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.
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Volume 79, issue C, 2018
- Pricing insurance drawdown-type contracts with underlying Lévy assets pp. 1-14

- Zbigniew Palmowski and Joanna Tumilewicz
- Insurance loss coverage and demand elasticities pp. 15-25

- MingJie Hao, Angus S. Macdonald, Pradip Tapadar and R. Guy Thomas
- An IBNR–RBNS insurance risk model with marked Poisson arrivals pp. 26-42

- Soohan Ahn, Andrei L. Badescu, Eric C.K. Cheung and Jeong-Rae Kim
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates pp. 43-56

- Boda Kang and Jonathan Ziveyi
- A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes pp. 57-68

- Camilo Hernández, Mauricio Junca and Harold Moreno-Franco
- Ruin probability via Quantum Mechanics Approach pp. 69-74

- Muhsin Tamturk and Sergey Utev
- Weighted risk capital allocations in the presence of systematic risk pp. 75-81

- Edward Furman, Alexey Kuznetsov and Ričardas Zitikis
- Distortion measures and homogeneous financial derivatives pp. 82-91

- John A. Major
- An approximation method for risk aggregations and capital allocation rules based on additive risk factor models pp. 92-100

- Ming Zhou, Jan Dhaene and Jing Yao
- Using fuzzy logic to interpret dependent risks pp. 101-106

- Sibel Acik Kemaloglu, Arnold F. Shapiro, Fatih Tank and Aysen Apaydin
- Robust evaluation of SCR for participating life insurances under Solvency II pp. 107-123

- Donatien Hainaut, Pierre Devolder and Antoon Pelsser
- De-risking strategy: Longevity spread buy-in pp. 124-136

- D’Amato, Valeria, Emilia Di Lorenzo, Steven Haberman, Pretty Sagoo and Marilena Sibillo
- Expected utility of the drawdown-based regime-switching risk model with state-dependent termination pp. 137-147

- David Landriault, Bin Li and Shu Li
- Stochastic distortion and its transformed copula pp. 148-166

- Feng Lin, Liang Peng, Jiehua Xie and Jingping Yang
- Annuitization and asset allocation under exponential utility pp. 167-183

- Xiaoqing Liang and Virginia R. Young
- On the evaluation of some multivariate compound distributions with Sarmanov’s counting distribution pp. 184-193

- Raluca Vernic
- Optimal investment under VaR-Regulation and Minimum Insurance pp. 194-209

- An Chen, Thai Nguyen and Mitja Stadje
- Optimal investment management for a defined contribution pension fund under imperfect information pp. 210-224

- Ling Zhang, Hao Zhang and Haixiang Yao
- Optimal dividends under Erlang(2) inter-dividend decision times pp. 225-242

- Benjamin Avanzi, Vincent Tu and Bernard Wong
- On existence and uniqueness of the principle of equivalent utility under Cumulative Prospect Theory pp. 243-246

- J. Chudziak
- On generalized log-Moyal distribution: A new heavy tailed size distribution pp. 247-259

- Deepesh Bhati and Sreenivasan Ravi
Volume 78, issue C, 2018
- An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks pp. 1-12

- Yixing Zhao and Rogemar Mamon
- From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions pp. 13-29

- Andrea Fontanari, Pasquale Cirillo and Cornelis Oosterlee
- Early default risk and surrender risk: Impacts on participating life insurance policies pp. 30-43

- Chunli Cheng and Jing Li
- Duality in ruin problems for ordered risk models pp. 44-52

- Pierre-Olivier Goffard and Claude Lefèvre
- Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications pp. 53-71

- Hélène Cossette, Etienne Marceau, Itre Mtalai and Déry Veilleux
- Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility pp. 72-86

- Danping Li, Yang Shen and Yan Zeng
- Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee pp. 87-104

- Mei-Ling Tang, Son-Nan Chen, Gene C. Lai and Ting-Pin Wu
- Stochastic orders and co-risk measures under positive dependence pp. 105-113

- M.A. Sordo, A.J. Bello and A. Suárez-Llorens
- Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications pp. 114-122

- J. Beirlant, G. Maribe and A. Verster
- Non-cooperative dynamic games for general insurance markets pp. 123-135

- Tim J. Boonen, Athanasios A. Pantelous and Renchao Wu
- Approximation of ruin probabilities via Erlangized scale mixtures pp. 136-156

- Oscar Peralta, Leonardo Rojas-Nandayapa, Wangyue Xie and Hui Yao
- Longevity risk and capital markets: The 2015–16 update pp. 157-173

- David Blake, Nicole El Karoui, Stéphane Loisel and Richard MacMinn
- The choice of trigger in an insurance linked security: The mortality risk case pp. 174-182

- Richard MacMinn and Andreas Richter
- Pension risk management with funding and buyout options pp. 183-200

- Samuel H. Cox, Yijia Lin and Tianxiang Shi
- The effect of longevity drift and investment volatility on income sufficiency in retirement pp. 201-211

- Les Mayhew, David Smith and Douglas Wright
- Valuation of longevity-linked life annuities pp. 212-229

- Jorge Bravo and Najat El Mekkaoui
- Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company? pp. 230-245

- Sandy Bruszas, Barbara Kaschützke, Raimond Maurer and Ivonne Siegelin
- Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approach pp. 246-254

- Ming-hua Hsieh, Jennifer L. Wang, Yu-Fen Chiu and Yen-Chih Chen
- Profitability and risk profile of reverse mortgages: A cross-system and cross-plan comparison pp. 255-266

- Yung-Tsung Lee, Ko-Lun Kung and I-Chien Liu
- A strategy for hedging risks associated with period and cohort effects using q-forwards pp. 267-285

- Yanxin Liu and Johnny Siu-Hang Li
- Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets pp. 286-300

- Enareta Kurtbegu
- Cause-of-death mortality: What can be learned from population dynamics? pp. 301-315

- Alexandre Boumezoued, Héloïse Labit Hardy, Nicole El Karoui and Séverine Arnold
- Using Taiwan National Health Insurance Database to model cancer incidence and mortality rates pp. 316-324

- Jack C. Yue, Hsin-Chung Wang, Yin-Yee Leong and Wei-Ping Su
- Do actuaries believe in longevity deceleration? pp. 325-338

- Edouard Debonneuil, Stéphane Loisel and Frédéric Planchet
- The double-gap life expectancy forecasting model pp. 339-350

- Marius D. Pascariu, Vladimir Canudas-Romo and James W. Vaupel
- Mortality models and longevity risk for small populations pp. 351-359

- Hsin-Chung Wang, Ching-Syang Jack Yue and Chen-Tai Chong
- Identifiability, cointegration and the gravity model pp. 360-368

- Andrew Hunt and David Blake
- Modeling trend processes in parametric mortality models pp. 369-380

- Matthias Börger and Johannes Schupp
Volume 77, issue C, 2017
- On the optimality of periodic barrier strategies for a spectrally positive Lévy process pp. 1-13

- José-Luis Pérez and Kazutoshi Yamazaki
- Wanting robustness in insurance: A model of catastrophe risk pricing and its empirical test pp. 14-23

- Wenge Zhu
- Pareto-optimal reinsurance arrangements under general model settings pp. 24-37

- Jun Cai, Haiyan Liu and Ruodu Wang
- Remarks on composite Bernstein copula and its application to credit risk analysis pp. 38-48

- Nan Guo, Fang Wang and Jingping Yang
- A general approach to full-range tail dependence copulas pp. 49-64

- Jianxi Su and Lei Hua
- Modelling censored losses using splicing: A global fit strategy with mixed Erlang and extreme value distributions pp. 65-77

- Tom Reynkens, Roel Verbelen, Jan Beirlant and Katrien Antonio
- Interplay of subexponential and dependent insurance and financial risks pp. 78-83

- Yiqing Chen
- Time-consistent mean–variance asset–liability management with random coefficients pp. 84-96

- Jiaqin Wei and Tianxiao Wang
- A class of random field memory models for mortality forecasting pp. 97-110

- P. Doukhan, D. Pommeret, J. Rynkiewicz and Y. Salhi
- Optimal insurance design with a bonus pp. 111-118

- Yongwu Li and Zuo Quan Xu
- Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process pp. 119-132

- Xiaoqing Liang and Yi Lu
- Purchasing casualty insurance to avoid lifetime ruin pp. 133-142

- Virginia R. Young
- Some comparison results for finite-time ruin probabilities in the classical risk model pp. 143-149

- Claude Lefèvre, Julien Trufin and Pierre Zuyderhoff
- Model spaces for risk measures pp. 150-165

- Felix-Benedikt Liebrich and Gregor Svindland
- Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach pp. 166-176

- Han Li and O’Hare, Colin
- Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints pp. 177-188

- Thiago B. Duarte, Davi M. Valladão and Álvaro Veiga
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