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Insurance: Mathematics and Economics

1982 - 2025

Current editor(s): R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

From Elsevier
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Volume 90, issue C, 2020

The equivalence of two tax processes pp. 1-6 Downloads
Dalal Al Ghanim, Ronnie Loeffen and Alexander R. Watson
Unhedgeable inflation risk within pension schemes pp. 7-24 Downloads
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 Downloads
Marco Guzzetti
On the Type I multivariate zero-truncated hurdle model with applications in health insurance pp. 35-45 Downloads
Pengcheng Zhang, Enrique Calderin, Shuanming Li and Xueyuan Wu
The diffusion of complex securities: The case of CAT bonds pp. 46-57 Downloads
Jose Faias and José Guedes
Livestock mortality catastrophe insurance using fatal shock process pp. 58-65 Downloads
Jeffrey Pai and Nalini Ravishanker
Convex risk functionals: Representation and applications pp. 66-79 Downloads
Fangda Liu, Jun Cai, Christiane Lemieux and Ruodu Wang
Pitfalls and merits of cointegration-based mortality models pp. 80-93 Downloads
Søren F. Jarner and Snorre Jallbjørn
Optimal allocation to Deferred Income Annuities pp. 94-104 Downloads
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 Downloads
Tingjin Yan and Hoi Ying Wong
On log-normal convolutions: An analytical–numerical method with applications to economic capital determination pp. 120-134 Downloads
Edward Furman, Daniel Hackmann and Alexey Kuznetsov
Parisian ruin with a threshold dividend strategy under the dual Lévy risk model pp. 135-150 Downloads
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 Downloads
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 Downloads
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 Downloads
Sarah Kaakaï, Héloïse Labit Hardy, Séverine Arnold and Nicole El Karoui
On the distribution of classic and some exotic ruin times pp. 38-45 Downloads
David Landriault, Bin Li, Tianxiang Shi and Di Xu
Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan pp. 46-62 Downloads
Suxin Wang and Yi Lu
Robust optimal reinsurance and investment strategies for an AAI with multiple risks pp. 63-78 Downloads
Guohui Guan and Zongxia Liang
Budget-constrained optimal insurance with belief heterogeneity pp. 79-91 Downloads
Mario Ghossoub
Nonparametric inference for distortion risk measures on tail regions pp. 92-110 Downloads
Yanxi Hou and Xing Wang
A class of mixture of experts models for general insurance: Theoretical developments pp. 111-127 Downloads
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 Downloads
Michel Denuit, Dominik Sznajder and Julien Trufin
Explicit moments for a class of micro-models in non-life insurance pp. 140-156 Downloads
Felix Wahl
Robust optimal investment–reinsurance strategies for an insurer with multiple dependent risks pp. 157-170 Downloads
Jingyun Sun, Haixiang Yao and Zhilin Kang
Pricing industry loss warranties in a Lévy–Frailty framework pp. 171-181 Downloads
Simone Beer, Alexander Braun and Andrin Marugg
Options on tontines: An innovative way of combining tontines and annuities pp. 182-192 Downloads
An Chen and Manuel Rach
Stochastic utilities with subsistence and satiation: Optimal life insurance purchase, consumption and investment pp. 193-212 Downloads
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 Downloads
Jianli Wang, Hongxia Wang and Ho Yin Yick
Stochastic differential reinsurance games with capital injections pp. 7-18 Downloads
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 Downloads
Karim Barigou, Ze Chen and Jan Dhaene
Optimal XL-insurance under Wasserstein-type ambiguity pp. 30-43 Downloads
Corina Birghila and Georg Ch. Pflug
Optimal consumption and investment with insurer default risk pp. 44-56 Downloads
Bong-Gyu Jang, Hyeng Keun Koo and Seyoung Park
Continuous time model for notional defined contribution pension schemes: Liquidity and solvency pp. 57-76 Downloads
Jennifer Alonso-García and Pierre Devolder
Severity modeling of extreme insurance claims for tariffication pp. 77-92 Downloads
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 Downloads
Wing Fung Chong
Evaluation of driving risk at different speeds pp. 108-119 Downloads
Guangyuan Gao, Mario V. Wüthrich and Hanfang Yang
Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework pp. 120-137 Downloads
Lv Chen and Yang Shen
Incorporating big microdata in life table construction: A hypothesis-free estimator pp. 138-150 Downloads
Josep Lledó, Jose M. Pavía and Francisco G. Morillas-Jurado
Stochastic ordering of Gini indexes for multivariate elliptical risks pp. 151-158 Downloads
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 Downloads
Hui Zhao, Yang Shen, Yan Zeng and Wenjun Zhang
A continuous-time stochastic model for the mortality surface of multiple populations pp. 181-195 Downloads
Petar Jevtić and Luca Regis
Fair valuation of insurance liability cash-flow streams in continuous time: Theory pp. 196-208 Downloads
Łukasz Delong, Jan Dhaene and Karim Barigou
On the existence of a representative reinsurer under heterogeneous beliefs pp. 209-225 Downloads
Tim J. Boonen and Mario Ghossoub
The long-term behavior of number of near-maximum insurance claims pp. 226-237 Downloads
Anna Dembińska and Aneta Buraczyńska
Valuation of contingent convertible catastrophe bonds — The case for equity conversion pp. 238-254 Downloads
Krzysztof Burnecki, Mario Nicoló Giuricich and Zbigniew Palmowski
Forecasting mortality rate improvements with a high-dimensional VAR pp. 255-272 Downloads
Quentin Guibert, Olivier Lopez and Pierrick Piette
Ruin probabilities under capital constraints pp. 273-282 Downloads
Lewis Ramsden and Apostolos D. Papaioannou

Volume 87, issue C, 2019

A censored copula model for micro-level claim reserving pp. 1-14 Downloads
Olivier Lopez
Optimal proportional reinsurance and investment for stochastic factor models pp. 15-33 Downloads
M. Brachetta and C. Ceci
The collective reserving model pp. 34-50 Downloads
Felix Wahl, Mathias Lindholm and Richard Verrall
Optimal insurance under rank-dependent expected utility pp. 51-66 Downloads
Mario Ghossoub
Optimal robust insurance with a finite uncertainty set pp. 67-81 Downloads
Alexandru V. Asimit, Junlei Hu and Yuantao Xie
Optimal reinsurance for Gerber–Shiu functions in the Cramér–Lundberg model pp. 82-91 Downloads
M. Preischl and S. Thonhauser
Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market pp. 92-100 Downloads
Søren Asmussen, Bent Jesper Christensen and Julie Thøgersen
Robust estimation of the Pickands dependence function under random right censoring pp. 101-114 Downloads
Yuri Goegebeur, Armelle Guillou and Jing Qin
A dependent frequency–severity approach to modeling longitudinal insurance claims pp. 115-129 Downloads
Gee Y. Lee and Peng Shi
Option pricing under regime-switching models: Novel approaches removing path-dependence pp. 130-142 Downloads
Frédéric Godin, Van Son Lai and Denis-Alexandre Trottier
Optimal reinsurance to minimize the discounted probability of ruin under ambiguity pp. 143-152 Downloads
Danping Li and Virginia R. Young
Collective risk models with dependence pp. 153-168 Downloads
Hélène Cossette, Etienne Marceau and Itre Mtalai
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