Insurance: Mathematics and Economics
1982 - 2025
Current editor(s): R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu From Elsevier Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com). Access Statistics for this journal.
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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
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