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 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

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