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 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

Volume 82, issue C, 2018

The impact of negative interest rates on optimal capital injections pp. 1-10

Julia Eisenberg and Paul Krühner

On fair reinsurance premiums; Capital injections in a perturbed risk model pp. 11-20

Zied Ben Salah and José Garrido

Non-parametric inference of transition probabilities based on Aalen–Johansen integral estimators for acyclic multi-state models: application to LTC insurance pp. 21-36

Quentin Guibert and Frédéric Planchet

Optimal risk allocation in reinsurance networks pp. 37-47

Nicole Bäuerle and Alexander Glauner

Continuity inequalities for multidimensional renewal risk models pp. 48-54

E. Gordienko and P. Vázquez-Ortega

Reinsurance versus securitization of catastrophe risk pp. 55-72

Ajay Subramanian and Jinjing Wang

Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance pp. 73-86

Ricardo Josa-Fombellida, Paula López-Casado and Juan Pablo Rincón-Zapatero

Bayesian ratemaking with common effects modeled by mixture of Polya tree processes pp. 87-94

Jianjun Zhang, Chunjuan Qiu and Xianyi Wu

A comparative study of pricing approaches for longevity instruments pp. 95-116

Melvern Leung, Man Chung Fung and O’Hare, Colin

Conditional expectiles, time consistency and mixture convexity properties pp. 117-123

Fabio Bellini, Valeria Bignozzi and Giovanni Puccetti

Estimating loss reserves using hierarchical Bayesian Gaussian process regression with input warping pp. 124-140

Nathan Lally and Brian Hartman

Upper bounds for strictly concave distortion risk measures on moment spaces pp. 141-151

D. Cornilly, L. Rüschendorf and Steven Vanduffel

Poissonian potential measures for Lévy risk models pp. 152-166

David Landriault, Bin Li, Jeff T.Y. Wong and Di Xu

Copula approaches for modeling cross-sectional dependence of data breach losses pp. 167-180

Martin Eling and Kwangmin Jung

Minimizing the probability of ruin: Optimal per-loss reinsurance pp. 181-190

Xiaoqing Liang and Virginia R. Young

Solvency II, or how to sweep the downside risk under the carpet pp. 191-200

Stefan Weber

Volume 81, issue C, 2018

VIX-linked fees for GMWBs via explicit solution simulation methods pp. 1-17

Michael A. Kouritzin and Anne MacKay

Which eligible assets are compatible with comonotonic capital requirements? pp. 18-26

Pablo Koch-Medina, Cosimo Munari and Gregor Svindland

A multivariate tail covariance measure for elliptical distributions pp. 27-35

Zinoviy Landsman, Udi Makov and Tomer Shushi

Life insurance settlement and the monopolistic insurance market pp. 36-50

Jimin Hong and S. Hun Seog

Long-term care models and dependence probability tables by acuity level: New empirical evidence from Switzerland pp. 51-70

Michel Fuino and Joël Wagner

LLN-type approximations for large portfolio losses pp. 71-77

Jing Liu

Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause pp. 78-94

Lihua Bian, Zhongfei Li and Haixiang Yao

Compound unimodal distributions for insurance losses pp. 95-107

Antonio Punzo, Luca Bagnato and Antonello Maruotti

Optimal reinsurance under risk and uncertainty on Orlicz hearts pp. 108-116

Dezhou Kong, Lishan Liu and Yonghong Wu

Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts pp. 117-129

Anna Maria Gambaro, Riccardo Casalini, Gianluca Fusai and Alessandro Ghilarducci

Parameter uncertainty and reserve risk under Solvency II pp. 130-141

Andreas Fröhlich and Annegret Weng

Volume 80, issue C, 2018

Optimal investment strategies and intergenerational risk sharing for target benefit pension plans pp. 1-14

Suxin Wang, Yi Lu and Barbara Sanders

Optimal insurance design under background risk with dependence pp. 15-28

Zhiyi Lu, Shengwang Meng, Leping Liu and Ziqi Han

On optimal periodic dividend strategies for Lévy risk processes pp. 29-44

Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki and Kouji Yano

Banach Contraction Principle and ruin probabilities in regime-switching models pp. 45-53

Lesław Gajek and Marcin Rudź

Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data pp. 54-65

Carolin Margraf, Valandis Elpidorou and Richard Verrall

Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility pp. 67-83

Pei Wang and Zhongfei Li

Large deviations for risk measures in finite mixture models pp. 84-92

Valeria Bignozzi, Claudio Macci and Lea Petrella

Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing pp. 93-109

Ailing Gu, Frederi G. Viens and Haixiang Yao