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 52, issue 3, 2013

Control variates and conditional Monte Carlo for basket and Asian options pp. 421-434

Kemal Dinçer Dingeç and Wolfgang Hörmann

On iterative premium calculation principles under Cumulative Prospect Theory pp. 435-440

Marek Kaluszka and Michał Krzeszowiec

Tail Variance premiums for log-elliptical distributions pp. 441-447

Zinoviy Landsman, Nika Pat and Jan Dhaene

Optimal dividend problem with a nonlinear regular-singular stochastic control pp. 448-456

Mi Chen, Xiaofan Peng and Junyi Guo

Extensions of the notion of overall comonotonicity to partial comonotonicity pp. 457-464

Lianzeng Zhang and Baige Duan

Risky targets and effort pp. 465-468

O-Chia Chuang, Louis Eeckhoudt, Rachel Huang and Larry Y. Tzeng

An extension of Paulsen–Gjessing’s risk model with stochastic return on investments pp. 469-476

Chuancun Yin and Yuzhen Wen

Quantile credibility models pp. 477-489

Georgios Pitselis

The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model pp. 490-497

David C.M. Dickson and Shuanming Li

Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps pp. 498-507

Yan Zeng, Zhongfei Li and Yongzeng Lai

Constant proportion portfolio insurance under a regime switching exponential Lévy process pp. 508-521

Chengguo Weng

On the (in-)dependence between financial and actuarial risks pp. 522-531

Jan Dhaene, Alexander Kukush, Elisa Luciano, Wim Schoutens and Ben Stassen

A feasible natural hedging strategy for insurance companies pp. 532-541

Chou-Wen Wang, Hong-Chih Huang and De-Chuan Hong

Lifetime dependence modelling using a truncated multivariate gamma distribution pp. 542-549

Daniel H. Alai, Zinoviy Landsman and Michael Sherris

Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions pp. 550-559

El Hadji Deme, Stéphane Girard and Armelle Guillou

Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation pp. 560-572

Hélène Cossette, Marie-Pier Côté, Etienne Marceau and Khouzeima Moutanabbir

Multidimensional smoothing by adaptive local kernel-weighted log-likelihood: Application to long-term care insurance pp. 573-589

Julien Tomas and Frédéric Planchet

The multi-year non-life insurance risk in the additive loss reserving model pp. 590-598

Dorothea Diers and Marc Linde

Choosing a random distribution with prescribed risks pp. 599-605

Ignacio Cascos and Ilya Molchanov

Pricing high-risk and low-risk insurance contracts with incomplete information and production costs pp. 606-614

Colin M. Ramsay, Victor I. Oguledo and Priya Pathak

Volume 52, issue 2, 2013

On the generalized Gerber–Shiu function for surplus processes with interest pp. 127-134

Shuanming Li and Yi Lu

Reinsurance and securitisation of life insurance risk: The impact of regulatory constraints pp. 135-144

Pauline Barrieu and Henri Loubergé

Optimal investment policy in the time consistent mean–variance formulation pp. 145-156

Zhi-ping Chen, Gang Li and Ju-e Guo

Pricing and securitization of multi-country longevity risk with mortality dependence pp. 157-169

Sharon S. Yang and Chou-Wen Wang

A note on discounted compound renewal sums under dependency pp. 170-179

Jae-Kyung Woo and Eric C.K. Cheung

Optimal reinsurance with general premium principles pp. 180-189

Yichun Chi and Ken Seng Tan

Expected value multiobjective portfolio rebalancing model with fuzzy parameters pp. 190-203

Pankaj Gupta, Garima Mittal and Mukesh Kumar Mehlawat

Computing best bounds for nonlinear risk measures with partial information pp. 204-212

Man Hong Wong and Shuzhong Zhang

A characterization of optimal portfolios under the tail mean–variance criterion pp. 213-221

Iqbal Owadally and Zinoviy Landsman

Systemic risk tradeoffs and option prices pp. 222-230

Dilip B. Madan and Wim Schoutens

A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions pp. 231-242

Sharon S. Yang and Tian-Shyr Dai

Pricing catastrophe risk bonds: A mixed approximation method pp. 243-254

Zong-Gang Ma and Chao-Qun Ma

A nonparametric approach to calculating value-at-risk pp. 255-262

Ramon Alemany, Catalina Bolancé and Montserrat Guillen

Best portfolio insurance for long-term investment strategies in realistic conditions pp. 263-274

Jacques Pézier and Johanna Scheller

Modeling and forecasting mortality rates pp. 275-285

Daniel Mitchell, Patrick Brockett, Rafael Mendoza-Arriaga and Kumar Muthuraman

Pricing inflation products with stochastic volatility and stochastic interest rates pp. 286-299

Stefan N. Singor, Lech Grzelak, David van Bragt and Cornelis Oosterlee

Pricing European options on deferred annuities pp. 300-311

Jonathan Ziveyi, Craig Blackburn and Michael Sherris

Extremes and products of multivariate AC-product risks pp. 312-319

Yang Yang and Enkelejd Hashorva

Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data pp. 320-337

P. Hatzopoulos and S. Haberman

Testing tail monotonicity by constrained copula estimation pp. 338-351

Irène Gijbels and Dominik Sznajder

Challenges with non-informative gamma priors in the Bayesian over-dispersed Poisson reserving model pp. 352-358

Mario V. Wüthrich

Optimal decision on dynamic insurance price and investment portfolio of an insurer pp. 359-369

Hong Mao, James M. Carson, Krzysztof M. Ostaszewski and Zhongkai Wen

Level premium rates as a function of initial capital pp. 370-380

Vsevolod K. Malinovskii

Claims reserving in the hierarchical generalized linear model framework pp. 381-390

Patrizia Gigante, Liviana Picech and Luciano Sigalotti

Pure robust versus robust portfolio unbiased—Credibility and asymptotic optimality pp. 391-403

Georgios Pitselis

Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase pp. 404-410

Lin He and Zongxia Liang

The connection between distortion risk measures and ordered weighted averaging operators pp. 411-420

Jaume Belles-Sampera, José M. Merigó, Montserrat Guillen and Miguel Santolino

Volume 52, issue 1, 2013

Worst-case actuarial calculations consistent with single- and multiple-decrement life tables pp. 1-5

Marcus C. Christiansen and Michel M. Denuit

Continuous-time mean–variance asset–liability management with endogenous liabilities pp. 6-17

Haixiang Yao, Yongzeng Lai and Yong Li

Pricing and simulations of catastrophe bonds pp. 18-28

Piotr Nowak and Maciej Romaniuk

A note on killing with applications in risk theory pp. 29-34

Jevgenijs Ivanovs

If we can simulate it, we can insure it: An application to longevity risk management pp. 35-45

M. Martin Boyer and Lars Stentoft

Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures pp. 46-51

ZhiYi Lu, LePing Liu and ShengWang Meng

Optimal investment for an insurer with cointegrated assets: CRRA utility pp. 52-64

Mei Choi Chiu and Hoi Ying Wong

Exchanging uncertain mortality for a cost pp. 65-76

Catherine Donnelly, Montserrat Guillen and Jens Perch Nielsen

Pricing inflation-linked variable annuities under stochastic interest rates pp. 77-86

Serena Tiong

Individual post-retirement longevity risk management under systematic mortality risk pp. 87-97

Katja Hanewald, John Piggott and Michael Sherris

On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency pp. 98-113

Benjamin Avanzi, Eric C.K. Cheung, Bernard Wong and Jae-Kyung Woo

Longevity bond pricing under stochastic interest rate and mortality with regime-switching pp. 114-123

Yang Shen and Tak Kuen Siu