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 41, issue 3, 2007

Risk management of a bond portfolio using options pp. 299-316

Jan Annaert, Griselda Deelstra, Dries Heyman and Michèle Vanmaele

Pricing of Ratchet equity-indexed annuities under stochastic interest rates pp. 317-338

Masaaki Kijima and Tony Wong

Modelling the joint distribution of competing risks survival times using copula functions pp. 339-361

Vladimir Kaishev, Dimitrina S. Dimitrova and Steven Haberman

Integrating long-term care insurance purchase decisions with saving and investment for retirement pp. 362-381

Aparna Gupta and Lepeng Li

Optimal allocation of policy limits and deductibles pp. 382-391

Ka Chun Cheung

Volume 41, issue 2, 2007

Extreme behavior of multivariate phase-type distributions pp. 223-233

Alexandru V. Asimit and Bruce L. Jones

On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals pp. 234-249

Soohan Ahn and Andrei L. Badescu

Optimal investment for insurers when the stock price follows an exponential Lévy process pp. 250-263

Radostina Kostadinova

Valuation of catastrophe reinsurance with catastrophe bonds pp. 264-278

Jin-Ping Lee and Min-Teh Yu

Risk measures, distortion parameters, and their empirical estimation pp. 279-297

Bruce L. Jones and Ricardas Zitikis

Volume 41, issue 1, 2007

Monotone and cash-invariant convex functions and hulls pp. 1-16

Damir Filipovic and Michael Kupper

On the discounted penalty function in the renewal risk model with general interclaim times pp. 17-31

Gordon E. Willmot

A time-series risk model with constant interest for dependent classes of business pp. 32-40

Zhiqiang Zhang, Kam C. Yuen and Wai Keung Li

Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model pp. 41-52

Stathis Chadjiconstantinidis and Konstadinos Politis

Extreme behavior of bivariate elliptical distributions pp. 53-61

Alexandru V. Asimit and Bruce L. Jones

Jump diffusion processes and their applications in insurance and finance pp. 62-70

Jiwook Jang

Predicting automobile claims bodily injury severity with sequential ordered logit models pp. 71-83

Mercedes Ayuso and Miguel Santolino

Valuation of cash flows under random rates of interest: A linear algebraic approach pp. 84-95

P. Date, R. Mamon and I.C. Wang

Integrating optimal annuity planning with consumption-investment selections in retirement planning pp. 96-110

Aparna Gupta and Zhisheng Li

Optimal dividends in the dual model pp. 111-123

Benjamin Avanzi, Hans U. Gerber and Elias S.W. Shiu

The compound binomial risk model with time-correlated claims pp. 124-133

Yuntao Xiao and Junyi Guo

Management of a pension fund under mortality and financial risks pp. 134-155

Donatien Hainaut and Pierre Devolder

On a modification of the classical risk process pp. 156-162

M.S. Bratiychuk and D. Derfla

Dividend maximization under consideration of the time value of ruin pp. 163-184

Stefan Thonhauser and Hansjorg Albrecher

On the ruin probabilities of a bidimensional perturbed risk model pp. 185-195

Junhai Li, Zaiming Liu and Qihe Tang

Minimizing the probability of lifetime ruin under borrowing constraints pp. 196-221

Erhan Bayraktar and Virginia R. Young

Volume 40, issue 3, 2007

Lookback options and dynamic fund protection under multiscale stochastic volatility pp. 357-385

Hoi Ying Wong and Chun Man Chan

An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates pp. 386-402

Inge Koch and Ann De Schepper

On variational bounds in the compound Poisson approximation of the individual risk model pp. 403-414

Bero Roos

The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims pp. 415-423

Yiqing Chen and Kai W. Ng

Bayesian graduation of mortality rates: An application to reserve evaluation pp. 424-434

Cesar da Rocha Neves and Helio S. Migon

Hedging life insurance with pure endowments pp. 435-444

Erhan Bayraktar and Virginia R. Young

The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees pp. 445-458

Torsten Kleinow and Mark Willder

Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure pp. 459-467

Esther Frostig, Yaniv Zaks and Benny Levikson

Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz' law of mortality pp. 468-484

W.J. Willemse and R. Kaas

Moments of claims in a Markovian environment pp. 485-497

Bara Kim and Hwa-Sung Kim

Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes pp. 498-508

Remigijus Leipus and Jonas Siaulys

Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion pp. 509-523

Ning Wan

Lower tail dependence for Archimedean copulas: Characterizations and pitfalls pp. 525-532

Arthur Charpentier and Johan Segers

Volume 40, issue 2, 2007

Distribution-free option pricing pp. 179-199

Ann De Schepper and Bart Heijnen

On the asymptotic distribution of certain bivariate reinsurance treaties pp. 200-208

Enkelejd Hashorva

Time consistency conditions for acceptability measures, with an application to Tail Value at Risk pp. 209-230

Berend Roorda and Johannes Schumacher

Default risk, bankruptcy procedures and the market value of life insurance liabilities pp. 231-255

An Chen and Michael Suchanecki

Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications pp. 256-266

Yuebao Wang, Yang Yang, Kaiyong Wang and Dongya Cheng

Pricing exotic options under regime switching pp. 267-282

Phelim Boyle and Thangaraj Draviam

Stochastic pension fund control in the presence of Poisson jumps pp. 283-292

Bernard Ngwira and Russell Gerrard

On the expected discounted penalty function for a perturbed risk process driven by a subordinator pp. 293-301

Manuel Morales

The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts pp. 302-310

Jianwu Xiao, Zhai Hong and Chenglin Qin

The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance pp. 311-321

Michael Taksar and Christine Loft Hunderup

Optimal investment for an insurer: The martingale approach pp. 322-334

Zengwu Wang, Jianming Xia and Lihong Zhang

Pricing general insurance with constraints pp. 335-355

Paul Emms

Volume 40, issue 1, 2007

On non-monotonic ageing properties from the Laplace transform, with actuarial applications pp. 1-14

Felix Belzunce, Eva-Maria Ortega and Jose M. Ruiz

Optimal strategies for pricing general insurance pp. 15-34

P. Emms, S. Haberman and I. Savoulli

A law of large numbers approach to valuation in life insurance pp. 35-57

Tom Fischer

Actuarial statistics with generalized linear mixed models pp. 58-76

Katrien Antonio and Jan Beirlant

Optimal investment for an insurer with exponential utility preference pp. 77-84

Nan Wang

Coherent risk measure, equilibrium and equilibrium pricing pp. 85-94

Feng Gao, Fengming Song and Lihong Zhang

Joint distributions of some actuarial random vectors in the compound binomial model pp. 95-103

Guoxin Liu and Jinyan Zhao

The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier pp. 104-112

Kam C. Yuen, Guojing Wang and Wai K. Li

Asymptotic and numerical analysis of the optimal investment strategy for an insurer pp. 113-134

P. Emms and S. Haberman

The timing of annuitization: Investment dominance and mortality risk pp. 135-144

Moshe Milevsky and Virginia R. Young

Claim reserving with fuzzy regression and Taylor's geometric separation method pp. 145-163

Jorge de Andres-Sanchez

The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies pp. 164-178

Alexander Kling, Andreas Richter and Ru[ss], Jochen