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 60, issue C, 2015

Bayesian nonparametric predictive modeling of group health claims pp. 1-10

Gilbert W. Fellingham, Athanasios Kottas and Brian M. Hartman

Asymptotic results for conditional measures of association of a random sum pp. 11-18

Alexandru V. Asimit and Yiqing Chen

Analytical pricing of vulnerable options under a generalized jump–diffusion model pp. 19-28

Farzad Alavi Fard

On the efficient utilisation of duration pp. 29-37

Thomas Dierkes and Karl Michael Ortmann

A risk model with varying premiums: Its risk management implications pp. 38-46

Shu Li, David Landriault and Christiane Lemieux

Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization pp. 47-60

Claudia Ceci, Katia Colaneri and Alessandra Cretarola

Optimal reinsurance under risk and uncertainty pp. 61-74

Alejandro Balbás, Beatriz Balbás, Raquel Balbás and Antonio Heras

Occupation times in the MAP risk model pp. 75-82

David Landriault and Tianxiang Shi

On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes pp. 83-97

Alexander Bohnert, Nadine Gatzert and Peter Jørgensen

Analysis of a drawdown-based regime-switching Lévy insurance model pp. 98-107

David Landriault, Bin Li and Shu Li

Volume 59, issue C, 2014

On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times pp. 1-10

Wing Yan Lee and Gordon E. Willmot

Potential measures for spectrally negative Markov additive processes with applications in ruin theory pp. 11-26

Runhuan Feng and Yasutaka Shimizu

On the distribution of sums of random variables with copula-induced dependence pp. 27-44

Irène Gijbels and Klaus Herrmann

Fitting asset returns to skewed distributions: Are the skew-normal and skew-student good models? pp. 45-56

Martin Eling

On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér–Lundberg processes pp. 57-64

F. Avram and M. Pistorius

Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions pp. 65-70

Lazhar Benkhelifa

Efficient approximations for numbers of survivors in the Lee–Carter model pp. 71-77

Samuel Gbari and Michel Denuit

Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff pp. 78-86

Xingchun Peng, Linxiao Wei and Yijun Hu

Dynamic hybrid products in life insurance: Assessing the policyholders’ viewpoint pp. 87-99

Alexander Bohnert, Patricia Born and Nadine Gatzert

Risk aggregation and stochastic claims reserving in disability insurance pp. 100-108

Boualem Djehiche and Björn Löfdahl

Optimal reinsurance with premium constraint under distortion risk measures pp. 109-120

Yanting Zheng and Wei Cui

On the expected discounted dividends in the Cramér–Lundberg risk model with more frequent ruin monitoring than dividend decisions pp. 121-132

Michael C.H. Choi and Eric C.K. Cheung

Robust LMI stability, stabilization and H∞ control for premium pricing models with uncertainties into a stochastic discrete-time framework pp. 133-143

Athanasios A. Pantelous and Lin Yang

Multivariate reinsurance designs for minimizing an insurer’s capital requirement pp. 144-155

Yunzhou Zhu, Yichun Chi and Chengguo Weng

Solvency II, regulatory capital, and optimal reinsurance: How good are Conditional Value-at-Risk and spectral risk measures? pp. 156-167

Mario Brandtner and Wolfgang Kürsten

Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation pp. 168-177

Zhimin Zhang and Hailiang Yang

The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks pp. 178-183

Ying Sun and Li Wei

Simulation analysis of ruin capital in Sparre Andersen’s model of risk pp. 184-193

Vsevolod K. Malinovskii and Ksenia O. Kosova

Coherent mortality forecasting with generalized linear models: A modified time-transformation approach pp. 194-221

Seyed Saeed Ahmadi and Johnny Siu-Hang Li

Optimal investment, consumption and proportional reinsurance under model uncertainty pp. 222-234

Xingchun Peng, Fenge Chen and Yijun Hu

Archimedean copulas derived from utility functions pp. 235-242

Jaap Spreeuw

Mean-chance model for portfolio selection based on uncertain measure pp. 243-250

Xiaoxia Huang and Tianyi Zhao

Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes pp. 251-257

Stanislaw Heilpern

A copula based Bayesian approach for paid–incurred claims models for non-life insurance reserving pp. 258-278

Gareth W. Peters, Alice X.D. Dong and Robert Kohn

A separation theorem for the weak s-convex orders pp. 279-284

Michel Denuit, Liqun Liu and Jack Meyer

Parametric mortality indexes: From index construction to hedging strategies pp. 285-299

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

Mean–variance asset–liability management with asset correlation risk and insurance liabilities pp. 300-310

Mei Choi Chiu and Hoi Ying Wong

Extreme value analysis of the Haezendonck–Goovaerts risk measure with a general Young function pp. 311-320

Qihe Tang and Fan Yang

Lp-metric under the location-independent risk ordering of random variables pp. 321-324

Jianping Yang, Weiwei Zhuang and Taizhong Hu

Notes on discrete compound Poisson model with applications to risk theory pp. 325-336

Huiming Zhang, Yunxiao Liu and Bo Li

Volume 58, issue C, 2014

On dividend strategies with non-exponential discounting pp. 1-13

Qian Zhao, Jiaqin Wei and Rongming Wang

Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws pp. 14-23

Eric Ulm

Pricing and hedging of variable annuities with state-dependent fees pp. 24-33

Łukasz Delong

Factor risk quantification in annuity models pp. 34-45

Uǧur Karabey, Torsten Kleinow and Andrew J.G. Cairns

Quantifying the risk using copulae with nonparametric marginals pp. 46-56

Catalina Bolancé, Zuhair Bahraoui and Manuel Artís

Optimal investment and risk control policies for an insurer: Expected utility maximization pp. 57-67

Bin Zou and Abel Cadenillas

A survey of personalized treatment models for pricing strategies in insurance pp. 68-76

Leo Guelman, Montserrat Guillen and Ana M. Pérez-Marín

Quantile hedging on equity-linked life insurance contracts with transaction costs pp. 77-88

Alexander Melnikov and Shuo Tong

Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework pp. 89-102

Zhiqiang Chen, Antoon Pelsser and Eduard Ponds

Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities pp. 103-115

Man Chung Fung, Katja Ignatieva and Michael Sherris

Joint tail of ECOMOR and LCR reinsurance treaties pp. 116-120

Liang Peng

Individual loss reserving using paid–incurred data pp. 121-131

Mathieu Pigeon, Katrien Antonio and Michel Denuit

GlueVaR risk measures in capital allocation applications pp. 132-137

Jaume Belles-Sampera, Montserrat Guillen and Miguel Santolino

Life insurance policy termination and survivorship pp. 138-149

Emiliano A. Valdez, Jeyaraj Vadiveloo and Ushani Dias

Second order risk aggregation with the Bernstein copula pp. 150-158

Guillaume Coqueret

Explicit solutions of optimal consumption, investment and insurance problems with regime switching pp. 159-167

Bin Zou and Abel Cadenillas

On the analysis of time dependent claims in a class of birth process claim count models pp. 168-173

David Landriault, Gordon E. Willmot and Di Xu

A health insurance pricing model based on prevalence rates: Application to critical illness insurance pp. 174-184

Fabio Baione and Susanna Levantesi

Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims pp. 185-192

Haizhong Yang and Jinzhu Li

Pricing range notes within Wishart affine models pp. 193-203

Carl Chiarella, José Da Fonseca and Martino Grasselli

Purchasing life insurance to reach a bequest goal pp. 204-216

Erhan Bayraktar, S. David Promislow and Virginia R. Young

Optimal portfolio choice for an insurer with loss aversion pp. 217-222

Wenjing Guo