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Insurance: Mathematics and Economics

1982 - 2025

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

From Elsevier
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Volume 43, issue 3, 2008

Preface pp. 279-279 Downloads
Ken Seng Tan and Gordon Willmot
Dynamic asset liability management with tolerance for limited shortfalls pp. 281-294 Downloads
Jerome Detemple and Marcel Rindisbacher
Pricing currency options under two-factor Markov-modulated stochastic volatility models pp. 295-302 Downloads
Tak Kuen Siu, Hailiang Yang and John W. Lau
The design of equity-indexed annuities pp. 303-315 Downloads
Phelim Boyle and Weidong Tian
Simulation of jump diffusions and the pricing of options pp. 316-326 Downloads
Joe DiCesare and Don Mcleish
Computation of optimal portfolios using simulation-based dimension reduction pp. 327-338 Downloads
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 Downloads
Ren-Raw Chen, Xiaolin Cheng and Bo Liu
A model of R&D valuation and the design of research incentives pp. 350-367 Downloads
Jason C. Hsu and Eduardo S. Schwartz
Claims reserving: A correlated Bayesian model pp. 368-376 Downloads
Enrique de Alba and Luis E. Nieto-Barajas
Government-provided annuities under insolvency risk pp. 377-385 Downloads
Rachel Huang, Jeffrey Tsai and Larry Y. Tzeng
Skewed bivariate models and nonparametric estimation for the CTE risk measure pp. 386-393 Downloads
Catalina Bolance, Montserrat Guillen, Elena Pelican and Raluca Vernic
Applications of a multi-state risk factor/mortality model in life insurance pp. 394-402 Downloads
Hyuk-Sung Kwon and Bruce L. Jones
Characterization of comonotonicity using convex order pp. 403-406 Downloads
Ka Chun Cheung
Dependence and the asymptotic behavior of large claims reinsurance pp. 407-411 Downloads
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 Downloads
Romain Biard, Claude Lefèvre and Stéphane Loisel
Pricing catastrophe options in discrete operational time pp. 422-430 Downloads
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 Downloads
Jun Jiang and Qihe Tang
Determination of risk pricing measures from market prices of risk pp. 437-443 Downloads
Henryk Gzyl and Silvia Mayoral
On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula pp. 444-455 Downloads
Hélène Cossette, Etienne Marceau and Fouad Marri
Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model pp. 456-465 Downloads
Ping Chen, Hailiang Yang and George Yin
Joint modelling of the total amount and the number of claims by conditionals pp. 466-473 Downloads
José María Sarabia and Montserrat Guillen
Optimal control of the insurance company with proportional reinsurance policy under solvency constraints pp. 474-479 Downloads
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 Downloads
Georgios Psarrakos
Edgeworth expansion for an estimator of the adjustment coefficient pp. 203-208 Downloads
Margarida Brito and Ana Cristina Moreira Freitas
On the link between credibility and frequency premium pp. 209-213 Downloads
Catalina Bolancé, Montserrat Guillen and Jean Pinquet
Pricing of catastrophe insurance options written on a loss index with reestimation pp. 214-222 Downloads
Francesca Biagini, Yuliya Bregman and Thilo Meyer-Brandis
Asset proportions in optimal portfolios with dependent default risks pp. 223-226 Downloads
Zijin Chen and Taizhong Hu
Optimal dividends with incomplete information in the dual model pp. 227-233 Downloads
Hans U. Gerber and Nathaniel Smith
Modelling stochastic mortality for dependent lives pp. 234-244 Downloads
Elisa Luciano, Jaap Spreeuw and Elena Vigna
Bayesian modelling of financial guarantee insurance pp. 245-254 Downloads
Anne Puustelli, Lasse Koskinen and Arto Luoma
Actuarial comparisons for aggregate claims with randomly right-truncated claims pp. 255-262 Downloads
Laureano F. Escudero and Eva-María Ortega
Weighted risk capital allocations pp. 263-269 Downloads
Edward Furman and Ricardas Zitikis
Optimal dividend strategies in a Cramér-Lundberg model with capital injections pp. 270-278 Downloads
Natalie Kulenko and Hanspeter Schmidli

Volume 43, issue 1, 2008

The impact of illiquidity on the asset management of insurance companies pp. 1-14 Downloads
Thomas R. Berry-Stölzle
Optimal investment and life insurance strategies under minimum and maximum constraints pp. 15-28 Downloads
Peter Holm Nielsen and Mogens Steffensen
Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment pp. 29-40 Downloads
Katharina Zaglauer and Daniel Bauer
Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios pp. 41-55 Downloads
Jérôme Barbarin
Optimal consumption and portfolio choice for pooled annuity funds pp. 56-68 Downloads
Michael Z. Stamos
GARCH option pricing: A semiparametric approach pp. 69-84 Downloads
Alexandru M. Badescu and Reg J. Kulperger
Tails of random sums of a heavy-tailed number of light-tailed terms pp. 85-92 Downloads
Christian Y. Robert and Johan Segers
Worst allocations of policy limits and deductibles pp. 93-98 Downloads
Lei Hua and Ka Chun Cheung
On option pricing under a completely random measure via a generalized Esscher transform pp. 99-107 Downloads
John W. Lau and Tak Kuen Siu
Threshold control of mutual insurance with limited commitment pp. 108-115 Downloads
Jia Yan, John J. Liu and Kevin X. Li
A uniform asymptotic estimate for discounted aggregate claims with subexponential tails pp. 116-120 Downloads
Xuemiao Hao and Qihe Tang
Fitting mixed-effects models when data are left truncated pp. 121-133 Downloads
Jostein Paulsen, Astrid Lunde and Hans Julius Skaug
Optimal dividend strategies for a risk process under force of interest pp. 134-149 Downloads
Hansjörg Albrecher and Stefan Thonhauser
Enhanced annuities and the impact of individual underwriting on an insurer's profit situation pp. 150-157 Downloads
Gudrun Hoermann and Jochen Ruß
Tail asymptotic results for elliptical distributions pp. 158-164 Downloads
Enkelejd Hashorva
The effect of modelling parameters on the value of GMWB guarantees pp. 165-173 Downloads
Z. Chen, K. Vetzal and P.A. Forsyth
Quadratic stochastic intensity and prospective mortality tables pp. 174-184 Downloads
Christian Gourieroux and Alain Monfort
Optimal reinsurance under VaR and CTE risk measures pp. 185-196 Downloads
Jun Cai, Ken Seng Tan, Chengguo Weng and Yi Zhang
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