xun Yu Zhou and Sheng Chao Zhuang

Bootstrap consistency for the Mack bootstrap pp. 83-121

Julia Steinmetz and Carsten Jentsch

Pricing guaranteed annuity options in a linear-rational Wishart mortality model pp. 122-131

José Da Fonseca

Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models pp. 132-150

Zhenzhen Huang, Yue Kuen Kwok and Ziqing Xu

Moral hazard in loss reduction and state-dependent utility pp. 151-168

S. Hun Seog and Jimin Hong

Volume 114, issue C, 2024

Risk-neutral valuation of GLWB riders in variable annuities pp. 1-14

Anna Rita Bacinello, Rosario Maggistro and Ivan Zoccolan

Analyzing the interest rate risk of equity-indexed annuities via scenario matrices pp. 15-28

Sascha Günther and Peter Hieber

Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm pp. 29-42

Guangyuan Gao

Asymptotic results on tail moment for light-tailed risks pp. 43-55

Bingjie Wang and Jinzhu Li

Stressing dynamic loss models pp. 56-78

Emma Kroell, Silvana M. Pesenti and Sebastian Jaimungal

Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks pp. 79-107

Yang Yang, Guojing Wang and Jing Yao

Bayesian CART models for insurance claims frequency pp. 108-131

Yaojun Zhang, Lanpeng Ji, Georgios Aivaliotis and Charles Taylor

A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment pp. 132-155

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates pp. 156-175

Chaoyi Zhao, Zijian Jia and Lan Wu

Optimal annuitization and asset allocation under linear habit formation pp. 176-191

Guohui Guan, Zongxia Liang and Xingjian Ma

Optimal investment in defined contribution pension schemes with forward utility preferences pp. 192-211

Kenneth Tsz Hin Ng and Wing Fung Chong

A family of variability measures based on the cumulative residual entropy and distortion functions pp. 212-222

Georgios Psarrakos, Abdolsaeed Toomaj and Polyxeni Vliora

On the factors determining the health profiles and care needs of institutionalized elders pp. 223-241

Aleksandr Shemendyuk and Joël Wagner

Longevity hedge effectiveness using socioeconomic indices pp. 242-251

Malene Kallestrup-Lamb and Nicolai Søgaard Laursen

Volume 113, issue C, 2023

Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach pp. 1-23

Ming Qiu, Zhuo Jin and Shuanming Li

Equilibria and efficiency in a reinsurance market pp. 24-49

Michael B. Zhu, Mario Ghossoub and Tim J. Boonen

Aggregate Markov models in life insurance: Properties and valuation pp. 50-69

Jamaal Ahmad, Mogens Bladt and Christian Furrer

Optimal investment, consumption and life insurance purchase with learning about return predictability pp. 70-95

Xingchun Peng and Baihui Li

Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach pp. 96-121

Johnny Siu-Hang Li, Yanxin Liu and Wai-Sum Chan

Joint life care annuities to help retired couples to finance the cost of long-term care pp. 122-139

Manuel Ventura-Marco, Carlos Vidal-Melia and Juan Manuel Pérez-Salamero González

Intergenerational sharing of unhedgeable inflation risk pp. 140-160

Damiaan H.J. Chen, Roel Beetsma and Sweder J.G. van Wijnbergen

Intergenerational actuarial fairness when longevity increases: Amending the retirement age pp. 161-184

Jorge Bravo, Mercedes Ayuso, Robert Holzmann and Edward Palmer

Diversification quotients based on VaR and ES pp. 185-197

Xia Han, Liyuan Lin and Ruodu Wang

Multi-constrained optimal reinsurance model from the duality perspectives pp. 199-214

Ka Chun Cheung, Wanting He and He Wang

Bivariate distribution regression with application to insurance data pp. 215-232

Yunyun Wang, Tatsushi Oka and Dan Zhu

European option pricing with market frictions, regime switches and model uncertainty pp. 233-250

Tak Kuen Siu

Robust optimal asset-liability management with mispricing and stochastic factor market dynamics pp. 251-273

Ning Wang and Yumo Zhang

Optimal risk management with reinsurance and its counterparty risk hedging pp. 274-292

Yichun Chi, Tao Hu and Yuxia Huang

Two-phase selection of representative contracts for valuation of large variable annuity portfolios pp. 293-309

Ruihong Jiang, David Saunders and Chengguo Weng

Diagnostic tests before modeling longitudinal actuarial data pp. 310-325

Yinhuan Li, Tsz Chai Fung, Liang Peng and Linyi Qian