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 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

Volume 75, issue C, 2017

Optimal hedging with basis risk under mean–variance criterion pp. 1-15

Jingong Zhang, Ken Seng Tan and Chengguo Weng

Analysis of survivorship life insurance portfolios with stochastic rates of return pp. 16-31

Li Chen, Luyao Lin, Yi Lu and Gary Parker

Optimal consumption, investment and housing with means-tested public pension in retirement pp. 32-47

Johan G. Andréasson, Pavel V. Shevchenko and Alex Novikov

Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models pp. 48-57

César Neves, Cristiano Fernandes and Henrique Hoeltgebaum

A reinsurance and investment game between two insurance companies with the different opinions about some extra information pp. 58-70

Ming Yan, Fanyi Peng and Shuhua Zhang

Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model pp. 71-81

Lukas Hahn

Optimality of excess-loss reinsurance under a mean–variance criterion pp. 82-89

Danping Li, Dongchen Li and Virginia R. Young

The joint mortality of couples in continuous time pp. 90-97

P. Jevtić and T.R. Hurd

Confidence sets and confidence bands for a beta distribution with applications to credit risk management pp. 98-104

Seksan Kiatsupaibul, Anthony J. Hayter and Sarunya Somsong

Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures pp. 105-116

Jun Cai, Ying Wang and Tiantian Mao

Identifiability issues of age–period and age–period–cohort models of the Lee–Carter type pp. 117-125

Eric Beutner, Simon Reese and Jean-Pierre Urbain

Data breaches: Goodness of fit, pricing, and risk measurement pp. 126-136

Martin Eling and Nicola Loperfido

Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk pp. 137-150

Zheng Chen, Zhongfei Li, Yan Zeng and Jingyun Sun

Characterization of between-group inequality of longevity in European Union countries pp. 151-165

A. Debón, L. Chaves, S. Haberman and F. Villa

Grouped multivariate and functional time series forecasting:An application to annuity pricing pp. 166-179

Han Lin Shang and Steven Haberman

The fundamental theorem of mutual insurance pp. 180-188

Peter Albrecht and Markus Huggenberger

Fuzzy logic modifications of the Analytic Hierarchy Process pp. 189-202

Arnold F. Shapiro and Marie-Claire Koissi

Volume 74, issue C, 2017

A note on the convexity of ruin probabilities pp. 1-6

David Landriault, Bin Li, Sooie-Hoe Loke, Gordon E. Willmot and Di Xu

Optimal investment and reinsurance for an insurer under Markov-modulated financial market pp. 7-19

Lin Xu, Liming Zhang and Dingjun Yao

Intergenerational risk sharing in closing pension funds pp. 20-30

Tim J. Boonen and Anja De Waegenaere

Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér–Lundberg model pp. 31-45

Shumin Chen, Yan Zeng and Zhifeng Hao

Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps pp. 46-62

Zhenyu Cui, J. Lars Kirkby and Duy Nguyen

Contagion modeling between the financial and insurance markets with time changed processes pp. 63-77

Donatien Hainaut

Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model pp. 78-83

A. Touazi, Z. Benouaret, D. Aissani and S. Adjabi

Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus pp. 84-98

Yasutaka Shimizu and Zhimin Zhang

Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks pp. 99-108

Alexandra Lauer and Henryk Zähle

Multiple risk factor dependence structures: Copulas and related properties pp. 109-121

Jianxi Su and Edward Furman

Risk measures in a quantile regression credibility framework with Fama/French data applications pp. 122-134

Georgios Pitselis

Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes pp. 135-146

Yongxia Zhao, Ping Chen and Hailiang Yang

Characterization of acceptance sets for co-monotone risk measures pp. 147-152

Marc Oliver Rieger

Parisian ruin for a refracted Lévy process pp. 153-163

Mohamed Amine Lkabous, Irmina Czarna and Jean-François Renaud

A new uncertain insurance model with variational lower limit pp. 164-169

Yang Liu, Xingfang Zhang and Weimin Ma

A state dependent reinsurance model pp. 170-181

Onno Boxma, Esther Frostig, David Perry and Rami Yosef

Sustainability of participation in collective pension schemes: An option pricing approach pp. 182-196

Damiaan H.J. Chen, Roel Beetsma, Dirk Broeders and Antoon Pelsser

On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation pp. 197-209

Gildas Ratovomirija, Maissa Tamraz and Raluca Vernic