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 39, issue 3, 2006

Editorial pp. v-v

E. Marceau and V. Goulet

IME-award pp. 285-286

A.F. Shapiro

Fuzzy formulation of the Lee-Carter model for mortality forecasting pp. 287-309

Marie-Claire Koissi and Arnold F. Shapiro

Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts pp. 310-329

Alexander Melnikov and Yulia Romaniuk

Asset and liability management under a continuous-time mean-variance optimization framework pp. 330-355

Mei Choi Chiu and Duan Li

The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements pp. 356-375

Laura Ballotta, Giorgia Esposito and Steven Haberman

Excess of loss reinsurance under joint survival optimality pp. 376-389

Vladimir Kaishev and Dimitrina S. Dimitrova

Third Brazilian conference on statistical modelling in insurance and finance First announcement -- Call for papers pp. 390-390

N. Kolev

Call for papers American Risk and Insurance Association 2007 annual meeting August 5-8, 2007 Quebec City, Canada pp. 392-392

Terri Vaughan

Announcement and call for papers pp. 393-393

R. Kaas

Volume 39, issue 2, 2006

Risk-neutral valuation of participating life insurance contracts pp. 171-183

Daniel Bauer, Rudiger Kiesel, Alexander Kling and Ru[ss], Jochen

Multivariate loss prediction in the multivariate additive model pp. 185-191

Klaus Th. Hess, Klaus D. Schmidt and Mathias Zocher

Valuation and hedging of life insurance liabilities with systematic mortality risk pp. 193-217

Mikkel Dahl and Thomas Moller

Regret, portfolio choice, and guarantees in defined contribution schemes pp. 219-229

Alexander Muermann, Olivia Mitchell and Jacqueline Volkman-Wise

Measuring the effect of mortality improvements on the cost of annuities pp. 231-249

M. Khalaf-Allah, S. Haberman and R. Verrall

Demand and adverse selection in a pooled annuity fund pp. 251-266

Emiliano Valdez, John Piggott and Liang Wang

Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and independence pp. 267-284

Jingping Yang, Shihong Cheng and Lihong Zhang

Volume 39, issue 1, 2006

The compound binomial model with randomized decisions on paying dividends pp. 1-18

Jiyang Tan and Xiangqun Yang

Risk measures via g-expectations pp. 19-34

Emanuela Rosazza Gianin

A private management strategy for the crop yield insurer: A theoretical approach and tests pp. 35-46

Martial Phélippé-Guinvarc'h and Jean Cordier

Optimal insurance in a continuous-time model pp. 47-68

Kristen S. Moore and Virginia R. Young

Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts pp. 69-80

C. Sanguesa

Optimal investment decisions with a liability: The case of defined benefit pension plans pp. 81-98

Ricardo Josa-Fombellida and Juan Pablo Rincón-Zapatero

Generalized estimating equations for variance and covariance parameters in regression credibility models pp. 99-113

Chi Ho Lo, Wing Kam Fung and Zhong Yi Zhu

On the use of posterior regret [Gamma]-minimax actions to obtain credibility premiums pp. 115-121

E. Gomez-Deniz, José M. Perez-Sanchez and F.J. Vazquez-Polo

Dynamic greeks pp. 123-133

Ragnar Norberg

Pricing of multi-period rate of return guarantees: The Monte Carlo approach pp. 135-149

Henrik Bakken, Snorre Lindset and Lars Hesstvedt Olson

On the stop-loss transform and order for the surplus process perturbed by diffusion pp. 151-170

Cary Chi-Liang Tsai

Volume 38, issue 3, 2006

Mortality-dependent financial risk measures pp. 427-440

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

On univariate extreme value statistics and the estimation of reinsurance premiums pp. 441-459

B. Vandewalle and J. Beirlant

Variability of total claim amounts under dependence between claims severity and number of events pp. 460-468

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

Catastrophe options with stochastic interest rates and compound Poisson losses pp. 469-483

Sebastian Jaimungal and Tao Wang

Monotonicity results for portfolios with heterogeneous claims arrival processes pp. 484-494

Esther Frostig and Michel Denuit

Enhancing insurer value through reinsurance optimization pp. 495-517

Yuriy Krvavych and Michael Sherris

Minimax pricing and Choquet pricing pp. 518-528

Zengjing Chen and Reg Kulperger

The maximum surplus before ruin in an Erlang(n) risk process and related problems pp. 529-539

Shuanming Li and David C.M. Dickson

Modelling negatives in stochastic reserving models pp. 540-555

Michael Kunkler

A cohort-based extension to the Lee-Carter model for mortality reduction factors pp. 556-570

A.E. Renshaw and S. Haberman

Weak convergence of a bootstrap geometric-type estimator with applications to risk theory pp. 571-584

Margarida Brito and Ana Cristina Moreira Freitas

Pricing and hedging guaranteed returns on mix funds pp. 585-598

M.H. Vellekoop, A.A. Vd Kamp and B.A. Post

Hedging life insurance contracts in a Lévy process financial market pp. 599-608

Martin Riesner

Claim dependence with common effects in credibility models pp. 609-629

Keng Leong Yeo and Emiliano Valdez

Analysis of risk measures for reinsurance layers pp. 630-639

Sophie A. Ladoucette and Jef L. Teugels

Volume 38, issue 2, 2006

Hedging guarantees in variable annuities under both equity and interest rate risks pp. 215-228

Thomas F. Coleman, Yuying Li and Maria-Cristina Patron

Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims pp. 229-252

Montserrat Guillen, Peter Jørgensen and Jens Perch Nielsen

Testing hypotheses about the equality of several risk measure values with applications in insurance pp. 253-270

Bruce L. Jones, Madan L. Puri and Ricardas Zitikis

The impact of the determinants of mortality on life insurance and annuities pp. 271-288

Hyuk-Sung Kwon and Bruce L. Jones

Consistent risk measures for portfolio vectors pp. 289-297

Christian Burgert and Ludger Ruschendorf

On the first time of ruin in the bivariate compound Poisson model pp. 298-308

Kam C. Yuen, Junyi Guo and Xueyuan Wu

Ruin probabilities in the discrete time renewal risk model pp. 309-323

Helene Cossette, David Landriault and Etienne Marceau

A new characterization of distortion premiums via countable additivity for comonotonic risks pp. 324-334

Xianyi Wu and Xian Zhou

Survival risks, intertemporal consumption, and insurance: The case of distorted probabilities pp. 335-346

Han Bleichrodt and Louis Eeckhoudt

Production under uncertainty with insurance or hedging pp. 347-359

Arthur Hau

Copula credibility for aggregate loss models pp. 360-373

Edward W. Frees and Ping Wang

An insurance network: Nash equilibrium pp. 374-390

S. Ramasubramanian

The preservation of classes of discrete distributions under convolution and mixing pp. 391-405

Kristina P. Pavlova, Jun Cai and Gordon E. Willmot

Preservation of the location independent risk order under convolution pp. 406-412

Taizhong Hu, Jing Chen and Junchao Yao

Multivariate skew-normal distributions with applications in insurance pp. 413-426

Raluca Vernic

Volume 38, issue 1, 2006

Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval pp. 1-20

Marie-Claire Koissi, Arnold F. Shapiro and Goran Hognas

Financial valuation of guaranteed minimum withdrawal benefits pp. 21-38

Moshe Milevsky and Thomas S. Salisbury

Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities pp. 39-56

J.L. Geluk and Casper de Vries

The compound Poisson risk model with a threshold dividend strategy pp. 57-80

X.Sheldon Lin and Kristina P. Pavlova

Affine stochastic mortality pp. 81-97

David F. Schrager

An application of the [alpha]-power approximation in multiple life insurance pp. 98-112

Zhang Yi and Chengguo Weng

On the control of defined-benefit pension plans pp. 113-131

Hong-Chih Huang and Andrew J.G. Cairns

Stochastic orders and risk measures: Consistency and bounds pp. 132-148

Nicole Bauerle and Alfred Müller

Recursions for compound phase distributions pp. 149-156

Karl-Theodor Eisele

A volatility-varying and jump-diffusion Merton type model of interest rate risk pp. 157-166

Fernando Espinosa and Josep Vives

Optimal portfolio problem with unknown dependency structure pp. 167-175

Ka Chun Cheung

Speedy convolution algorithms and Panjer recursions for phase-type distributions pp. 176-188

Christian Hipp

Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach pp. 189-194

Fatih Tank, Omer L. Gebizlioglu and Aysen Apaydin

The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case pp. 195-214

Laura Ballotta and Steven Haberman