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 112, issue C, 2023

The Cramér-Lundberg model with a fluctuating number of clients pp. 1-22

Peter Braunsteins and Michel Mandjes

Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model pp. 23-32

Michel Denuit and Christian Y. Robert

Multiple per-claim reinsurance based on maximizing the Lundberg exponent pp. 33-47

Hui Meng, Li Wei and Ming Zhou

Optimal retirement savings over the life cycle: A deterministic analysis in closed form pp. 48-58

Marcel Fischer, Bjarne Astrup Jensen and Marlene Koch

Optimal insurance design under mean-variance preference with narrow framing pp. 59-79

Xiaoqing Liang, Wenjun Jiang and Yiying Zhang

Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin pp. 80-96

Xiaoqing Liang and Virginia R. Young

A note on portfolios of averages of lognormal variables pp. 97-109

Phelim Boyle and Ruihong Jiang

Asymptotics for a time-dependent by-claim model with dependent subexponential claims pp. 120-141

Meng Yuan and Dawei Lu

Valuation of general GMWB annuities in a low interest rate environment pp. 142-167

Claudio Fontana and Francesco Rotondi

Volume 111, issue C, 2023

Robust claim frequency modeling through phase-type mixture-of-experts regression pp. 1-22

Martin Bladt and Jorge Yslas

Comparing utility derivative premia under additive and multiplicative risks pp. 23-40

Christoph Heinzel

Multiple-prior valuation of cash flows subject to capital requirements pp. 41-56

Hampus Engsner, Filip Lindskog and Julie Thøgersen

Dynamic asset-liability management with frictions pp. 57-83

Tingjin Yan, Jinhui Han, Guiyuan Ma and Chi Chung Siu

Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims pp. 84-101

Eric C.K. Cheung and Wei Zhu

Risk aggregation with FGM copulas pp. 102-120

Christopher Blier-Wong, Hélène Cossette and Etienne Marceau

Insuring longevity risk and long-term care: Bequest, housing and liquidity pp. 121-141

Mengyi Xu, Jennifer Alonso-García, Michael Sherris and Adam W. Shao

Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model pp. 142-162

Yu Chen, Mengyuan Ma and Hongfang Sun

Assessing the difference between integrated quantiles and integrated cumulative distribution functions pp. 163-172

Yunran Wei and Ričardas Zitikis

Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks pp. 173-192

Tiantian Mao, Gilles Stupfler and Fan Yang

Cause-of-death mortality forecasting using adaptive penalized tensor decompositions pp. 193-213

Xuanming Zhang, Fei Huang, Francis K.C. Hui and Steven Haberman

Actuarial fairness and social welfare in mixed-cohort tontines pp. 214-229

An Chen and Manuel Rach

On potential information asymmetries in long-term care insurance: A simulation study using data from Switzerland pp. 230-241

Andrey Ugarte Montero and Joël Wagner

Parametric expectile regression and its application for premium calculation pp. 242-256

Suhao Gao and Zhen Yu

On the area in the red of Lévy risk processes and related quantities pp. 257-278

Mohamed Amine Lkabous and Zijia Wang

Pairwise counter-monotonicity pp. 279-287

Jean-Gabriel Lauzier, Liyuan Lin and Ruodu Wang

Volume 110, issue C, 2023

Robust retirement and life insurance with inflation risk and model ambiguity pp. 1-30

Kyunghyun Park, Hoi Ying Wong and Tingjin Yan

Optimal entry decision of unemployment insurance under partial information pp. 31-52

Jie Xing, Jingtang Ma and Wensheng Yang

Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach pp. 53-71

Jackson P. Lautier, Vladimir Pozdnyakov and Jun Yan

Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes pp. 72-81

Duy Phat Nguyen and Konstantin Borovkov

Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory pp. 82-105

Hui Mi and Zuo Quan Xu

Empirical tail risk management with model-based annealing random search pp. 106-124

Qi Fan, Ken Seng Tan and Jinggong Zhang

Volume 109, issue C, 2023

The Gerber-Shiu discounted penalty function: A review from practical perspectives pp. 1-28

Yue He, Reiichiro Kawai, Yasutaka Shimizu and Kazutoshi Yamazaki

Dependence modeling of frequency-severity of insurance claims using waiting time pp. 29-51

Guangyuan Gao and Jiahong Li

Managing reputational risk in the decumulation phase of a pension fund pp. 52-68

M. Carmen Boado-Penas, Leonie V. Brinker, Julia Eisenberg and Ralf Korn

Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions pp. 69-93

Wenyue Liu and Abel Cadenillas

Deep quantile and deep composite triplet regression pp. 94-112

Tobias Fissler, Michael Merz and Mario V. Wüthrich

Volume 108, issue C, 2023

Two-stage nested simulation of tail risk measurement: A likelihood ratio approach pp. 1-24

Ou Dang, Mingbin Feng and Mary R. Hardy

Optimal consumption and life insurance under shortfall aversion and a drawdown constraint pp. 25-45

Xun Li, Xiang Yu and Qinyi Zhang

From risk reduction to risk elimination by conditional mean risk sharing of independent losses pp. 46-59

Michel Denuit and Christian Y. Robert

Portfolio choice with illiquid asset for a loss-averse pension fund investor pp. 60-83

Zheng Chen, Zhongfei Li and Yan Zeng

Pricing extreme mortality risk in the wake of the COVID-19 pandemic pp. 84-106

Han Li, Haibo Liu, Qihe Tang and Zhongyi Yuan

Probability equivalent level of Value at Risk and higher-order Expected Shortfalls pp. 107-128

Mátyás Barczy, Fanni K. Nedényi and László Sütő

Optimal investment and consumption strategies for pooled annuity with partial information pp. 129-155

Lin Xie, Lv Chen, Linyi Qian, Danping Li and Zhixin Yang

Inf-convolution and optimal allocations for mixed-VaRs pp. 156-164

Zichao Xia, Zhenfeng Zou and Taizhong Hu

A new stochastic dominance criterion for dependent random variables with applications pp. 165-176

Félix Belzunce and Carolina Martínez-Riquelme

Nonparametric density estimation and risk quantification from tabulated sample moments pp. 177-189

Philippe Lambert

Volume 107, issue C, 2022

Copula-based inference for bivariate survival data with left truncation and dependent censoring pp. 1-21

N.W. Deresa, I. Van Keilegom and Katrien Antonio

Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables pp. 22-37

Hamza Hanbali, Jan Dhaene and Daniël Linders

Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model pp. 38-56

Jinzhu Li

BERT-based NLP techniques for classification and severity modeling in basic warranty data study pp. 57-67

Shuzhe Xu, Chuanlong Zhang and Don Hong

Mortality modeling and regression with matrix distributions pp. 68-87

Hansjörg Albrecher, Martin Bladt, Mogens Bladt and Jorge Yslas

Cyber-contagion model with network structure applied to insurance pp. 88-101

Caroline Hillairet, Olivier Lopez, Louise d'Oultremont and Brieuc Spoorenberg

Extreme-value based estimation of the conditional tail moment with application to reinsurance rating pp. 102-122

Yuri Goegebeur, Armelle Guillou, Tine Pedersen and Jing Qin

Basis risk management and randomly scaled uncertainty pp. 123-139

M. Mercè Claramunt, Claude Lefèvre, Stéphane Loisel and Pierre Montesinos

The Parisian and ultimate drawdowns of Lévy insurance models pp. 140-160

Shu Li and Xiaowen Zhou

Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns pp. 161-179

Lisa Gao and Peng Shi

Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models pp. 180-198

Tsz Chai Fung

Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants pp. 199-222

N.V. Gribkova, J. Su and R. Zitikis

Asymptotic theory for Mack's model pp. 223-268

Julia Steinmetz and Carsten Jentsch

Multivariate claim processes with rough intensities: Properties and estimation pp. 269-287

Donatien Hainaut

Extension of as-if-Markov modeling to scaled payments pp. 288-306

Marcus C. Christiansen and Christian Furrer

Pareto-optimal reinsurance under individual risk constraints pp. 307-325

Mario Ghossoub, Wenjun Jiang and Jiandong Ren

Irreversible reinsurance: A singular control approach pp. 326-348

Tingjin Yan, Kyunghyun Park and Hoi Ying Wong

Ratemaking territories and adverse selection for flood insurance pp. 349-360

Mathieu Boudreault and Angelica Ojeda

Bilateral risk sharing in a comonotone market with rank-dependent utilities pp. 361-378

Tim J. Boonen and Wenjun Jiang

Frequency-severity experience rating based on latent Markovian risk profiles pp. 379-392

Robert Matthijs Verschuren

Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk pp. 393-417

Haiyan Liu and Tiantian Mao