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 103, issue C, 2022

Valuing guaranteed minimum accumulation benefits by a change of numéraire approach pp. 1-26

Yiming Huang, Rogemar Mamon and Heng Xiong

Risk transference constraints in optimal reinsurance pp. 27-40

Alejandro Balbás, Beatriz Balbás, Raquel Balbás and Antonio Heras

Multi-population mortality modeling: When the data is too much and not enough pp. 41-55

Ko-Lun Kung, Richard D. MacMinn, Weiyu Kuo and Chenghsien Jason Tsai

Risk measures induced by efficient insurance contracts pp. 56-65

Qiuqi Wang, Ruodu Wang and Ričardas Zitikis

Statistical inference for tail-based cumulative residual entropy pp. 66-95

Hongfang Sun, Yu Chen and Taizhong Hu

A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process pp. 96-118

Hansjörg Albrecher, Eric C.K. Cheung, Haibo Liu and Jae-Kyung Woo

On non-negative equity guarantee calculations with macroeconomic variables related to house prices pp. 119-138

Alexandru Badescu, Enoch Quaye and Radu Tunaru

Volume 102, issue C, 2022

Measuring and comparing risks of different types pp. 1-21

Maximilian Aigner, Valérie Chavez-Demoulin and Armelle Guillou

Regret-based optimal insurance design pp. 22-41

Yichun Chi and Sheng Chao Zhuang

Stackelberg differential game for reinsurance: Mean-variance framework and random horizon pp. 42-55

Danping Li and Virginia R. Young

Short term decumulation strategies for underspending retirees pp. 56-74

Peter A. Forsyth

Risk aggregation and capital allocation using a new generalized Archimedean copula pp. 75-90

Fouad Marri and Khouzeima Moutanabbir

Portfolio risk analysis of excess of loss reinsurance pp. 91-110

Qihe Tang, Zhiwei Tong and Li Xun

Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims pp. 111-125

Raluca Vernic, Catalina Bolancé and Ramon Alemany

Systemic risk: Conditional distortion risk measures pp. 126-145

Jan Dhaene, Roger Laeven and Yiying Zhang

Asymptotic results on marginal expected shortfalls for dependent risks pp. 146-168

Jinzhu Li

Risk aggregation under dependence uncertainty and an order constraint pp. 169-187

Yuyu Chen, Liyuan Lin and Ruodu Wang

Optimal asset allocation, consumption and retirement time with the variation in habitual persistence pp. 188-202

Lin He, Zongxia Liang, Yilun Song and Qi Ye

Volume 101, issue PB, 2021

Structured reinsurance deals with reference to relative market performance pp. 125-139

Léonard Vincent, Hansjörg Albrecher and Yuriy Krvavych

A random forest based approach for predicting spreads in the primary catastrophe bond market pp. 140-162

Despoina Makariou, Pauline Barrieu and Yining Chen

Testing for more positive expectation dependence with application to model comparison pp. 163-172

Michel Denuit, Julien Trufin and Thomas Verdebout

Haezendonck-Goovaerts capital allocation rules pp. 173-185

Gabriele Canna, Francesca Centrone and Emanuela Rosazza Gianin

De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts pp. 186-201

Bara Kim, Jeongsim Kim and Jerim Kim

Dividend optimisation: A behaviouristic approach pp. 202-224

Leonie Violetta Brinker and Julia Eisenberg

Optimal reinsurance under the α-maxmin mean-variance criterion pp. 225-239

Liming Zhang and Bin Li

Gamma Mixture Density Networks and their application to modelling insurance claim amounts pp. 240-261

Łukasz Delong, Mathias Lindholm and Mario V. Wüthrich

A special Tweedie sub-family with application to loss reserving prediction error pp. 262-288

Greg Taylor

When is utilitarian welfare higher under insurance risk pooling? pp. 289-301

Indradeb Chatterjee, Angus S. Macdonald, Pradip Tapadar and R. Guy Thomas

Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability pp. 302-319

Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang

Fourier based methods for the management of complex life insurance products pp. 320-341

Laura Ballotta, Ernst Eberlein, Thorsten Schmidt and Raghid Zeineddine

Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications pp. 342-358

Fabio Gobbi, Nikolai Kolev and Sabrina Mulinacci

Pandemic risk management: Resources contingency planning and allocation pp. 359-383

Xiaowei Chen, Wing Fung Chong, Runhuan Feng and Linfeng Zhang

Optimal control of investment, premium and deductible for a non-life insurance company pp. 384-405

Bent Jesper Christensen, Juan Parra-Alvarez and Rafael Serrano

Moment generating function of non-Markov self-excited claims processes pp. 406-424

Donatien Hainaut

Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation pp. 425-436

Nawaf Mohammed, Edward Furman and Jianxi Su

A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures pp. 437-465

Katja Ignatieva and Zinoviy Landsman

Enhancing an insurer's expected value by reinsurance and external financing pp. 466-484

Yichun Chi and Fangda Liu

Autocalibration and Tweedie-dominance for insurance pricing with machine learning pp. 485-497

Michel Denuit, Arthur Charpentier and Julien Trufin

Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds pp. 498-507

Katia Colaneri and Rüdiger Frey

Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market pp. 508-524

Guo Liu, Zhuo Jin and Shuanming Li

Multivariate dependence among cyber risks based on L-hop propagation pp. 525-546

Gaofeng Da, Maochao Xu and Peng Zhao

Reinsurance of multiple risks with generic dependence structures pp. 547-571

M. Guerra and A.B. de Moura

Dispersion modelling of outstanding claims with double Poisson regression models pp. 572-586

Guangyuan Gao, Shengwang Meng and Yanlin Shi

Optimal fee structure of variable annuities pp. 587-601

Gu Wang and Bin Zou

The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking pp. 602-625

George Tzougas and Alice Pignatelli di Cerchiara

On the ordering of credibility factors pp. 626-638

Jae Youn Ahn, Himchan Jeong and Yang Lu

Volume 101, issue PA, 2021

Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance pp. 6-22

Mario Ghossoub and Xue Dong He

Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs pp. 23-37

Tim J. Boonen and Mario Ghossoub

Demand for non-life insurance under habit formation pp. 38-54

Wenyuan Li, Ken Seng Tan and Pengyu Wei

Optimal retirement products under subjective mortality beliefs pp. 55-69

An Chen, Peter Hieber and Manuel Rach

Optimal annuity demand for general expected utility agents pp. 70-79

Carole Bernard, Luca De Gennaro Aquino and Lucia Levante

Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods pp. 80-90

Jinhui Zhang, Sachi Purcal and Jiaqin Wei

Return smoothing in life insurance from a client perspective pp. 91-106

Jochen Ruß and Stefan Schelling

Hawkes processes in insurance: Risk model, application to empirical data and optimal investment pp. 107-124

Anatoliy Swishchuk, Rudi Zagst and Gabriela Zeller