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 10, issue 4, 1992

Editorial pp. 231-231

Marc Goovaerts, R. Kaas and F. De Vylder

Estimation of the heterogeneity parameter in the Buhlmann-Straub credibility theory model pp. 233-238

F. De Vylder and Marc Goovaerts

Current problems in insurance economics pp. 239-248

Patrick Van Cayseele

Actuarial software pp. 249-258

R. Kaas

Computational methods in risk theory: A matrix-algorithmic approach pp. 259-274

Soren Asmussen and Tomasz Rolski

Extra randomness in certain annuity models pp. 275-287

John A. Beekman and Clinton P. Fuelling

Statistical risk evaluation applied to (Belgian) car insurance pp. 289-302

J. Beirlant, V. Derveaux, A. M. De Meyer, Marc Goovaerts, E. Labie and B. Maenhoudt

From the generalized gamma to the generalized negative binomial distribution pp. 303-309

Hans U. Gerber

Volume 10, issue 3, 1991

Insurers' profits in the third-party liability insurance pp. 165-172

Nico Dellaert, Hans Frenk and Bob van der Laan

A stop-loss experience rating scheme for fleets of cars pp. 173-179

Jozef L. Teugels and Bjorn Sundt

A bootstrap procedure for estimating the adjustment coefficient pp. 181-190

Paul Embrechts and Thomas Mikosch

Reinsurance in arbitrage-free markets pp. 191-202

Dieter Sondermann

Bond options and bond portfolio insurance pp. 203-230

P. Sercu

Volume 10, issue 2, 1991

Forecasting compulsory motor insurance claims in Kuwait pp. 85-92

M. Y. El-Bassiouni and M. H. El-Habashi

A recursive evaluation of the finite time ruin probability based on an equation of Seal pp. 93-97

B. M. Kling and Marc Goovaerts

The probability of ruin in a process with dependent increments pp. 99-107

S. David Promislow

Reinsurance retention levels for property/liability firms: A managerial portfolio selection framework pp. 109-123

Yoram Kroll and David Nye

A note on Shiu--Fisher--Weil immunization theorem pp. 125-131

Luigi Montrucchio and Lorenzo Peccati

On approximating aggregate claims distributions and stop-loss premiums by truncation pp. 133-136

Bjorn Sundt

The linear model revisited pp. 137-143

Colin M. Ramsay

Optimal claim behaviour for third-party liability insurances with perfect information pp. 145-151

N. P. Dellaert, J. B. G. Frenk and E. Voshol

Bounds on stop-loss premiums and ruin probabilities pp. 153-159

A. Steenackers and Marc Goovaerts

H.U. Gerber, Life Insurance Mathematics (Springer-Verlag, Berlin-Heidelberg, and Swiss Association of Actuaries, Zurich, 1990) pp. xiii + 131, $59.50, ISBN 3-540-52944-6 Springer-Verlag, Berlin-Heidelberg-New York. ISBN 0-387-52944-6, Springer-Verlag, New York. Berlin-Heidelberg pp. 161-161

H. Wolthuis

Volume 10, issue 1, 1991

On blocked poisson processes in risk theory pp. 1-8

Colin M. Ramsay

Negative claim amounts, bessel functions, linear programming and Miller's algorithm pp. 9-20

Werner Hurlimann

Rational ruin problems--a note for the teacher pp. 21-29

Francois Dufresne and Hans U. Gerber

On estimating the rate of return pp. 31-36

C. R. Heathcote and J. Husler

On the estimation of the adjustment coefficient in risk theory via intermediate order statistics pp. 37-50

Miklos Csorgo and Josef Steinebach

Risk theory for the compound Poisson process that is perturbed by diffusion pp. 51-59

Francois Dufresne and Hans U. Gerber

On asymptotic rates on line in excess of loss reinsurance pp. 61-67

Bjorn Sundt

Linearly sufficient fun with credibility pp. 69-74

Bjorn Sundt

On the estimation of reserves from loglinear models pp. 75-80

R. J. Verrall

Correction note: On maximum likelihood estimation for count data models, insurance: mathematics and economics 9 (1990), 39-49 pp. 81-81

W. Hurlimann

Volume 9, issue 4, 1990

Premium allocation and risk avoidance in a large firm: a continuous model pp. 237-247

Charles S. Tapiero and Laurent L. Jacque

Whole-life insurance lapse rates and the emergency fund hypothesis pp. 249-255

J. Francois Outreville

Applications of the GB2 family of distributions in modeling insurance loss processes pp. 257-272

John Cummins, Georges Dionne, James McDonald and B. Michael Pritchett

Covariance matrix patterns invariant under multiplication and inversion pp. 273-275

William S. Jewell

On Life Table applications of ordering among risks pp. 277-279

Werner Hurlimann

The cost of deposit insurance: derivation of a risk-adjusted premium pp. 281-290

Jorge Urrutia

A discussion of 'AIDS: exponential vs. polynomial growth models' by Harry H. Panjer pp. 291-293

Thomas N. Herzog

'Finem Lauda' or the risks in swaps pp. 295-303

Philippe Artzner and Freddy Delbaen

Volume 9, issue 2-3, 1990

Credibility for increased limits pp. 77-80

Stuart Klugman

Synthetic portfolio insurance on the Italian stock index: From theory to practice pp. 81-94

Flavio Pressacco and Patrizia Stucchi

Simulation of ruin probabilities pp. 95-99

P. Boogaert and Anja De Waegenaere

The recursive calculation of the moments of the profit on a sickness insurance policy pp. 101-113

Howard Waters

When does the surplus reach a given target? pp. 115-119

Hans U. Gerber

A remark on the moments of ruin time in classical risk theory pp. 121-126

Freddy Delbaen

Nonparametric estimators for the probability of ruin pp. 127-130

Kristof Croux and Noel Veraverbeke

Valuation of derivative securities involving several assets using discrete time methods pp. 131-139

Phelim P. Boyle

Simulating risk solvency pp. 141-148

Paul Embrechts and Lode Wouters

On a fundamental identity for stopping times and its application to risk theory pp. 149-153

Colin M. Ramsay

Macro-economic version of a classical formula in risk theory pp. 155-162

P. Boogaert and Anja De Waegenaere

A 'bonus/malus' system with 'conditioned' bonus pp. 163-169

G. Sammartini

On Redington's theory of immunization pp. 171-175

Elias S. W. Shiu

Ordering of risks and ruin probabilities pp. 177-178

R. Kaas and A. E. Van Heerwaarden

Insurance vs. loss prevention - an actuarial approach pp. 179-184

W. -R. Heilmann

Interest and mortality randomness in some annuities pp. 185-196

John A. Beekman and Clinton P. Fuelling

The parameters of a multiple criteria model of actuarial assumptions for pension plan valuations pp. 197-206

Arnold F. Shapiro

Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk pp. 207-220

B. Heijnen

On a multilevel hierarchical credibility algorithm pp. 221-228

T. Bauwelinckx and Marc Goovaerts

The retrospective premium reserve pp. 229-234

Henk Wolthuis and Jan M. Hoem

Volume 9, issue 1, 1990

Portfolio insurance: a simulation under different market conditions pp. 1-19

Ron Bird, Ross Cunningham, David Dennis and Mark Tippett

Generalised linear models and excess mortality from peptic ulcers pp. 21-32

S. Haberman and A. E. Renshaw

Maximizing the expected time to ruin for a company operating N distinct funds with a 'superclaims' process pp. 33-37

Sidney Browne

On maximum likelihood estimation for count data models pp. 39-49

Werner Hurlimann

Improved estimation of IBNR claims by credibility theory pp. 51-57

Thomas Mack

Optimal claim behaviour for third-party liability insurances or to claim or not to claim: that is the question pp. 59-76

N. P. Dellaert, J. B. G. Frenk, A. Kouwenhoven and B. S. Van Der Laan