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 94, issue C, 2020

A more meaningful parameterization of the Lee–Carter model pp. 1-8

Piet de Jong, Leonie Tickle and Jianhui Xu

Range Value-at-Risk bounds for unimodal distributions under partial information pp. 9-24

Carole Bernard, Rodrigue Kazzi and Steven Vanduffel

Optimal retirement with borrowing constraints and forced unemployment risk pp. 25-39

Bong-Gyu Jang, Seyoung Park and Huainan Zhao

Modeling mortality with a Bayesian vector autoregression pp. 40-57

Carolyn Ndigwako Njenga and Michael Sherris

Levelling the playing field: A VIX-linked structure for funded pension schemes pp. 58-78

Jean-François Bégin

Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted models pp. 79-93

Nikola Počuča, Petar Jevtić, Paul D. McNicholas and Tatjana Miljkovic

Stability properties of Haezendonck–Goovaerts premium principles pp. 94-99

Niushan Gao, Cosimo Munari and Foivos Xanthos

Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time pp. 100-108

Zhou Zhou and Zhuo Jin

Regression based reserving models and partial information pp. 109-124

Mathias Lindholm and Richard Verrall

Optimal DB-PAYGO pension management towards a habitual contribution rate pp. 125-141

Lin He, Zongxia Liang and Fengyi Yuan

Time consistent pension funding in a defined benefit pension plan with non-constant discounting pp. 142-153

Ricardo Josa-Fombellida and Jorge Navas

On positive homogeneity and comonotonic additivity of the principle of equivalent utility under Cumulative Prospect Theory pp. 154-159

J. Chudziak

Optimal investment–consumption problem: Post-retirement with minimum guarantee pp. 160-181

Hassan Dadashi

Predictive compound risk models with dependence pp. 182-195

Himchan Jeong and Emiliano A. Valdez

Volume 93, issue C, 2020

The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty pp. 1-26

Johnny Siu-Hang Li and Yanxin Liu

Calculation of changes in life expectancy based on proportional hazards model of an intervention pp. 27-35

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

Liquidation risk in insurance under contemporary regulatory frameworks pp. 36-49

Xin Li, Haibo Liu, Qihe Tang and Jinxia Zhu

A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving pp. 50-71

Benjamin Avanzi, Greg Taylor, Phuong Anh Vu and Bernard Wong

Empirically assessing and modeling spillover effects from operational risk events in the insurance industry pp. 72-83

Christian Eckert, Nadine Gatzert and Dinah Heidinger

A Bayesian nonparametric model and its application in insurance loss prediction pp. 84-94

Yifan Huang and Shengwang Meng

Modelling life tables with advanced ages: An extreme value theory approach pp. 95-115

Fei Huang, Ross Maller and Xu Ning

Innovation in long-term care insurance: Joint contracts for mitigating relational moral hazard pp. 116-124

Peter Zweifel

Sustainability of pension systems with voluntary participation pp. 125-140

Ward Romp and Roel Beetsma

Double-counting problem of the bonus–malus system pp. 141-155

Rosy Oh, Kyung Suk Lee, Sojung C. Park and Jae Youn Ahn

Bachelier model with stopping time and its insurance application pp. 156-167

Anna Glazyrina and Alexander Melnikov

Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process pp. 168-177

Z. Palmowski and B.A. Surya

Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models pp. 178-186

Tomer Shushi and Jing Yao

Nonlinear reserving and multiple contract modifications in life insurance pp. 187-195

Marcus C. Christiansen and Boualem Djehiche

Nash equilibria in optimal reinsurance bargaining pp. 196-205

Michail Anthropelos and Tim J. Boonen

Optimal reinsurance-investment strategy for a dynamic contagion claim model pp. 206-215

Jingyi Cao, David Landriault and Bin Li

Evolutionary credibility risk premium pp. 216-229

Yongzhao Chen, Ka Chun Cheung, Hugo Ming Cheung Choi and Sheung Chi Phillip Yam

Optimal dynamic asset allocation for DC plan accumulation/decumulation: Ambition-CVAR pp. 230-245

Peter A. Forsyth

Ruin-based risk measures in discrete-time risk models pp. 246-261

Hélène Cossette, Etienne Marceau, Julien Trufin and Pierre Zuyderhoff

Asymptotic independence and support detection techniques for heavy-tailed multivariate data pp. 262-277

Jaakko Lehtomaa and Sidney I. Resnick

The participation puzzle with reference-dependent expected utility preferences pp. 278-287

Jianli Wang, Liqun Liu and William Neilson

Characterizing optimal allocations in quantile-based risk sharing pp. 288-300

Ruodu Wang and Yunran Wei

Expected utility approximation and portfolio optimisation pp. 301-314

Matthias A. Fahrenwaldt and Chaofan Sun

Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs pp. 315-332

Benjamin Avanzi, Hayden Lau and Bernard Wong

Rate of convergence of the probability of ruin in the Cramér–Lundberg model to its diffusion approximation pp. 333-340

Asaf Cohen and Virginia R. Young

Stochastic comparisons of the smallest and largest claim amounts with location-scale claim severities pp. 341-352

Ghobad Barmalzan, Abbas Akrami and Narayanaswamy Balakrishnan

Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data pp. 353-368

Apostolos Bozikas and Georgios Pitselis

Prevention efforts, insurance demand and price incentives under coherent risk measures pp. 369-386

Sarah Bensalem, Nicolás Hernández Santibáñez and Nabil Kazi-Tani

Relative bound and asymptotic comparison of expectile with respect to expected shortfall pp. 387-399

Mekonnen Tadese and Samuel Drapeau

Volume 92, issue C, 2020

Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments pp. 1-16

Ran Xu and Jae-Kyung Woo

On occupation times in the red of Lévy risk models pp. 17-26

David Landriault, Bin Li and Mohamed Amine Lkabous

Robust optimal reinsurance–investment strategy with price jumps and correlated claims pp. 27-46

Zhiping Chen and Peng Yang

On sums of two counter-monotonic risks pp. 47-60

Ihsan Chaoubi, Hélène Cossette, Simon-Pierre Gadoury and Etienne Marceau

On the increasing convex order of generalized aggregation of dependent random variables pp. 61-69

Yiying Zhang and Ka Chun Cheung

Distributionally robust inference for extreme Value-at-Risk pp. 70-89

Robert Yuen, Stilian Stoev and Daniel Cooley

Long-term real dynamic investment planning pp. 90-103

Russell Gerrard, Munir Hiabu, Jens Perch Nielsen and Peter Vodička

Optimal insurance with belief heterogeneity and incentive compatibility pp. 104-114

Yichun Chi and Sheng Chao Zhuang

On the asymptotic equilibrium of a population system with migration pp. 115-127

Augusto Pianese, Anna Attias, Sergio Bianchi and Zoltàn Varga

Optimal reinsurance under the mean–variance premium principle to minimize the probability of ruin pp. 128-146

Xiaoqing Liang, Zhibin Liang and Virginia R. Young

Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age? pp. 147-161

Moshe Milevsky

Multi-stage nested classification credibility quantile regression model pp. 162-176

Georgios Pitselis