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 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

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