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 100, issue C, 2021

Optimal risk exposure and dividend payout policies under model uncertainty pp. 1-29

Yang Feng, Jinxia Zhu and Tak Kuen Siu

Infinitely stochastic micro reserving pp. 30-58

Matúš Maciak, Ostap Okhrin and Michal Pešta

Forecasting mortality with international linkages: A global vector-autoregression approach pp. 59-75

Hong Li and Yanlin Shi

The annuity puzzle and consumption hump under ambiguous life expectancy pp. 76-88

Nan-Wei Han and Mao-Wei Hung

Fees in tontines pp. 89-106

An Chen, Montserrat Guillen and Manuel Rach

On retirement time decision making pp. 107-129

An Chen, Felix Hentschel and Mogens Steffensen

Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting pp. 130-146

Frank Bosserhoff and Mitja Stadje

On the analysis of deep drawdowns for the Lévy insurance risk model pp. 147-155

David Landriault, Bin Li and Mohamed Amine Lkabous

Capital, aggregate risk, insurance prices and regulation pp. 156-192

Ajay Subramanian and Jinjing Wang

A decomposition of general premium principles into risk and deviation pp. 193-209

Max Nendel, Frank Riedel and Maren Diane Schmeck

Stop-loss protection for a large P2P insurance pool pp. 210-233

Michel Denuit and Christian Y. Robert

Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests pp. 234-260

Aurélien Alfonsi, Adel Cherchali and Jose Arturo Infante Acevedo

Closed-form solutions for an explicit modern ideal tontine with bequest motive pp. 261-273

John Dagpunar

Bayesian credibility under a bivariate prior on the frequency and the severity of claims pp. 274-295

Eric C.K. Cheung, Weihong Ni, Rosy Oh and Jae-Kyung Woo

SynthETIC: An individual insurance claim simulator with feature control pp. 296-308

Benjamin Avanzi, Greg Taylor, Melantha Wang and Bernard Wong

A multi-year microlevel collective risk model pp. 309-328

Rosy Oh, Himchan Jeong, Jae Youn Ahn and Emiliano A. Valdez

Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure pp. 329-349

Jun Cai and Ying Wang

Approximate Bayesian Computations to fit and compare insurance loss models pp. 350-371

Pierre-Olivier Goffard and Patrick J. Laub

Sensitivity analysis with χ2-divergences pp. 372-383

Vaishno Devi Makam, Pietro Millossovich and Andreas Tsanakas

Equilibrium investment strategy for a DC pension plan with learning about stock return predictability pp. 384-407

Pei Wang, Yang Shen, Ling Zhang and Yuxin Kang

Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging pp. 408-428

J. Lars Kirkby and Duy Nguyen

Concave/convex weighting and utility functions for risk: A new light on classical theorems pp. 429-435

Peter Wakker and Jingni Yang

Volume 99, issue C, 2021

Joint generalized quantile and conditional tail expectation regression for insurance risk analysis pp. 1-8

Montserrat Guillen, Lluís Bermúdez and Albert Pitarque

On the modelling of multivariate counts with Cox processes and dependent shot noise intensities pp. 9-24

Benjamin Avanzi, Greg Taylor, Bernard Wong and Xinda Yang

Time-consistent longevity hedging with long-range dependence pp. 25-41

Ling Wang and Hoi Ying Wong

Incorporating statistical clustering methods into mortality models to improve forecasting performances pp. 42-62

Cary Chi-Liang Tsai and Echo Sihan Cheng

Variable annuities: Market incompleteness and policyholder behavior pp. 63-78

Thorsten Moenig

Right-truncated Archimedean and related copulas pp. 79-91

Marius Hofert

The merits of pooling claims: Mutual vs. stock insurers pp. 92-104

Hato Schmeiser and Carolina Orozco-Garcia

Batch mode active learning framework and its application on valuing large variable annuity portfolios pp. 105-115

Hyukjun Gweon and Shu Li

Option pricing in regime-switching frameworks with the Extended Girsanov Principle pp. 116-129

Frédéric Godin and Denis-Alexandre Trottier

Revisiting optimal investment strategies of value-maximizing insurance firms pp. 131-151

Pablo Koch-Medina, Santiago Moreno-Bromberg, Claudia Ravanelli and Mario Šikić

Assessing mortality inequality in the U.S.: What can be said about the future? pp. 152-162

Han Li and Rob Hyndman

Tests for Laplace order dominance with applications to insurance data pp. 163-173

Dhrubasish Bhattacharyya, Ruhul Ali Khan and Murari Mitra

Joint and survivor annuity valuation with a bivariate reinforced urn process pp. 174-189

Luis A. Souto Arias and Pasquale Cirillo

Cause of death specific cohort effects in U.S. mortality pp. 190-199

Cristian Redondo Lourés and Andrew J.G. Cairns

Addressing the life expectancy gap in pension policy pp. 200-221

Jorge Bravo, Mercedes Ayuso, Robert Holzmann and Edward Palmer

It takes two: Why mortality trend modeling is more than modeling one mortality trend pp. 222-232

Matthias Börger, Jochen Russ and Johannes Schupp

The role of a longevity insurance for defined contribution pension systems pp. 233-240

Solange Berstein and Marco Morales

Modelling mortality dependence: An application of dynamic vine copula pp. 241-255

Rui Zhou and Min Ji

A Fourier-cosine method for finite-time ruin probabilities pp. 256-267

Wing Yan Lee, Xiaolong Li, Fangda Liu, Yifan Shi and Sheung Chi Phillip Yam

Gompertz law revisited: Forecasting mortality with a multi-factor exponential model pp. 268-281

Hong Li, Ken Seng Tan, Shripad Tuljapurkar and Wenjun Zhu

Tail dependence and heavy tailedness in extreme risks pp. 282-293

Liuyan Ji, Ken Seng Tan and Fan Yang

Cause-specific mortality rates: Common trends and differences pp. 294-308

Séverine Arnold and Viktoriya Glushko

A combined analysis of hedge effectiveness and capital efficiency in longevity hedging pp. 309-326

Matthias Börger, Arne Freimann and Jochen Ruß

Deep hedging of long-term financial derivatives pp. 327-340

Alexandre Carbonneau

Modeling and pricing longevity derivatives using Skellam distribution pp. 341-354

Ko-Lun Kung, I-Chien Liu and Chou-Wen Wang

Macro longevity risk and the choice between annuity products: Evidence from Denmark pp. 355-362

Anne G. Balter, Malene Kallestrup-Lamb and Jesper Rangvid

Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans pp. 363-375

Jesús-Adrián Alvarez, Malene Kallestrup-Lamb and Søren Kjærgaard

Recent declines in life expectancy: Implication on longevity risk hedging pp. 376-394

Johnny Siu-Hang Li and Yanxin Liu

Longevity risk and capital markets: The 2019-20 update pp. 395-439

David Blake and Andrew J.G. Cairns

The economics of sharing macro-longevity risk pp. 440-458

Dirk Broeders, Roel Mehlkopf and Annick van Ool

Pooling mortality risk in Eurozone state pension liabilities: An application of a Bayesian coherent multi-population cohort-based mortality model pp. 459-485

David G. McCarthy and Po-Lin Wang

Mortality data correction in the absence of monthly fertility records pp. 486-508

Alexandre Boumezoued and Amal Elfassihi