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 37, issue 3, 2005

The win-first probability under interest force pp. 421-442

Didier Rulliere and Stéphane Loisel

Affine processes for dynamic mortality and actuarial valuations pp. 443-468

Enrico Biffis

Benefit uncertainty and default risk in pension plans pp. 469-493

Zaki Khorasanee

Multinomial model for random sums pp. 494-504

Nikolai Kolev and Delhi Paiva

The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process pp. 505-521

Jiandong Ren

On the probability of ruin in a Markov-modulated risk model pp. 522-532

Yi Lu and Shuanming Li

Fair valuation of participating policies with surrender options and regime switching pp. 533-552

Tak Kuen Siu

Static-arbitrage optimal subreplicating strategies for basket options pp. 553-572

David Hobson, Peter Laurence and Tai-Ho Wang

Occupation measure and local time of classical risk processes pp. 573-584

Ekaterina T. Kolkovska, Jose A. Lopez-Mimbela and Jose Villa Morales

Merton's model of optimal portfolio in a Black-Scholes Market driven by a fractional Brownian motion with short-range dependence pp. 585-598

Guy Jumarie

Optimal stopping behavior of equity-linked investment products with regime switching pp. 599-614

Ka Chun Cheung and Hailiang Yang

Optimal investment for insurer with jump-diffusion risk process pp. 615-634

Hailiang Yang and Lihong Zhang

Risk capital decomposition for a multivariate dependent gamma portfolio pp. 635-649

Edward Furman and Zinoviy Landsman

On the discounted penalty function in a Markov-dependent risk model pp. 650-672

Hansjorg Albrecher and Onno J. Boxma

Volume 37, issue 2, 2005

Preface pp. 153-153

Carla Angela and Gennaro Olivieri

Some asymptotic results for sums of dependent random variables, with actuarial applications pp. 154-172

Roger Laeven, Marc Goovaerts and Tom Hoedemakers

A Lévy process-based framework for the fair valuation of participating life insurance contracts pp. 173-196

Laura Ballotta

Calculation of finite time ruin probabilities for some risk models pp. 197-215

Rui M.R. Cardoso and Howard R. Waters

The expected time to ruin in a risk process with constant barrier via martingales pp. 216-228

Esther Frostig

Dependent risks and excess of loss reinsurance pp. 229-238

Maria de Lourdes Centeno

Approximations for life annuity contracts in a stochastic financial environment pp. 239-269

Tom Hoedemakers, Grzegorz Darkiewicz and Marc Goovaerts

Endogenous model of surrender conditions in equity-linked life insurance pp. 270-296

Anna Rita Bacinello

Risk measure and fair valuation of an investment guarantee in life insurance pp. 297-323

Jerome Barbarin and Pierre Devolder

On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times pp. 324-334

Hansjorg Albrecher, M.Merce Claramunt and Maite Marmol

Optimal contributions in a defined benefit pension scheme with stochastic new entrants pp. 335-354

Luigi Colombo and Steven Haberman

Incorporating expert opinion into a stochastic model for the chain-ladder technique pp. 355-370

R.J. Verrall and P.D. England

Volume 37, issue 1, 2005

Preface pp. 1-2

Christian Genest

In memory of Bruno Bassan: Short biography and list of publications pp. 3-5

Marco Scarsini and Fabio Spizzichino

Bivariate survival models with Clayton aging functions pp. 6-12

Bruno Bassan and Fabio Spizzichino

Some notions of multivariate positive dependence pp. 13-26

Antonio Colangelo, Marco Scarsini and Moshe Shaked

Discrete quasi-copulas pp. 27-41

Jose Juan Quesada Molina and Carlo Sempi

Copulas with fractal supports pp. 42-48

Gregory A. Fredricks, Roger B. Nelsen and Jose Antonio Rodriguez-Lallena

Generalized diagonal band copulas pp. 49-67

Daniel Lewandowski

Case studies in multivariate-to-anything transforms for partially specified random vector generation pp. 68-79

Stephen Stanhope

Estimating the tail-dependence coefficient: Properties and pitfalls pp. 80-100

Gabriel Frahm, Markus Junker and Rafael Schmidt

Bivariate option pricing using dynamic copula models pp. 101-114

Rob van den Goorbergh, Christian Genest and Bas Werker

Worst VaR scenarios pp. 115-134

Paul Embrechts, Andrea Hoing and Giovanni Puccetti

Bounds on the value-at-risk for the sum of possibly dependent risks pp. 135-151

Mhamed Mesfioui and Jean-Francois Quessy

Volume 36, issue 3, 2005

Approximations for stop-loss reinsurance premiums pp. 237-250

Rajko Reijnen, Willem Albers and Wilbert C.M. Kallenberg

A large deviation result for aggregate claims with dependent claim occurrences pp. 251-259

Rob Kaas and Qihe Tang

Bayesian Poisson log-bilinear mortality projections pp. 260-284

Claudia Czado, Antoine Delwarde and Michel Denuit

Extremes of asymptotically spherical and elliptical random vectors pp. 285-302

Enkelejd Hashorva

Ruin probability in the continuous-time compound binomial model pp. 303-316

Guoxin Liu, Ying Wang and Bei Zhang

Axiom of solvency and portfolio immunization under random interest rates pp. 317-328

Leslaw Gajek

Pricing equity-linked pure endowments with risky assets that follow Lévy processes pp. 329-346

Sebastian Jaimungal and Virginia R. Young

Unifying framework for optimal insurance pp. 347-364

S.David Promislow and Virginia R. Young

On a joint distribution for the risk process with constant interest force pp. 365-374

Rong Wu, Guojing Wang and Chunsheng Zhang

Optimal reinsurance under convex principles of premium calculation pp. 375-398

Marek Kaluszka

A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments pp. 399-420

Jostein Paulsen, Juma Kasozi and Andreas Steigen

Weak convergence approach to compound Poisson risk processes perturbed by diffusion pp. 421-432

Joykrishna Sarkar and Arusharka Sen

Controlled risk processes in discrete time: Lower and upper approximations to the optimal probability of ruin pp. 433-440

Agnieszka Groniowska and Wojciech Niemiro

The pricing of liabilities in an incomplete market using dynamic mean-variance hedging pp. 441-455

Robert J. Thomson

On a correlated aggregate claims model with thinning-dependence structure pp. 456-468

Guojing Wang and Kam C. Yuen

Cyclical risk exposure of pension funds: A theoretical framework pp. 469-484

Francesco Menoncin

Second order behaviour of ruin probabilities in the case of large claims pp. 485-498

Aleksandras Baltru-nas

Market value of life insurance contracts under stochastic interest rates and default risk pp. 499-516

Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon

Note on option pricing by actuarial considerations pp. 517-518

Norbert Schmitz

Volume 36, issue 2, 2005

Hierarchical Bayesian collective risk model: an application to health insurance pp. 119-135

Helio S. Migon and Fernando A.S. Moura

Multivariate risk model of phase type pp. 137-152

Jun Cai and Haijun Li

On modeling claim frequency data in general insurance with extra zeros pp. 153-163

Karen C.H. Yip and Kelvin K.W. Yau

Bounds for the probability and severity of ruin in the Sparre Andersen model pp. 165-177

Konstadinos Politis

On the expected discounted penalty functions for two classes of risk processes pp. 179-193

Shuanming Li and Yi Lu

Volume 36, issue 1, 2005

Worst-case scenario investment for insurers pp. 1-11

Ralf Korn

On the deficit distribution when ruin occurs--discrete time model pp. 13-24

Leslaw Gajek

On optimal investment and subexponential claims pp. 25-35

Hanspeter Schmidli

Pricing optional group term insurance: a new approach using reservation prices pp. 37-55

Colin M. Ramsay

The compound Poisson random variable's approximation to the individual risk model pp. 57-77

Jingping Yang, Shulin Zhou and Zhenyong Zhang

The valuation of unit-linked policies with or without surrender options pp. 79-92

Weixi Shen and Huiping Xu

Degree of downside risk aversion and self-protection pp. 93-101

W.Henry Chiu

Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary pp. 103-116

Steven Haberman and Joo-Ho Sung