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 113, issue C, 2023

Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach pp. 1-23

Ming Qiu, Zhuo Jin and Shuanming Li

Equilibria and efficiency in a reinsurance market pp. 24-49

Michael B. Zhu, Mario Ghossoub and Tim J. Boonen

Aggregate Markov models in life insurance: Properties and valuation pp. 50-69

Jamaal Ahmad, Mogens Bladt and Christian Furrer

Optimal investment, consumption and life insurance purchase with learning about return predictability pp. 70-95

Xingchun Peng and Baihui Li

Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach pp. 96-121

Johnny Siu-Hang Li, Yanxin Liu and Wai-Sum Chan

Joint life care annuities to help retired couples to finance the cost of long-term care pp. 122-139

Manuel Ventura-Marco, Carlos Vidal-Melia and Juan Manuel Pérez-Salamero González

Intergenerational sharing of unhedgeable inflation risk pp. 140-160

Damiaan H.J. Chen, Roel Beetsma and Sweder J.G. van Wijnbergen

Intergenerational actuarial fairness when longevity increases: Amending the retirement age pp. 161-184

Jorge Bravo, Mercedes Ayuso, Robert Holzmann and Edward Palmer

Diversification quotients based on VaR and ES pp. 185-197

Xia Han, Liyuan Lin and Ruodu Wang

Multi-constrained optimal reinsurance model from the duality perspectives pp. 199-214

Ka Chun Cheung, Wanting He and He Wang

Bivariate distribution regression with application to insurance data pp. 215-232

Yunyun Wang, Tatsushi Oka and Dan Zhu

European option pricing with market frictions, regime switches and model uncertainty pp. 233-250

Tak Kuen Siu

Robust optimal asset-liability management with mispricing and stochastic factor market dynamics pp. 251-273

Ning Wang and Yumo Zhang

Optimal risk management with reinsurance and its counterparty risk hedging pp. 274-292

Yichun Chi, Tao Hu and Yuxia Huang

Two-phase selection of representative contracts for valuation of large variable annuity portfolios pp. 293-309

Ruihong Jiang, David Saunders and Chengguo Weng

Diagnostic tests before modeling longitudinal actuarial data pp. 310-325

Yinhuan Li, Tsz Chai Fung, Liang Peng and Linyi Qian

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