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 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

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