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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On immunization, stop-loss order and the maximum Shiu measure pp. 315-325: Werner Hurlimann
On the moments of the surplus process perturbed by diffusion pp. 327-350: Cary Chi-Liang Tsai and Gordon E. Willmot
A comparison of models for the chain-ladder method pp. 351-364: Klaus Th. Hess and Klaus D. Schmidt
Time in the red in a two state Markov model pp. 365-372: Christian Wagner
A Poisson log-bilinear regression approach to the construction of projected lifetables pp. 373-393: Natacha Brouhns, Michel Denuit and Jeroen K. Vermunt
Application of survival analysis methods to long-term care insurance pp. 395-413: Claudia Czado and Florian Rudolph
Excess of loss reinsurance and Gerber's inequality in the Sparre Anderson model pp. 415-427: Maria de Lourdes Centeno
Early surrender and the distribution of policy reserves pp. 429-445: Chenghsien Tsai, Weiyu Kuo and Wei-Kuang Chen
Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails pp. 447-460: Dimitrios Konstantinides, Qihe Tang and Gurami Tsitsiashvili
Addendum to "Analytic and bootstrap estimates of prediction errors in claims reserving" pp. 461-466: Peter England

The concept of comonotonicity in actuarial science and finance: applications pp. 133-161: Jan Dhaene, M. Denuit, Marc Goovaerts, R. Kaas and D. Vyncke
Moment generating function approach to pricing interest rate and foreign exchange rate claims pp. 163-178: Theo K. Dijkstra and Yong Yao
Stock exchange dynamics involving both Gaussian and Poissonian white noises: approximate solution via a symbolic stochastic calculus pp. 179-189: Guy Jumarie
Pricing no claims discount systems pp. 191-204: Doron Kliger and Benny Levikson
On a correlated aggregate claims model with Poisson and Erlang risk processes pp. 205-214: Kam C. Yuen, Junyi Guo and Xueyuan Wu
Pricing contingent claims in incomplete markets when the holder can choose among different payoffs pp. 215-233: Christoph Kuhn
How many claims does it take to get ruined and recovered? pp. 235-248: Alfredo Egidio dos Reis
Optimal portfolio and background risk: an exact and an approximated solution pp. 249-265: Francesco Menoncin
Insurance premia consistent with the market pp. 267-284: Erio Castagnoli, Fabio Maccheroni and Massimo Marinacci
On asymptotic optimality in empirical Bayes credibility pp. 285-295: Mostafa Mashayekhi
A Cox process with log-normal intensity pp. 297-302: Sankarshan Basu and Angelos Dassios
Lundberg inequalities in a diffusion environment pp. 303-313: Zbigniew Palmowski

Preface pp. 1-1: Arnold Shapiro
The concept of comonotonicity in actuarial science and finance: theory pp. 3-33: Jan Dhaene, M. Denuit, Marc Goovaerts, R. Kaas and D. Vyncke
Optimal investment strategies and risk measures in defined contribution pension schemes pp. 35-69: Steven Haberman and Elena Vigna
Intervention options in life insurance pp. 71-85: Mogens Steffensen
Bounds for present value functions with stochastic interest rates and stochastic volatility pp. 87-103: Ann De Schepper, Marc Goovaerts, Jan Dhaene, Rob Kaas and David Vyncke
Measuring sensitivity in a bonus-malus system pp. 105-113: E. Gomez, A. Hernandez, J. M. Perez and F. J. Vazquez-Polo
The merging of neural networks, fuzzy logic, and genetic algorithms pp. 115-131: Arnold F. Shapiro

Editorial pp. 293-296: Rob Kaas
Recursive evaluation of aggregate claims distributions pp. 297-322: Bjorn Sundt
Stochastic control of funding systems pp. 323-350: Greg Taylor
Credibility theory: a new view from the theory of second order optimal statistics pp. 351-362: Zinoviy Landsman
A critique of fractional age assumptions pp. 363-370: Bruce L. Jones and John A. Mereu
Allocating unfunded liability in pension valuation under uncertainty pp. 371-387: Shih-Chieh Chang and Chiang-Chu Chen
On the expected discounted penalty function at ruin of a surplus process with interest pp. 389-404: Jun Cai and David C. M. Dickson
Copula convergence theorems for tail events pp. 405-420: Alessandro Juri and Mario V. Wuthrich
Compound geometric residual lifetime distributions and the deficit at ruin pp. 421-438: Gordon E. Willmot
Estimators of the regression parameters of the zeta distribution pp. 439-450: Louis G. Doray and Michel Arsenault
The joint distributions of several important actuarial diagnostics in the classical risk model pp. 451-462: Li Wei and Rong Wu

On two dependent individual risk models pp. 153-166: Helene Cossette, Patrice Gaillardetz, Etienne Marceau and Jacques Rioux
A multiple state model for the analysis of permanent health insurance claims by cause of disability pp. 167-186: Isabel Maria Ferraz Cordeiro
Risk management in credit risk portfolios with correlated assets pp. 187-198: Nicole Bauerle
Optimal asset allocation in life annuities: a note pp. 199-209: Narat Charupat and Moshe Milevsky
Ruin probabilities in the presence of regularly varying tails and optimal investment pp. 211-217: Johanna Gaier and Peter Grandits
Recursive calculation of time to ruin distributions pp. 219-230: Rui M. R. Cardoso and Alfredo Egidio dos Reis
Some characteristics of a surplus process in the presence of an upper barrier pp. 231-241: Nan Wang and Konstadinos Politis
A bounded risk strategy for a market with non-observable parameters pp. 243-254: Nikolai G. Dokuchaev and Andrey V. Savkin
General quadratic distance methods for discrete distributions definable recursively pp. 255-267: Andrew Luong and Louis G. Doray

Measuring the impact of dependence between claims occurrences pp. 1-19: Michel Denuit, Claude Lefevre and Sergey Utev
A note on the overdispersed Poisson family pp. 21-25: Klaus D. Schmidt
On the accumulated aggregate surplus of a life portfolio pp. 27-35: Werner Hurlimann
Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model pp. 37-49: Maria de Lourdes Centeno
A generalized defective renewal equation for the surplus process perturbed by diffusion pp. 51-66: Cary Chi-Liang Tsai and Gordon E. Willmot
Modeling claim exceedances over thresholds pp. 67-83: M. V. Boutsikas and M. V. Koutras
A discussion on Buhlmann's criterion for asset valuation pp. 85-93: Nan Wang, Wan Kai Pang and Wei Kwang Huang
Measurement of relative inequity and Yaari's dual theory of risk pp. 95-109: S. David Promislow and Virginia R. Young