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 68, issue C, 2016

Semi-parametric accelerated hazard relational models with applications to mortality projections pp. 1-16

Meitner Cadena and Michel Denuit

Valuation of employee stock options using the exercise multiple approach and life tables pp. 17-26

T. Kyng, Otto Konstandatos and T. Bienek

Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective pp. 27-44

Paola Fersini and Giuseppe Melisi

Statistical emulators for pricing and hedging longevity risk products pp. 45-60

J. Risk and M. Ludkovski

Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions pp. 61-72

Harry Bensusan, Nicole El Karoui, Stéphane Loisel and Yahia Salhi

On a multi-dimensional risk model with regime switching pp. 73-83

Guanqing Wang, Guojing Wang and Hailiang Yang

Ordering Gini indexes of multivariate elliptical risks pp. 84-91

Ranadeera Gamage Madhuka Samanthi, Wei Wei and Vytaras Brazauskas

Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer’s risk limit pp. 92-100

ZhiYi Lu, LiLi Meng, Yujin Wang and Qingjie Shen

What attitudes to risk underlie distortion risk measure choices? pp. 101-109

Jaume Belles-Sampera, Montserrat Guillen and Miguel Santolino

Bayesian approaches for analyzing earthquake catastrophic risk pp. 110-119

Yunxian Li, Niansheng Tang and Xuejun Jiang

Sarmanov family of multivariate distributions for bivariate dynamic claim counts model pp. 120-133

Anas Abdallah, Jean-Philippe Boucher and Hélène Cossette

Varying transition rules in bonus–malus systems: From rules specification to determination of optimal relativities pp. 134-140

Chong It Tan

Confidence band for expectation dependence with applications pp. 141-149

Xu Guo and Jingyuan Li

Omega diffusion risk model with surplus-dependent tax and capital injections pp. 150-161

Zhenyu Cui and Duy Nguyen

Solvency capital estimation, reserving cycle and ultimate risk pp. 162-168

A. Ferriero

Robust non-zero-sum stochastic differential reinsurance game pp. 169-177

Chi Seng Pun and Hoi Ying Wong

On allocations to portfolios of assets with statistically dependent potential risk returns pp. 178-186

Xiaohu Li and Chen Li

Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows pp. 187-202

Zhongbao Zhou, Helu Xiao, Jialing Yin, Ximei Zeng and Ling Lin

A comparison of two legislative approaches to the pay-as-you-go pension system in terms of adequacy. The Italian case pp. 203-211

Anna Attias, Maria Felice Arezzo, Augusto Pianese and Zoltan Varga

A characterization of equilibrium strategies in continuous-time mean–variance problems for insurers pp. 212-223

Ishak Alia, Farid Chighoub and Ayesha Sohail

A multivariate extension of the increasing convex order to compare risks pp. 224-230

Miguel A. Sordo

Inference for intermediate Haezendonck–Goovaerts risk measure pp. 231-240

Xing Wang and Liang Peng

An order of asymmetry in copulas, and implications for risk management pp. 241-247

Karl Friedrich Siburg, Katharina Stehling, Pavel A. Stoimenov and Gregor N.F. Weiß

Volume 67, issue C, 2016

Entrance times of random walks: With applications to pension fund modeling pp. 1-20

Søren Fiig Jarner and Morten Tolver Kronborg

Markov regime-switching quantile regression models and financial contagion detection pp. 21-26

Wuyi Ye, Yangguang Zhu, Yuehua Wu and Baiqi Miao

Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences pp. 27-37

Shumin Chen, Xi Wang, Yinglu Deng and Yan Zeng

The network structure and systemic risk in the global non-life insurance market pp. 38-53

Masayasu Kanno

Statutory financial reporting for variable annuity guaranteed death benefits: Market practice, mathematical modeling and computation pp. 54-64

Runhuan Feng and Huaxiong Huang

Marginal Indemnification Function formulation for optimal reinsurance pp. 65-76

Sheng Chao Zhuang, Chengguo Weng, Ken Seng Tan and Hirbod Assa

Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model pp. 77-87

Xiaoxiao Zheng, Jieming Zhou and Zhongyang Sun

Estimating the joint survival probabilities of married individuals pp. 88-106

Lisanne Sanders and Bertrand Melenberg

Term structure extrapolation and asymptotic forward rates pp. 107-119

J. de Kort and M.H. Vellekoop

A note on some joint distribution functions involving the time of ruin pp. 120-124

David C.M. Dickson

Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling pp. 125-132

Xin Zhang, Hui Meng and Yan Zeng

Optimal life-insurance selection and purchase within a market of several life-insurance providers pp. 133-141

A.S. Mousa, D. Pinheiro and A.A. Pinto

Insights to systematic risk and diversification across a joint probability distribution pp. 142-150

Weihao Choo and Piet de Jong

Risk capital allocation with autonomous subunits: The Lorenz set pp. 151-157

Jens Hougaard and Aleksandrs Smilgins

Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model pp. 158-172

Jingyun Sun, Zhongfei Li and Yan Zeng

Semi-static hedging of variable annuities pp. 173-186

Carole Bernard and Minsuk Kwak

Addendum to ‘The multi-year non-life insurance risk in the additive reserving model’ [Insurance Math. Econom. 52(3) (2013) 590–598]: Quantification of multi-year non-life insurance risk in chain ladder reserving models pp. 187-199

Dorothea Diers, Marc Linde and Lukas Hahn

Volume 66, issue C, 2016

A new class of copulas involving geometric distribution: Estimation and applications pp. 1-10

Kong-Sheng Zhang, Jin-Guan Lin and Pei-Rong Xu

Competitive insurance pricing with complete information, loss-averse utility and finitely many policies pp. 11-21

Peter-J. Jost

Gerber–Shiu functionals for classical risk processes perturbed by an α-stable motion pp. 22-28

Ekaterina T. Kolkovska and Ehyter M. Martín-González

Provisioning against borrowers default risk pp. 29-43

Geoffrey Nichil and Pierre Vallois

Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary pp. 44-58

Tzuling Lin and Cary Chi-Liang Tsai

Asymptotic analysis for target asset portfolio allocation with small transaction costs pp. 59-68

Cong Liu and Harry Zheng

Efficient risk allocation within a non-life insurance group under Solvency II Regime pp. 69-76

Alexandru V. Asimit, Alexandru M. Badescu, Steven Haberman and Eun-Seok Kim

On the analysis of ruin-related quantities in the delayed renewal risk model pp. 77-85

So-Yeun Kim and Gordon E. Willmot

Assessing inflation risk in non-life insurance pp. 86-96

Alexander Bohnert, Nadine Gatzert and Andreas Kolb

Time-consistent actuarial valuations pp. 97-112

Antoon Pelsser and Ahmad Salahnejhad Ghalehjooghi

The loss given default of a low-default portfolio with weak contagion pp. 113-123

Li Wei and Zhongyi Yuan

Bayesian quantile regression model for claim count data pp. 124-137

Mohd Fadzli Mohd Fuzi, Abdul Aziz Jemain and Noriszura Ismail

Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps pp. 138-152

Yan Zeng, Danping Li and Ailing Gu