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 65, issue C, 2015

Some ruin problems for the MAP risk model pp. 1-8

Jingchao Li, David C.M. Dickson and Shuanming Li

Allocations of policy limits and ordering relations for aggregate remaining claims pp. 9-14

Sirous Fathi Manesh and Baha-Eldin Khaledi

Optimal retention for a stop-loss reinsurance with incomplete information pp. 15-21

Xiang Hu, Hailiang Yang and Lianzeng Zhang

New fuzzy insurance pricing method for giga-investment project insurance pp. 22-29

Pasi Luukka and Mikael Collan

A note on optimal investment–consumption–insurance in a Lévy market pp. 30-36

Calisto Guambe and Rodwell Kufakunesu

On a risk model with claim investigation pp. 37-45

Mirabelle Huynh, David Landriault, Tianxiang Shi and Gordon E. Willmot

On minimizing drawdown risks of lifetime investments pp. 46-54

Xinfu Chen, David Landriault, Bin Li and Dongchen Li

A risk model with renewal shot-noise Cox process pp. 55-65

Angelos Dassios, Jiwook Jang and Hongbiao Zhao

Time-consistent reinsurance and investment strategies for mean–variance insurer under partial information pp. 66-76

Zongxia Liang and Min Song

How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions? pp. 77-93

Carolina Orozco-Garcia and Hato Schmeiser

Risk models with premiums adjusted to claims number pp. 94-102

Bo Li, Weihong Ni and Corina Constantinescu

Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform pp. 103-110

Xuemiao Hao and Xuan Li

A directional multivariate value at risk pp. 111-123

Raúl Torres, Rosa E. Lillo and Henry Laniado

Comparisons on aggregate risks from two sets of heterogeneous portfolios pp. 124-135

Yiying Zhang and Peng Zhao

Optimal dividend payments under a time of ruin constraint: Exponential claims pp. 136-142

Camilo Hernández and Mauricio Junca

Nonparametric prediction of stock returns based on yearly data: The long-term view pp. 143-155

Michael Scholz, Jens Perch Nielsen and Stefan Sperlich

Multivariate time series modeling, estimation and prediction of mortalities pp. 156-171

Erland Ekheden and Ola Hössjer

Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions pp. 172-186

Katja Ignatieva and Zinoviy Landsman

Time-consistent investment strategy under partial information pp. 187-197

Yongwu Li, Han Qiao, Shouyang Wang and Ling Zhang

A generic model for spouse’s pensions with a view towards the calculation of liabilities pp. 198-207

Alexander Sokol

Forecasting life expectancy: Evidence from a new survival function pp. 208-226

Chi Heem Wong and Albert Tsui

Optimal non-life reinsurance under Solvency II Regime pp. 227-237

Alexandru V. Asimit, Yichun Chi and Junlei Hu

The tradeoff insurance premium as a two-sided generalisation of the distortion premium pp. 238-246

Weihao Choo and Piet de Jong

Minimization of absolute ruin probability under negative correlation assumption pp. 247-258

Zongxia Liang and Mingsi Long

Optimal dividends under a stochastic interest rate pp. 259-266

Julia Eisenberg

Designing and pricing guarantee options in defined contribution pension plans pp. 267-279

Andrea Consiglio, Michele Tumminello and Stavros Zenios

On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps pp. 280-290

Jeff T.Y. Wong and Eric C.K. Cheung

Volume 64, issue C, 2015

Optimal proportional reinsurance with common shock dependence pp. 1-13

Kam Chuen Yuen, Zhibin Liang and Ming Zhou

Robust loss reserving in a log-linear model pp. 14-27

Georgios Pitselis, Vasiliki Grigoriadou and Ioannis Badounas

Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk pp. 28-44

Danping Li, Ximin Rong and Hui Zhao

Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model pp. 45-53

Tao Jiang, Yuebao Wang, Yang Chen and Hui Xu

Reexamining the feasibility of diversification and transfer instruments on smoothing catastrophe risk pp. 54-66

Yang-Che Wu

Modeling the number of insureds’ cars using queuing theory pp. 67-76

Jean-Philippe Boucher and Guillaume Couture-Piché

The optimal insurance under disappointment theories pp. 77-90

K.C. Cheung, W.F. Chong and S.C.P. Yam

Optimal retirement income tontines pp. 91-105

Moshe Milevsky and Thomas S. Salisbury

State price densities implied from weather derivatives pp. 106-125

Wolfgang Härdle, Brenda López-Cabrera and Huei-Wen Teng

A bivariate risk model with mutual deficit coverage pp. 126-134

Jevgenijs Ivanovs and Onno Boxma

The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds pp. 135-150

Yanxin Liu and Johnny Siu-Hang Li

Optimal dynamic asset allocation of pension fund in mortality and salary risks framework pp. 151-161

Zongxia Liang and Ming Ma

Modeling trends in cohort survival probabilities pp. 162-179

P. Hatzopoulos and S. Haberman

Precautionary paying for stochastic improvements under background risks pp. 180-185

Hongxia Wang, Jianli Wang, Jingyuan Li and Xinping Xia

Robustness and convergence in the Lee–Carter model with cohort effects pp. 186-202

Andrew Hunt and Andrés M. Villegas

A multivariate Tweedie lifetime model: Censoring and truncation pp. 203-213

Daniel H. Alai, Zinoviy Landsman and Michael Sherris

On two families of bivariate distributions with exponential marginals: Aggregation and capital allocation pp. 214-224

Hélène Cossette, Etienne Marceau and Samuel Perreault

Functional characterizations of bivariate weak SAI with an application pp. 225-231

Yinping You and Xiaohu Li

An individual loss reserving model with independent reporting and settlement pp. 232-245

Jinlong Huang, Chunjuan Qiu, Xianyi Wu and Xian Zhou

Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits pp. 246-258

Petra Steinorth and Olivia Mitchell

Less is more: Increasing retirement gains by using an upside terminal wealth constraint pp. 259-267

Catherine Donnelly, Russell Gerrard, Montserrat Guillén and Jens Perch Nielsen

Model points and Tail-VaR in life insurance pp. 268-272

Michel Denuit and Julien Trufin

The bounds of premium and optimality of stop loss insurance under uncertain random environments pp. 273-278

Ying Liu, Xiaozhong Li and Yinli Liu

A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models pp. 279-293

Alexandre Scott and Adam Metzler

Interval estimation for a measure of tail dependence pp. 294-305

Aiai Liu, Yanxi Hou and Liang Peng

Expected utility and catastrophic consumption risk pp. 306-312

Masako Ikefuji, Roger Laeven, Jan Magnus and Chris Muris

Geometric stopping of a random walk and its applications to valuing equity-linked death benefits pp. 313-325

Hans U. Gerber, Elias S.W. Shiu and Hailiang Yang

Maxentropic approach to decompound aggregate risk losses pp. 326-336

Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral

Modeling mortality and pricing life annuities with Lévy processes pp. 337-350

Seyed Saeed Ahmadi and Patrice Gaillardetz

Optimal debt ratio and dividend payment strategies with reinsurance pp. 351-363

Zhuo Jin, Hailiang Yang and G. Yin

Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks pp. 364-379

Tian-Shyr Dai, Sharon S. Yang and Liang-Chih Liu

On the convex transform and right-spread orders of smallest claim amounts pp. 380-384

Ghobad Barmalzan and Amir Payandeh

The effect of objective formulation on retirement decision making pp. 385-395

Adam Butt and Gaurav Khemka

Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk pp. 396-408

Huiling Wu and Yan Zeng

Convex ordering for insurance preferences pp. 409-416

K.C. Cheung, W.F. Chong and S.C.P. Yam

Dependent frequency–severity modeling of insurance claims pp. 417-428

Peng Shi, Xiaoping Feng and Anastasia Ivantsova

Risk concentration based on Expectiles for extreme risks under FGM copula pp. 429-439

Tiantian Mao and Fan Yang

Jump diffusion transition intensities in life insurance and disability annuity pp. 440-451

Jiwook Jang and Siti Norafidah Mohd Ramli