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 53, issue 3, 2013

The value of interest rate guarantees in participating life insurance contracts: Status quo and alternative product design pp. 491-503

Martin Eling and Stefan Holder

Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model pp. 504-514

Hui Zhao, Ximin Rong and Yonggan Zhao

Optimal dividends and ALM under unhedgeable risk pp. 515-523

Antoon Pelsser and Roger Laeven

A bivariate shot noise self-exciting process for insurance pp. 524-532

Jiwook Jang and Angelos Dassios

Optimal capital allocation based on the Tail Mean–Variance model pp. 533-543

Maochao Xu and Tiantian Mao

Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims pp. 544-550

Lingjiong Zhu

Insurance demand and welfare-maximizing risk capital—Some hints for the regulator in the case of exponential preferences and exponential claims pp. 551-568

Daniel Burren

A gamma kernel density estimation for insurance loss data pp. 569-579

Yongho Jeon and Joseph H.T. Kim

On the mortality/longevity risk hedging with mortality immunization pp. 580-596

Tzuling Lin and Cary Chi-Liang Tsai

Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee pp. 597-600

Massimo Costabile

Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model pp. 601-614

Bo Yi, Zhongfei Li, Frederi G. Viens and Yan Zeng

Valuing equity-linked death benefits in jump diffusion models pp. 615-623

Hans U. Gerber, Elias S.W. Shiu and Hailiang Yang

A new immunization inequality for random streams of assets, liabilities and interest rates pp. 624-631

Lesław Gajek and Elżbieta Krajewska

Survival probabilities in bivariate risk models, with application to reinsurance pp. 632-642

Anna Castañer, M.M. Claramunt and C. Lefèvre

Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework pp. 643-649

Lin He and Zongxia Liang

Pricing Variable Annuity Guarantees in a local volatility framework pp. 650-663

Griselda Deelstra and Grégory Rayée

Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting pp. 664-670

Lihua Bai, Jun Cai and Ming Zhou

Stochastic Pareto-optimal reinsurance policies pp. 671-677

Xudong Zeng and Shangzhen Luo

Pension saving schemes with return smoothing mechanism pp. 678-689

Oskar Goecke

Optimal reinsurance in the presence of counterparty default risk pp. 690-697

Alexandru V. Asimit, Alexandru M. Badescu and Ka Chun Cheung

Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution pp. 698-703

Abdelaziz Rassoul

Fuzzy portfolio optimization model under real constraints pp. 704-711

Yong-Jun Liu and Wei-Guo Zhang

Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach pp. 712-721

Farzad Alavi Fard and Tak Kuen Siu

Conditional copula simulation for systemic risk stress testing pp. 722-732

Eike C. Brechmann, Katharina Hendrich and Claudia Czado

Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods pp. 733-746

Zhuo Jin, G. Yin and Fuke Wu

Generalized Makeham’s formula and economic profitability pp. 747-756

Carlo Alberto Magni

Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model pp. 757-768

Yang Shen and Tak Kuen Siu

Optimal dividend problem with a terminal value for spectrally positive Lévy processes pp. 769-773

Chuancun Yin and Yuzhen Wen

On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing pp. 774-785

C. Dutang, C. Lefèvre and Stéphane Loisel

Modeling dependencies in claims reserving with GEE pp. 786-794

Šárka Hudecová and Michal Pešta

Application of data clustering and machine learning in variable annuity valuation pp. 795-801

Guojun Gan

Valuation and risk assessment of disability insurance using a discrete time trivariate Markov renewal reward process pp. 802-811

Alexander Maegebier

Insurance bargaining under ambiguity pp. 812-820

Rachel Huang, Yi-Chieh Huang and Larry Y. Tzeng

Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates pp. 821-828

Giovanni Puccetti, Bin Wang and Ruodu Wang

Total loss estimation using copula-based regression models pp. 829-839

Nicole Krämer, Eike C. Brechmann, Daniel Silvestrini and Claudia Czado

Stochastic modeling and fair valuation of drawdown insurance pp. 840-850

Hongzhong Zhang, Tim Leung and Olympia Hadjiliadis

Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model pp. 851-863

Haixiang Yao, Zhou Yang and Ping Chen

Modeling future lifetime as a fuzzy random variable pp. 864-870

Arnold F. Shapiro

Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers pp. 871-883

Ping Chen and S.C.P. Yam

General lower bounds on convex functionals of aggregate sums pp. 884-896

Ka Chun Cheung and Ambrose Lo

Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity pp. 897-905

Fabrizio Durante, Juan Fernández Sánchez and Carlo Sempi

Dividend problems in the dual risk model pp. 906-918

Lourdes B. Afonso, Rui M.R. Cardoso and Alfredo Egidio dos Reis

Volume 53, issue 2, 2013

The uncertain premium principle based on the distortion function pp. 317-324

Shengguo Li, Jin Peng and Bo Zhang

Rationale of underwriters’ pricing conduct on competitive insurance market pp. 325-333

Vsevolod K. Malinovskii

Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order pp. 334-342

Ka Chun Cheung and Ambrose Lo

Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times pp. 343-354

Eric C.K. Cheung

Bayesian analysis of loss reserving using dynamic models with generalized beta distribution pp. 355-365

A.X.D. Dong and Jennifer Chan

Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis pp. 366-378

E. Vatamidou, I.J.B.F. Adan, M. Vlasiou and B. Zwart

The determinants of mortality heterogeneity and implications for pricing annuities pp. 379-387

Ramona Meyricke and Michael Sherris

Estimation of the parameters of a Markov-modulated loss process in insurance pp. 388-404

Armelle Guillou, Stéphane Loisel and Gilles Stupfler

The natural Banach space for version independent risk measures pp. 405-415

Alois Pichler

Optimal proportional reinsurance and investment under partial information pp. 416-428

Xingchun Peng and Yijun Hu

Optimal bond portfolios with fixed time to maturity pp. 429-438

Patrik Andersson and Andreas N. Lagerås

Dividend optimization for regime-switching general diffusions pp. 439-456

Jinxia Zhu and Feng Chen

Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments pp. 457-463

Henryk Gzyl, Pier-Luigi Novi-Inverardi and Aldo Tagliani

Dependent competing risks: Cause elimination and its impact on survival pp. 464-477

Dimitrina S. Dimitrova, Steven Haberman and Vladimir Kaishev

Finite time ruin probabilities for tempered stable insurance risk processes pp. 478-489

Philip S. Griffin, Ross A. Maller and Dale Roberts

Volume 53, issue 1, 2013

An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments pp. 1-13

Mohamed Badaoui and Begoña Fernández

Finite-time survival probability and credit default swaps pricing under geometric Lévy markets pp. 14-23

Xuemiao Hao, Xuan Li and Yasutaka Shimizu

Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model pp. 24-35

Zhimin Zhang and Hailiang Yang

Credibility theory based on trimming pp. 36-47

Joseph H.T. Kim and Yongho Jeon

Actuarial applications of the linear hazard transform in mortality immunization pp. 48-63

Cary Chi-Liang Tsai and San-Lin Chung

Consistent dynamic affine mortality models for longevity risk applications pp. 64-73

Craig Blackburn and Michael Sherris

Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles pp. 74-85

Wei Cui, Jingping Yang and Lan Wu

Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion pp. 86-97

Yongwu Li and Zhongfei Li

A unified analysis of claim costs up to ruin in a Markovian arrival risk model pp. 98-109

Eric C.K. Cheung and Runhuan Feng

Optimal dividends with debts and nonlinear insurance risk processes pp. 110-121

Hui Meng, Tak Kuen Siu and Hailiang Yang

Mortality surface by means of continuous time cohort models pp. 122-133

Petar Jevtić, Elisa Luciano and Elena Vigna

When can insurers offer products that dominate delayed old-age pension benefit claiming? pp. 134-149

Lisanne Sanders, Anja De Waegenaere and Theo E. Nijman

Modelling and projecting mortality improvement rates using a cohort perspective pp. 150-168

Steven Haberman and Arthur Renshaw

Approximations of the tail probability of the product of dependent extremal random variables and applications pp. 169-178

Zhihui Qu and Yu Chen

Optimal reinsurance subject to Vajda condition pp. 179-189

Yichun Chi and Chengguo Weng

Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory pp. 190-205

Elena Di Bernardino and Didier Rulliere

ECOMOR and LCR reinsurance with gamma-like claims pp. 206-215

Enkelejd Hashorva and Jinzhu Li

Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework pp. 216-229

Christian Y. Robert

A note on the family of extremality stochastic orders pp. 230-236

María Concepción López-Díaz and Miguel López-Díaz

A heavy traffic approach to modeling large life insurance portfolios pp. 237-251

Jose Blanchet and Henry Lam

Optimal risk transfer under quantile-based risk measurers pp. 252-265

Alexandru V. Asimit, Alexandru M. Badescu and Tim Verdonck

Long-term behavior of stochastic interest rate models with jumps and memory pp. 266-272

Jianhai Bao and Chenggui Yuan

Simple risk measure calculations for sums of positive random variables pp. 273-280

Montserrat Guillen, José María Sarabia and Faustino Prieto

Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach pp. 281-291

J. Wei, K.C. Wong, S.C.P. Yam and S.P. Yung

Modified Gaussian pseudo-copula: Applications in insurance and finance pp. 292-301

Y. Fang and L. Madsen

Intensity-based premium evaluation for unemployment insurance products pp. 302-316

Francesca Biagini, Andreas Groll and Jan Widenmann