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 106, issue C, 2022

Earthquake parametric insurance with Bayesian spatial quantile regression pp. 1-12

Jeffrey Pai, Yunxian Li, Aijun Yang and Chenxu Li

Imbalanced learning for insurance using modified loss functions in tree-based models pp. 13-32

Changyue Hu, Zhiyu Quan and Wing Fung Chong

Frequency and severity estimation of cyber attacks using spatial clustering analysis pp. 33-45

Boyuan Ma, Tingjin Chu and Zhuo Jin

Dynamic optimal adjustment policies of hybrid pension plans pp. 46-68

Lin He, Zongxia Liang and Sheng Wang

Care-dependent tontines pp. 69-89

An Chen, Yusha Chen and Xian Xu

Cyber risk frequency, severity and insurance viability pp. 90-114

Matteo Malavasi, Gareth W. Peters, Pavel V. Shevchenko, Stefan Trück, Jiwook Jang and Georgy Sofronov

Actuarial intelligence in auto insurance: Claim frequency modeling with driving behavior features and improved boosted trees pp. 115-127

Shengwang Meng, Yaqian Gao and Yifan Huang

Stackelberg differential game for insurance under model ambiguity pp. 128-145

Jingyi Cao, Dongchen Li, Virginia R. Young and Bin Zou

Optimal dividends under Markov-modulated bankruptcy level pp. 146-172

Giorgio Ferrari, Patrick Schuhmann and Shihao Zhu

Avoiding zero probability events when computing Value at Risk contributions pp. 173-192

Takaaki Koike, Yuri Saporito and Rodrigo Targino

Robust equilibrium strategies in a defined benefit pension plan game pp. 193-217

Guohui Guan, Jiaqi Hu and Zongxia Liang

Stochastic mortality dynamics driven by mixed fractional Brownian motion pp. 218-238

Hongjuan Zhou, Kenneth Q. Zhou and Xianping Li

Multi-population modelling and forecasting life-table death counts pp. 239-253

Han Lin Shang, Steven Haberman and Ruofan Xu

Combining multi-asset and intrinsic risk measures pp. 254-269

Christian Laudagé, Jörn Sass and Jörg Wenzel

Parametric measures of variability induced by risk measures pp. 270-284

Fabio Bellini, Tolulope Fadina, Ruodu Wang and Yunran Wei

Green nested simulation via likelihood ratio: Applications to longevity risk management pp. 285-301

Ben Mingbin Feng, Johnny Siu-Hang Li and Kenneth Q. Zhou

Asymptotic analysis of portfolio diversification pp. 302-325

Hengxin Cui, Ken Seng Tan, Fan Yang and Chen Zhou

Model mortality rates using property and casualty insurance reserving methods pp. 326-340

Cary Chi-Liang Tsai and Seyeon Kim

Modeling pandemic mortality risk and its application to mortality-linked security pricing pp. 341-363

Fen-Ying Chen, Sharon S. Yang and Hong-Chih Huang

Multivariate matrix-exponential affine mixtures and their applications in risk theory pp. 364-389

Eric C.K. Cheung, Oscar Peralta and Jae-Kyung Woo

Volume 105, issue C, 2022

Three-step risk inference in insurance ratemaking pp. 1-13

Yanxi Hou, Seul Ki Kang, Chia Chun Lo and Liang Peng

Decrease of capital guarantees in life insurance products: Can reinsurance stop it? pp. 14-40

Marcos Escobar-Anel, Yevhen Havrylenko, Michel Kschonnek and Rudi Zagst

Automatic Fatou property of law-invariant risk measures pp. 41-53

Shengzhong Chen, Niushan Gao, Denny H. Leung and Lei Li

Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels pp. 54-63

Zi Qing Ang and See Keong Lee

The location of a minimum variance squared distance functional pp. 64-78

Zinoviy Landsman and Tomer Shushi

The added value of dynamically updating motor insurance prices with telematics collected driving behavior data pp. 79-95

Roel Henckaerts and Katrien Antonio

Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method pp. 96-127

Boda Kang, Yang Shen, Dan Zhu and Jonathan Ziveyi

Exact credibility reference Bayesian premiums pp. 128-143

Emilio Gómez-Déniz and Francisco J. Vázquez-Polo

Stochastic loss reserving with mixture density neural networks pp. 144-174

Muhammed Taher Al-Mudafer, Benjamin Avanzi, Greg Taylor and Bernard Wong

Refundable income annuities: Feasibility of money-back guarantees pp. 175-193

Moshe Milevsky and Thomas S. Salisbury

Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves pp. 194-202

Agata Boratyńska and Zofia Zielińska-Kolasińska

Similar risks have similar prices: A useful and exact quantification pp. 203-210

Stephen J. Mildenhall

Annuity and insurance choice under habit formation pp. 211-237

Phelim Boyle, Ken Seng Tan, Pengyu Wei and Sheng Chao Zhuang

An asymptotic study of systemic expected shortfall and marginal expected shortfall pp. 238-251

Yiqing Chen and Jiajun Liu

Optimal reinsurance and investment under common shock dependence between financial and actuarial markets pp. 252-278

Claudia Ceci, Katia Colaneri and Alessandra Cretarola

S-shaped narrow framing, skewness and the demand for insurance pp. 279-292

Yichun Chi, Jiakun Zheng and Shengchao Zhuang

Controlling the effects of adverse selection in flexible benefit plans: A pricing-based approach pp. 293-312

Cherie Ng, Barbara Sanders and Jean-François Bégin

Blockchain mining in pools: Analyzing the trade-off between profitability and ruin pp. 313-335

Hansjörg Albrecher, Dina Finger and Pierre-O. Goffard

Sample recycling method – a new approach to efficient nested Monte Carlo simulations pp. 336-359

Runhuan Feng and Peng Li

Volume 104, issue C, 2022

Estimating and backtesting risk under heavy tails pp. 1-14

Marcin Pitera and Thorsten Schmidt

COVID-19 and credit risk: A long memory perspective pp. 15-34

Jie Yin, Bingyan Han and Hoi Ying Wong

Optimal insurance to maximize RDEU under a distortion-deviation premium principle pp. 35-59

Xiaoqing Liang, Ruodu Wang and Virginia R. Young

Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses pp. 60-75

Jin Meng and Kung-Sik Chan

On capital allocation for a risk measure derived from ruin theory pp. 76-98

G.A. Delsing, M.R.H. Mandjes, P.J.C. Spreij and E.M.M. Winands

Optimal long-term contracts with disability insurance under limited commitment pp. 99-132

Kyoung Jin Choi, Junkee Jeon, Ho-Seok Lee and Hsuan-Chih Lin

Estimating the time value of ruin in a Lévy risk model under low-frequency observation pp. 133-157

Wenyuan Wang, Jiayi Xie and Zhimin Zhang

A hierarchical reserving model for reported non-life insurance claims pp. 158-184

Jonas Crevecoeur, Jens Robben and Katrien Antonio

What can we learn from telematics car driving data: A survey pp. 185-199

Guangyuan Gao, Shengwang Meng and Mario V. Wüthrich

Revisiting the optimal insurance design under adverse selection: Distortion risk measures and tail-risk overestimation pp. 200-221

Zhihang Liang, Jushen Zou and Wenjun Jiang

Unraveling heterogeneity in cyber risks using quantile regressions pp. 222-242

Martin Eling, Kwangmin Jung and Jeungbo Shim

A new class of copula regression models for modelling multivariate heavy-tailed data pp. 243-261

Zhengxiao Li, Jan Beirlant and Liang Yang

A general optimal approach to Bühlmann credibility theory pp. 262-282

Yujie Yan and Kai-Sheng Song

A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference pp. 283-301

Yanxi Hou