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 51, issue 3, 2012

A generalization of the Kaplan–Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models pp. 505-516

Olivier Lopez

Moments and semi-moments for fuzzy portfolio selection pp. 517-530

Jules Sadefo Kamdem, Christian Tassak Deffo and Louis Aimé Fono

Gram–Charlier densities: Maximum likelihood versus the method of moments pp. 531-537

Esther Del Brio and Javier Perote

Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach pp. 538-550

David Lee, Wai Keung Li and Tony Siu Tung Wong

Optimal investment and consumption when regime transitions cause price shocks pp. 551-566

Andrew E.B. Lim and Thaisiri Watewai

On a reduced form credit risk model with common shock and regime switching pp. 567-575

Xue Liang and Guojing Wang

Optimal dividend and equity issuance problem with proportional and fixed transaction costs pp. 576-585

Xiaofan Peng, Mi Chen and Junyi Guo

Optimal consumption and allocation in variable annuities with Guaranteed Minimum Death Benefits pp. 586-598

Jin Gao and Eric Ulm

Equitable solvent controls in a multi-period game model of risk pp. 599-616

Vsevolod K. Malinovskii

Skew mixture models for loss distributions: A Bayesian approach pp. 617-623

Mauro Bernardi, Antonello Maruotti and Lea Petrella

Stochastic evaluation of life insurance contracts: Model point on asset trajectories and measurement of the error related to aggregation pp. 624-631

Oberlain Nteukam T. and Frédéric Planchet

Calculation of Bayes premium for conditional elliptical risks pp. 632-635

Alfred Kume and Enkelejd Hashorva

Analytical calculation of risk measures for variable annuity guaranteed benefits pp. 636-648

Runhuan Feng and Hans W. Volkmer

Quantifying credit and market risk under Solvency II: Standard approach versus internal model pp. 649-666

Nadine Gatzert and Michael Martin

Optimal investment strategies for the HARA utility under the constant elasticity of variance model pp. 667-673

Eun Ju Jung and Jai Heui Kim

Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model pp. 674-684

Ailing Gu, Xianping Guo, Zhongfei Li and Yan Zeng

Minimal cost of a Brownian risk without ruin pp. 685-693

Shangzhen Luo and Michael Taksar

Modelling dependent data for longevity projections pp. 694-701

D’Amato, Valeria, Steven Haberman, Gabriella Piscopo and Maria Russolillo

Fuzzy risk adjusted performance measures: Application to hedge funds pp. 702-712

Jules Sadefo Kamdem, A. Mbairadjim Moussa and M. Terraza

Volume 51, issue 2, 2012

On a mean reverting dividend strategy with Brownian motion pp. 229-238

Benjamin Avanzi and Bernard Wong

Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models? pp. 239-248

Martin Eling

Convex order approximations in the case of cash flows of mixed signs pp. 249-256

Jan Dhaene, Marc Goovaerts, Michèle Vanmaele and Koen Van Weert

On the Lp-metric between a probability distribution and its distortion pp. 257-264

Miguel López-Díaz, Miguel A. Sordo and Alfonso Suárez-Llorens

Convex order and comonotonic conditional mean risk sharing pp. 265-270

Michel Denuit and Jan Dhaene

Computing bounds on the expected payoff of Alternative Risk Transfer products pp. 271-281

Andrés M. Villegas, Andrés L. Medaglia and Luis F. Zuluaga

Optimal retirement consumption with a stochastic force of mortality pp. 282-291

Huaxiong Huang, Moshe Milevsky and Thomas S. Salisbury

Comparison of risks based on the expected proportional shortfall pp. 292-302

Félix Belzunce, José F. Pinar, José M. Ruiz and Miguel A. Sordo

Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution pp. 303-309

Traian A. Pirvu and Huayue Zhang

Optimal reinsurance under variance related premium principles pp. 310-321

Yichun Chi

Heterogeneity of Australian population mortality and implications for a viable life annuity market pp. 322-332

Shu Su and Michael Sherris

Second-order properties of the Haezendonck–Goovaerts risk measure for extreme risks pp. 333-343

Tiantian Mao and Taizhong Hu

The optimal mean–variance investment strategy under value-at-risk constraints pp. 344-351

Jun Ye and Tiantian Li

Maximizing the utility of consumption with commutable life annuities pp. 352-369

Ting Wang and Virginia R. Young

An adaptive premium policy with a Bayesian motivation in the classical risk model pp. 370-378

David Landriault, Christiane Lemieux and Gordon E. Willmot

A note on weighted premium calculation principles pp. 379-381

M. Kaluszka, Roger Laeven and A. Okolewski

Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases pp. 382-392

Philip S. Griffin, Ross A. Maller and Kees van Schaik

Analysis of the discounted sum of ascending ladder heights pp. 393-401

Hélène Cossette, David Landriault, Etienne Marceau and Khouzeima Moutanabbir

A multivariate aggregate loss model pp. 402-408

Jiandong Ren

Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach pp. 409-421

Runhuan Feng and Hans W. Volkmer

Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims pp. 422-429

Jianxi Lin

On the valuation of reverse mortgages with regular tenure payments pp. 430-441

Yung-Tsung Lee, Chou-Wen Wang and Hong-Chih Huang

An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk pp. 442-448

Luca Vincenzo Ballestra, Massimiliano Ottaviani and Graziella Pacelli

Second-order expansions of the risk concentration based on CTE pp. 449-456

Tiantian Mao, Wenhua Lv and Taizhong Hu

Precise large deviations of aggregate claims in a size-dependent renewal risk model pp. 457-461

Yiqing Chen and Kam C. Yuen

Optimal insurance under multiple sources of risk with positive dependence pp. 462-471

ZhiYi Lu, LePing Liu, JianYu Zhang and LiLi Meng

Asymptotic consistency and inconsistency of the chain ladder pp. 472-479

Michal Pešta and Šárka Hudecová

Estimation of medical costs by copula models with dynamic change of health status pp. 480-491

Xiaobing Zhao and Xian Zhou

Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures pp. 492-503

Lei Hua and Harry Joe

Volume 51, issue 1, 2012

Portfolio selection through an extremality stochastic order pp. 1-9

Henry Laniado, Rosa E. Lillo, Franco Pellerey and Juan Romo

On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures pp. 10-18

Marc Goovaerts, Daniël Linders, Koen Van Weert and Fatih Tank

The time to ruin and the number of claims until ruin for phase-type claims pp. 19-25

Esther Frostig, Susan M. Pitts and Konstadinos Politis

Optimal dividend policies for compound Poisson processes: The case of bounded dividend rates pp. 26-42

Pablo Azcue and Nora Muler

A new class of models for heavy tailed distributions in finance and insurance risk pp. 43-52

Soohan Ahn, Joseph H.T. Kim and Vaidyanathan Ramaswami

Alarm system for insurance companies: A strategy for capital allocation pp. 53-65

S. Das and M. Kratz

Claims development result in the paid-incurred chain reserving method pp. 66-72

Sebastian Happ, Michael Merz and Mario V. Wüthrich

Valuing equity-linked death benefits and other contingent options: A discounted density approach pp. 73-92

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

Ruin by dynamic contagion claims pp. 93-106

Angelos Dassios and Hongbiao Zhao

Haezendonck–Goovaerts risk measures and Orlicz quantiles pp. 107-114

Fabio Bellini and Emanuela Rosazza Gianin

Tail distortion risk and its asymptotic analysis pp. 115-121

Li Zhu and Haijun Li

Copula based hierarchical risk aggregation through sample reordering pp. 122-133

Philipp Arbenz, Christoph Hummel and Georg Mainik

On the analysis of a general class of dependent risk processes pp. 134-141

Gordon E. Willmot and Jae-Kyung Woo

Jackknife empirical likelihood method for some risk measures and related quantities pp. 142-150

Liang Peng, Yongcheng Qi, Ruodu Wang and Jingping Yang

Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure pp. 151-157

Fouad Marri and Edward Furman

A performance analysis of participating life insurance contracts pp. 158-171

Roger Faust, Hato Schmeiser and Alexandra Zemp

Optimal asset allocation for DC pension plans under inflation pp. 172-181

Nan-wei Han and Mao-wei Hung

Dynamic hedging of conditional value-at-risk pp. 182-190

Alexander Melnikov and Ivan Smirnov

Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model pp. 191-203

Zhongfei Li, Yan Zeng and Yongzeng Lai

Multivariate longitudinal modeling of insurance company expenses pp. 204-215

Peng Shi

A maximum-entropy approach to the linear credibility formula pp. 216-221

Amir Payandeh, Hamid Hatami and Maryam Omidi Najafabadi

Multivariate insurance models: An overview pp. 222-227

Simon Anastasiadis and Stefanka Chukova