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 35, issue 3, 2004

Ruin probabilities with a Markov chain interest model pp. 513-525

Jun Cai and David C.M. Dickson

An extension of Arrow's result on optimality of a stop loss contract pp. 527-536

Marek Kaluszka

The premium and the risk of a life policy in the presence of interest rate fluctuations pp. 537-551

Nan Wang, Russell Gerrard and Steven Haberman

When does surplus reach a certain level before ruin? pp. 553-561

Xiaowen Zhou

On the generalization of Esscher and variance premiums modified for the elliptical family of distributions pp. 563-579

Zinoviy Landsman

A comonotonic image of independence for additive risk measures pp. 581-594

Marc Goovaerts, Rob Kaas, Roger Laeven and Qihe Tang

Ordering optimal proportions in the asset allocation problem with dependent default risks pp. 595-609

Ka Chun Cheung and Hailiang Yang

An efficient frontier for participating policies in a continuous-time economy pp. 611-625

Hideki Iwaki and Shoji Yumae

Non-life rate-making with Bayesian GAMs pp. 627-647

Michel Denuit and Stefan Lang

Analytically calibrated Box-Cox percentile limits for duration and event-time models pp. 649-677

Zhenlin Yang and Albert Tsui

A Malliavin calculus approach to sensitivity analysis in insurance pp. 679-690

Nicolas Privault and Xiao Wei

On a class of renewal risk models with a constant dividend barrier pp. 691-701

Shuanming Li and Jose Garrido

On the distribution of surplus immediately after ruin under interest force and subexponential claims pp. 703-714

Rongming Wang, Hailiang Yang and Hanxing Wang

Volume 35, issue 2, 2004

Preface pp. 185-185

Francois Quittard-Pinon and Daniel Serant

Another look at the Picard-Lefevre formula for finite-time ruin probabilities pp. 187-203

Didier Rulliere and Stéphane Loisel

A link between wave governed random motions and ruin processes pp. 205-222

Christian Mazza and Didier Rulliere

Dynamic capital allocation with distortion risk measures pp. 223-243

Andreas Tsanakas

A ruin model with dependence between claim sizes and claim intervals pp. 245-254

Hansjorg Albrecher and Onno J. Boxma

Optimal stopping and American options with discrete dividends and exogenous risk pp. 255-265

A. Battauz and M. Pratelli

The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function pp. 267-277

Kristina P. Pavlova and Gordon E. Willmot

Survival models in a dynamic context: a survey pp. 279-298

Ermanno Pitacco

An optimization approach to the dynamic allocation of economic capital pp. 299-319

Roger Laeven and Marc Goovaerts

Optimal investment choices post-retirement in a defined contribution pension scheme pp. 321-342

Russell Gerrard, Steven Haberman and Elena Vigna

Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables pp. 343-367

Michele Vanmaele, Griselda Deelstra and Jan Liinev

Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance pp. 369-398

David F. Schrager and Antoon Pelsser

Fuzzy logic in insurance pp. 399-424

Arnold F. Shapiro

Compound binomial risk model in a markovian environment pp. 425-443

Helene Cossette, David Landriault and Etienne Marceau

Volume 35, issue 1, 2004

Editorial pp. 1-1

Hans U. Gerber, Marc Goovaerts, Rob Kaas and Elias S. W. Shiu

On the discounted distribution functions for the Erlang(2) risk process pp. 5-19

Cary Chi-Liang Tsai and Li-juan Sun

Optimal control of risk exposure, reinsurance and investments for insurance portfolios pp. 21-51

Christian Irgens and Jostein Paulsen

Modelling losses using an exponential-inverse Gaussian distribution pp. 53-67

Nikolaos Frangos and Dimitris Karlis

Generalized correlation order and stop-loss order pp. 69-76

Tong-Yu Lu and Zhang Yi

Diversification of aggregate dependent risks pp. 77-95

Stan Alink, Matthias Lowe and Mario V. Wuthrich

Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform pp. 97-111

Ji-Wook Jang and Yuriy Krvavych

Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts pp. 113-136

Mikkel Dahl

Insurance contracts portfolios with heterogenous insured ages pp. 137-153

Merav Dahan, Esther Frostig and Naftali A. Langberg

Volume 34, issue 3, 2004

On ruin for the Erlang(n) risk process pp. 391-408

Shuanming Li and Jose Garrido

Universal strategies for diffusion markets and possibility of asymptotic arbitrage pp. 409-419

N. G. Dokuchaev and Andrey V. Savkin

Ruined moments in your life: how good are the approximations? pp. 421-447

H. Huang, Moshe Milevsky and J. Wang

Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model pp. 449-466

Helene Cossette, David Landriault and Etienne Marceau

Detecting positive quadrant dependence and positive function dependence pp. 467-487

A. Janic-Wroblewska, W. C. M. Kallenberg and T. Ledwina

Optimal risk management in defined benefit stochastic pension funds pp. 489-503

Ricardo Josa-Fombellida and Juan Pablo Rincón-Zapatero

Some new classes of consistent risk measures pp. 505-516

Marc Goovaerts, Rob Kaas, Jan Dhaene and Qihe Tang

Estimating catastrophic quantile levels for heavy-tailed distributions pp. 517-537

Gunther Matthys, Emmanuel Delafosse, Armelle Guillou and Jan Beirlant

What kind of new asset will push up the CML? pp. 539-545

Bo Zhang

Volume 34, issue 2, 2004

Heterogeneous INAR(1) model with application to car insurance pp. 177-192

Christian Gourieroux and Joann Jasiak

Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE pp. 193-225

Friedrich Hubalek and Walter Schachermayer

Optimal reinsurance under general risk measures pp. 227-240

Leslaw Gajek and Dariusz Zagrodny

A stop-loss risk index pp. 241-250

Wang Wei and Yannis Yatracos

A note on a class of delayed renewal risk processes pp. 251-257

Gordon E. Willmot

Valuation of structured risk management products pp. 259-272

Samuel H. Cox, Joseph R. Fairchild and Hal W. Pedersen

Reset and withdrawal rights in dynamic fund protection pp. 273-295

Chi Chiu Chu and Yue Kuen Kwok

A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market pp. 297-305

Peter Grandits

Asymptotic results for perturbed risk processes with delayed claims pp. 307-320

Claudio Macci and Giovanni Luca Torrisi

Volume 34, issue 1, 2004

Quantification of automobile insurance liability: a Bayesian failure time approach pp. 1-21

David A. Stephens, Martin J. Crowder and Petros Dellaportas

Modelling zeros in stochastic reserving models pp. 23-35

Michael Kunkler

A seemingly unrelated regression model in a credibility framework pp. 37-54

Georgios Pitselis

Pricing of arithmetic basket options by conditioning pp. 55-77

G. Deelstra, J. Liinev and M. Vanmaele

Optimal pension management in a stochastic framework pp. 79-95

Paolo Battocchio and Francesco Menoncin

The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models pp. 97-107

David C. M. Dickson and Steve Drekic

Symbolic calculation of the moments of the time of ruin pp. 109-120

Steve Drekic, James E. Stafford and Gordon E. Willmot

On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes pp. 121-125

Lijuan Sun and Hailiang Yang