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 48, issue 3, 2011

Household consumption, investment and life insurance pp. 315-325

Kenneth Bruhn and Mogens Steffensen

On the threshold dividend strategy for a generalized jump-diffusion risk model pp. 326-337

Yichun Chi and X. Sheldon Lin

Stochastic comparisons for allocations of policy limits and deductibles with applications pp. 338-343

ZhiYi Lu and LiLi Meng

Classical and singular stochastic control for the optimal dividend policy when there is regime switching pp. 344-354

Luz R. Sotomayor and Abel Cadenillas

Mortality density forecasts: An analysis of six stochastic mortality models pp. 355-367

Andrew J.G. Cairns, David Blake, Kevin Dowd, Guy D. Coughlan, David Epstein and Marwa Khalaf-Allah

Characterization of upper comonotonicity via tail convex order pp. 368-373

Hee Seok Nam, Qihe Tang and Fan Yang

Convolutions of multivariate phase-type distributions pp. 374-377

Jasmin Berdel and Christian Hipp

Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size pp. 378-383

Éva Orbán Mihálykó and Csaba Mihálykó

A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium pp. 384-397

Eric C.K. Cheung

Optimal control and dependence modeling of insurance portfolios with Lévy dynamics pp. 398-405

Nicole Bäuerle and Anja Blatter

A new discrete distribution with actuarial applications pp. 406-412

Emilio Gómez-Déniz, José María Sarabia and Enrique Calderín-Ojeda

Volume 48, issue 2, 2011

Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee pp. 161-175

Oberlain Nteukam T., Frédéric Planchet and Pierre-Emmanuel Thérond

Optimal investment and consumption decision of a family with life insurance pp. 176-188

Minsuk Kwak, Yong Hyun Shin and U Jin Choi

Refinements of two-sided bounds for renewal equations pp. 189-196

Jae-Kyung Woo

Entropy, longevity and the cost of annuities pp. 197-204

Steven Haberman, Marwa Khalaf-Allah and Richard Verrall

Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas pp. 205-213

Geon Ho Choe and Hyun Jin Jang

A new proof of Cheung's characterization of comonotonicity pp. 214-216

Tiantian Mao and Taizhong Hu

On 1-convexity and nucleolus of co-insurance games pp. 217-225

Theo S.H. Driessen, Vito Fragnelli, Ilya Katsev and Anna B. Khmelnitskaya

Bayesian multivariate Poisson models for insurance ratemaking pp. 226-236

Lluís Bermúdez and Dimitris Karlis

Adaptive Importance Sampling for simulating copula-based distributions pp. 237-245

Marco Bee

Approximation of bivariate copulas by patched bivariate Fréchet copulas pp. 246-256

Yanting Zheng, Jingping Yang and Jianhua Z. Huang

Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums pp. 257-264

Hristo S. Sendov, Ying Wang and Ricardas Zitikis

Explicit ruin formulas for models with dependence among risks pp. 265-270

Hansjörg Albrecher, Corina Constantinescu and Stéphane Loisel

An application of comonotonicity theory in a stochastic life annuity framework pp. 271-279

Xiaoming Liu, Jisoo Jang and Sun Mee Kim

Quantile hedging for equity-linked contracts pp. 280-286

Przemyslaw Klusik and Zbigniew Palmowski

Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses? pp. 287-303

Gareth W. Peters, Aaron D. Byrnes and Pavel V. Shevchenko

An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models pp. 304-313

Runhuan Feng

Volume 48, issue 1, 2011

Three retirement decision models for defined contribution pension plan members: A simulation study pp. 1-18

Bonnie-Jeanne MacDonald and Andrew J.G. Cairns

Risk models based on time series for count random variables pp. 19-28

Hélène Cossette, Étienne Marceau and Florent Toureille

The strictest common relaxation of a family of risk measures pp. 29-34

Berend Roorda and Johannes Schumacher

A comparative study of parametric mortality projection models pp. 35-55

Steven Haberman and Arthur Renshaw

On the distribution of the (un)bounded sum of random variables pp. 56-63

Umberto Cherubini, Sabrina Mulinacci and Silvia Romagnoli

Optimal non-proportional reinsurance control and stochastic differential games pp. 64-71

Michael Taksar and Xudong Zeng

Robust-efficient credibility models with heavy-tailed claims: A mixed linear models perspective pp. 72-84

Harald Dornheim and Vytaras Brazauskas

The influence of individual claims on the chain-ladder estimates: Analysis and diagnostic tool pp. 85-98

T. Verdonck and M. Debruyne

Multivariate density estimation using dimension reducing information and tail flattening transformations pp. 99-110

Tine Buch-Kromann, Montserrat Guillen, Oliver Linton and Jens Perch Nielsen

Risk measures in ordered normed linear spaces with non-empty cone-interior pp. 111-122

Dimitrios G. Konstantinides and Christos E. Kountzakis

On absolute ruin minimization under a diffusion approximation model pp. 123-133

Shangzhen Luo and Michael Taksar

Risk processes with shot noise Cox claim number process and reserve dependent premium rate pp. 134-145

Claudio Macci and Giovanni Luca Torrisi

Portfolio selection and duality under mean variance preferences pp. 146-152

Thomas Eichner

Tails of correlation mixtures of elliptical copulas pp. 153-160

Hans Manner and Johan Segers

Volume 47, issue 3, 2010

Evaluating the goodness of fit of stochastic mortality models pp. 255-265

Kevin Dowd, Andrew J.G. Cairns, David Blake, Guy D. Coughlan, David Epstein and Marwa Khalaf-Allah

Valuation of guaranteed annuity options using a stochastic volatility model for equity prices pp. 266-277

Alexander van Haastrecht, Richard Plat and Antoon Pelsser

An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process pp. 278-293

Lukasz Delong

Decision principles derived from risk measures pp. 294-302

Marc Goovaerts, Rob Kaas and Roger Laeven

Long-tail longitudinal modeling of insurance company expenses pp. 303-314

Peng Shi and Edward W. Frees

On optimal investment in a reinsurance context with a point process market model pp. 315-326

Enrico Edoli and Wolfgang J. Runggaldier

A geostatistical approach for dynamic life tables: The effect of mortality on remaining lifetime and annuities pp. 327-336

A. Debón, F. Martínez-Ruiz and F. Montes

Correlated intensity, counter party risks, and dependent mortalities pp. 337-351

Jin Ma and Youngyun Yun

Bounds for the bias of the empirical CTE pp. 352-357

Ralph P. Russo and Nariankadu D. Shyamalkumar

On the robustness of longevity risk pricing pp. 358-373

Bingzheng Chen, Lihong Zhang and Lin Zhao

A hidden Markov regime-switching model for option valuation pp. 374-384

Chuin Ching Liew and Tak Kuen Siu

A note on the connection between the Esscher-Girsanov transform and the Wang transform pp. 385-390

Coenraad C.A. Labuschagne and Theresa M. Offwood

Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach pp. 391-404

Mitja Stadje

Asymptotics of random contractions pp. 405-414

Enkelejd Hashorva, Anthony G. Pakes and Qihe Tang

Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method pp. 415-422

Guoping Xu and Harry Zheng

Distributional analysis of a generalization of the Polya process pp. 423-427

Gordon E. Willmot

On the DFR property of the compound geometric distribution with applications in risk theory pp. 428-433

Georgios Psarrakos

Volume 47, issue 2, 2010

Forward mortality and other vital rates -- Are they the way forward? pp. 105-112

Ragnar Norberg

Hybrid fuzzy least-squares regression analysis in claims reserving with geometric separation method pp. 113-122

Aysen Apaydin and Furkan Baser

Valuation of equity-indexed annuity under stochastic mortality and interest rate pp. 123-129

Linyi Qian, Wei Wang, Rongming Wang and Yincai Tang

Characterizing a comonotonic random vector by the distribution of the sum of its components pp. 130-136

Ka Chun Cheung

Joint characteristic functions construction via copulas pp. 137-143

Janez Komelj and Mihael Perman

Optimal investment-reinsurance policy for an insurance company with VaR constraint pp. 144-153

Shumin Chen, Zhongfei Li and Kemian Li

Comonotonic convex upper bound and majorization pp. 154-158

Ka Chun Cheung

Upper comonotonicity and convex upper bounds for sums of random variables pp. 159-166

Jing Dong, Ka Chun Cheung and Hailiang Yang

On optimal allocation of risk vectors pp. 167-175

Swen Kiesel and Ludger Rüschendorf

Pricing longevity risk with the parametric bootstrap: A maximum entropy approach pp. 176-186

Johnny Siu-Hang Li

A note on additive risk measures in rank-dependent utility pp. 187-189

Marc Goovaerts, Rob Kaas and Roger Laeven

Biometric worst-case scenarios for multi-state life insurance policies pp. 190-197

Marcus C. Christiansen

Bias correction for estimated distortion risk measure using the bootstrap pp. 198-205

Joseph H.T. Kim

Obtaining the dividends-penalty identities by interpretation pp. 206-207

Hans U. Gerber and Hailiang Yang

Optimal premium policy of an insurance firm: Full and partial information pp. 208-215

Jianhui Huang, Guangchen Wang and Zhen Wu

Pricing maturity guarantee with dynamic withdrawal benefit pp. 216-223

Bangwon Ko, Elias S.W. Shiu and Li Wei

Parameter estimation of a bivariate compound Poisson process pp. 224-233

Habib Esmaeili and Claudia Klüppelberg

Catastrophe risk management with counterparty risk using alternative instruments pp. 234-245

Yang-Che Wu and San-Lin Chung

Optimal non-proportional reinsurance control pp. 246-254

Christian Hipp and Michael Taksar

Volume 47, issue 1, 2010

Optimal risk transfer for agents with germs pp. 1-12

Peng Li, Andrew E.B. Lim and Jevaveerasingam Shanthikumar

Estimating generalized state density of near-extreme events and its applications in analyzing stock data pp. 13-20

Jin-Guan Lin, Chao Huang, Qing-Yun Zhuang and Li-Ping Zhu

Asymptotic analysis of a risk process with high dividend barrier pp. 21-26

Esther Frostig

Optimal joint survival reinsurance: An efficient frontier approach pp. 27-35

Dimitrina S. Dimitrova and Vladimir Kaishev

Chain ladder method: Bayesian bootstrap versus classical bootstrap pp. 36-51

Gareth W. Peters, Mario V. Wüthrich and Pavel V. Shevchenko

Comparison of three semiparametric methods for estimating dependence parameters in copula models pp. 52-63

Ivan Kojadinovic and Jun Yan

Stationary-excess operator and convex stochastic orders pp. 64-75

Claude Lefèvre and Stéphane Loisel

On the Lagrangian Katz family of distributions as a claim frequency model pp. 76-83

Maude Gathy and Claude Lefèvre

A method for determining risk aversion functions from uncertain market prices of risk pp. 84-89

Henryk Gzyl and Silvia Mayoral

Optimal portfolio selection for general provisioning and terminal wealth problems pp. 90-97

Koen Van Weert, Jan Dhaene and Marc Goovaerts

A linear algebraic method for pricing temporary life annuities and insurance policies pp. 98-104

P. Date, R. Mamon, L. Jalen and I.C. Wang