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 46, issue 3, 2010

The conversion option in life insurance pp. 437-442

Karen C. Su

The compound binomial model with randomly paying dividends to shareholders and policyholders pp. 443-449

Lei He and Xiangqun Yang

The optimal reinsurance strategy -- the individual claim case pp. 450-460

Maria de Lourdes Centeno and M. Guerra

Markov-modulated jump-diffusions for currency option pricing pp. 461-469

Lijun Bo, Yongjin Wang and Xuewei Yang

Optimal design of profit sharing rates by FFT pp. 470-478

Donatien Hainaut

Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market pp. 479-484

Ryle S. Perera

On the optimal design of insurance contracts with guarantees pp. 485-492

Nicole Branger, Antje Mahayni and Judith C. Schneider

A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments pp. 493-499

Wei-Guo Zhang, Xi-Li Zhang and Wei-Jun Xu

The development of a simple and intuitive rating system under Solvency II pp. 500-510

Elisabeth Van Laere and Bart Baesens

An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts pp. 511-530

Jianwei Gao

Dependence structure of risk factors and diversification effects pp. 531-540

Chen Zhou

Risk concentration and diversification: Second-order properties pp. 541-546

Matthias Degen, Dominik D. Lambrigger and Johan Segers

On the Tail Mean-Variance optimal portfolio selection pp. 547-553

Zinoviy Landsman

Detecting fuzzy relationships in regression models: The case of insurer solvency surveillance in Germany pp. 554-567

Thomas R. Berry-Stölzle, Marie-Claire Koissi and Arnold F. Shapiro

Paid-incurred chain claims reserving method pp. 568-579

Michael Merz and Mario V. Wüthrich

Constant elasticity of variance model for proportional reinsurance and investment strategies pp. 580-587

Mengdi Gu, Yipeng Yang, Shoude Li and Jingyi Zhang

A general multivariate chain ladder model pp. 588-599

Yanwei Zhang

Volume 46, issue 2, 2010

Optimal asset allocation for a general portfolio of life insurance policies pp. 271-280

Hong-Chih Huang and Yung-Tsung Lee

Conditional law of risk processes given that ruin occurs pp. 281-289

Hanspeter Schmidli

Applying copula models to individual claim loss reserving methods pp. 290-299

XiaoBing Zhao and Xian Zhou

Optimal insurance in the presence of insurer's loss limit pp. 300-307

Chunyang Zhou, Wenfeng Wu and Chongfeng Wu

On a multivariate Pareto distribution pp. 308-316

Alexandru V. Asimit, Edward Furman and Raluca Vernic

A benchmarking approach to optimal asset allocation for insurers and pension funds pp. 317-327

Andrew E.B. Lim and Bernard Wong

Stochastic comparisons for time transformed exponential models pp. 328-333

Julio Mulero, Franco Pellerey and Rosario Rodríguez-Griñolo

A new approach to the credibility formula pp. 334-338

Amir Payandeh

Constrained smoothing B-splines for the term structure of interest rates pp. 339-350

Márcio Laurini and Marcelo Moura

Multivariate Tweedie distributions and some related capital-at-risk analyses pp. 351-361

Edward Furman and Zinoviy Landsman

Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model pp. 362-370

Qihe Tang, Guojing Wang and Kam C. Yuen

Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform pp. 371-384

Hua Chen, Samuel H. Cox and Shaun S. Wang

Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance pp. 385-396

Yichun Chi

Optimal reinsurance with a rescuing procedure pp. 397-405

Xudong Zeng

Archimedean copula estimation and model selection via l1-norm symmetric distribution pp. 406-414

Xiaomei Qu, Jie Zhou and Xiaojing Shen

Expected present value of total dividends in a delayed claims risk model under stochastic interest rates pp. 415-422

Jie-hua Xie and Wei Zou

An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation pp. 423-435

Tzuling Lin and Larry Y. Tzeng

Erratum to "Estimating value at risk of portfolio by conditional copula-GARCH method" [Insurance: Mathematics and Economics 43 (2009) 315-324] pp. 436-436

Jen-Tsung Huang, Kuo-Jung Lee, Hueimei Liang and Wei-Fu Lin

Volume 46, issue 1, 2010

Editorial for the special issue on Gerber-Shiu functions pp. 1-2

Hansjörg Albrecher, Corina Constantinescu and Jose Garrido

On the Gerber-Shiu function and change of measure pp. 3-11

Hanspeter Schmidli

Finite time ruin problems for the Erlang(2) risk model pp. 12-18

David C.M. Dickson and Shuanming Li

Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence pp. 19-31

Qihe Tang and Li Wei

Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts pp. 32-41

Gordon E. Willmot and Jae-Kyung Woo

An algebraic operator approach to the analysis of Gerber-Shiu functions pp. 42-51

Hansjörg Albrecher, Corina Constantinescu, Gottlieb Pirsic, Georg Regensburger and Markus Rosenkranz

An insurance risk model with stochastic volatility pp. 52-66

Yichun Chi, Sebastian Jaimungal and X. Sheldon Lin

On the time value of absolute ruin with tax pp. 67-84

Rui-Xing Ming, Wen-Yuan Wang and Li-Qun Xiao

A note on scale functions and the time value of ruin for Lévy insurance risk processes pp. 85-91

Enrico Biffis and Andreas E. Kyprianou

On a generalization of the Gerber-Shiu function to path-dependent penalties pp. 92-97

Enrico Biffis and Manuel Morales

De Finetti's optimal dividends problem with an affine penalty function at ruin pp. 98-108

Ronnie L. Loeffen and Jean-François Renaud

An elementary approach to discrete models of dividend strategies pp. 109-116

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

Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models pp. 117-126

Eric C.K. Cheung, David Landriault, Gordon E. Willmot and Jae-Kyung Woo

A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model pp. 127-134

Eric C.K. Cheung and David Landriault

Longevity risk and capital markets: The 2008-2009 update pp. 135-138

David Blake, Anja De Waegenaere, Richard MacMinn and Theo Nijman

On the pricing of longevity-linked securities pp. 139-149

Daniel Bauer, Matthias Börger and Jochen Ruß

Longevity bond premiums: The extreme value approach and risk cubic pricing pp. 150-161

Hua Chen and John Cummins

A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions pp. 162-172

Atsuyuki Kogure and Yoshiyuki Kurachi

Securitization, structuring and pricing of longevity risk pp. 173-185

Samuel Wills and Michael Sherris

Securitizing and tranching longevity exposures pp. 186-197

Enrico Biffis and David Blake

Optimizing the equity-bond-annuity portfolio in retirement: The impact of uncertain health expenses pp. 198-209

Gaobo Pang and Mark Warshawsky

Evaluating the Advanced Life Deferred Annuity -- An annuity people might actually buy pp. 210-221

Guan Gong and Anthony Webb

Longevity risk in pension annuities with exchange options: The effect of product design pp. 222-234

Ralph Stevens, Anja De Waegenaere and Bertrand Melenberg

On the optimal product mix in life insurance companies using conditional value at risk pp. 235-241

Jeffrey Tsai, Jennifer L. Wang and Larry Y. Tzeng

Mortality risk modeling: Applications to insurance securitization pp. 242-253

Samuel H. Cox, Yijia Lin and Hal Pedersen

Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models pp. 254-270

Sharon S. Yang, Jack C. Yue and Hong-Chih Huang