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 63, issue C, 2015

Modelling longevity bonds: Analysing the Swiss Re Kortis bond pp. 12-29

Andrew Hunt and David Blake

Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach pp. 30-39

Chou-Wen Wang, Sharon S. Yang and Hong-Chih Huang

A new defined benefit pension risk measurement methodology pp. 40-51

Jing Ai, Patrick L. Brockett and Allen F. Jacobson

De-risking defined benefit plans pp. 52-65

Yijia Lin, Richard D. MacMinn and Ruilin Tian

Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: A practical approach pp. 66-75

Cheng Wan and Ljudmila Bertschi

Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk pp. 76-90

Adam W. Shao, Katja Hanewald and Michael Sherris

Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection pp. 91-107

Vanya Horneff, Raimond Maurer, Olivia Mitchell and Ralph Rogalla

Mortality modelling with regime-switching for the valuation of a guaranteed annuity option pp. 108-120

Huan Gao, Rogemar Mamon, Xiaoming Liu and Anton Tenyakov

A step-by-step guide to building two-population stochastic mortality models pp. 121-134

Johnny Siu-Hang Li, Rui Zhou and Mary Hardy

Multi-population mortality models: A factor copula approach pp. 135-146

Hua Chen, Richard MacMinn and Tao Sun

A common age effect model for the mortality of multiple populations pp. 147-152

Torsten Kleinow

The choice of sample size for mortality forecasting: A Bayesian learning approach pp. 153-168

Hong Li, Anja De Waegenaere and Bertrand Melenberg

Prospective mortality tables: Taking heterogeneity into account pp. 169-190

Julien Tomas and Frédéric Planchet

Love and death: A Freund model with frailty pp. 191-203

Christian Gourieroux and Yang Lu

Volume 62, issue C, 2015

Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization pp. 5-15

Xiaolin Luo and Pavel V. Shevchenko

Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk pp. 16-27

Bowen Yang, Jackie Li and Uditha Balasooriya

Personal finance and life insurance under separation of risk aversion and elasticity of substitution pp. 28-41

N.R. Jensen and M. Steffensen

Two maxentropic approaches to determine the probability density of compound risk losses pp. 42-53

Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral

On a partial integrodifferential equation of Seal’s type pp. 54-61

Gordon E. Willmot

Pricing annuity guarantees under a double regime-switching model pp. 62-78

Kun Fan, Yang Shen, Tak Kuen Siu and Rongming Wang

Valuing equity-linked death benefits with a threshold expense strategy pp. 79-90

Jiang Zhou and Lan Wu

A reinsurance game between two insurance companies with nonlinear risk processes pp. 91-97

Hui Meng, Shuanming Li and Zhuo Jin

Ruin with insurance and financial risks following the least risky FGM dependence structure pp. 98-106

Yiqing Chen, Jiajun Liu and Fei Liu

On rational pricing for a profit-seeking insurer in the year of hard market pp. 107-117

Vsevolod K. Malinovskii

Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process pp. 118-137

Yang Shen and Yan Zeng

Valuation of large variable annuity portfolios under nested simulation: A functional data approach pp. 138-150

Guojun Gan and X. Sheldon Lin

Forecasting mortality in subpopulations using Lee–Carter type models: A comparison pp. 151-161

Ivan Luciano Danesi, Steven Haberman and Pietro Millossovich

Max-factor individual risk models with application to credit portfolios pp. 162-172

Michel Denuit, Anna Kiriliouk and Johan Segers

Phase-type aging modeling for health dependent costs pp. 173-183

Maria Govorun, Guy Latouche and Stéphane Loisel

Minimal representation of insurance prices pp. 184-193

Alois Pichler and Alexander Shapiro

Bayesian total loss estimation using shared random effects pp. 194-201

Carolin Baumgartner, Lutz F. Gruber and Claudia Czado

Nash equilibrium strategies for a defined contribution pension management pp. 202-214

Huiling Wu, Ling Zhang and Hua Chen

Business planning for a profit-seeking insurer under deficiency of information pp. 215-226

Vsevolod K. Malinovskii

A modified insurance risk process with uncertainty pp. 227-233

Kai Yao and Zhongfeng Qin

On some compound distributions with Borel summands pp. 234-244

H. Finner, P. Kern and M. Scheer

Robust investment–reinsurance optimization with multiscale stochastic volatility pp. 245-256

Chi Seng Pun and Hoi Ying Wong

Comparative ambiguity aversion and downside ambiguity aversion pp. 257-269

Yi-Chieh Huang, Larry Y. Tzeng and Lin Zhao

Volume 61, issue C, 2015

On multivariate extensions of the conditional Value-at-Risk measure pp. 1-16

E. Di Bernardino, J.M. Fernández-Ponce, F. Palacios-Rodríguez and M.R. Rodríguez-Griñolo

Reducing model risk via positive and negative dependence assumptions pp. 17-26

Valeria Bignozzi, Giovanni Puccetti and Ludger Rüschendorf

Vigilant measures of risk and the demand for contingent claims pp. 27-35

Mario Ghossoub

Assessing the solvency of insurance portfolios via a continuous-time cohort model pp. 36-47

Petar Jevtić and Luca Regis

Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times pp. 48-61

E.S. Badila, O.J. Boxma and J.A.C. Resing

Comparison of conditional distributions in portfolios of dependent risks pp. 62-69

Miguel A. Sordo, Alfonso Suárez-Llorens and Alfonso J. Bello

On optimal reinsurance policy with distortion risk measures and premiums pp. 70-75

Hirbod Assa

In-sample forecasting applied to reserving and mesothelioma mortality pp. 76-86

Enno Mammen, María Dolores Martínez Miranda and Jens Perch Nielsen

Optimal allocation and consumption with guaranteed minimum death benefits, external income and term life insurance pp. 87-98

Jin Gao and Eric Ulm

Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns pp. 99-109

Guohui Guan and Zongxia Liang

Age-specific copula-AR-GARCH mortality models pp. 110-124

Tzuling Lin, Chou-Wen Wang and Cary Chi-Liang Tsai

The time of deducting fees for variable annuities under the state-dependent fee structure pp. 125-134

Jiang Zhou and Lan Wu

Tail negative dependence and its applications for aggregate loss modeling pp. 135-145

Lei Hua

Modeling loss data using composite models pp. 146-154

S.A. Abu Bakar, N.A. Hamzah, M. Maghsoudi and S. Nadarajah

A hierarchical copula-based world-wide valuation of sovereign risk pp. 155-169

Enrico Bernardi, Federico Falangi and Silvia Romagnoli

Fourier-cosine method for Gerber–Shiu functions pp. 170-180

K.W. Chau, S.C.P. Yam and H. Yang

Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model pp. 181-196

Chunxiang A and Zhongfei Li

Optimal consumption and investment problem with random horizon in a BMAP model pp. 197-205

Xu Chen and Xiang-qun Yang

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models pp. 206-226

Rodrigo Targino, Gareth W. Peters and Pavel V. Shevchenko

Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims pp. 227-234

Lin He and Zongxia Liang

Stochastic comparison of aggregate claim amounts between two heterogeneous portfolios and its applications pp. 235-241

Ghobad Barmalzan, Amir Payandeh and Narayanaswamy Balakrishnan

Optimal reinsurance and investment problem for an insurer with counterparty risk pp. 242-254

Huiming Zhu, Chao Deng, Shengjie Yue and Yingchun Deng

Optimal relativities and transition rules of a bonus–malus system pp. 255-263

Chong It Tan, Jackie Li, Johnny Siu-Hang Li and Uditha Balasooriya

A semiparametric panel approach to mortality modeling pp. 264-270

Han Li, O’Hare, Colin and Xibin Zhang

Extended Gerber–Shiu functions in a risk model with interest pp. 271-275

Hanspeter Schmidli

Evaluation and default time for companies with uncertain cash flows pp. 276-285

Donatien Hainaut

On the effectiveness of natural hedging for insurance companies and pension plans pp. 286-297

Jackie Li and Steven Haberman