Insurance: Mathematics and Economics

1982 - 2025

Current editor(s): R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 44, issue 3, 2009

[Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC pp. 325-336

Jules Sadefo Kamdem

A jump-diffusion model for option pricing under fuzzy environments pp. 337-344

Weidong Xu, Chongfeng Wu, Weijun Xu and Hongyi Li

Univariate and bivariate GPD methods for predicting extreme wind storm losses pp. 345-356

Erik Brodin and Holger Rootzén

A capital allocation based on a solvency exchange option pp. 357-366

Joseph H.T. Kim and Mary R. Hardy

A claims persistence process and insurance pp. 367-373

Pierre Vallois and Charles S. Tapiero

Optimal reinsurance with general risk measures pp. 374-384

Alejandro Balbás, Beatriz Balbás and Antonio Heras

Bounds and approximations for sums of dependent log-elliptical random variables pp. 385-397

Emiliano Valdez, Jan Dhaene, Mateusz Maj and Steven Vanduffel

Decomposition of a Schur-constant model and its applications pp. 398-408

Yichun Chi, Jingping Yang and Yongcheng Qi

Optimal allocation of policy limits and deductibles under distortion risk measures pp. 409-414

Weiwei Zhuang, Zijin Chen and Taizhong Hu

Global loss diversification in the insurance sector pp. 415-425

Oleg Sheremet and Andre Lucas

Optimal risk sharing with different reference probabilities pp. 426-433

Beatrice Acciaio and Gregor Svindland

Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance pp. 434-446

Thomas Gerstner, Michael Griebel and Markus Holtz

Minimizing the lifetime shortfall or shortfall at death pp. 447-458

Erhan Bayraktar and Virginia R. Young

Long time behaviour of stochastic interest rate models pp. 459-463

Juan Zhao

Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times pp. 464-472

Rohana S. Ambagaspitiya

Optimal proportional reinsurance and investment with transaction costs, I: Maximizing the terminal wealth pp. 473-478

Xin-Li Zhang, Ke-Cun Zhang and Xing-Jiang Yu

Optimal portfolios for DC pension plans under a CEV model pp. 479-490

Jianwei Gao

Survival probability for a two-dimensional risk model pp. 491-496

Lanfen Dang, Ning Zhu and Haiming Zhang

Computing the mean and the variance of the cedent's share for largest claims reinsurance covers pp. 497-504

Christian Hess

Adverse selection or advantageous selection? Risk and underwriting in China's health-insurance market pp. 505-510

Feng Gao, Michael Powers and Jun Wang

Volume 44, issue 2, 2009

Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance pp. 143-145

Christian Genest, Hans U. Gerber, Marc Goovaerts and Roger Laeven

Worst VaR scenarios with given marginals and measures of association pp. 146-158

Rob Kaas, Roger Laeven and Roger B. Nelsen

Worst VaR scenarios: A remark pp. 159-163

Roger Laeven

Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness pp. 164-169

Paul Embrechts, Johanna Neslehová and Mario V. Wüthrich

Estimating copula densities through wavelets pp. 170-181

Christian Genest, Esterina Masiello and Karine Tribouley

Pair-copula constructions of multiple dependence pp. 182-198

Kjersti Aas, Claudia Czado, Arnoldo Frigessi and Henrik Bakken

Goodness-of-fit tests for copulas: A review and a power study pp. 199-213

Christian Genest, Bruno Remillard and David Beaudoin

Multivariate probit models for conditional claim-types pp. 214-228

Gary Young, Emiliano Valdez and Robert Kohn

Modelling dynamic portfolio risk using risk drivers of elliptical processes pp. 229-244

Rafael Schmidt and Christian Schmieder

On the discrete-time compound renewal risk model with dependence pp. 245-259

Etienne Marceau

Editorial pp. 261-263

Rob Kaas, Jeroen Loos, Hans Gerber, Marc Goovaerts and Elias Shiu

Editorial pp. 267-267

Marc Goovaerts, Rob Kaas and Elias Shiu

To split or not to split: Capital allocation with convex risk measures pp. 268-277

Andreas Tsanakas

Further improved recursions for a class of compound Poisson distributions pp. 278-286

Stathis Chadjiconstantinidis and Georgios Pitselis

Pricing perpetual American catastrophe put options: A penalty function approach pp. 287-295

X. Sheldon Lin and Tao Wang

The Markovian regime-switching risk model with a threshold dividend strategy pp. 296-303

Yi Lu and Shuanming Li

The tax identity in risk theory -- a simple proof and an extension pp. 304-306

Hansjörg Albrecher, Sem Borst, Onno Boxma and Jacques Resing

Fuzzy random variables pp. 307-314

Arnold F. Shapiro

On a dual model with a dividend threshold pp. 315-324

Andrew C.Y. Ng

Volume 44, issue 1, 2009

Optimal surrender strategies for equity-indexed annuity investors pp. 1-18

Kristen S. Moore

The credibility premiums for models with dependence induced by common effects pp. 19-25

Limin Wen, Xianyi Wu and Xian Zhou

Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints pp. 26-34

Pablo Azcue and Nora Muler

Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios pp. 35-47

Peter Laurence and Tai-Ho Wang

Securitization of motor insurance loss rate risks pp. 48-58

Taehan Bae, Changki Kim and Reginald J. Kulperger

Analytical valuation of catastrophe equity options with negative exponential jumps pp. 59-69

Lung-fu Chang and Mao-wei Hung

A new aspect of a risk process and its statistical inference pp. 70-77

Yasutaka Shimizu

Valuation and hedging of participating life-insurance policies under management discretion pp. 78-87

Torsten Kleinow

Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs pp. 88-94

Lin He and Zongxia Liang

Closed-form valuations of basket options using a multivariate normal inverse Gaussian model pp. 95-102

Yang-Che Wu, Szu-Lang Liao and So-De Shyu

A parameterized approach to modeling and forecasting mortality pp. 103-123

P. Hatzopoulos and S. Haberman

Analytical approximations for prices of swap rate dependent embedded options in insurance products pp. 124-134

Richard Plat and Antoon Pelsser

A priori ratemaking using bivariate Poisson regression models pp. 135-141

Lluís Bermúdez i Morata