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 29, issue 3, 2001

Mortality derivatives and the option to annuitise pp. 299-318

Moshe Milevsky and S. David Promislow

Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals pp. 319-332

Esther Frostig

On the time to ruin for Erlang(2) risk processes pp. 333-344

David C. M. Dickson and Christian Hipp

On a gamma series expansion for the time-dependent probability of collective ruin pp. 345-355

Hansjorg Albrecher, Jozef L. Teugels and Robert F. Tichy

Bivariate analysis of survivorship and persistency pp. 357-373

Emiliano Valdez

An improved finite-time ruin probability formula and its Mathematica implementation pp. 375-386

Zvetan G. Ignatov, Vladimir Kaishev and Rossen S. Krachunov

Volume 29, issue 2, 2001

On robustness in risk theory pp. 167-185

Etienne Marceau and Jacques Rioux

Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase pp. 187-215

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

Approximating the finite-time ruin probability under interest force pp. 217-229

Ruud Brekelmans and Anja De Waegenaere

Uncertainty in mortality projections: an actuarial perspective pp. 231-245

Annamaria Olivieri

On the distribution of surplus immediately after ruin under interest force pp. 247-255

Hailiang Yang and Lihong Zhang

The reset decision for segregated fund maturity guarantees pp. 257-269

Michael J. Armstrong

Toward a theory of reinsurance and retrocession pp. 271-290

Michael Powers and Martin Shubik

Probability of ruin with variable premium rate in a Markovian environment pp. 291-296

Helena Jasiulewicz

Volume 29, issue 1, 2001

Valuation of segregated funds: shout options with maturity extensions pp. 1-21

H. Windcliff, P. A. Forsyth and K. R. Vetzal

Stochastic models for broker inventory in dealership markets with a cash management interpretation pp. 23-34

David Perry, M. Berg and M. J. M. Posner

Minimization of risks in pension funding by means of contributions and portfolio selection pp. 35-45

Ricardo Josa-Fombellida and Juan Pablo Rincón-Zapatero

Ruin probabilities for time-correlated claims in the compound binomial model pp. 47-57

K. C. Yuen and J. Y. Guo

A comparison between homogeneous and heterogeneous portfolios pp. 59-71

Esther Frostig

Function space integration for annuities pp. 73-82

David Perry and Wolfgang Stadje

Laplace transform ordering of actuarial quantities pp. 83-102

Michel Denuit

Risk measures and insurance premium principles pp. 103-115

Zinoviy Landsman and Michael Sherris

Volume 28, issue 3, 2001

On transformations of actuarial valuation principles pp. 281-303

Thomas Moller

Does positive dependence between individual risks increase stop-loss premiums? pp. 305-308

Michel Denuit, Jan Dhaene and Carmen Ribas

On the number of near-maximum insurance claims pp. 309-323

Y. Li and Anthony G. Pakes

An economic premium principle in a multiperiod economy pp. 325-339

Hideki Iwaki, Masaaki Kijima and Yuji Morimoto

Bonus systems in an open portfolio pp. 341-350

Maria de Lourdes Centeno and João Andrade e Silva

Distribution-free comparison of pricing principles pp. 351-360

Werner Hurlimann

Aging and other distributional properties of discrete compound geometric distributions pp. 361-379

Gordon E. Willmot and Jun Cai

Asymptotic ruin probabilities for risk processes with dependent increments pp. 381-392

Alfred Müller and Georg Pflug

Transition probability functions for martingale laws of bond prices pp. 393-399

J. F. Carriere

On the discounted distribution functions of the surplus process perturbed by diffusion pp. 401-419

Cary Chi-Liang Tsai

Volume 28, issue 2, 2001

Preface pp. 149-149

Richard Verrall

An option pricing approach to valuing upward only rent review properties with multiple reviews pp. 151-171

Philip Booth and Duncan Walsh

Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund pp. 173-189

Jean-Francois Boulier, ShaoJuan Huang and Gregory Taillard

Longevity studies based on kernel hazard estimation pp. 191-204

Angie Felipe, Montserrat Guillen and Jens Perch Nielsen

A generalized crossed classification credibility model pp. 205-216

Vincent Goulet

Moments of compound renewal sums with discounted claims pp. 217-231

Ghislain Leveille and Jose Garrido

Optimal investment strategy for defined contribution pension schemes pp. 233-262

Elena Vigna and Steven Haberman

The combined effect of delay and feedback on the insurance pricing process: a control theory approach pp. 263-280

Alexandros Zimbidis and Steven Haberman

Volume 28, issue 1, 2001

Annuities under random rates of interest pp. 1-11

Abraham Zaks

Distribution of the first ladder height of a stationary risk process perturbed by [alpha]-stable Lévy motion pp. 13-20

Hanspeter Schmidli

Comparison of individual risk models pp. 21-30

Claude Lefevre and Sergey Utev

From actuarial to financial valuation principles pp. 31-47

Martin Schweizer

A decomposition of the ruin probability for the risk process perturbed by diffusion pp. 49-59

Guojing Wang

Optimal reinsurance under mean-variance premium principles pp. 61-67

Marek Kaluszka

A class of non-expected utility risk measures and implications for asset allocations pp. 69-82

John van der Hoek and Michael Sherris

On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models pp. 83-90

Luis Alvarez

Volume 27, issue 3, 2000

On credibility evaluation and the tail area of the exponential dispersion family pp. 277-283

Zinoviy Landsman and Udi E. Makov

An investigation into parametric models for mortality projections, with applications to immediate annuitants' and life office pensioners' data pp. 285-312

Terry Z. Sithole, Steven Haberman and Richard J. Verrall

A discussion of parameter and model uncertainty in insurance pp. 313-330

Andrew J. G. Cairns

On the moments of ruin and recovery times pp. 331-343

Alfredo Egidio dos Reis

An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis pp. 345-363

Knut Aase

Modelling the recent time trends in UK permanent health insurance recovery, mortality and claim inception transition intensities pp. 365-396

A. E. Renshaw and S. Haberman

Actuarial Models for Disability Insurance: S. Haberman, E. Pitacco; Chapman & Hall, London, UK, 1999, xviii+280 pp., ISBN 0-8493-0389-3 pp. 397-398

Jaap Spreeuw and Henk Wolthuis

Volume 27, issue 2, 2000

Upper and lower bounds for sums of random variables pp. 151-168

Rob Kaas, Jan Dhaene and Marc Goovaerts

An application of nonparametric regression estimation in credibility theory pp. 169-176

Weimin Qian

Valuation of contingent-claims characterising particular pension schemes pp. 177-188

Anna Rita Bacinello

Pricing catastrophe insurance products based on actually reported claims pp. 189-200

Claus Vorm Christensen and Hanspeter Schmidli

A no arbitrage approach to Thiele's differential equation pp. 201-214

Mogens Steffensen

Optimal investment for insurers pp. 215-228

Christian Hipp and Michael Plum

Corporate spin-offs, bankruptcy, investment, and the value of debt pp. 229-235

David Hennessy

Contribution and solvency risk in a defined benefit pension scheme pp. 237-259

Steven Haberman, Zoltan Butt and Chryssoula Megaloudi

A family of fractional age assumptions pp. 261-276

Bruce L. Jones and John A. Mereu

Volume 27, issue 1, 2000

Computation of distorted probabilities for diffusion processes via stochastic control methods pp. 1-18

Virginia R. Young and Thaleia Zariphopoulou

The moments of the time of ruin, the surplus before ruin, and the deficit at ruin pp. 19-44

X. Sheldon Lin and Gordon E. Willmot

Consistent fitting of one-factor models to interest rate data pp. 45-63

L. C. G. Rogers and Wolfgang Stummer

Equity allocation and portfolio selection in insurance pp. 65-81

Erik Taflin

Mutual fund evaluation: a portfolio insurance approach: A heuristic application in Spain pp. 83-104

Jose Chamorro and Jose M. Perez de Villarreal

Insurer's optimal reinsurance strategies pp. 105-112

Leslaw Gajek and Dariusz Zagrodny

Arithmetization of distributions and linear goal programming pp. 113-122

Jose L. Vilar

The multivariate De Pril transform pp. 123-136

Bjorn Sundt

On error bounds for approximations to multivariate distributions pp. 137-144

Bjorn Sundt

Ruin under interest force and subexponential claims: a simple treatment pp. 145-149

Vladimir Kalashnikov and Dimitrios Konstantinides