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 24, issue 3, 1999

Explicit finite-time and infinite-time ruin probabilities in the continuous case pp. 155-172

F. Etienne De Vylder and Marc Goovaerts

Stop-loss premiums under dependence pp. 173-185

Willem Albers

Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system pp. 187-199

Shih-Chieh Chang

Extremal generators and extremal distributions for the continuous s-convex stochastic orderings pp. 201-217

Michel Denuit, Etienne De Vylder and Claude Lefevre

Non-optimality of a linear combination of proportional and non-proportional reinsurance pp. 219-227

W. Hurlimann

A longitudinal data analysis interpretation of credibility models pp. 229-247

Edward W. Frees, Virginia R. Young and Yu Luo

Inequality extensions of Prabhu's formula in ruin theory pp. 249-271

F. E. De Vylder and Marc Goovaerts

A theorem on multi-period insurance contracts without commitment pp. 273-280

Francisco J. Vazquez and Richard Watt

Supermodular ordering and stochastic annuities pp. 281-290

Marc Goovaerts and Jan Dhaene

Sequential credibility evaluation for symmetric location claim distributions pp. 291-300

Zinoviy Landsman and Udi E. Makov

On the distributions of two classes of correlated aggregate claims pp. 301-308

Rohana S. Ambagaspitiya

On the distribution of the surplus of the D-E model prior to and at ruin pp. 309-321

Chunsheng Zhang and Rong Wu

On dependence of risks and stop-loss premiums pp. 323-332

Taizhong Hu and Zhiqiang Wu

Volume 24, issue 1-2, 1999

From ruin theory to pricing reset guarantees and perpetual put options pp. 3-14

Hans U. Gerber and Elias S. W. Shiu

Recursions for convolutions of discrete uniform distributions revisited pp. 15-21

Bjorn Sundt

Credibility evaluation for the exponential dispersion family pp. 23-29

Zinoviy Landsman and Udi E. Makov

A class of bivariate stochastic orderings, with applications in actuarial sciences pp. 31-50

Michel Denuit, Claude Lefevre and M'hamed Mesfioui

A process with stochastic claim frequency and a linear dividend barrier pp. 51-65

Thomas Siegl and Robert F. Tichy

Modelling different types of automobile insurance fraud behaviour in the Spanish market pp. 67-81

Manuel Artís, Mercedes Ayuso and Montserrat Guillen

The GARCH(1,1)-M model: results for the densities of the variance and the mean pp. 83-94

Ann De Schepper and Marc Goovaerts

Decomposing catastrophic risk pp. 95-101

Harris Schlesinger

Solvency margins and equalization reserves pp. 103-115

F. De Vylder and Marc Goovaerts

The effect of the nature of the liabilities on the solvency and maturity payouts of a UK life office fund: a stochastic evaluation pp. 117-138

Alexandra K. Berketi and Angus S. Macdonald

Fitting bivariate loss distributions with copulas pp. 139-148

Stuart A. Klugman and Rahul Parsa

Martingales, scale functions and stochastic life annuities: a note pp. 149-154

Moshe Milevsky

Volume 23, issue 3, 1998

On the computation of aggregate claims distributions: some new approximations pp. 215-230

Yogendra P. Chaubey, Jose Garrido and Sonia Trudeau

Burr regression and portfolio segmentation pp. 231-250

Jan Beirlant, Yuri Goegebeur, Robert Verlaak and Petra Vynckier

Loss development forecasting models: an econometrician's view pp. 251-261

Teun Kloek

Pension schemes as options on pension fund assets: implications for pension fund management pp. 263-286

David Blake

Equation for survival probability in a finite time interval in case of non-zero real interest force pp. 287-295

A. Pervozvansky

Volume 23, issue 2, 1998

A note on optimal parameter estimation under zero-excess assumptions pp. 111-117

Vincent Goulet

Bounds for stop-loss premium under restrictions on I-divergence pp. 119-139

Lina Xu, Dennis L. Bricker and Kenneth O. Kortanek

On the tradeoff between the law of large numbers and oligopoly in insurance pp. 141-156

Michael Powers and Martin Shubik

The moments of ruin time in the classical risk model with discrete claim size distribution pp. 157-172

Philippe Picard and Claude Lefevre

A minimax risk strategy for portfolio immunization pp. 173-177

Joel R. Barber and Mark L. Copper

Erratum to: "A note on interest rate term structure estimation using tension splines" [Insurance: Mathematics and Economics 22 (1998) 139-143] pp. 179-180

Luca Barzanti and Corrado Corradi

Volume 23, issue 1, 1998

Families of update rules for non-additive measures: Applications in pricing risks pp. 1-14

Virginia R. Young

On the distribution of a sum of correlated aggregate claims pp. 15-19

Rohana S. Ambagaspitiya

Compound bivariate Lagrangian Poisson distributions pp. 21-31

Rohana S. Ambagaspitiya

Aging properties and bounds for ruin probabilities and stop-loss premiums pp. 33-43

Jun Cai and Jose Garrido

Double barrier hitting time distributions with applications to exotic options pp. 45-58

X. Sheldon Lin

Prediction of claim numbers based on hazard rates pp. 59-69

Jaap Spreeuw and Marc Goovaerts

Applications to risk theory of a Monte Carlo multiple integration method pp. 71-83

Miguel A. Usabel

Zero coupon bonds and affine term structures: reconsidering the one-factor model pp. 85-90

Luis Alvarez

Exact and approximate properties of the distribution of surplus before and after ruin pp. 91-110

Gordon E. Willmot and X. Sheldon Lin

Volume 22, issue 3, 1998

Stochastic cooperative games in insurance pp. 209-228

Jeroen Suijs, Anja De Waegenaere and Peter Borm

Optimal reinsurance and stop-loss order pp. 229-233

Michel Denuit and Catherine Vermandele

Comonotonicity, correlation order and premium principles pp. 235-242

Shaun Wang and Jan Dhaene

Pricing insurance contracts -- an economic viewpoint pp. 243-249

Doron Kliger and Benny Levikson

Ruin probabilities for Erlang(2) risk processes pp. 251-262

David C. M. Dickson and Christian Hipp

On the discounted penalty at ruin in a jump-diffusion and the perpetual put option pp. 263-276

Hans U. Gerber and Bruno Landry

On distribution-free safe layer-additive pricing pp. 277-285

W. Hurlimann

Volume 22, issue 2, 1998

Non-Poissonian claims' arrivals and calculation of the probability of ruin pp. 123-138

Vsevolod K. Malinovskii

A note on interest rate term structure estimation using tension splines pp. 139-143

Luca Barzanti and Corrado Corradi

Ordering risks: Expected utility theory versus Yaari's dual theory of risk pp. 145-161

Shaun S. Wang and Virginia R. Young

Closure properties of some partial orderings under mixing pp. 163-170

Ole Hesselager

Volume 22, issue 1, 1998

The interplay between insurance, finance and control pp. 1-1

Soren Asmussen and Ole Barndorff-Nielsen

Ruin theory with compounding assets -- a survey pp. 3-16

Jostein Paulsen

Some system theoretic aspects of interest rate theory pp. 17-23

Tomas Bjork, Bent Jesper Christensen and Andrea Gombani

Concepts and methods for discrete and continuous time control under uncertainty pp. 25-39

Wolfgang J. Runggaldier

Optimal proportional reinsurance policies for diffusion models with transaction costs pp. 41-51

Bjarne Hojgaard and Michael Taksar

On some filtering problems arising in mathematical finance pp. 53-64

Damiano Brigo and Bernard Hanzon

An actuarial approach to option pricing under the physical measure and without market assumptions pp. 65-73

Mogens Bladt and Tina Hviid Rydberg

On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance pp. 75-91

Manfred Schal

Ruin probabilities in perturbed risk models pp. 93-104

Sabine Schlegel

Optimal risk and dividend control for a company with a debt liability pp. 105-122

Michael I. Taksar and Xun Yu Zhou