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 98, issue C, 2021

Fair dynamic valuation of insurance liabilities via convex hedging pp. 1-13

Ze Chen, Bingzheng Chen, Jan Dhaene and Tianyu Yang

Mortality forecasting using factor models: Time-varying or time-invariant factor loadings? pp. 14-34

Lingyu He, Fei Huang, Jianjie Shi and Yanrong Yang

Bowley solution of a mean–variance game in insurance pp. 35-43

Danping Li and Virginia R. Young

The tail mean–variance optimal portfolio selection under generalized skew-elliptical distribution pp. 44-50

Esmat Jamshidi Eini and Hamid Khaloozadeh

Optimal investment for a retirement plan with deferred annuities pp. 51-62

Iqbal Owadally, Chul Jang and Andrew Clare

Self-protection with random costs pp. 63-67

David Crainich and Mario Menegatti

Prepayment risk in reverse mortgages: An intensity-governed surrender model pp. 68-82

Tianxiang Shi and Yung-Tsung Lee

Law-invariant functionals that collapse to the mean pp. 83-91

Fabio Bellini, Pablo Koch-Medina, Cosimo Munari and Gregor Svindland

Cyber claim analysis using Generalized Pareto regression trees with applications to insurance pp. 92-105

Sébastien Farkas, Olivier Lopez and Maud Thomas

Micro-level parametric duration-frequency-severity modeling for outstanding claim payments pp. 106-119

Juan Sebastian Yanez and Mathieu Pigeon

A fractional multi-states model for insurance pp. 120-132

Donatien Hainaut

An insurance risk process with a generalized income process: A solvency analysis pp. 133-146

Zijia Wang, David Landriault and Shu Li

Sensitivity analysis and tail variability for the Wang’s actuarial index pp. 147-152

Georgios Psarrakos and Polyxeni Vliora

Volume 97, issue C, 2021

Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times pp. 1-6

Yiqing Chen, Toby White and Kam Chuen Yuen

A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems pp. 7-23

Luis Chavez-Bedoya and Ranu Castaneda

Modality for scenario analysis and maximum likelihood allocation pp. 24-43

Takaaki Koike and Marius Hofert

Pricing in a competitive stochastic insurance market pp. 44-56

Fotios Mourdoukoutas, Tim J. Boonen, Bonsoo Koo and Athanasios A. Pantelous

Univariate and multivariate claims reserving with Generalized Link Ratios pp. 57-67

Luís Portugal, Athanasios A. Pantelous and Richard Verrall

Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process pp. 68-80

Yang Shen and Bin Zou

Dynamics of state-wise prospective reserves in the presence of non-monotone information pp. 81-98

Marcus C. Christiansen and Christian Furrer

Volume 96, issue C, 2021

Volterra mortality model: Actuarial valuation and risk management with long-range dependence pp. 1-14

Ling Wang, Mei Choi Chiu and Hoi Ying Wong

Robust optimal investment and reinsurance for an insurer with inside information pp. 15-30

Xingchun Peng, Fenge Chen and Wenyuan Wang

Calendar effect and in-sample forecasting pp. 31-52

Enno Mammen, María Dolores Martínez-Miranda, Jens Perch Nielsen and Michael Vogt

Economic Neutral Position: How to best replicate not fully replicable liabilities? pp. 53-67

Andreas Kunz and Markus Popp

Extreme value estimation of the conditional risk premium in reinsurance pp. 68-80

Yuri Goegebeur, Armelle Guillou and Jing Qin

Pricing longevity derivatives via Fourier transforms pp. 81-97

Jorge Bravo and João Pedro Vidal Nunes

Mortality options: The point of view of an insurer pp. 98-115

Maren Diane Schmeck and Hanspeter Schmidli

From risk sharing to pure premium for a large number of heterogeneous losses pp. 116-126

Michel Denuit and Christian Y. Robert

Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information pp. 127-139

Rosy Oh, Youngju Lee, Dan Zhu and Jae Youn Ahn

Transforming public pensions: A mixed scheme with a credit granted by the state pp. 140-152

M. Carmen Boado-Penas, Julia Eisenberg and Ralf Korn

Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type pp. 153-167

Edward Furman, Yisub Kye and Jianxi Su

Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints pp. 168-184

Ning Wang, Nan Zhang, Zhuo Jin and Linyi Qian

Pareto-optimal reinsurance policies with maximal synergy pp. 185-198

Wenjun Jiang, Hanping Hong and Jiandong Ren

Stochastic orders and multivariate measures of risk contagion pp. 199-207

P. Ortega-Jiménez, M.A. Sordo and A. Suárez-Llorens

Improved index insurance design and yield estimation using a dynamic factor forecasting approach pp. 208-221

Hong Li, Lysa Porth, Ken Seng Tan and Wenjun Zhu

Dynamic hazards modelling for predictive longevity risk assessment pp. 222-231

Elena Kulinskaya, Lisanne Andra Gitsels, Ilyas Bakbergenuly and Nigel R. Wright

Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models pp. 232-247

Riccardo Brignone, Ioannis Kyriakou and Gianluca Fusai

Sparse regression with Multi-type Regularized Feature modeling pp. 248-261

Sander Devriendt, Katrien Antonio, Tom Reynkens and Roel Verbelen

A hybrid deep learning method for optimal insurance strategies: Algorithms and convergence analysis pp. 262-275

Zhuo Jin, Hailiang Yang and G. Yin

Model-independent price bounds for Catastrophic Mortality Bonds pp. 276-291

Raj Kumari Bahl and Sotirios Sabanis

Volume 95, issue C, 2020

A BSDE-based approach for the optimal reinsurance problem under partial information pp. 1-16

M. Brachetta and C. Ceci

Pareto-optimal insurance contracts with premium budget and minimum charge constraints pp. 17-27

Alexandru V. Asimit, Ka Chun Cheung, Wing Fung Chong and Junlei Hu

Spatial patterns of mortality in the United States: A spatial filtering approach pp. 28-38

Kyran Cupido, Petar Jevtić and Antonio Paez

Optimal risk-sharing across a network of insurance companies pp. 39-47

Nicolas Ettlin, Walter Farkas, Andreas Kull and Alexander Smirnow

Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods pp. 48-58

Giovanni Rabitti and Emanuele Borgonovo

Empirical analysis and forecasting of multiple yield curves pp. 59-78

Christoph Gerhart and Eva Lütkebohmert

Center-outward quantiles and the measurement of multivariate risk pp. 79-100

J. Beirlant, S. Buitendag, E. del Barrio, Marc Hallin and F. Kamper

Statistical estimation for some dividend problems under the compound Poisson risk model pp. 101-115

Jiayi Xie and Zhimin Zhang

Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions pp. 116-128

Yang-Che Wu

A continuous-time theory of reinsurance chains pp. 129-146

Lv Chen, Yang Shen and Jianxi Su

Term structure of discount rates for firms in the insurance industry pp. 147-158

Carmelo Giaccotto, Xiao Lin and Yanhui Zhao

Positivity properties of the ARFIMA(0,d,0) specifications and credibility analysis of frequency risks pp. 159-165

Jean Pinquet

Modeling stochastic mortality for joint lives through subordinators pp. 166-172

Yuxin Zhang and Patrick Brockett

On a family of coherent measures of variability pp. 173-182

Taizhong Hu and Ouxiang Chen

Risk aggregation in non-life insurance: Standard models vs. internal models pp. 183-198

Martin Eling and Kwangmin Jung

On a robust risk measurement approach for capital determination errors minimization pp. 199-211

Marcelo Righi, Fernanda Maria Müller and Marlon Ruoso Moresco