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 33, issue 3, 2003

Some recursions for moments of n-fold convolutions pp. 479-486

Bjorn Sundt

Some recursions for moments of compound distributions pp. 487-496

Bjorn Sundt

Pricing equity-linked pure endowments via the principle of equivalent utility pp. 497-516

Kristen S. Moore and Virginia R. Young

Wang's capital allocation formula for elliptically contoured distributions pp. 517-532

Emiliano Valdez and Andrew Chernih

Moments of the cash value of future payment streams arising from life insurance contracts pp. 533-550

Joanna Debicka

The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function pp. 551-566

X. Sheldon Lin, Gordon E. Willmot and Steve Drekic

Analysis of heterogeneous endowment policies portfolios under fractional approximations pp. 567-584

Merav Dahan, Esther Frostig and Naftali A. Langberg

Semiparametric credibility ratemaking using a piecewise linear prior pp. 585-593

Xiaowei Huang, Lixin Song and Yanchun Liang

Fair valuation of path-dependent participating life insurance contracts pp. 595-609

Antti Juho Tanskanen and Jani Lukkarinen

A stability result for the HARA class with stochastic interest rates pp. 611-627

Martino Grasselli

Pricing of multi-period rate of return guarantees pp. 629-644

Snorre Lindset

Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure pp. 645-658

Ton G. de Kok

Recursive calculation of finite time ruin probabilities under interest force pp. 659-676

Rui M. R. Cardoso and Howard R. Waters

Pricing equity-indexed annuities with path-dependent options pp. 677-690

Hangsuck Lee

Volume 33, issue 2, 2003

Preface pp. 209-209

Maria de Lourdes Centeno, Onofre Simoes, João Andrade e Silva and Alfredo Egidio dos Reis

Limiting behaviour of a geometric-type estimator for tail indices pp. 211-226

Margarida Brito and Ana Cristina Moreira Freitas

Stochastic optimal control of annuity contracts pp. 227-238

Pierre Devolder, Manuela Bosch Princep and Inmaculada Dominguez Fabian

Risk capital allocation and cooperative pricing of insurance liabilities pp. 239-254

Andreas Tsanakas and Christopher Barnett

Lee-Carter mortality forecasting with age-specific enhancement pp. 255-272

A. E. Renshaw and S. Haberman

Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects pp. 273-282

Catalina Bolance, Montserrat Guillen and Jean Pinquet

Pricing and hedging guaranteed annuity options via static option replication pp. 283-296

Antoon Pelsser

Confidence bounds for discounted loss reserves pp. 297-316

Tom Hoedemakers, Jan Beirlant, Marc Goovaerts and Jan Dhaene

Stochastic forecasting of labor force participation rates pp. 317-336

Edward W. Frees

High volatility, thick tails and extreme value theory in value-at-risk estimation pp. 337-356

Ramazan Gencay, Faruk Selcuk and Abdurrahman Ulugulyagci

Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process pp. 357-380

Cho-Jieh Chen and Harry Panjer

Optimal reinsurance programs: An optimal combination of several reinsurance protections on a heterogeneous insurance portfolio pp. 381-403

Robert Verlaak and Jan Beirlant

The hurdle-race problem pp. 405-413

Steven Vanduffel, Jan Dhaene, Marc Goovaerts and R. Kaas

Volume 33, issue 1, 2003

Rational hedging and valuation of integrated risks under constant absolute risk aversion pp. 1-28

Dirk Becherer

Pensionmetrics 2: stochastic pension plan design during the distribution phase pp. 29-47

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

Bonus-malus system using an exponential loss function with an Inverse Gaussian distribution pp. 49-57

Isabel Morillo and Lluis Bermudez

The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion pp. 59-66

S. N. Chiu and C. C. Yin

A rank-dependent generalization of zero utility principle pp. 67-73

S. Heilpern

A fair procedure in insurance pp. 75-85

Vito Fragnelli and Maria Erminia Marina

Valuation of guaranteed annuity conversion options pp. 87-108

Laura Ballotta and Steven Haberman

A solution to the ruin problem for Pareto distributions pp. 109-116

Colin M. Ramsay

A discrete-time risk model with interaction between classes of business pp. 117-133

Xueyuan Wu and Kam C. Yuen

Ruin theory in a financial corporation model with credit risk pp. 135-145

Hailiang Yang

Joint distributions of some actuarial random vectors containing the time of ruin pp. 147-161

Rong Wu, Guojing Wang and Li Wei

Properties of the power family of fractional age approximations pp. 163-171

Esther Frostig

Short-term risk management using stochastic Taylor expansions under Lévy models pp. 173-188

Wim Schoutens and Michael Studer

Optimal investment strategies in the presence of a minimum guarantee pp. 189-207

Griselda Deelstra, Martino Grasselli and Pierre-Francois Koehl

Volume 32, issue 3, 2003

Risk comparisons of premium rules: optimality and a life insurance study pp. 331-344

Soren Asmussen and Jakob R. Moller

Some results on ruin probabilities in a two-dimensional risk model pp. 345-358

Wai-Sum Chan, Hailiang Yang and Lianzeng Zhang

Choquet pricing and equilibrium pp. 359-370

Anja De Waegenaere, Robert Kast and André Lapied

Finite time ruin probabilities with one Laplace inversion pp. 371-377

Florin Avram and Miguel Usabel

On the forecasting of mortality reduction factors pp. 379-401

A. E. Renshaw and S. Haberman

The Gerber-Shiu discounted penalty function in the stationary renewal risk model pp. 403-411

Gordon E. Willmot and David C. M. Dickson

On the expectations of the present values of the time of ruin perturbed by diffusion pp. 413-429

Cary Chi-Liang Tsai

Aggregate survival probability of a portfolio with dependent subportfolios pp. 431-443

Rohana S. Ambagaspitiya

The joint density function of three characteristics on jump-diffusion risk process pp. 445-455

Chunsheng Zhang and Guojing Wang

Annuities under random rates of interest--revisited pp. 457-460

Krzysztof Burnecki, Agnieszka Marciniuk and Aleksander Weron

A note on the inhomogeneous linear stochastic differential equation pp. 461-464

Stefan Jaschke

Volume 32, issue 2, 2003

On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies pp. 201-215

Carme Ribas, Jesus Marin-Solano and Antonio Alegre

Pension funding incorporating downside risks pp. 217-228

S. C. Chang, Larry Y. Tzeng and Jerry C. Y. Miao

Quadratic hedging for asset derivatives with discrete stochastic dividends pp. 229-243

Anna Battauz

Annuities with controlled random interest rates pp. 245-253

David Perry, Wolfgang Stadje and Rami Yosef

Comonotonic processes pp. 255-265

Elyès Jouini and Clotilde Napp

Quality, self-regulation, and competition: the case of insurance pp. 267-280

Fredrik Andersson and Goran Skogh

Generalized least squares estimators for covariance parameters for credibility regression models with moving average errors pp. 281-293

Helene Cossette and Andrew Luong

Indifference pricing of insurance contracts in a product space model: applications pp. 295-315

Thomas Moller

Of happy and hapless regulators: the asymptotics of ruin pp. 317-330

Michael Powers, Emilio C. Venezian and Iana B. Juca

Volume 32, issue 1, 2003

Nonlinear stochastic inflation modelling using SEASETARs pp. 3-18

Jan G. Gooijer and Antoni Vidiella-I-Anguera

Kernel density estimation of actuarial loss functions pp. 19-36

Catalina Bolance, Montserrat Guillen and Jens Perch Nielsen

On the number of near-maximum insurance claim under dependence pp. 37-49

Enkelejd Hashorva

On the nth stop-loss transform order of ruin probability pp. 51-60

Yu Cheng and Jeffrey S. Pai

Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest pp. 61-71

Jun Cai and David C. M. Dickson

Compound Poisson approximations for individual models with dependent risks pp. 73-91

Christian Genest, Etienne Marceau and Mhamed Mesfioui

Ordering ruin probabilities for dependent claim streams pp. 93-114

Esther Frostig

Influence functions of empirical nonparametric estimators of net reinsurance premiums pp. 115-133

Vytaras Brazauskas

Risk capital allocation by coherent risk measures based on one-sided moments pp. 135-146

T. Fischer