Insurance: Mathematics and Economics

1982 - 2025

Current editor(s): R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

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