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 45, issue 3, 2009

Estimating value at risk of portfolio by conditional copula-GARCH method pp. 315-324

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

Correlation order, merging and diversification pp. 325-332

Jan Dhaene, Michel Denuit and Steven Vanduffel

Comparative higher-degree Ross risk aversion pp. 333-336

Jingyuan Li

Esscher transforms and consumption-based models pp. 337-347

Alex Badescu, Robert J. Elliott and Tak Kuen Siu

TVaR-based capital allocation with copulas pp. 348-361

Mathieu Bargès, Hélène Cossette and Étienne Marceau

On ruin probability and aggregate claim representations for Pareto claim size distributions pp. 362-373

Hansjörg Albrecher and Dominik Kortschak

Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes pp. 374-381

Stéphane Loisel, Christian Mazza and Didier Rulliere

A perturbed risk model with dependence between premium rates and claim sizes pp. 382-392

Ming Zhou and Jun Cai

On stochastic mortality modeling pp. 393-404

Richard Plat

Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints pp. 405-409

Haili Yuan and Yijun Hu

Dynamic mortality factor model with conditional heteroskedasticity pp. 410-423

Quansheng Gao and Chengjun Hu

Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view pp. 424-435

Vytaras Brazauskas and Andreas Kleefeld

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility pp. 436-448

Alexander van Haastrecht, Roger Lord, Antoon Pelsser and David Schrager

Quantile hedging for guaranteed minimum death benefits pp. 449-458

Yumin Wang

Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders pp. 459-465

Yongsheng Song and Jia-An Yan

Comparing tail variabilities of risks by means of the excess wealth order pp. 466-469

Miguel A. Sordo

Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims pp. 470-484

Stathis Chadjiconstantinidis and Apostolos D. Papaioannou

Volume 45, issue 2, 2009

Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation pp. 157-162

Yusong Cao and Nianqing Wan

Insurance claims modulated by a hidden Brownian marked point process pp. 163-172

Robert J. Elliott, Zhiping Chen and Qihong Duan

Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application pp. 173-179

Guglielmo D'Amico, Montserrat Guillen and Raimondo Manca

Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework pp. 180-187

Massimiliano Corradini and Andrea Gheno

Approximate basket options valuation for a jump-diffusion model pp. 188-194

Guoping Xu and Harry Zheng

On barrier strategy dividends with Parisian implementation delay for classical surplus processes pp. 195-202

Angelos Dassios and Shanle Wu

The one-year non-life insurance risk pp. 203-208

Esbjörn Ohlsson and Jan Lauzeningks

Estimating copula densities, using model selection techniques pp. 209-223

Wilbert C.M. Kallenberg

On cross-risk vulnerability pp. 224-229

Yannick Malevergne and Beatrice Rey

Urban public pension, replacement rates and population growth rate in China pp. 230-235

Zaigui Yang

Neural networks approach for determining total claim amounts in insurance pp. 236-241

Turkan Erbay Dalkilic, Fatih Tank and Kamile Sanli Kula

The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure pp. 242-246

Jean-François Renaud

The net Bayes premium with dependence between the risk profiles pp. 247-254

A. Hernández-Bastida, Pilar Fernandez-Sanchez and E. Gómez-Déniz

On age-period-cohort parametric mortality rate projections pp. 255-270

Steven Haberman and Arthur Renshaw

Loss reserving using loss aversion functions pp. 271-277

Weihao Choo and Piet de Jong

Explaining functional principal component analysis to actuarial science with an example on vehicle insurance pp. 278-285

M.M. Segovia-Gonzalez, F.M. Guerrero and P. Herranz

Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model pp. 286-295

Massimo Costabile, Marcellino Gaudenzi, Ivar Massabò and Antonino Zanette

Using quantile regression for rate-making pp. 296-304

Andrey A. Kudryavtsev

On the total operating costs up to default in a renewal risk model pp. 305-314

Runhuan Feng

Volume 45, issue 1, 2009

Semiparametric model for prediction of individual claim loss reserving pp. 1-8

Xiao Bing Zhao, Xian Zhou and Jing Long Wang

Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model pp. 9-18

Jianwei Gao

A Markov-modulated model for stocks paying discrete dividends pp. 19-24

E. Sakkas and H. Le

Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints pp. 25-34

Raimond Maurer, Olivia Mitchell and Ralph Rogalla

Upper comonotonicity pp. 35-40

Ka Chun Cheung

An optimal dividends problem with transaction costs for spectrally negative Lévy processes pp. 41-48

R.L. Loeffen

Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts pp. 49-58

Abdelhakim Necir and Djamel Meraghni

A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts pp. 59-64

Roy Cerqueti, Rachele Foschi and Fabio Spizzichino

The valuation of contingent capital with catastrophe risks pp. 65-73

Shih-Kuei Lin, Chia-Chien Chang and Michael Powers

Sample path large and moderate deviations for risk model with delayed claims pp. 74-80

Fuqing Gao and Jun Yan

Optimal investment and reinsurance of an insurer with model uncertainty pp. 81-88

Xin Zhang and Tak Kuen Siu

Applications of conditional comonotonicity to some optimization problems pp. 89-93

Ka Chun Cheung

What is the impact of stock market contagion on an investor's portfolio choice? pp. 94-112

Nicole Branger, Holger Kraft and Christoph Meinerding

Minimum standards for investment performance: A new perspective on non-life insurer solvency pp. 113-122

Martin Eling, Nadine Gatzert and Hato Schmeiser

Stochastic portfolio specific mortality and the quantification of mortality basis risk pp. 123-132

Richard Plat

Ruin probability in the presence of interest earnings and tax payments pp. 133-138

Li Wei

A class of multivariate copulas with bivariate Frechet marginal copulas pp. 139-147

Jingping Yang, Yongcheng Qi and Ruodu Wang

Continuous-time mean-variance portfolio selection with liability and regime switching pp. 148-155

Shuxiang Xie