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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Properties of the Esscher premium calculation principle pp. 261-267: A. E. Van Heerwaarden, R. Kaas and Marc Goovaerts
A martingale approach to premium calculation principles in an arbitrage free market pp. 269-277: F. Delbaen and J. Haezendonck
Estimation of ruin probabilities by means of hazard rates pp. 279-285: Claudia Kluppelberg
Insurance-investment: diffusion analysis pp. 287-302: Dominique Page
Estimating hedonic distributions using polynomials pp. 303-308: Richard J. Butler and John D. Worrall
On optimum loss control: the case of Poisson distributed losses pp. 309-313: Dongsae Cho
Positive homogeneity and multiplicativity of premium principles on positive risks pp. 315-319: Klaus D. Schmidt
Delay in claim settlement pp. 321-330: P. Boogaert and J. Haezendonck

Guest editors' introduction pp. 157-157: Harry H. Panjer and Gordon E. Willmot
Bayesian modelling of mortality catastrophes pp. 159-164: Stuart A. Klugman
Stochastic differential equations for compounded risk reserves pp. 165-173: Jose Garrido
Limiting tail behaviour of some discrete compound distributions pp. 175-185: Gordon E. Willmot
Weak convergence of random growth processes with applications to insurance pp. 187-201: Daniel Dufresne
AIDS: Exponential vs. polynomial growth models pp. 203-209: Harry H. Panjer
Observations on the HIV epidemic and managing uncertainty in insurance pp. 211-232: David M. Holland
Further reflections on actuarial recognition of nuclear holocaust hazard pp. 233-242: Cecil J. Nesbitt
Ruin probability by operational calculus pp. 243-249: Elias S. W. Shiu
On the computation of the aggregate claim distribution when individual claims are Inverse Gaussian pp. 251-258: Michel Gendron and Helene Crepeau

The demand for Italian health insurance pp. 105-118: Mariateresa Fiocca and John Hey
Bonus hunger and credibility estimators with geometric weights pp. 119-126: Bjorn Sundt
A general framework for credibility prediction of multidimensional first and second moments pp. 127-136: William S. Jewell
On the derivation of reinsurance premiums pp. 137-144: Jack S. K. Chang, C. S. Cheung and I. Krinsky
Recursive calculation of the probability and severity of ruin pp. 145-148: David C. M. Dickson
Representation of a time-discrete probability of eventual ruin pp. 149-152: R. Michel

Editorial pp. 1-1: Hans Gerber, Volker Mammitzsch, Jean Haezendonck and Marc Goovaerts
The Buhlmann--Straub Model with the premium calculated according to the variance principle pp. 3-10: Maria de Lourdes Centeno
Optimal reinsurance in relation to ordering of risks pp. 11-17: A. E. Van Heerwaarden, R. Kaas and Marc Goovaerts
Combining Panjer's recursion with convolution pp. 19-21: R. Kaas, A. E. Van Heerwaarden and Marc Goovaerts
The practical application of credibility theory pp. 23-29: Marc Goovaerts, T. Bauwelinckx and C. Stoop
A credit scoring model for personal loans pp. 31-34: A. Steenackers and Marc Goovaerts
Selection of variables for automobile insurance rating pp. 35-46: Krzysztof J. Stroinski and Iain D. Currie
A managerial approach to risk theory: Some suggestions from the theory of financial decisions pp. 47-56: Flavio Pressacco
Compound and mixed distributions pp. 57-62: F. De Vylder
A three-way credibility approach to loss reserving pp. 63-69: G. Venter
Stability of pension systems when rates of return are random pp. 71-76: Daniel Dufresne
Decision theoretic foundations of credibility theory pp. 77-95: Wolf-Rudiger Heilmann
Perturbation calculus in risk theory: Application to chains and trees of reinsurance pp. 97-104: Bart Heijnen

Rudiments of insurance purchasing: a graphical state-claims analysis pp. 211-217: Yehuda Kahane, Harris Schlesinger and Nitzan Yanai
Immunization of multiple liabilities pp. 219-224: Elias S. W. Shiu
The emergence of profit in life insurance pp. 225-236: Henrik Ramlau-Hansen
On optimal dividend payments and related problems pp. 237-249: K. -H. Waldmann
Simple risk forecasts using credibility pp. 251-259: Werner Hurlimann
The validity of least squares estimation in a time series model using the bootstrap methodology pp. 261-267: Mun Son, Hosny Hamdy, Mohammad Almahmeed and Bruce Sindahl
Ruin estimates for large claims pp. 269-274: P. Embrechts and J. A. Villasenor
Further use of Shiu's approach to the evaluation of ultimate ruin probabilities pp. 275-281: Gordon E. Willmot
A recursive algorithm for convolutions of discrete uniform distributions pp. 283-285: Bjorn Sundt

Option pricing methods: an overview pp. 139-152: Cynthia Van Hulle
A stochastic simulation procedure for pension schemes pp. 153-161: Anna Rita Racinello
Stochastic models for bond prices, function space integrals and immunization theory pp. 163-173: John A. Beekman and Elias S. W. Shiu
A new method for valuing underwriting agreements for rights issues pp. 175-184: Knut Aase
Instrument effects and stochastic dominance pp. 185-191: Michael G. Bradley and Dale E. Lehman
The surpluses immediately before and at ruin, and the amount of the claim causing ruin pp. 193-199: Francois Dufresne and Hans U. Gerber
Mean-lower partial moment asset pricing and the regulation of property--liability insurance rates pp. 201-210: Larry A. Cox and Gary L. Griepentrog

The probability and severity of ruin for combinations of exponential claim amount distributions and their translations pp. 75-80: Francois Dufresne and Hans U. Gerber
Optimal term life insurance -- A practical solution pp. 81-93: Haim Lévy, Julian L. Simon and Neil A. Doherty
Yields on lottery bonds pp. 95-101: Henrik Ramlau-Hansen
A bonus--malus system in automobile insurance pp. 103-112: Walther Neuhaus
Credibility estimators with geometric weights pp. 113-122: Bjorn Sundt
Diffusion premiums for claim severities subject to inflation pp. 123-129: Jose Garrido
Limit theorems for the present value of the surplus of an insurance portfolio pp. 131-138: P. Boogaert, J. Haezendonck and F. Delbaen

Recursive calculation of finite-time ruin probabilities pp. 1-7: F. De Vylder and Marc Goovaerts
Aspects of optimal insurance demand when there are uninsurable risks pp. 9-14: Peter Kischka
Mathematical fun with ruin theory pp. 15-23: Hans U. Gerber
Joint insurance and capitalization costs pp. 25-33: Charles S. Tapiero and Laurent Jacque
On algebraic equivalence of tariffing systems pp. 35-37: Werner Hurlimann
An elementary proof of the Adelson--Panjer recursion formula pp. 39-40: Werner Hurlimann
Calculation of the probability of eventual ruin by Beekman's convolution series pp. 41-47: Elias S. W. Shiu
A gamma-minimax result in credibility theory pp. 49-57: Jurgen Eichenauer, Jurgen Lehn and Stefan Rettig
Cross-validatory graduation pp. 59-66: R. J. Brooks, M. Stone, F. Y. Chan and L. K. Chan
Non-uniqueness of option prices pp. 67-69: Hans U. Gerber and Elias S. W. Shiu
The contribution formula: an economic view pp. 71-74: J. B. Kune