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 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

Volume 76, issue C, 2017

Hierarchical Archimedean copulas through multivariate compound distributions pp. 1-13

Hélène Cossette, Simon-Pierre Gadoury, Étienne Marceau and Itre Mtalai

Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency pp. 14-27

Jan Dhaene, Ben Stassen, Karim Barigou, Daniël Linders and Ze Chen

Haezendonck–Goovaerts risk measure with a heavy tailed loss pp. 28-47

Qing Liu, Liang Peng and Xing Wang

De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information pp. 48-55

Xiang Hu, Baige Duan and Lianzeng Zhang

Multiple risk factor dependence structures: Distributional properties pp. 56-68

Jianxi Su and Edward Furman

On taxed spectrally negative Lévy processes with draw-down stopping pp. 69-74

Florin Avram, Nhat Linh Vu and Xiaowen Zhou

Longevity-linked assets and pre-retirement consumption/portfolio decisions pp. 75-86

Francesco Menoncin and Luca Regis

Efficient randomized quasi-Monte Carlo methods for portfolio market risk pp. 87-94

Halis Sak and İsmail Başoğlu

Evaluation of credit value adjustment in K-forward pp. 95-103

Xuemiao Hao, Chunli Liang and Linghua Wei

Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate pp. 104-117

Pavel V. Shevchenko and Xiaolin Luo

Modeling partial Greeks of variable annuities with dependence pp. 118-134

Guojun Gan and Emiliano A. Valdez

Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function pp. 135-140

Agata Boratyńska

Joint stochastic orders of high degrees and their applications in portfolio selections pp. 141-148

Wei Wei

Unit-linked life insurance policies: Optimal hedging in partially observable market models pp. 149-163

Claudia Ceci, Katia Colaneri and Alessandra Cretarola

Solvency II reporting: How to interpret funds’ aggregate solvency capital requirement figures pp. 164-171

Balázs Mezőfi, Andras Niedermayer, Daniel Niedermayer and Balázs Márton Süli

Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework pp. 172-184

Francesco Menoncin and Elena Vigna

Optimal insurance design in the presence of exclusion clauses pp. 185-195

Yichun Chi and Fangda Liu