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 70, issue C, 2016

Optimally investing to reach a bequest goal pp. 1-10

Erhan Bayraktar and Virginia R. Young

Mean–variance asset–liability management under constant elasticity of variance process pp. 11-18

Miao Zhang and Ping Chen

Discrete sums of geometric Brownian motions, annuities and Asian options pp. 19-37

Dan Pirjol and Lingjiong Zhu

Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models pp. 38-57

Ludovic Goudenège, Andrea Molent and Antonino Zanette

Inference pitfalls in Lee–Carter model for forecasting mortality pp. 58-65

Xuan Leng and Liang Peng

Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics pp. 66-79

Mariana Bartels and Flavio A. Ziegelmann

Risk reducers in convex order pp. 80-88

Junnan He, Qihe Tang and Huan Zhang

Exponential utility maximization for an insurer with time-inconsistent preferences pp. 89-104

Qian Zhao, Rongming Wang and Jiaqin Wei

Comparing risks with reference points: A stochastic dominance approach pp. 105-116

Dongmei Guo, Yi Hu, Shouyang Wang and Lin Zhao

Bivariate credibility bonus–malus premiums distinguishing between two types of claims pp. 117-124

E. Gómez-Déniz

Lifetime ruin under ambiguous hazard rate pp. 125-134

Virginia R. Young and Yuchong Zhang

Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime pp. 135-143

Brahim Brahimi and Jihane Abdelli

Preserving the Rothschild–Stiglitz type of increasing risk with background risk pp. 144-149

Xu Guo, Jingyuan Li, Dongri Liu and Jianli Wang

Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality pp. 150-161

Xiaoqing Liang, Cary Chi-Liang Tsai and Yi Lu

Borch’s theorem, equal margins, and efficient allocation pp. 162-168

Sjur Didrik Flåm

A neural network approach to efficient valuation of large portfolios of variable annuities pp. 169-181

Seyed Amir Hejazi and Kenneth R. Jackson

Robust optimal risk sharing and risk premia in expanding pools pp. 182-195

Thomas Knispel, Roger Laeven and Gregor Svindland

The role of a representative reinsurer in optimal reinsurance pp. 196-204

Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang

Generalized linear models for dependent frequency and severity of insurance claims pp. 205-215

J. Garrido, C. Genest and J. Schulz

Multivariate tail conditional expectation for elliptical distributions pp. 216-223

Zinoviy Landsman, Udi Makov and Tomer Shushi

Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model pp. 224-236

J. Alonso-García and P. Devolder

A stochastic Nash equilibrium portfolio game between two DC pension funds pp. 237-244

Guohui Guan and Zongxia Liang

Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence pp. 245-258

Junna Bi, Zhibin Liang and Fangjun Xu

Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy pp. 259-271

Jinxia Zhu and Hailiang Yang

Modelling lifetime dependence for older ages using a multivariate Pareto distribution pp. 272-285

Daniel H. Alai, Zinoviy Landsman and Michael Sherris

Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality pp. 286-300

Katja Ignatieva, Andrew Song and Jonathan Ziveyi

It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk pp. 301-319

Yanxin Liu and Johnny Siu-Hang Li

Long-term behavior of stochastic interest rate models with Markov switching pp. 320-326

Zhenzhong Zhang, Jinying Tong and Liangjian Hu

Asset allocation strategies in the presence of liability constraints pp. 327-338

Areski Cousin, Ying Jiao, Christian Y. Robert and Olivier Zerbib

On the credibility of insurance claim frequency: Generalized count models and parametric estimators pp. 339-353

Kwadwo Asamoah

On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays pp. 354-363

Jae-Kyung Woo

Hedging insurance books pp. 364-372

Peter Carr, Dilip B. Madan, Michael Melamed and Wim Schoutens

Credible risk measures with applications in actuarial sciences and finance pp. 373-386

Georgios Pitselis

Modeling loss data using mixtures of distributions pp. 387-396

Tatjana Miljkovic and Bettina Grün

A family of premium principles based on mixtures of TVaRs pp. 397-405

Miguel A. Sordo, Antonia Castaño-Martínez and Gema Pigueiras

Sufficient conditions for ordering aggregate heterogeneous random claim amounts pp. 406-413

Chen Li and Xiaohu Li

Volume 69, issue C, 2016

Nonlinear reserving in life insurance: Aggregation and mean-field approximation pp. 1-13

Boualem Djehiche and Björn Löfdahl

Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011 pp. 14-28

Emmanouil Platanakis and Charles Sutcliffe

A marked Cox model for the number of IBNR claims: Theory pp. 29-37

Andrei L. Badescu, X. Sheldon Lin and Dameng Tang

Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims pp. 38-44

Dimitrios G. Konstantinides and Jinzhu Li

Valuing inflation-linked death benefits under a stochastic volatility framework pp. 45-58

Zongxia Liang and Wenlong Sheng

Pricing and hedging basket options with exact moment matching pp. 59-69

Arturo Leccadito, Tommaso Paletta and Radu Tunaru

A multivariate evolutionary credibility model for mortality improvement rates pp. 70-81

Edo Schinzinger, Michel M. Denuit and Marcus C. Christiansen

Nonparametric long term prediction of stock returns with generated bond yields pp. 82-96

Michael Scholz, Stefan Sperlich and Jens Perch Nielsen

Tail dependence of the Gaussian copula revisited pp. 97-103

Edward Furman, Alexey Kuznetsov, Jianxi Su and Ričardas Zitikis

Optimal investment and risk control for an insurer under inside information pp. 104-116

Xingchun Peng and Wenyuan Wang

Optimal strategies for pay-as-you-go pension finance: A sustainability framework pp. 117-126

Humberto Godínez-Olivares, María del Carmen Boado-Penas and Steven Haberman

Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options pp. 127-137

Yang Shen, Michael Sherris and Jonathan Ziveyi

Applications of central limit theorems for equity-linked insurance pp. 138-148

Runhuan Feng and Yasutaka Shimizu

An optimal co-reinsurance strategy pp. 149-155

Amir Payandeh and Ali Panahi Bazaz

Minimizing lifetime poverty with a penalty for bankruptcy pp. 156-167

Asaf Cohen and Virginia R. Young

A self-exciting threshold jump–diffusion model for option valuation pp. 168-193

Tak Kuen Siu

Nonparametric estimation of operational value-at-risk (OpVaR) pp. 194-201

Ainura Tursunalieva and Param Silvapulle

A simple compound scan statistic useful for modeling insurance and risk management problems pp. 202-209

Vasileios M. Koutras, Markos V. Koutras and Femin Yalcin

Minimizing the probability of lifetime drawdown under constant consumption pp. 210-223

Bahman Angoshtari, Erhan Bayraktar and Virginia R. Young

Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints pp. 224-237

Guohui Guan and Zongxia Liang

Hedging pure endowments with mortality derivatives pp. 238-255

Ting Wang and Virginia R. Young