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 26, issue 2-3, 2000

Editorial pp. 117-117

H. U. Gerber

A Hitchhiker's guide to the techniques of adaptive nonlinear models pp. 119-132

Arnold F. Shapiro

The discrete-time risk model with correlated classes of business pp. 133-149

Helene Cossette and Etienne Marceau

Credibility using semiparametric models and a loss function with a constancy penalty pp. 151-156

Virginia R. Young

Simple approximations of ruin probabilities pp. 157-173

Jan Grandell

An easy computable upper bound for the price of an arithmetic Asian option pp. 175-183

S. Simon, Marc Goovaerts and Jan Dhaene

Stochastic control for optimal new business pp. 185-192

Christian Hipp and Michael Taksar

Non-parametric confidence intervals of instantaneous forward rates pp. 193-202

Jacques F. Carriere

Time stochastic s-convexity of claim processes pp. 203-211

Michel Denuit

Impact of dependence among multiple claims in a single loss pp. 213-222

Helene Cossette, Michel Denuit and Etienne Marceau

Homogeneous risk models with equalized claim amounts pp. 223-238

F. De Vylder and Marc Goovaerts

Discounted probabilities and ruin theory in the compound binomial model pp. 239-250

Shixue Cheng, Hans U. Gerber and Elias S. W. Shiu

Ruin probabilities based at claim instants for some non-Poisson claim processes pp. 251-267

David A. Stanford, Krzysztof J. Stroinski and Karen Lee

RPA pathwise derivative estimation of ruin probabilities pp. 269-288

Felisa J. Vazquez-Abad

Implementing adaptive nonlinear models pp. 289-307

Arnold F. Shapiro and R. Paul Gorman

Volume 26, issue 1, 2000

Hattendorff's theorem for non-smooth continuous-time Markov models II: Application pp. 1-14

Hartmut Milbrodt

Some distributions for classical risk process that is perturbed by diffusion pp. 15-24

Guojing Wang and Rong Wu

Risk analysis for a stochastic cash management model with two types of customers pp. 25-36

David Perry and Wolfgang Stadje

Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies pp. 37-57

Anders Grosen and Peter Jørgensen

Ruin theory with risk proportional to the free reserve and securitization pp. 59-73

Thomas Siegl and Robert F. Tichy

Cramer-Lundberg approximation for nonlinearly perturbed risk processes pp. 75-90

Mats Gyllenberg and Dmitrii S. Silvestrov

An investigation into stochastic claims reserving models and the chain-ladder technique pp. 91-99

R. J. Verrall

A comparison of stochastic models that reproduce chain ladder reserve estimates pp. 101-107

Thomas Mack and Gary Venter

Comments on: "A comparison of stochastic models that reproduce chain ladder reserve estimates", by Mack and Venter pp. 109-111

R. J. Verrall and P. D. England

Book Review pp. 113-113

Alexander J. McNeil

Volume 25, issue 3, 1999

On life insurance reserves in a stochastic mortality and interest rates environment pp. 261-280

Etienne Marceau and Patrice Gaillardetz

Analytic and bootstrap estimates of prediction errors in claims reserving pp. 281-293

Peter England and Richard Verrall

Conditional dominance criteria: definition and application to risk-management pp. 295-306

Griselda Deelstra, Martino Grasselli and Pierre-Francois Koehl

Pricing rate of return guarantees in a Heath-Jarrow-Morton framework pp. 307-325

Kristian R. Miltersen and Svein-Arne Persson

Term structure modeling and asymptotic long rate pp. 327-336

Yong Yao

A synthesis of risk measures for capital adequacy pp. 337-347

Julia Lynn Wirch and Mary R. Hardy

Insolvency risk and its impact on the policyholders' investment choices: a mean-variance approach for participating life insurance business in UK pp. 349-372

Alexandra K. Berketi

Initial selection for Permanent Health Insurance pp. 373-385

M. Cristina Gutierrez-Delgado

The Esscher premium principle in risk theory: a Bayesian sensitivity study pp. 387-395

E. Gomez-Deniz, A. Hernandez-Bastida and F. J. Vazquez-Polo

Practical approximations for multivariate characteristics of risk processes pp. 397-413

M. A. Usabel

Volume 25, issue 2, 1999

Optimal insurance under Wang's premium principle pp. 109-122

Virginia R. Young

An application of randomly truncated data models in reserving IBNR claims pp. 123-131

Tomas Herbst

Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique pp. 133-142

Miguel Usabel

On s-convex stochastic extrema for arithmetic risks pp. 143-155

Michel Denuit, Claude Lefevre and M'hamed Mesfioui

Subjective risk measures: Bayesian predictive scenarios analysis pp. 157-169

Tak Kuen Siu and Hailiang Yang

Preservation of multivariate dependence under multivariate claim models pp. 171-179

Taizhong Hu and Xiaoming Pan

Hattendorff's theorem for non-smooth continuous-time Markov models I: Theory pp. 181-195

Hartmut Milbrodt

A new stochastically flexible event methodology with application to Proposition 103 pp. 197-217

Patrick L. Brockett, Hwei-Mei Chen and James R. Garven

Volume 25, issue 1, 1999

On the distribution of IBNR reserves pp. 1-9

Marc Goovaerts and Hendrik Redant

The safest dependence structure among risks pp. 11-21

Jan Dhaene and Michel Denuit

Arithmetic averaging equity-linked life insurance policies in Germany pp. 23-35

Dirk Jens F. Nonnenmacher and Ru[ss], Jochen

A note on the Taylor series expansions for multivariate characteristics of classical risk processes pp. 37-47

M. A. Usabel

Ruin probabilities with compounding assets pp. 49-62

David C. M. Dickson and Howard R. Waters

Analysis of a defective renewal equation arising in ruin theory pp. 63-84

X. Sheldon Lin and Gordon E. Willmot

Stochastic bounds on sums of dependent risks pp. 85-104

M. Denuit, C. Genest and E. Marceau

Corrigendun to "The moments of ruin time in the classical risk model with discrete claim size distribution" [Insurance: Mathematics and Economics 23 (1998) 157-172] pp. 105-107

Ph. Picard and C. Lefevre