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 86, issue C, 2019

Optimal dividend policy when risk reserves follow a jump–diffusion process with a completely monotone jump density under Markov-regime switching pp. 1-7

Zhengjun Jiang

Subgroup analysis of zero-inflated Poisson regression model with applications to insurance data pp. 8-18

Kun Chen, Rui Huang, Ngai Hang Chan and Chun Yip Yau

Affordable and adequate annuities with stable payouts: Fantasy or reality? pp. 19-42

Servaas van Bilsen and Daniël Linders

Dynamic risk measures for processes via backward stochastic differential equations pp. 43-50

Ronglin Ji, Xuejun Shi, Shijie Wang and Jinming Zhou

Valuation of risk-based premium of DB pension plan with terminations pp. 51-63

Linyi Qian, Yang Shen, Wei Wang and Zhixin Yang

Risk-adjusted Bowley reinsurance under distorted probabilities pp. 64-72

Ka Chun Cheung, Sheung Chi Phillip Yam and Yiying Zhang

Model-free bounds on Value-at-Risk using extreme value information and statistical distances pp. 73-83

Thibaut Lux and Antonis Papapantoleon

Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns pp. 84-91

Chen Li and Xiaohu Li

On a family of risk measures based on largest claims pp. 92-97

A. Castaño-Martínez, G. Pigueiras and M.A. Sordo

Conditional tail risk measures for the skewed generalised hyperbolic family pp. 98-114

Katja Ignatieva and Zinoviy Landsman

Analysis of risk bounds in partially specified additive factor models pp. 115-121

L. Rüschendorf

A forecast reconciliation approach to cause-of-death mortality modeling pp. 122-133

Han Li, Hong Li, Yang Lu and Anastasios Panagiotelis

Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes? pp. 134-144

Tomás Gutierrez, Bernardo Pagnoncelli, Davi Valladão and Arturo Cifuentes

Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions pp. 145-157

Joseph H.T. Kim and So-Yeun Kim

A dynamic equivalence principle for systematic longevity risk management pp. 158-167

Hamza Hanbali, Michel Denuit, Jan Dhaene and Julien Trufin

Modern tontine with bequest: Innovation in pooled annuity products pp. 168-188

Thomas Bernhardt and Catherine Donnelly

A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans pp. 189-204

Yuying Li and Peter A. Forsyth

Asymptotics of multivariate conditional risk measures for Gaussian risks pp. 205-215

Chengxiu Ling

Dynamic risk-sharing game and reinsurance contract design pp. 216-231

Shumin Chen, Yanchu Liu and Chengguo Weng

On a family of risk measures based on proportional hazards models and tail probabilities pp. 232-240

Georgios Psarrakos and Miguel A. Sordo

Reinsurance contract design when the insurer is ambiguity-averse pp. 241-255

Duni Hu and Hailong Wang

Volume 85, issue C, 2019

Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets pp. 1-14

Junna Bi and Jun Cai

To borrow or insure? Long term care costs and the impact of housing pp. 15-34

Adam W. Shao, Hua Chen and Michael Sherris

On modeling left-truncated loss data using mixtures of distributions pp. 35-46

Martin Blostein and Tatjana Miljkovic

Optimal investment of DC pension plan under short-selling constraints and portfolio insurance pp. 47-59

Yinghui Dong and Harry Zheng

Quantitative modeling of risk management strategies: Stochastic reserving and hedging of variable annuity guaranteed benefits pp. 60-73

Runhuan Feng and Bingji Yi

On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins pp. 74-88

P.D. England, R.J. Verrall and M.V. Wüthrich

Multivariate count data generalized linear models: Three approaches based on the Sarmanov distribution pp. 89-103

Catalina Bolancé and Raluca Vernic

Time-consistent investment-proportional reinsurance strategy with random coefficients for mean–variance insurers pp. 104-114

Hao Wang, Rongming Wang and Jiaqin Wei

Optimal initial capital induced by the optimized certainty equivalent pp. 115-125

Takuji Arai, Takao Asano and Katsumasa Nishide

A Cape Cod model for the exponential dispersion family pp. 126-137

Greg Taylor

Dynamic capital allocation with irreversible investments pp. 138-152

Daniel Bauer, Shinichi Kamiya, Xiaohu Ping and George Zanjani

Mean-risk portfolio management with bankruptcy prohibition pp. 153-172

K.C. Wong, S.C.P. Yam and J. Zeng

On optimal reinsurance treaties in cooperative game under heterogeneous beliefs pp. 173-184

Wenjun Jiang, Jiandong Ren, Chen Yang and Hanping Hong

An analysis of transaction costs in participating life insurance under mean–variance preferences pp. 185-197

Nadine Gatzert

Random distribution kernels and three types of defaultable contingent payoffs pp. 198-204

Jinchun Ye

An approach to merit rating by means of autoregressive sequences pp. 205-217

László Martinek and N. Miklós Arató

Volume 84, issue C, 2019

Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk pp. 1-21

Kenneth Q. Zhou and Johnny Siu-Hang Li

Budget-constrained optimal insurance without the nonnegativity constraint on indemnities pp. 22-39

Mario Ghossoub

Derivatives trading for insurers pp. 40-53

Xiaole Xue, Pengyu Wei and Chengguo Weng

Dynamic hybrid products with guarantees—An optimal portfolio framework pp. 54-66

Hayk Hambardzumyan and Ralf Korn

On randomized reinsurance contracts pp. 67-78

Hansjörg Albrecher and Arian Cani

Forecasting compositional risk allocations pp. 79-86

Tim J. Boonen, Montserrat Guillen and Miguel Santolino

An optimization approach to adaptive multi-dimensional capital management pp. 87-97

G.A. Delsing, M.R.H. Mandjes, P.J.C. Spreij and E.M.M. Winands

Hedging of crop harvest with derivatives on temperature pp. 98-114

Donatien Hainaut

Robust non-zero-sum investment and reinsurance game with default risk pp. 115-132

Ning Wang, Nan Zhang, Zhuo Jin and Linyi Qian

Volume 83, issue C, 2018

Bayesian nonparametric regression models for modeling and predicting healthcare claims pp. 1-8

Robert Richardson and Brian Hartman

Time-consistent mean–variance portfolio optimization: A numerical impulse control approach pp. 9-28

Pieter M. Van Staden, Duy-Minh Dang and Peter A. Forsyth

Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018) pp. 29-31

Silvana M. Pesenti, Andreas Tsanakas and Pietro Millossovich

Does hunger for bonuses drive the dependence between claim frequency and severity? pp. 32-46

Sojung C. Park, Joseph H.T. Kim and Jae Youn Ahn

Dividends: From refracting to ratcheting pp. 47-58

Hansjörg Albrecher, Nicole Bäuerle and Martin Bladt

Extreme quantile estimation for β-mixing time series and applications pp. 59-74

Valérie Chavez-Demoulin and Armelle Guillou

A stochastic order for the analysis of investments affected by the time value of money pp. 75-82

María Concepción López-Díaz, Miguel López-Díaz and Sergio Martínez-Fernández

The dual risk model with dividends taken at arrival pp. 83-92

Onno Boxma and Esther Frostig

Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities pp. 93-109

Junkee Jeon and Minsuk Kwak

The role of heterogeneous parameters for the detection of selection in insurance contracts pp. 110-121

Martin Karlsson, Florian Klohn and Ben Rickayzen

Time-consistent proportional reinsurance and investment strategies under ambiguous environment pp. 122-133

Guohui Guan, Zongxia Liang and Jian Feng

Portfolio management with targeted constant market volatility pp. 134-147

Bao Doan, Nicolas Papageorgiou, Jonathan J. Reeves and Michael Sherris

Optimality of multi-refraction control strategies in the dual model pp. 148-160

Irmina Czarna, José-Luis Pérez and Kazutoshi Yamazaki

Allowing for time and cross dependence assumptions between claim counts in ratemaking models pp. 161-169

Lluís Bermúdez, Montserrat Guillén and Dimitris Karlis

The average risk sharing problem under risk measure and expected utility theory pp. 170-179

Tiantian Mao, Jiuyun Hu and Haiyan Liu

Bayesian credibility for GLMs pp. 180-189

Oscar Alberto Quijano Xacur and José Garrido

Discounted penalty function at Parisian ruin for Lévy insurance risk process pp. 190-197

R. Loeffen, Z. Palmowski and B.A. Surya

Insurance choice under third degree stochastic dominance pp. 198-205

Yichun Chi

Bayesian mortality forecasting with overdispersion pp. 206-221

Jackie S.T. Wong, Jonathan J. Forster and Peter W.F. Smith