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 91, issue C, 2020

Weak limits of random coefficient autoregressive processes and their application in ruin theory pp. 1-11

Y. Dong and J. Spielmann

Generalized expected discounted penalty function at general drawdown for Lévy risk processes pp. 12-25

Wenyuan Wang, Ping Chen and Shuanming Li

The Poisson random effect model for experience ratemaking: Limitations and alternative solutions pp. 26-36

Woojoo Lee, Jeonghwan Kim and Jae Youn Ahn

Incorporating hierarchical credibility theory into modelling of multi-country mortality rates pp. 37-54

Cary Chi-Liang Tsai and Adelaide Di Wu

Validation of association pp. 55-67

Bogdan Ćmiel and Teresa Ledwina

A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates pp. 68-84

Francesco Ungolo, Torsten Kleinow and Angus S. Macdonald

Fast and efficient nested simulation for large variable annuity portfolios: A surrogate modeling approach pp. 85-103

X. Sheldon Lin and Shuai Yang

A cyclic approach on classical ruin model pp. 104-110

Fei Lung Yuen, Wing Yan Lee and Derrick W.H. Fung

Health shock risk, critical illness insurance, and housing services pp. 111-128

Christoph Hambel

An age-at-death distribution approach to forecast cohort mortality pp. 129-143

Ugofilippo Basellini, Søren Kjærgaard and Carlo Giovanni Camarda

Is the inf-convolution of law-invariant preferences law-invariant? pp. 144-154

Peng Liu, Ruodu Wang and Linxiao Wei

Concave distortion risk minimizing reinsurance design under adverse selection pp. 155-165

Ka Chun Cheung, Sheung Chi Phillip Yam, Fei Lung Yuen and Yiying Zhang

Copula-based Markov process pp. 166-187

Jun Fang, Fan Jiang, Yong Liu and Jingping Yang

A Bowley solution with limited ceded risk for a monopolistic reinsurer pp. 188-201

Yichun Chi, Ken Seng Tan and Sheng Chao Zhuang

Optimal prevention strategies in the classical risk model pp. 202-208

Romain Gauchon, Stéphane Loisel, Jean-Louis Rullière and Julien Trufin

Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology pp. 209-223

Petar Jevtić and Nicolas Lanchier

Dynamic consumption and portfolio choice under prospect theory pp. 224-237

Servaas van Bilsen and Roger Laeven

Risk analysis with categorical explanatory variables pp. 238-243

Seul Ki Kang, Liang Peng and Hongmin Xiao

Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes pp. 244-256

Jiaqin Wei, Xiang Cheng, Zhuo Jin and Hao Wang

Modelling extreme claims via composite models and threshold selection methods pp. 257-268

Yinzhi Wang, Ingrid Hobæk Haff and Arne Huseby

Volume 90, issue C, 2020

The equivalence of two tax processes pp. 1-6

Dalal Al Ghanim, Ronnie Loeffen and Alexander R. Watson

Unhedgeable inflation risk within pension schemes pp. 7-24

D.H.J. Chen, Roel Beetsma and Sweder van Wijnbergen

Approximating the time-weighted return: The case of flows at unknown time pp. 25-34

Marco Guzzetti

On the Type I multivariate zero-truncated hurdle model with applications in health insurance pp. 35-45

Pengcheng Zhang, Enrique Calderin, Shuanming Li and Xueyuan Wu

The diffusion of complex securities: The case of CAT bonds pp. 46-57

Jose Faias and José Guedes

Livestock mortality catastrophe insurance using fatal shock process pp. 58-65

Jeffrey Pai and Nalini Ravishanker

Convex risk functionals: Representation and applications pp. 66-79

Fangda Liu, Jun Cai, Christiane Lemieux and Ruodu Wang

Pitfalls and merits of cointegration-based mortality models pp. 80-93

Søren F. Jarner and Snorre Jallbjørn

Optimal allocation to Deferred Income Annuities pp. 94-104

F. Habib, H. Huang, A. Mauskopf, B. Nikolic and T.S. Salisbury

Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility pp. 105-119

Tingjin Yan and Hoi Ying Wong

On log-normal convolutions: An analytical–numerical method with applications to economic capital determination pp. 120-134

Edward Furman, Daniel Hackmann and Alexey Kuznetsov

Parisian ruin with a threshold dividend strategy under the dual Lévy risk model pp. 135-150

Chen Yang, Kristina P. Sendova and Zhong Li

Duration of long-term care: Socio-economic factors, type of care interactions and evolution pp. 151-168

Michel Fuino and Joël Wagner

Volume 89, issue C, 2019

Rank-based inference tools for copula regression, with property and casualty insurance applications pp. 1-15

Marie-Pier Côté, Christian Genest and Marek Omelka

How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach pp. 16-37

Sarah Kaakaï, Héloïse Labit Hardy, Séverine Arnold and Nicole El Karoui

On the distribution of classic and some exotic ruin times pp. 38-45

David Landriault, Bin Li, Tianxiang Shi and Di Xu

Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan pp. 46-62

Suxin Wang and Yi Lu

Robust optimal reinsurance and investment strategies for an AAI with multiple risks pp. 63-78

Guohui Guan and Zongxia Liang

Budget-constrained optimal insurance with belief heterogeneity pp. 79-91

Mario Ghossoub

Nonparametric inference for distortion risk measures on tail regions pp. 92-110

Yanxi Hou and Xing Wang

A class of mixture of experts models for general insurance: Theoretical developments pp. 111-127

Tsz Chai Fung, Andrei L. Badescu and X. Sheldon Lin

Model selection based on Lorenz and concentration curves, Gini indices and convex order pp. 128-139

Michel Denuit, Dominik Sznajder and Julien Trufin

Explicit moments for a class of micro-models in non-life insurance pp. 140-156

Felix Wahl

Robust optimal investment–reinsurance strategies for an insurer with multiple dependent risks pp. 157-170

Jingyun Sun, Haixiang Yao and Zhilin Kang

Pricing industry loss warranties in a Lévy–Frailty framework pp. 171-181

Simone Beer, Alexander Braun and Andrin Marugg

Options on tontines: An innovative way of combining tontines and annuities pp. 182-192

An Chen and Manuel Rach

Stochastic utilities with subsistence and satiation: Optimal life insurance purchase, consumption and investment pp. 193-212

Jinchun Ye

Volume 88, issue C, 2019

How do changes in risk and risk aversion affect self-protection with Selden/Kreps–Porteus preferences? pp. 1-6

Jianli Wang, Hongxia Wang and Ho Yin Yick

Stochastic differential reinsurance games with capital injections pp. 7-18

Nan Zhang, Zhuo Jin, Linyi Qian and Kun Fan

Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency pp. 19-29

Karim Barigou, Ze Chen and Jan Dhaene

Optimal XL-insurance under Wasserstein-type ambiguity pp. 30-43

Corina Birghila and Georg Ch. Pflug

Optimal consumption and investment with insurer default risk pp. 44-56

Bong-Gyu Jang, Hyeng Keun Koo and Seyoung Park

Continuous time model for notional defined contribution pension schemes: Liquidity and solvency pp. 57-76

Jennifer Alonso-García and Pierre Devolder

Severity modeling of extreme insurance claims for tariffication pp. 77-92

Christian Laudagé, Sascha Desmettre and Jörg Wenzel

Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences pp. 93-107

Wing Fung Chong

Evaluation of driving risk at different speeds pp. 108-119

Guangyuan Gao, Mario V. Wüthrich and Hanfang Yang

Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework pp. 120-137

Lv Chen and Yang Shen

Incorporating big microdata in life table construction: A hypothesis-free estimator pp. 138-150

Josep Lledó, Jose M. Pavía and Francisco G. Morillas-Jurado

Stochastic ordering of Gini indexes for multivariate elliptical risks pp. 151-158

Bara Kim and Jeongsim Kim

Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion pp. 159-180

Hui Zhao, Yang Shen, Yan Zeng and Wenjun Zhang

A continuous-time stochastic model for the mortality surface of multiple populations pp. 181-195

Petar Jevtić and Luca Regis

Fair valuation of insurance liability cash-flow streams in continuous time: Theory pp. 196-208

Łukasz Delong, Jan Dhaene and Karim Barigou

On the existence of a representative reinsurer under heterogeneous beliefs pp. 209-225

Tim J. Boonen and Mario Ghossoub

The long-term behavior of number of near-maximum insurance claims pp. 226-237

Anna Dembińska and Aneta Buraczyńska

Valuation of contingent convertible catastrophe bonds — The case for equity conversion pp. 238-254

Krzysztof Burnecki, Mario Nicoló Giuricich and Zbigniew Palmowski

Forecasting mortality rate improvements with a high-dimensional VAR pp. 255-272

Quentin Guibert, Olivier Lopez and Pierrick Piette

Ruin probabilities under capital constraints pp. 273-282

Lewis Ramsden and Apostolos D. Papaioannou