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 42, issue 3, 2008

Stochastic orders of scalar products with applications pp. 865-872

Lei Hua and Ka Chun Cheung

A binomial model for valuing equity-linked policies embedding surrender options pp. 873-886

Massimo Costabile, Ivar Massabó and Emilio Russo

An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk pp. 887-896

Masaaki Kijima and Yukio Muromachi

A note on the Swiss Solvency Test risk measure pp. 897-902

Damir Filipovic and Nicolas Vogelpoth

Using distortions of copulas to price synthetic CDOs pp. 903-908

Glenis Crane and John van der Hoek

Valuation of life insurance surrender and exchange options pp. 909-919

Helge Nordahl

Valuation of the interest rate guarantee embedded in defined contribution pension plans pp. 920-934

Sharon S. Yang, Meng-Lan Yueh and Chun-Hua Tang

On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities pp. 935-942

Ibrahim Coulibaly and Claude Lefèvre

Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach pp. 943-953

Shuxiang Xie, Zhongfei Li and Shouyang Wang

Optimal dividend and issuance of equity policies in the presence of proportional costs pp. 954-961

Arne Løkka and Mihail Zervos

The periodic risk model with investment pp. 962-967

Mirko Kötter and Nicole Bäuerle

Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint pp. 968-975

Lihua Bai and Junyi Guo

Optimal financing and dividend control of the insurance company with proportional reinsurance policy pp. 976-983

Lin He and Zongxia Liang

Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy pp. 984-991

Hu Yang and Zhimin Zhang

Optimal insurance under the insurer's risk constraint pp. 992-999

Chunyang Zhou and Chongfeng Wu

Pension funds as institutions for intertemporal risk transfer pp. 1000-1012

Roger T. Baumann and Heinz H. Müller

Assessing the cost of capital for longevity risk pp. 1013-1021

Annamaria Olivieri and Ermanno Pitacco

Tolerance intervals for quantiles of bivariate risks and risk measurement pp. 1022-1027

Omer L. Gebizlioglu and Banu Yagci

Characterizations of classes of risk measures by dispersive orders pp. 1028-1034

Miguel A. Sordo

Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies pp. 1035-1049

An Chen

Regret aversion and annuity risk in defined contribution pension plans pp. 1050-1061

Rik Frehen, Roy Hoevenaars, Franz Palm and Peter C. Schotman

Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts pp. 1062-1066

David Blake, Kevin Dowd and Andrew J.G. Cairns

Static super-replicating strategies for a class of exotic options pp. 1067-1085

X. Chen, G. Deelstra, Jan Dhaene and M. Vanmaele

On the dual risk model with tax payments pp. 1086-1094

Hansjörg Albrecher, Andrei Badescu and David Landriault

Pricing bivariate option under GARCH processes with time-varying copula pp. 1095-1103

J. Zhang and D. Guégan

On the ruin time distribution for a Sparre Andersen process with exponential claim sizes pp. 1104-1108

Konstantin A. Borovkov and David C.M. Dickson

Analytic bounds and approximations for annuities and Asian options pp. 1109-1117

Steven Vanduffel, Zhaoning Shang, Luc Henrard, Jan Dhaene and Emiliano Valdez

Comparison results for exchangeable credit risk portfolios pp. 1118-1127

Areski Cousin and Jean-Paul Laurent

A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market pp. 1128-1137

Nele Vandaele and Michèle Vanmaele

The private value of public pensions pp. 1138-1145

Konstantin Petrichev and Susan Thorp

A game theoretic approach to option valuation under Markovian regime-switching models pp. 1146-1158

Tak Kuen Siu

Stochastic optimal control of DC pension funds pp. 1159-1164

Jianwei Gao

Volume 42, issue 2, 2008

An application of Kendall distributions and alternative dependence measures: SPX vs. VIX pp. 469-472

Robert L. Fountain, John R. Herman and D. Leif Rustvold

On the construction of copulas and quasi-copulas with given diagonal sections pp. 473-483

Roger B. Nelsen, José Juan Quesada-Molina, Rodri­guez-Lallena, José Antonio and Manuel Úbeda-Flores

Error bounds in approximations of random sums using gamma-type operators pp. 484-491

C. Sangüesa

Estimating the term structure of mortality pp. 492-504

Norbert Hári, Anja De Waegenaere, Bertrand Melenberg and Theo Nijman

Longevity risk in portfolios of pension annuities pp. 505-519

Norbert Hári, Anja De Waegenaere, Bertrand Melenberg and Theo Nijman

Risk measurement in the presence of background risk pp. 520-528

Andreas Tsanakas

Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria pp. 529-539

Manuel Guerra and Maria de Lourdes Centeno

Actuarial risk measures for financial derivative pricing pp. 540-547

Marc Goovaerts and Roger Laeven

Estimating VAR models for the term structure of interest rates pp. 548-559

Luciano Vereda, Hélio Lopes and Regina Fukuda

Integrated insurance risk models with exponential Lévy investment pp. 560-577

Claudia Klüppelberg and Radostina Kostadinova

Valuation of intergenerational transfers in funded collective pension schemes pp. 578-593

Roy Hoevenaars and Eduard Ponds

Portfolio diversification under local and moderate deviations from power laws pp. 594-599

Rustam Ibragimov and Johan Walden

On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution pp. 600-608

David Landriault and Gordon Willmot

Cooperative hedging with a higher interest rate for borrowing pp. 609-616

Qing Zhou, Weixing Wu and Zengwu Wang

The compound Poisson risk model with multiple thresholds pp. 617-627

X. Sheldon Lin and Kristina P. Sendova

Securitization of catastrophe mortality risks pp. 628-637

Yijia Lin and Samuel H. Cox

Fitting and validation of a bivariate model for large claims pp. 638-650

Holger Drees and Peter Müller

Improved convex upper bound via conditional comonotonicity pp. 651-655

Ka Chun Cheung

Risk theory insight into a zone-adaptive control strategy pp. 656-667

Vsevolod K. Malinovskii

Approximations for the moments of ruin time in the compound Poisson model pp. 668-679

Susan M. Pitts and Konstadinos Politis

A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension pp. 680-690

Marcus C. Christiansen

Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio pp. 691-703

Virginia R. Young

A general asset-liability management model for the efficient simulation of portfolios of life insurance policies pp. 704-716

Thomas Gerstner, Michael Griebel, Markus Holtz, Ralf Goschnick and Marcus Haep

A risk model with paying dividends and random environment pp. 717-726

Bara Kim, Hwa-Sung Kim and Jeongsim Kim

Credibility premiums for the zero-inflated Poisson model and new hunger for bonus interpretation pp. 727-735

Jean-Philippe Boucher and Michel Denuit

On the parameterization of the CreditRisk + model for estimating credit portfolio risk pp. 736-745

Antoine Vandendorpe, Ngoc-Diep Ho, Steven Vanduffel and Paul Van Dooren

Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin pp. 746-762

Stéphane Loisel, Christian Mazza and Didier Rulliere

Tail dependence for multivariate t -copulas and its monotonicity pp. 763-770

Yin Chan and Haijun Li

Indifference prices of structured catastrophe (CAT) bonds pp. 771-778

Masahiko Egami and Virginia R. Young

A Bayesian dichotomous model with asymmetric link for fraud in insurance pp. 779-786

Ll. Bermúdez, J.M. Pérez, Mercedes Ayuso, E. Gómez and F.J. Vázquez

A sensitivity analysis of typical life insurance contracts with respect to the technical basis pp. 787-796

Marcus C. Christiansen

On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling pp. 797-816

A.E. Renshaw and S. Haberman

Heavy-tailed longitudinal data modeling using copulas pp. 817-830

Jiafeng Sun, Edward W. Frees and Marjorie A. Rosenberg

Comonotonic approximations to quantiles of life annuity conditional expected present value pp. 831-838

Michel Denuit

Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement pp. 839-849

Nadine Gatzert

A generalization of the credibility theory obtained by using the weighted balanced loss function pp. 850-854

E. Gómez-Déniz

Some results on the CTE-based capital allocation rule pp. 855-863

Jan Dhaene, L. Henrard, Z. Landsman, A. Vandendorpe and Steven Vanduffel

Volume 42, issue 1, 2008

Pension fund investments and the valuation of liabilities under conditional indexation pp. 1-13

Frank de Jong

Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates pp. 14-30

Michael Ludkovski and Virginia R. Young

Constant dividend barrier in a risk model with interclaim-dependent claim sizes pp. 31-38

David Landriault

Univariate and multivariate versions of the negative binomial-inverse Gaussian distributions with applications pp. 39-49

Emilio Gómez-Déniz, José María Sarabia and Calderi­n-Ojeda, Enrique

The influence of corporate taxes on pricing and capital structure in property-liability insurance pp. 50-58

Nadine Gatzert and Hato Schmeiser

The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest pp. 59-64

Guojing Wang and Rong Wu

Recursions for multivariate compound phase variables pp. 65-72

Karl-Theodor Eisele

Modelling total tail dependence along diagonals pp. 73-80

Ming-Heng Zhang

Adaptive control strategies and dependence of finite time ruin on the premium loading pp. 81-94

Vsevolod K. Malinovskii

Convex bounds on multiplicative processes, with applications to pricing in incomplete markets pp. 95-100

Cindy Courtois and Michel Denuit

On the distribution tail of an integrated risk model: A numerical approach pp. 101-106

M. Brokate, C. Klüppelberg, R. Kostadinova, R. Maller and R.C. Seydel

Mean-variance optimization problems for an accumulation phase in a defined benefit plan pp. 107-118

Lukasz Delong, Russell Gerrard and Steven Haberman

On the consistency of credibility premiums regarding Esscher principle pp. 119-126

Maolin Pan, Rongming Wang and Xianyi Wu

Modelling dependence pp. 127-146

Wilbert C.M. Kallenberg

Random sums of exchangeable variables and actuarial applications pp. 147-153

Nikolai Kolev and Delhi Paiva

Finite-time dividend-ruin models pp. 154-162

Kwai Sun Leung, Yue Kuen Kwok and Seng Yuen Leung

Tail bounds for the joint distribution of the surplus prior to and at ruin pp. 163-176

Georgios Psarrakos and Konstadinos Politis

Allocation of risks and equilibrium in markets with finitely many traders pp. 177-188

Christian Burgert and Ludger Rüschendorf

Prices and sensitivities of Asian options: A survey pp. 189-211

Phelim Boyle and Alexander Potapchik

Valuation of life insurance products under stochastic interest rates pp. 212-226

Patrice Gaillardetz

A two-dimensional ruin problem on the positive quadrant pp. 227-234

Florin Avram, Zbigniew Palmowski and Martijn Pistorius

Coherent risk measures, coherent capital allocations and the gradient allocation principle pp. 235-242

A. Buch and G. Dorfleitner

Methods for estimating the optimal dividend barrier and the probability of ruin pp. 243-254

Hans U. Gerber, Elias S.W. Shiu and Nathaniel Smith

An optimal insurance strategy for an individual under an intertemporal equilibrium pp. 255-260

Chunyang Zhou, Chongfeng Wu, Shengping Zhang and Xuejun Huang

Quantifying the error of convex order bounds for truncated first moments pp. 261-270

Karsten Brückner

Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations pp. 271-287

Guy Jumarie

Robust regression credibility: The influence function approach pp. 288-300

Georgios Pitselis

Insuring a risky investment project pp. 301-310

Henri Loubergé and Richard Watt

Ruin theory for a Markov regime-switching model under a threshold dividend strategy pp. 311-318

Jinxia Zhu and Hailiang Yang

Premium rates based on genetic studies: How reliable are they pp. 319-331

Li Lu, Angus Macdonald and Chessman Wekwete

Evaluation of insurance products with guarantee in incomplete markets pp. 332-342

Andrea Consiglio and Domenico De Giovanni

The role of longevity bonds in optimal portfolios pp. 343-358

Francesco Menoncin

Bruno de Finetti and the case of the critical line's last segment pp. 359-377

Luca Barone

Prediction error in the chain ladder method pp. 378-388

Mario V. Wüthrich

Estimation of loss reserves with lognormal development factors pp. 389-395

Zhongxian Han and Wu-Chyuan Gau

Following the rules: Integrating asset allocation and annuitization in retirement portfolios pp. 396-408

Wolfram J. Horneff, Raimond H. Maurer, Olivia Mitchell and Ivica Dus

Mortality modelling with Lévy processes pp. 409-418

Donatien Hainaut and Pierre Devolder

Fair valuation of insurance contracts under Lévy process specifications pp. 419-433

Stefan Kassberger, Rüdiger Kiesel and Thomas Liebmann

On reinsurance and investment for large insurance portfolios pp. 434-444

Shangzhen Luo, Michael Taksar and Allanus Tsoi

Some stability results of optimal investment in a simple Lévy market pp. 445-452

Liqun Niu

Retrieval of Black-Scholes and generalized Erlang models by perturbed observations at a fixed time pp. 453-458

Daniel Neuenschwander

Weighted premium calculation principles pp. 459-465

Edward Furman and Ricardas Zitikis