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 50, issue 3, 2012

Stochastic comparisons of capital allocations with applications pp. 293-298

Maochao Xu and Taizhong Hu

Multivariate stress scenarios and solvency pp. 299-308

Alexander J. McNeil and Andrew D. Smith

Parametric mortality improvement rate modelling and projecting pp. 309-333

Steven Haberman and Arthur Renshaw

The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model pp. 334-337

David C.M. Dickson

Ambiguity aversion, higher-order risk attitude and optimal effort pp. 338-345

Rachel Huang

Modeling dependence dynamics through copulas with regime switching pp. 346-356

Osvaldo Candido, Flavio Augusto Ziegelmann and Michael Dueker

The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets pp. 357-370

Jan Dhaene, Daniël Linders, Wim Schoutens and David Vyncke

Multi-period mean–variance portfolio selection with regime switching and a stochastic cash flow pp. 371-384

Huiling Wu and Zhongfei Li

Comparison of increasing directionally convex transformations of random vectors with a common copula pp. 385-390

Félix Belzunce, Alfonso Suárez-Llorens and Miguel A. Sordo

Managing longevity and disability risks in life annuities with long term care pp. 391-401

Susanna Levantesi and Massimiliano Menzietti

Delta–Gamma hedging of mortality and interest rate risk pp. 402-412

Elisa Luciano, Luca Regis and Elena Vigna

Characterization of left-monotone risk aversion in the RDEU model pp. 413-422

Tiantian Mao and Taizhong Hu

On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities pp. 423-429

Xiaohu Li and Yinping You

Dependence modeling in non-life insurance using the Bernstein copula pp. 430-436

Dorothea Diers, Martin Eling and Sebastian D. Marek

Dividends and reinsurance under a penalty for ruin pp. 437-445

Zhibin Liang and Virginia R. Young

Are quantile risk measures suitable for risk-transfer decisions? pp. 446-461

Manuel Guerra and Maria de Lourdes Centeno

Insurance pricing with complete information, state-dependent utility, and production costs pp. 462-469

Colin M. Ramsay and Victor I. Oguledo

Volume 50, issue 2, 2012

Comparison and bounds for functionals of future lifetimes consistent with life tables pp. 229-235

Christiane Barz and Alfred Müller

Multidimensional Lee–Carter model with switching mortality processes pp. 236-246

Donatien Hainaut

TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts pp. 247-256

Hélène Cossette, Mélina Mailhot and Étienne Marceau

The Solvency II square-root formula for systematic biometric risk pp. 257-265

Marcus C. Christiansen, Michel M. Denuit and Dorina Lazar

Bayesian modelling of the time delay between diagnosis and settlement for Critical Illness Insurance using a Burr generalised-linear-type model pp. 266-279

Erengul Ozkok, George Streftaris, Howard R. Waters and A. David Wilkie

Lévy risk model with two-sided jumps and a barrier dividend strategy pp. 280-291

Lijun Bo, Renming Song, Dan Tang, Yongjin Wang and Xuewei Yang

Volume 50, issue 1, 2012

Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts pp. 1-11

Jérôme Pansera

Explaining young mortality pp. 12-25

O’Hare, Colin and Youwei Li

Excess based allocation of risk capital pp. 26-42

Gerwald van Gulick, Anja De Waegenaere and Henk Norde

On the invariant properties of notions of positive dependence and copulas under increasing transformations pp. 43-49

Jun Cai and Wei Wei

Arbitrage in skew Brownian motion models pp. 50-56

Damiano Rossello

Optimal reinsurance with positively dependent risks pp. 57-63

Jun Cai and Wei Wei

Analyzing surplus appropriation schemes in participating life insurance from the insurer’s and the policyholder’s perspective pp. 64-78

Alexander Bohnert and Nadine Gatzert

Competitive insurance market in the presence of ambiguity pp. 79-84

Sajid Anwar and Mingli Zheng

A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates pp. 85-93

Rosella Giacometti, Marida Bertocchi, Svetlozar T. Rachev and Frank Fabozzi

Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component pp. 94-98

Zinoviy Landsman and Udi Makov

Extreme value behavior of aggregate dependent risks pp. 99-108

Die Chen, Tiantian Mao, Xiaoqing Pan and Taizhong Hu

Recursive methods for a multi-dimensional risk process with common shocks pp. 109-120

Lan Gong, Andrei L. Badescu and Eric C.K. Cheung

Optimal loss-carry-forward taxation for the Lévy risk model pp. 121-130

Wenyuan Wang and Yijun Hu

Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives pp. 131-138

Aleš Ahčan

Risk concentration of aggregated dependent risks: The second-order properties pp. 139-149

Bin Tong, Chongfeng Wu and Weidong Xu

Risky asset allocation and consumption rule in the presence of background risk and insurance markets pp. 150-158

Wen-chang Lin and Jin-ray Lu

Pricing insurance contracts under Cumulative Prospect Theory pp. 159-166

Marek Kaluszka and Michał Krzeszowiec

On the absolute ruin problem in a Sparre Andersen risk model with constant interest pp. 167-178

Ilie-Radu Mitric, Andrei L. Badescu and David A. Stanford

Portfolio selection problem with multiple risky assets under the constant elasticity of variance model pp. 179-190

Hui Zhao and Ximin Rong

Copula models for insurance claim numbers with excess zeros and time-dependence pp. 191-199

Xiaobing Zhao and Xian Zhou

Optimal commutable annuities to minimize the probability of lifetime ruin pp. 200-216

Ting Wang and Virginia R. Young

On the Haezendonck–Goovaerts risk measure for extreme risks pp. 217-227

Qihe Tang and Fan Yang

Volume 49, issue 3, 2011

Variable annuities: A unifying valuation approach pp. 285-297

Anna Rita Bacinello, Pietro Millossovich, Annamaria Olivieri and Ermanno Pitacco

Analysis of risk models using a level crossing technique pp. 298-309

Percy H. Brill and Kaiqi Yu

Asymptotics for risk capital allocations based on Conditional Tail Expectation pp. 310-324

Alexandru V. Asimit, Edward Furman, Qihe Tang and Raluca Vernic

Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses pp. 325-334

Brahim Brahimi, Djamel Meraghni, Abdelhakim Necir and Ričardas Zitikis

Sensitivity of risk measures with respect to the normal approximation of total claim distributions pp. 335-344

Volker Krätschmer and Henryk Zähle

Asymptotic behavior of the empirical conditional value-at-risk pp. 345-352

Fuqing Gao and Shaochen Wang

Portfolio adjusting optimization with added assets and transaction costs based on credibility measures pp. 353-360

Wei-Guo Zhang, Xili Zhang and Yunxia Chen

Portfolio insurance under a risk-measure constraint pp. 361-370

Carmine De Franco and Peter Tankov

Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions pp. 371-379

David Landriault, Tianxiang Shi and Gordon E. Willmot

Worst case risk measurement: Back to the future? pp. 380-392

Marc Goovaerts, Rob Kaas and Roger Laeven

Valuing variable annuity guarantees with the multivariate Esscher transform pp. 393-400

Andrew Cheuk-Yin Ng and Johnny Siu-Hang Li

A risk-based model for the valuation of pension insurance pp. 401-409

An Chen

A characterization of the multivariate excess wealth ordering pp. 410-417

J.M. Fernández-Ponce, F. Pellerey and M.R. Rodríguez-Griñolo

Behavioral optimal insurance pp. 418-428

K.C.J. Sung, S.C.P. Yam, S.P. Yung and J.H. Zhou

Accounting for regime and parameter uncertainty in regime-switching models pp. 429-437

Brian M. Hartman and Matthew J. Heaton

Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging pp. 438-453

Andrew J.G. Cairns

Modelling losses and locating the tail with the Pareto Positive Stable distribution pp. 454-461

Montserrat Guillen, Faustino Prieto and José María Sarabia

One-year Value-at-Risk for longevity and mortality pp. 462-470

Richard Plat

The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts pp. 471-486

Jing Li and Alexander Szimayer

Archimedean copulas in finite and infinite dimensions—with application to ruin problems pp. 487-495

Corina Constantinescu, Enkelejd Hashorva and Lanpeng Ji

Modeling of claim exceedances over random thresholds for related insurance portfolios pp. 496-500

Serkan Eryilmaz, Omer L. Gebizlioglu and Fatih Tank

Optimal dividend and investing control of an insurance company with higher solvency constraints pp. 501-511

Zongxia Liang and Jianping Huang

A new look at the homogeneous risk model pp. 512-519

Claude Lefèvre and Philippe Picard

Pricing catastrophe swaps: A contingent claims approach pp. 520-536

Alexander Braun

Second order regular variation and conditional tail expectation of multiple risks pp. 537-546

Lei Hua and Harry Joe

Equity-linked pension schemes with guarantees pp. 547-564

J. Aase Nielsen, Klaus Sandmann and Erik Schlogl

Analytic loss distributional approach models for operational risk from the α-stable doubly stochastic compound processes and implications for capital allocation pp. 565-579

Gareth W. Peters, Pavel V. Shevchenko, Mark Young and Wendy Yip

A joint valuation of premium payment and surrender options in participating life insurance contracts pp. 580-596

H. Schmeiser and J. Wagner

Volume 49, issue 2, 2011

A dynamic parameterization modeling for the age-period-cohort mortality pp. 155-174

P. Hatzopoulos and S. Haberman

Optimality of general reinsurance contracts under CTE risk measure pp. 175-187

Ken Seng Tan, Chengguo Weng and Yi Zhang

Detection and correction of outliers in the bivariate chain-ladder method pp. 188-193

T. Verdonck and Martine van Wouwe

Minimizing the probability of lifetime ruin under stochastic volatility pp. 194-206

Erhan Bayraktar, Xueying Hu and Virginia R. Young

Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process pp. 207-215

Zhibin Liang, Kam Chuen Yuen and Junyi Guo

Exponential change of measure applied to term structures of interest rates and exchange rates pp. 216-225

Lijun Bo

A copula approach to test asymmetric information with applications to predictive modeling pp. 226-239

Peng Shi and Emiliano Valdez

A recursive approach to mortality-linked derivative pricing pp. 240-248

Zhaoning Shang, Marc Goovaerts and Jan Dhaene

Risk comparison of different bonus distribution approaches in participating life insurance pp. 249-264

Alexandra Zemp

A generalized beta copula with applications in modeling multivariate long-tailed data pp. 265-284

Xipei Yang, Edward W. Frees and Zhengjun Zhang

Volume 49, issue 1, 2011

A utility-based comparison of pension funds and life insurance companies under regulatory constraints pp. 1-10

Dirk Broeders, An Chen and Birgit Koos

Stochastic comparisons of distorted variability measures pp. 11-17

Miguel A. Sordo and Alfonso Suárez-Llorens

Bias-reduced estimators for bivariate tail modelling pp. 18-26

J. Beirlant, G. Dierckx and A. Guillou

A generalized linear model with smoothing effects for claims reserving pp. 27-37

Susanna Björkwall, Ola Hössjer, Esbjörn Ohlsson and Richard Verrall

Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing pp. 38-46

Wenge Zhu

Stochastic orders in time transformed exponential models with applications pp. 47-52

Xiaohu Li and Jianhua Lin

Calibrating affine stochastic mortality models using term assurance premiums pp. 53-60

Vincenzo Russo, Rosella Giacometti, Sergio Ortobelli, Svetlozar Rachev and Frank Fabozzi

On "optimal pension management in a stochastic framework" with exponential utility pp. 61-69

Qing-Ping Ma

Actuarial applications of the linear hazard transform in life contingencies pp. 70-80

Cary Chi-Liang Tsai and Lingzhi Jiang

Time-simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortality pp. 81-88

Johnny Siu-Hang Li and Wai-Sum Chan

Reactive investment strategies pp. 89-99

Andrew P. Leung

Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives pp. 100-114

Andrew Ngai and Michael Sherris

Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches pp. 115-125

Stefan Graf, Alexander Kling and Jochen Ruß

A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process pp. 126-131

Peter Diko and Miguel Usábel

The influence of non-linear dependencies on the basis risk of industry loss warranties pp. 132-144

Nadine Gatzert and Ralf Kellner

Optimal time-consistent investment and reinsurance policies for mean-variance insurers pp. 145-154

Yan Zeng and Zhongfei Li