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 43, issue 3, 2008
- Preface pp. 279-279

- Ken Seng Tan and Gordon Willmot
- Dynamic asset liability management with tolerance for limited shortfalls pp. 281-294

- Jerome Detemple and Marcel Rindisbacher
- Pricing currency options under two-factor Markov-modulated stochastic volatility models pp. 295-302

- Tak Kuen Siu, Hailiang Yang and John W. Lau
- The design of equity-indexed annuities pp. 303-315

- Phelim Boyle and Weidong Tian
- Simulation of jump diffusions and the pricing of options pp. 316-326

- Joe DiCesare and Don Mcleish
- Computation of optimal portfolios using simulation-based dimension reduction pp. 327-338

- Phelim Boyle, Junichi Imai and Ken Seng Tan
- Estimation and evaluation of the term structure of credit default swaps: An empirical study pp. 339-349

- Ren-Raw Chen, Xiaolin Cheng and Bo Liu
- A model of R&D valuation and the design of research incentives pp. 350-367

- Jason C. Hsu and Eduardo S. Schwartz
- Claims reserving: A correlated Bayesian model pp. 368-376

- Enrique de Alba and Luis E. Nieto-Barajas
- Government-provided annuities under insolvency risk pp. 377-385

- Rachel Huang, Jeffrey Tsai and Larry Y. Tzeng
- Skewed bivariate models and nonparametric estimation for the CTE risk measure pp. 386-393

- Catalina Bolance, Montserrat Guillen, Elena Pelican and Raluca Vernic
- Applications of a multi-state risk factor/mortality model in life insurance pp. 394-402

- Hyuk-Sung Kwon and Bruce L. Jones
- Characterization of comonotonicity using convex order pp. 403-406

- Ka Chun Cheung
- Dependence and the asymptotic behavior of large claims reinsurance pp. 407-411

- Alexandru V. Asimit and Bruce L. Jones
- Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed pp. 412-421

- Romain Biard, Claude Lefèvre and Stéphane Loisel
- Pricing catastrophe options in discrete operational time pp. 422-430

- Carolyn W. Chang, Jack S.K. Chang and WeiLi Lu
- Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims pp. 431-436

- Jun Jiang and Qihe Tang
- Determination of risk pricing measures from market prices of risk pp. 437-443

- Henryk Gzyl and Silvia Mayoral
- On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula pp. 444-455

- Hélène Cossette, Etienne Marceau and Fouad Marri
- Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model pp. 456-465

- Ping Chen, Hailiang Yang and George Yin
- Joint modelling of the total amount and the number of claims by conditionals pp. 466-473

- José María Sarabia and Montserrat Guillen
- Optimal control of the insurance company with proportional reinsurance policy under solvency constraints pp. 474-479

- Lin He, Ping Hou and Zongxia Liang
Volume 43, issue 2, 2008
- Tail bounds for the distribution of the deficit in the renewal risk model pp. 197-202

- Georgios Psarrakos
- Edgeworth expansion for an estimator of the adjustment coefficient pp. 203-208

- Margarida Brito and Ana Cristina Moreira Freitas
- On the link between credibility and frequency premium pp. 209-213

- Catalina Bolancé, Montserrat Guillen and Jean Pinquet
- Pricing of catastrophe insurance options written on a loss index with reestimation pp. 214-222

- Francesca Biagini, Yuliya Bregman and Thilo Meyer-Brandis
- Asset proportions in optimal portfolios with dependent default risks pp. 223-226

- Zijin Chen and Taizhong Hu
- Optimal dividends with incomplete information in the dual model pp. 227-233

- Hans U. Gerber and Nathaniel Smith
- Modelling stochastic mortality for dependent lives pp. 234-244

- Elisa Luciano, Jaap Spreeuw and Elena Vigna
- Bayesian modelling of financial guarantee insurance pp. 245-254

- Anne Puustelli, Lasse Koskinen and Arto Luoma
- Actuarial comparisons for aggregate claims with randomly right-truncated claims pp. 255-262

- Laureano F. Escudero and Eva-María Ortega
- Weighted risk capital allocations pp. 263-269

- Edward Furman and Ricardas Zitikis
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections pp. 270-278

- Natalie Kulenko and Hanspeter Schmidli
Volume 43, issue 1, 2008
- The impact of illiquidity on the asset management of insurance companies pp. 1-14

- Thomas R. Berry-Stölzle
- Optimal investment and life insurance strategies under minimum and maximum constraints pp. 15-28

- Peter Holm Nielsen and Mogens Steffensen
- Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment pp. 29-40

- Katharina Zaglauer and Daniel Bauer
- Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios pp. 41-55

- Jérôme Barbarin
- Optimal consumption and portfolio choice for pooled annuity funds pp. 56-68

- Michael Z. Stamos
- GARCH option pricing: A semiparametric approach pp. 69-84

- Alexandru M. Badescu and Reg J. Kulperger
- Tails of random sums of a heavy-tailed number of light-tailed terms pp. 85-92

- Christian Y. Robert and Johan Segers
- Worst allocations of policy limits and deductibles pp. 93-98

- Lei Hua and Ka Chun Cheung
- On option pricing under a completely random measure via a generalized Esscher transform pp. 99-107

- John W. Lau and Tak Kuen Siu
- Threshold control of mutual insurance with limited commitment pp. 108-115

- Jia Yan, John J. Liu and Kevin X. Li
- A uniform asymptotic estimate for discounted aggregate claims with subexponential tails pp. 116-120

- Xuemiao Hao and Qihe Tang
- Fitting mixed-effects models when data are left truncated pp. 121-133

- Jostein Paulsen, Astrid Lunde and Hans Julius Skaug
- Optimal dividend strategies for a risk process under force of interest pp. 134-149

- Hansjörg Albrecher and Stefan Thonhauser
- Enhanced annuities and the impact of individual underwriting on an insurer's profit situation pp. 150-157

- Gudrun Hoermann and Jochen Ruß
- Tail asymptotic results for elliptical distributions pp. 158-164

- Enkelejd Hashorva
- The effect of modelling parameters on the value of GMWB guarantees pp. 165-173

- Z. Chen, K. Vetzal and P.A. Forsyth
- Quadratic stochastic intensity and prospective mortality tables pp. 174-184

- Christian Gourieroux and Alain Monfort
- Optimal reinsurance under VaR and CTE risk measures pp. 185-196

- Jun Cai, Ken Seng Tan, Chengguo Weng and Yi Zhang