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 56, issue C, 2014

Stochastic analysis of life insurance surplus pp. 1-13

Natalia Nolde and Gary Parker

Bringing cost transparency to the life annuity market pp. 14-27

Catherine Donnelly, Montserrat Guillen and Jens Perch Nielsen

Conditional least squares and copulae in claims reserving for a single line of business pp. 28-37

Michal Pešta and Ostap Okhrin

Validation of positive quadrant dependence pp. 38-47

Teresa Ledwina and Grzegorz Wyłupek

Optimal capital allocation in a hierarchical corporate structure pp. 48-55

Yaniv Zaks and Andreas Tsanakas

Time-consistent mean–variance hedging of longevity risk: Effect of cointegration pp. 56-67

Tat Wing Wong, Mei Choi Chiu and Hoi Ying Wong

On the multidimensional extension of countermonotonicity and its applications pp. 68-79

Woojoo Lee and Jae Youn Ahn

Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims pp. 80-87

Ke-Ang Fu and Cheuk Yin Andrew Ng

Second-order tail asymptotics of deflated risks pp. 88-101

Enkelejd Hashorva, Chengxiu Ling and Zuoxiang Peng

Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach pp. 102-111

H. Huang, Moshe Milevsky and T.S. Salisbury

Volume 55, issue C, 2014

Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks pp. 1-9

Jingchen Liu and Jae-Kyung Woo

Prediction in a non-homogeneous Poisson cluster model pp. 10-17

Muneya Matsui

Multivariate negative binomial models for insurance claim counts pp. 18-29

Peng Shi and Emiliano A. Valdez

Price bounds of mortality-linked security in incomplete insurance market pp. 30-39

Yu-Lieh Huang, Jeffrey Tsai, Sharon S. Yang and Hung-Wen Cheng

CAPM with fuzzy returns and hypothesis testing pp. 40-57

A. Mbairadjim Moussa, Jules Sadefo Kamdem, A.F. Shapiro and M. Terraza

Capital requirements with defaultable securities pp. 58-67

Walter Farkas, Pablo Koch-Medina and Cosimo Munari

Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk pp. 68-77

Elisa Luciano and Luca Regis

Asymptotic theory for the empirical Haezendonck–Goovaerts risk measure pp. 78-90

Jae Youn Ahn and Nariankadu D. Shyamalkumar

On inequalities for moments and the covariance of monotone functions pp. 91-95

Klaus D. Schmidt

Combining chain-ladder claims reserving with fuzzy numbers pp. 96-104

Jochen Heberle and Anne Thomas

Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks pp. 105-115

Guohui Guan and Zongxia Liang

Optimal surrender policy for variable annuity guarantees pp. 116-128

Carole Bernard, Anne MacKay and Max Muehlbeyer

A benchmark approach to risk-minimization under partial information pp. 129-146

Claudia Ceci, Katia Colaneri and Alessandra Cretarola

Longevity risk, cost of capital and hedging for life insurers under Solvency II pp. 147-155

Ramona Meyricke and Michael Sherris

Optimal reinsurance and investment with unobservable claim size and intensity pp. 156-166

Zhibin Liang and Erhan Bayraktar

Dependent interest and transition rates in life insurance pp. 167-179

Kristian Buchardt

Characterizing mutual exclusivity as the strongest negative multivariate dependence structure pp. 180-190

Ka Chun Cheung and Ambrose Lo

Properties of a risk measure derived from the expected area in red pp. 191-199

Stéphane Loisel and Julien Trufin

Some new notions of dependence with applications in optimal allocation problems pp. 200-209

Jun Cai and Wei Wei

On optimal periodic dividend strategies in the dual model with diffusion pp. 210-224

Benjamin Avanzi, Vincent Tu and Bernard Wong

Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape pp. 225-249

Nadja Klein, Michel Denuit, Stefan Lang and Thomas Kneib

Polynomial extensions of distributions and their applications in actuarial and financial modeling pp. 250-260

Hao Li and Alexander Melnikov

Valuing risky debt: A new model combining structural information with the reduced-form approach pp. 261-271

Luca Vincenzo Ballestra and Graziella Pacelli

On multivariate extensions of Conditional-Tail-Expectation pp. 272-282

Areski Cousin and Elena Di Bernardino

Valuation perspectives and decompositions for variable annuities with GMWB riders pp. 283-290

Cody B. Hyndman and Menachem Wenger

Arithmetic returns for investment performance measurement pp. 291-300

Carlo Alberto Magni

Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk pp. 301-309

Vsevolod K. Malinovskii

Annual intrinsic value of a company in a competitive insurance market pp. 310-318

Vsevolod K. Malinovskii

Volume 54, issue C, 2014

A risk-based premium: What does it mean for DB plan sponsors? pp. 1-11

An Chen and Filip Uzelac

Forecasting mortality for small populations by mixing mortality data pp. 12-27

Ales Ahcan, Darko Medved, Annamaria Olivieri and Ermanno Pitacco

The ruin time under the Sparre-Andersen dual model pp. 28-40

Chen Yang and Kristina P. Sendova

Generalized quantiles as risk measures pp. 41-48

Fabio Bellini, Bernhard Klar, Alfred Müller and Emanuela Rosazza Gianin

The Log–Lindley distribution as an alternative to the beta regression model with applications in insurance pp. 49-57

Emilio Gómez-Déniz, Miguel A. Sordo and Enrique Calderín-Ojeda

Reducing risk by merging counter-monotonic risks pp. 58-65

Ka Chun Cheung, Jan Dhaene, Ambrose Lo and Qihe Tang

Consumption, investment and life insurance strategies with heterogeneous discounting pp. 66-75

Albert de-Paz, Jesus Marin-Solano, Jorge Navas and Oriol Roch

A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy pp. 76-83

Xu Chen, Ting Xiao and Xiang-qun Yang

Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework pp. 84-92

Haixiang Yao, Yongzeng Lai, Qinghua Ma and Minjie Jian

Risk aggregation with dependence uncertainty pp. 93-108

Carole Bernard, Xiao Jiang and Ruodu Wang

Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs pp. 109-122

Huiqi Guan and Zongxia Liang

Risk models with dependence between claim occurrences and severities for Atlantic hurricanes pp. 123-132

Mathieu Boudreault, Hélène Cossette and Étienne Marceau

Optimal dividends in the dual model under transaction costs pp. 133-143

Erhan Bayraktar, Andreas E. Kyprianou and Kazutoshi Yamazaki

Borch’s Theorem from the perspective of comonotonicity pp. 144-151

K.C. Cheung, Yian Rong and S.C.P. Yam