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 73, issue C, 2017

Complete discounted cash flow valuation pp. 1-19

Lesław Gajek and Łukasz Kuciński

Risk aggregation in Solvency II through recursive log-normals pp. 20-26

Erik Bølviken and Montserrat Guillen

A note on risky targets and effort pp. 27-30

Kit Pong Wong

Ordering optimal deductible allocations for stochastic arrangement increasing risks pp. 31-40

Chen Li and Xiaohu Li

Full Bayesian analysis of claims reserving uncertainty pp. 41-53

Gareth W. Peters, Rodrigo Targino and Mario V. Wüthrich

Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks pp. 54-67

Nan-Wei Han and Mao-Wei Hung

Incorporating model uncertainty into optimal insurance contract design pp. 68-74

Georg Ch. Pflug, Anna Timonina-Farkas and Stefan Hochrainer-Stigler

A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks pp. 75-81

Yiqing Chen and Zhongyi Yuan

Optimal dividend payout model with risk sensitive preferences pp. 82-93

Nicole Bäuerle and Anna Jaśkiewicz

On a bivariate copula with both upper and lower full-range tail dependence pp. 94-104

Lei Hua

On the effects of changing mortality patterns on investment, labour and consumption under uncertainty pp. 105-115

Christian-Oliver Ewald and Aihua Zhang

On the distribution of cumulative Parisian ruin pp. 116-123

Hélène Guérin and Jean-François Renaud

A unisex stochastic mortality model to comply with EU Gender Directive pp. 124-136

An Chen and Elena Vigna

Optimal investment strategies for participating contracts pp. 137-155

Hongcan Lin, David Saunders and Chengguo Weng

A limit distribution of credit portfolio losses with low default probabilities pp. 156-167

Xiaojun Shi, Qihe Tang and Zhongyi Yuan

Volume 72, issue C, 2017

Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization pp. 1-5

Michel M. Denuit and Mhamed Mesfioui

Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model pp. 6-20

Danping Li, Ximin Rong, Hui Zhao and Bo Yi

A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches pp. 21-35

Catalin Cantia and Radu Tunaru

Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits pp. 36-48

Runhuan Feng and Xiaochen Jing

Multi-period risk sharing under financial fairness pp. 49-66

Hailong Bao, Eduard Ponds and Johannes Schumacher

Measuring mortality heterogeneity with multi-state models and interval-censored data pp. 67-82

Alexandre Boumezoued, Nicole El Karoui and Stéphane Loisel

The valuation of life contingencies: A symmetrical triangular fuzzy approximation pp. 83-94

Jorge de Andrés-Sánchez and Laura González-Vila Puchades

Capital allocation for portfolios with non-linear risk aggregation pp. 95-106

Tim J. Boonen, Andreas Tsanakas and Mario V. Wüthrich

Existence of optimal consumption strategies in markets with longevity risk pp. 107-121

J. de Kort and M.H. Vellekoop

Modeling operational risk incorporating reputation risk: An integrated analysis for financial firms pp. 122-137

Christian Eckert and Nadine Gatzert

Cliquet-style return guarantees in a regime switching Lévy model pp. 138-147

Peter Hieber

On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models pp. 148-162

Benjamin Avanzi, José-Luis Pérez, Bernard Wong and Kazutoshi Yamazaki

Efficient option risk measurement with reduced model risk pp. 163-174

Sovan Mitra

Redistribution of longevity risk: The effect of heterogeneous mortality beliefs pp. 175-188

Tim J. Boonen, Anja De Waegenaere and Henk Norde

Intensity-based framework for surrender modeling in life insurance pp. 189-196

Vincenzo Russo, Rosella Giacometti and Frank Fabozzi

Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework pp. 197-214

Haoze Sun, Chengguo Weng and Yi Zhang

Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform pp. 215-227

Hao Chang and Kai Chang

On compound sums under dependence pp. 228-234

Serkan Eryilmaz

Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity pp. 235-249

Ailing Gu, Frederi G. Viens and Bo Yi

Insurance valuation: A computable multi-period cost-of-capital approach pp. 250-264

Hampus Engsner, Mathias Lindholm and Filip Lindskog

On optimal dividends with exponential and linear penalty payments pp. 265-270

Matthias Vierkötter and Hanspeter Schmidli

Volume 71, issue C, 2016

A micro-level claim count model with overdispersion and reporting delays pp. 1-14

Benjamin Avanzi, Bernard Wong and Xinda Yang

Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach pp. 15-26

Anthony Floryszczak, Olivier Le Courtois and Mohamed Majri

On a class of dependent Sparre Andersen risk models and a bailout application pp. 27-39

F. Avram, A.L. Badescu, M.R. Pistorius and L. Rabehasaina

Move-based hedging of variable annuities: A semi-analytic approach pp. 40-49

X. Sheldon Lin, Panpan Wu and Xiao Wang

Longevity risk and retirement income tax efficiency: A location spending rate puzzle pp. 50-62

Huaxiong Huang and Moshe Milevsky

Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach pp. 63-78

Benjamin Avanzi, Greg Taylor, Phuong Anh Vu and Bernard Wong

Catastrophe equity put options with target variance pp. 79-86

Xingchun Wang

Optimal allocation of policy deductibles for exchangeable risks pp. 87-92

Sirous Fathi Manesh, Baha-Eldin Khaledi and Jan Dhaene

Issues with the Smith–Wilson method pp. 93-102

Andreas Lagerås and Mathias Lindholm

Multi-period defined contribution pension funds investment management with regime-switching and mortality risk pp. 103-113

Haixiang Yao, Ping Chen and Xun Li

Polynomial diffusion models for life insurance liabilities pp. 114-129

Francesca Biagini and Yinglin Zhang

Coherent modeling of male and female mortality using Lee–Carter in a complex number framework pp. 130-137

Piet de Jong, Leonie Tickle and Jianhui Xu

On capital injections and dividends with tax in a classical risk model pp. 138-144

Hanspeter Schmidli

Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods pp. 145-153

Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral

Risk aggregation in multivariate dependent Pareto distributions pp. 154-163

José María Sarabia, Emilio Gómez-Déniz, Faustino Prieto and Vanesa Jordá

Optimal mean–variance efficiency of a family with life insurance under inflation risk pp. 164-178

Zongxia Liang and Xiaoyang Zhao

Tail conditional moments for elliptical and log-elliptical distributions pp. 179-188

Zinoviy Landsman, Udi Makov and Tomer Shushi

A note on the Log-Lindley distribution pp. 189-194

P. Jodrá and M.D. Jiménez-Gamero

Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return pp. 195-204

Jinzhu Li

The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options pp. 205-219

Griselda Deelstra, Martino Grasselli and Christopher Van Weverberg

Tail asymptotics of generalized deflated risks with insurance applications pp. 220-231

Chengxiu Ling and Zuoxiang Peng

Optimal reinsurance under dynamic VaR constraint pp. 232-243

Nan Zhang, Zhuo Jin, Shuanming Li and Ping Chen

Bayesian multinomial latent variable modeling for fraud and abuse detection in health insurance pp. 244-252

Andreas Bayerstadler, Linda van Dijk and Fabian Winter

Constrained investment–reinsurance optimization with regime switching under variance premium principle pp. 253-267

Lv Chen, Linyi Qian, Yang Shen and Wei Wang

Accounting and actuarial smoothing of retirement payouts in participating life annuities pp. 268-283

Raimond Maurer, Olivia Mitchell, Ralph Rogalla and Ivonne Siegelin

A pair of optimal reinsurance–investment strategies in the two-sided exit framework pp. 284-294

David Landriault, Bin Li, Danping Li and Dongchen Li

From regulatory life tables to stochastic mortality projections: The exponential decline model pp. 295-303

Michel Denuit and Julien Trufin

On the occupation times in a delayed Sparre Andersen risk model with exponential claims pp. 304-316

Can Jin, Shuanming Li and Xueyuan Wu

Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors pp. 317-331

Flavia Barsotti, Xavier Milhaud and Yahia Salhi

Extremes for coherent risk measures pp. 332-341

Alexandru V. Asimit and Jinzhu Li

Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting pp. 342-352

Łukasz Delong and An Chen

Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration pp. 353-366

Kai Yin Kwok, Mei Choi Chiu and Hoi Ying Wong

Impact of volatility clustering on equity indexed annuities pp. 367-381

Donatien Hainaut

Valuation and risk assessment of participating life insurance in the presence of credit risk pp. 382-393

Johanna Eckert, Nadine Gatzert and Michael Martin

Cooperative investment in incomplete markets under financial fairness pp. 394-406

Jaroslav Pazdera, Johannes Schumacher and Bas J.M. Werker