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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Stochastic time changes in catastrophe option pricing pp. 185-193: Helyette Geman and Marc Yor
A note on Shiu's immunization results pp. 195-200: M. Uberti
Asset allocation with time variation in expected returns pp. 201-218: Phelim P. Boyle and Hailiang Yang
Stop-loss order for portfolios of dependent risks pp. 219-223: Alfred Müller
IBNR reserves under stochastic interest rates pp. 225-244: Marc Goovaerts and Ann De Schepper

Preface pp. 95-95: Elias S. W. Shiu
An old-age social security program for Bangladesh pp. 97-102: John A. Beekman and Md. Humayun Kabir
Better late than never: The case of the rollover option pp. 103-111: Claire Bilodeau
Reserving for maturity guarantees: Two approaches pp. 113-127: Phelim P. Boyle and Mary R. Hardy
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin pp. 129-137: Hans U. Gerber and Elias S. W. Shiu
The Istanbul option: Where the standard European option becomes Asian pp. 139-152: Michel Jacques
Hedging strategies using catastrophe insurance options pp. 153-162: Thomas O'Brien
Regression-quantile graduation of Australian life tables, 1946-1992 pp. 163-172: Esther Portnoy
Axiomatic characterization of insurance prices pp. 173-183: Shaun S. Wang, Virginia R. Young and Harry H. Panjer

The effect of interest on negative surplus pp. 1-16: David C. M. Dickson and Alfredo Egidio dos Reis
Non-optimal prediction by the chain ladder method pp. 17-24: Klaus D. Schmidt
Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions pp. 25-42: Gordon E. Willmot
Stochastic pension fund modelling pp. 43-79: Andrew J. G. Cairns and Gary Parker
Testing independence in bivariate distributions of claim frequencies and severities pp. 81-89: Jacques F. Carriere
Practical analysis of extreme values: J. Beirlant, J. Teugels and P. Vynckier, Leuven University Press, 1996 pp. 91-92: Stuart Klugman

Unemployment insurance and mortgages pp. 173-195: Christian Gourieroux and Olivier Scaillet
Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences pp. 197-213: Michel Denuit and Claude Lefevre
Optimal choice of dividend barriers for a risk process with stochastic return on investments pp. 215-223: Jostein Paulsen and Hakon K. Gjessing
Reserving consecutive layers of inwards excess-of-loss reinsurance pp. 225-242: Greg Taylor
The present value of a stochastic perpetuity and the Gamma distribution pp. 243-250: Moshe Milevsky

The variance of a truncated random variable and the riskiness of the underlying variables pp. 79-95: Piet Sercu
Stable Lévy motion approximation in collective risk theory pp. 97-114: Hansjorg Furrer, Zbigniew Michna and Aleksander Weron
Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme pp. 115-135: Steven Haberman, Yuk Patrick Lam and Wong

Controlled diffusion models for optimal dividend pay-out pp. 1-15: Soren Asmussen and Michael Taksar
Liquid asset allocation using "newsvendor" models with convex shortage costs pp. 17-21: Yigal Gerchak and Shaun Wang
Computing compound distributions faster! pp. 23-34: P. W. den Iseger, M. A. J. Smith and Rommert Dekker
A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate pp. 35-41: M. Vanneste, Marc Goovaerts, Ann De Schepper and Jan Dhaene
The solution of Schmitter's simple problem: Numerical illustration pp. 43-58: F. De Vylder, Marc Goovaerts and E. Marceau
The bi-atomic uniform minimal solution of Schmitter's problem pp. 59-78: F. De Vylder, Marc Goovaerts and E. Marceau

Markov models and Thiele's integral equations for the prospective reserve pp. 187-235: Hartmut Milbrodt and Andrea Stracke
Application of mixture models to approximation of age-at-death distribution pp. 237-241: Helena Jasiulewicz
On the dependency of risks in the individual life model pp. 243-253: Jan Dhaene and Marc Goovaerts

The adjustment function in ruin estimates under interest force pp. 85-94: Bjorn Sundt and Jozef L. Teugels
On the relationship between bounds on the tails of compound distributions pp. 95-103: Gordon E. Willmot
Dual modelling and select mortality pp. 105-126: A. E. Renshaw and S. Haberman
Stochastic investment returns and contribution rate risk in a defined benefit pension scheme pp. 127-139: Steven Haberman

The numerical solution of the Schmitter problems: Theory pp. 1-18: F. De Vylder and E. Marceau
Valuation of the early-exercise price for options using simulations and nonparametric regression pp. 19-30: Jacques F. Carriere
Claims reserving and generalised additive models pp. 31-43: Richard Verrall
Goodness of fit test statistics for the zeta family pp. 45-53: Andrew Luong and Louis G. Doray
Deductible insurance and production: A comment pp. 55-59: Christian Gollier
Reinsurance and ruin pp. 61-80: David C. M. Dickson and Howard R. Waters
Correction note to "On the preservation of some orderings of risks under convolution" pp. 81-83: Franco Pellerey

Aspects of prospective mean values in risk theory pp. 173-181: Christian M. Moller
Actuarial bridges to dynamic hedging and option pricing pp. 183-218: Hans U. Gerber and Elias S. W. Shiu
Bounds on the tails of convolutions of compound distributions pp. 219-219: Gordon E. Willmot and Xiadong Lin

Mixtures of tails in clustered automobile collision claims pp. 89-107: Guyonne Kalb, Paul Kofman and Ton Vorst
Ordering of risks under PH-transforms pp. 109-114: Shaun Wang
On the estimation of smooth forward rate curves from a finite number of observations: A comment pp. 115-117: Corrado Corradi
Some results about the expected ruin time in Markov-modulated risk models pp. 119-127: Nicole Bauerle

Taylor-series expansion for multivariate characteristics of classical risk processes pp. 1-12: Andreas Frey and Volker Schmidt
On smoothness terms in multidimensional Whittaker graduation pp. 13-27: James D. Broffitt
Bounds on the tails of convolutions of compound distributions pp. 29-33: Gordon E. Willmot and Xiaodong Lin
On probability distributions of present values in life insurance pp. 35-42: Ole Hesselager and Ragnar Norberg
UMVUE of the IBNR reserve in a lognormal linear regression model pp. 43-57: Louis G. Doray
Stability of pension systems when gains/losses are amortized and rates of return are autoregressive pp. 59-71: R. Gerrard and S. Haberman
Statistical tests of stochastic process models used in the financial theory of insurance companies pp. 73-79: Patrick L. Brockett, Robert C. Witt, Boaz Golany, Naim Sipra and Xiaohua Xia
The compound Poisson approximation for a portfolio of dependent risks pp. 81-85: Marc Goovaerts and Jan Dhaene