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 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

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