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Editor: R. Kaas
The email address of this editor does not seem to be valid any more. Please ask R. Kaas to have the entry updated or send us the correct address.
Editor: R. Kaas
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Series handle: RePEc:eee:insuma
ISSN: 0167-6687
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Content
December 2008, Volume 43, Issue 3
October 2008, Volume 43, Issue 2
- 197-202 Tail bounds for the distribution of the deficit in the renewal risk model
by Psarrakos, Georgios
- 203-208 Edgeworth expansion for an estimator of the adjustment coefficient
by Brito, Margarida & Freitas, Ana Cristina Moreira
- 209-213 On the link between credibility and frequency premium
by Bolancé, Catalina & Guillén, Montserrat & Pinquet, Jean
- 214-222 Pricing of catastrophe insurance options written on a loss index with reestimation
by Biagini, Francesca & Bregman, Yuliya & Meyer-Brandis, Thilo
- 223-226 Asset proportions in optimal portfolios with dependent default risks
by Chen, Zijin & Hu, Taizhong
- 227-233 Optimal dividends with incomplete information in the dual model
by Gerber, Hans U. & Smith, Nathaniel
- 234-244 Modelling stochastic mortality for dependent lives
by Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena
- 245-254 Bayesian modelling of financial guarantee insurance
by Puustelli, Anne & Koskinen, Lasse & Luoma, Arto
- 255-262 Actuarial comparisons for aggregate claims with randomly right-truncated claims
by Escudero, Laureano F. & Ortega, Eva-María
- 263-269 Weighted risk capital allocations
by Furman, Edward & Zitikis, Ricardas
- 270-278 Optimal dividend strategies in a Cramér-Lundberg model with capital injections
by Kulenko, Natalie & Schmidli, Hanspeter
August 2008, Volume 43, Issue 1
- 1-14 The impact of illiquidity on the asset management of insurance companies
by Berry-Stölzle, Thomas R.
- 15-28 Optimal investment and life insurance strategies under minimum and maximum constraints
by Nielsen, Peter Holm & Steffensen, Mogens
- 29-40 Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
by Zaglauer, Katharina & Bauer, Daniel
- 41-55 Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
by Barbarin, Jérôme
- 56-68 Optimal consumption and portfolio choice for pooled annuity funds
by Stamos, Michael Z.
- 69-84 GARCH option pricing: A semiparametric approach
by Badescu, Alexandru M. & Kulperger, Reg J.
- 85-92 Tails of random sums of a heavy-tailed number of light-tailed terms
by Robert, Christian Y. & Segers, Johan
- 93-98 Worst allocations of policy limits and deductibles
by Hua, Lei & Cheung, Ka Chun
- 99-107 On option pricing under a completely random measure via a generalized Esscher transform
by Lau, John W. & Siu, Tak Kuen
- 108-115 Threshold control of mutual insurance with limited commitment
by Yan, Jia & Liu, John J. & Li, Kevin X.
- 116-120 A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
by Hao, Xuemiao & Tang, Qihe
- 121-133 Fitting mixed-effects models when data are left truncated
by Paulsen, Jostein & Lunde, Astrid & Skaug, Hans Julius
- 134-149 Optimal dividend strategies for a risk process under force of interest
by Albrecher, Hansjörg & Thonhauser, Stefan
- 150-157 Enhanced annuities and the impact of individual underwriting on an insurer's profit situation
by Hoermann, Gudrun & Ruß, Jochen
- 158-164 Tail asymptotic results for elliptical distributions
by Hashorva, Enkelejd
- 165-173 The effect of modelling parameters on the value of GMWB guarantees
by Chen, Z. & Vetzal, K. & Forsyth, P.A.
- 174-184 Quadratic stochastic intensity and prospective mortality tables
by Gourieroux, C. & Monfort, A.
- 185-196 Optimal reinsurance under VaR and CTE risk measures
by Cai, Jun & Tan, Ken Seng & Weng, Chengguo & Zhang, Yi
June 2008, Volume 42, Issue 3
- 865-872 Stochastic orders of scalar products with applications
by Hua, Lei & Cheung, Ka Chun
- 873-886 A binomial model for valuing equity-linked policies embedding surrender options
by Costabile, Massimo & Massabó, Ivar & Russo, Emilio
- 887-896 An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
by Kijima, Masaaki & Muromachi, Yukio
- 897-902 A note on the Swiss Solvency Test risk measure
by Filipovic, Damir & Vogelpoth, Nicolas
- 903-908 Using distortions of copulas to price synthetic CDOs
by Crane, Glenis & van der Hoek, John
- 909-919 Valuation of life insurance surrender and exchange options
by Nordahl, Helge A.
- 920-934 Valuation of the interest rate guarantee embedded in defined contribution pension plans
by Yang, Sharon S. & Yueh, Meng-Lan & Tang, Chun-Hua
- 935-942 On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities
by Coulibaly, Ibrahim & Lefèvre, Claude
- 943-953 Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach
by Xie, Shuxiang & Li, Zhongfei & Wang, Shouyang
- 954-961 Optimal dividend and issuance of equity policies in the presence of proportional costs
by Løkka, Arne & Zervos, Mihail
- 962-967 The periodic risk model with investment
by Kötter, Mirko & Bäuerle, Nicole
- 968-975 Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
by Bai, Lihua & Guo, Junyi
- 976-983 Optimal financing and dividend control of the insurance company with proportional reinsurance policy
by He, Lin & Liang, Zongxia
- 984-991 Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
by Yang, Hu & Zhang, Zhimin
- 992-999 Optimal insurance under the insurer's risk constraint
by Zhou, Chunyang & Wu, Chongfeng
- 1000-1012 Pension funds as institutions for intertemporal risk transfer
by Baumann, Roger T. & Müller, Heinz H.
- 1013-1021 Assessing the cost of capital for longevity risk
by Olivieri, Annamaria & Pitacco, Ermanno
- 1022-1027 Tolerance intervals for quantiles of bivariate risks and risk measurement
by Gebizlioglu, Omer L. & Yagci, Banu
- 1028-1034 Characterizations of classes of risk measures by dispersive orders
by Sordo, Miguel A.
- 1035-1049 Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies
by Chen, An
- 1050-1061 Regret aversion and annuity risk in defined contribution pension plans
by Frehen, Rik G.P. & Hoevenaars, Roy P.M.M. & Palm, Franz C. & Schotman, Peter C.
- 1062-1066 Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
by Blake, David & Dowd, Kevin & Cairns, Andrew J.G.
- 1067-1085 Static super-replicating strategies for a class of exotic options
by Chen, X. & Deelstra, G. & Dhaene, J. & Vanmaele, M.
- 1086-1094 On the dual risk model with tax payments
by Albrecher, Hansjörg & Badescu, Andrei & Landriault, David
- 1095-1103 Pricing bivariate option under GARCH processes with time-varying copula
by Zhang, J. & Guégan, D.
- 1104-1108 On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
by Borovkov, Konstantin A. & Dickson, David C.M.
- 1109-1117 Analytic bounds and approximations for annuities and Asian options
by Vanduffel, Steven & Shang, Zhaoning & Henrard, Luc & Dhaene, Jan & Valdez, Emiliano A.
- 1118-1127 Comparison results for exchangeable credit risk portfolios
by Cousin, Areski & Laurent, Jean-Paul
- 1128-1137 A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
by Vandaele, Nele & Vanmaele, Michèle
- 1138-1145 The private value of public pensions
by Petrichev, Konstantin & Thorp, Susan
- 1146-1158 A game theoretic approach to option valuation under Markovian regime-switching models
by Siu, Tak Kuen
- 1159-1164 Stochastic optimal control of DC pension funds
by Gao, Jianwei
April 2008, Volume 42, Issue 2
- 469-472 An application of Kendall distributions and alternative dependence measures: SPX vs. VIX
by Fountain, Robert L. & Herman Jr., John R. & Rustvold, D. Leif
- 473-483 On the construction of copulas and quasi-copulas with given diagonal sections
by Nelsen, Roger B. & Quesada-Molina, José Juan & Rodriguez-Lallena, José Antonio & Úbeda-Flores, Manuel
- 484-491 Error bounds in approximations of random sums using gamma-type operators
by Sangüesa, C.
- 492-504 Estimating the term structure of mortality
by Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E.
- 505-519 Longevity risk in portfolios of pension annuities
by Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E.
- 520-528 Risk measurement in the presence of background risk
by Tsanakas, Andreas
- 529-539 Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
by Guerra, Manuel & de Lourdes Centeno, Maria
- 540-547 Actuarial risk measures for financial derivative pricing
by Goovaerts, Marc J. & Laeven, Roger J.A.
- 548-559 Estimating VAR models for the term structure of interest rates
by Vereda, Luciano & Lopes, Hélio & Fukuda, Regina
- 560-577 Integrated insurance risk models with exponential Lévy investment
by Klüppelberg, Claudia & Kostadinova, Radostina
- 578-593 Valuation of intergenerational transfers in funded collective pension schemes
by Hoevenaars, Roy P.M.M. & Ponds, Eduard H.M.
- 594-599 Portfolio diversification under local and moderate deviations from power laws
by Ibragimov, Rustam & Walden, Johan
- 600-608 On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
by Landriault, David & Willmot, Gordon
- 609-616 Cooperative hedging with a higher interest rate for borrowing
by Zhou, Qing & Wu, Weixing & Wang, Zengwu
- 617-627 The compound Poisson risk model with multiple thresholds
by Lin, X. Sheldon & Sendova, Kristina P.
- 628-637 Securitization of catastrophe mortality risks
by Lin, Yijia & Cox, Samuel H.
- 638-650 Fitting and validation of a bivariate model for large claims
by Drees, Holger & Müller, Peter
- 651-655 Improved convex upper bound via conditional comonotonicity
by Cheung, Ka Chun
- 656-667 Risk theory insight into a zone-adaptive control strategy
by Malinovskii, Vsevolod K.
- 668-679 Approximations for the moments of ruin time in the compound Poisson model
by Pitts, Susan M. & Politis, Konstadinos
- 680-690 A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
by Christiansen, Marcus C.
- 691-703 Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
by Young, Virginia R.
- 704-716 A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
by Gerstner, Thomas & Griebel, Michael & Holtz, Markus & Goschnick, Ralf & Haep, Marcus
- 717-726 A risk model with paying dividends and random environment
by Kim, Bara & Kim, Hwa-Sung & Kim, Jeongsim
- 727-735 Credibility premiums for the zero-inflated Poisson model and new hunger for bonus interpretation
by Boucher, Jean-Philippe & Denuit, Michel
- 736-745 On the parameterization of the CreditRisk + model for estimating credit portfolio risk
by Vandendorpe, Antoine & Ho, Ngoc-Diep & Vanduffel, Steven & Van Dooren, Paul
- 746-762 Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
by Loisel, Stéphane & Mazza, Christian & Rullière, Didier
- 763-770 Tail dependence for multivariate t -copulas and its monotonicity
by Chan, Yin & Li, Haijun
- 771-778 Indifference prices of structured catastrophe (CAT) bonds
by Egami, Masahiko & Young, Virginia R.
- 779-786 A Bayesian dichotomous model with asymmetric link for fraud in insurance
by Bermúdez, Ll. & Pérez, J.M. & Ayuso, M. & Gómez, E. & Vázquez, F.J.
- 787-796 A sensitivity analysis of typical life insurance contracts with respect to the technical basis
by Christiansen, Marcus C.
- 797-816 On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling
by Renshaw, A.E. & Haberman, S.
- 817-830 Heavy-tailed longitudinal data modeling using copulas
by Sun, Jiafeng & Frees, Edward W. & Rosenberg, Marjorie A.
- 831-838 Comonotonic approximations to quantiles of life annuity conditional expected present value
by Denuit, Michel
- 839-849 Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
by Gatzert, Nadine
- 850-854 A generalization of the credibility theory obtained by using the weighted balanced loss function
by Gómez-Déniz, E.
- 855-863 Some results on the CTE-based capital allocation rule
by Dhaene, J. & Henrard, L. & Landsman, Z. & Vandendorpe, A. & Vanduffel, S.
February 2008, Volume 42, Issue 1
- 1-13 Pension fund investments and the valuation of liabilities under conditional indexation
by de Jong, Frank
- 14-30 Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
by Ludkovski, Michael & Young, Virginia R.
- 31-38 Constant dividend barrier in a risk model with interclaim-dependent claim sizes
by Landriault, David
- 39-49 Univariate and multivariate versions of the negative binomial-inverse Gaussian distributions with applications
by Gómez-Déniz, Emilio & Sarabia, José Maria & Calderin-Ojeda, Enrique
- 50-58 The influence of corporate taxes on pricing and capital structure in property-liability insurance
by Gatzert, Nadine & Schmeiser, Hato
- 59-64 The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest
by Wang, Guojing & Wu, Rong
- 65-72 Recursions for multivariate compound phase variables
by Eisele, Karl-Theodor
- 73-80 Modelling total tail dependence along diagonals
by Zhang, Ming-Heng
- 81-94 Adaptive control strategies and dependence of finite time ruin on the premium loading
by Malinovskii, Vsevolod K.
- 95-100 Convex bounds on multiplicative processes, with applications to pricing in incomplete markets
by Courtois, Cindy & Denuit, Michel
- 101-106 On the distribution tail of an integrated risk model: A numerical approach
by Brokate, M. & Klüppelberg, C. & Kostadinova, R. & Maller, R. & Seydel, R.C.
- 107-118 Mean-variance optimization problems for an accumulation phase in a defined benefit plan
by Delong, Lukasz & Gerrard, Russell & Haberman, Steven
- 119-126 On the consistency of credibility premiums regarding Esscher principle
by Pan, Maolin & Wang, Rongming & Wu, Xianyi
- 127-146 Modelling dependence
by Kallenberg, Wilbert C.M.
- 147-153 Random sums of exchangeable variables and actuarial applications
by Kolev, Nikolai & Paiva, Delhi
- 154-162 Finite-time dividend-ruin models
by Leung, Kwai Sun & Kwok, Yue Kuen & Leung, Seng Yuen
- 163-176 Tail bounds for the joint distribution of the surplus prior to and at ruin
by Psarrakos, Georgios & Politis, Konstadinos
- 177-188 Allocation of risks and equilibrium in markets with finitely many traders
by Burgert, Christian & Rüschendorf, Ludger
- 189-211 Prices and sensitivities of Asian options: A survey
by Boyle, Phelim & Potapchik, Alexander
- 212-226 Valuation of life insurance products under stochastic interest rates
by Gaillardetz, Patrice
- 227-234 A two-dimensional ruin problem on the positive quadrant
by Avram, Florin & Palmowski, Zbigniew & Pistorius, Martijn
- 235-242 Coherent risk measures, coherent capital allocations and the gradient allocation principle
by Buch, A. & Dorfleitner, G.
- 243-254 Methods for estimating the optimal dividend barrier and the probability of ruin
by Gerber, Hans U. & Shiu, Elias S.W. & Smith, Nathaniel
- 255-260 An optimal insurance strategy for an individual under an intertemporal equilibrium
by Zhou, Chunyang & Wu, Chongfeng & Zhang, Shengping & Huang, Xuejun
- 261-270 Quantifying the error of convex order bounds for truncated first moments
by Brückner, Karsten
- 271-287 Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
by Jumarie, Guy
- 288-300 Robust regression credibility: The influence function approach
by Pitselis, Georgios
- 301-310 Insuring a risky investment project
by Loubergé, Henri & Watt, Richard
- 311-318 Ruin theory for a Markov regime-switching model under a threshold dividend strategy
by Zhu, Jinxia & Yang, Hailiang
- 319-331 Premium rates based on genetic studies: How reliable are they
by Lu, Li & Macdonald, Angus & Wekwete, Chessman
- 332-342 Evaluation of insurance products with guarantee in incomplete markets
by Consiglio, Andrea & De Giovanni, Domenico
- 343-358 The role of longevity bonds in optimal portfolios
by Menoncin, Francesco
- 359-377 Bruno de Finetti and the case of the critical line's last segment
by Barone, Luca
- 378-388 Prediction error in the chain ladder method
by Wüthrich, Mario V.
- 389-395 Estimation of loss reserves with lognormal development factors
by Han, Zhongxian & Gau, Wu-Chyuan
- 396-408 Following the rules: Integrating asset allocation and annuitization in retirement portfolios
by Horneff, Wolfram J. & Maurer, Raimond H. & Mitchell, Olivia S. & Dus, Ivica
- 409-418 Mortality modelling with Lévy processes
by Hainaut, Donatien & Devolder, Pierre
- 419-433 Fair valuation of insurance contracts under Lévy process specifications
by Kassberger, Stefan & Kiesel, Rüdiger & Liebmann, Thomas
- 434-444 On reinsurance and investment for large insurance portfolios
by Luo, Shangzhen & Taksar, Michael & Tsoi, Allanus
- 445-452 Some stability results of optimal investment in a simple Lévy market
by Niu, Liqun
- 453-458 Retrieval of Black-Scholes and generalized Erlang models by perturbed observations at a fixed time
by Neuenschwander, Daniel
- 459-465 Weighted premium calculation principles
by Furman, Edward & Zitikis, Ricardas
November 2007, Volume 41, Issue 3
- 299-316 Risk management of a bond portfolio using options
by Annaert, Jan & Deelstra, Griselda & Heyman, Dries & Vanmaele, Michèle
- 317-338 Pricing of Ratchet equity-indexed annuities under stochastic interest rates
by Kijima, Masaaki & Wong, Tony
- 339-361 Modelling the joint distribution of competing risks survival times using copula functions
by Kaishev, Vladimir K. & Dimitrova, Dimitrina S. & Haberman, Steven
- 362-381 Integrating long-term care insurance purchase decisions with saving and investment for retirement
by Gupta, Aparna & Li, Lepeng
- 382-391 Optimal allocation of policy limits and deductibles
by Cheung, Ka Chun
September 2007, Volume 41, Issue 2
- 223-233 Extreme behavior of multivariate phase-type distributions
by Asimit, Alexandru V. & Jones, Bruce L.
- 234-249 On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
by Ahn, Soohan & Badescu, Andrei L.
- 250-263 Optimal investment for insurers when the stock price follows an exponential Lévy process
by Kostadinova, Radostina
- 264-278 Valuation of catastrophe reinsurance with catastrophe bonds
by Lee, Jin-Ping & Yu, Min-Teh
- 279-297 Risk measures, distortion parameters, and their empirical estimation
by Jones, Bruce L. & Zitikis, Ricardas
July 2007, Volume 41, Issue 1
- 1-16 Monotone and cash-invariant convex functions and hulls
by Filipovic, Damir & Kupper, Michael
- 17-31 On the discounted penalty function in the renewal risk model with general interclaim times
by Willmot, Gordon E.
- 32-40 A time-series risk model with constant interest for dependent classes of business
by Zhang, Zhiqiang & Yuen, Kam C. & Li, Wai Keung
- 41-52 Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model
by Chadjiconstantinidis, Stathis & Politis, Konstadinos
- 53-61 Extreme behavior of bivariate elliptical distributions
by Asimit, Alexandru V. & Jones, Bruce L.
- 62-70 Jump diffusion processes and their applications in insurance and finance
by Jang, Jiwook
- 71-83 Predicting automobile claims bodily injury severity with sequential ordered logit models
by Ayuso, Mercedes & Santolino, Miguel
- 84-95 Valuation of cash flows under random rates of interest: A linear algebraic approach
by Date, P. & Mamon, R. & Wang, I.C.
- 96-110 Integrating optimal annuity planning with consumption-investment selections in retirement planning
by Gupta, Aparna & Li, Zhisheng
- 111-123 Optimal dividends in the dual model
by Avanzi, Benjamin & U. Gerber, Hans & S.W. Shiu, Elias
- 124-133 The compound binomial risk model with time-correlated claims
by Xiao, Yuntao & Guo, Junyi
- 134-155 Management of a pension fund under mortality and financial risks
by Hainaut, Donatien & Devolder, Pierre
- 156-162 On a modification of the classical risk process
by Bratiychuk, M.S. & Derfla, D.
- 163-184 Dividend maximization under consideration of the time value of ruin
by Thonhauser, Stefan & Albrecher, Hansjorg
- 185-195 On the ruin probabilities of a bidimensional perturbed risk model
by Li, Junhai & Liu, Zaiming & Tang, Qihe
- 196-221 Minimizing the probability of lifetime ruin under borrowing constraints
by Bayraktar, Erhan & Young, Virginia R.
May 2007, Volume 40, Issue 3
- 357-385 Lookback options and dynamic fund protection under multiscale stochastic volatility
by Wong, Hoi Ying & Chan, Chun Man
- 386-402 An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates
by Koch, Inge & Schepper, Ann De
- 403-414 On variational bounds in the compound Poisson approximation of the individual risk model
by Roos, Bero
- 415-423 The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
by Chen, Yiqing & Ng, Kai W.
- 424-434 Bayesian graduation of mortality rates: An application to reserve evaluation
by da Rocha Neves, Cesar & Migon, Helio S.
- 435-444 Hedging life insurance with pure endowments
by Bayraktar, Erhan & Young, Virginia R.
- 445-458 The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
by Kleinow, Torsten & Willder, Mark
- 459-467 Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
by Frostig, Esther & Zaks, Yaniv & Levikson, Benny
- 468-484 Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz' law of mortality
by Willemse, W.J. & Kaas, R.
- 485-497 Moments of claims in a Markovian environment
by Kim, Bara & Kim, Hwa-Sung
- 498-508 Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
by Leipus, Remigijus & Siaulys, Jonas
- 509-523 Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
by Wan, Ning
- 525-532 Lower tail dependence for Archimedean copulas: Characterizations and pitfalls
by Charpentier, Arthur & Segers, Johan
March 2007, Volume 40, Issue 2
- 179-199 Distribution-free option pricing
by Schepper, Ann De & Heijnen, Bart
- 200-208 On the asymptotic distribution of certain bivariate reinsurance treaties
by Hashorva, Enkelejd
- 209-230 Time consistency conditions for acceptability measures, with an application to Tail Value at Risk
by Roorda, Berend & Schumacher, J.M.
- 231-255 Default risk, bankruptcy procedures and the market value of life insurance liabilities
by Chen, An & Suchanecki, Michael
- 256-266 Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications
by Wang, Yuebao & Yang, Yang & Wang, Kaiyong & Cheng, Dongya
- 267-282 Pricing exotic options under regime switching
by Boyle, Phelim & Draviam, Thangaraj
- 283-292 Stochastic pension fund control in the presence of Poisson jumps
by Ngwira, Bernard & Gerrard, Russell
- 293-301 On the expected discounted penalty function for a perturbed risk process driven by a subordinator
by Morales, Manuel
- 302-310 The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
by Xiao, Jianwu & Hong, Zhai & Qin, Chenglin
- 311-321 The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
by Taksar, Michael & Hunderup, Christine Loft
- 322-334 Optimal investment for an insurer: The martingale approach
by Wang, Zengwu & Xia, Jianming & Zhang, Lihong
- 335-355 Pricing general insurance with constraints
by Emms, Paul
January 2007, Volume 40, Issue 1
- 1-14 On non-monotonic ageing properties from the Laplace transform, with actuarial applications
by Belzunce, Felix & Ortega, Eva-Maria & Ruiz, Jose M.
- 15-34 Optimal strategies for pricing general insurance
by Emms, P. & Haberman, S. & Savoulli, I.
- 35-57 A law of large numbers approach to valuation in life insurance
by Fischer, Tom
- 58-76 Actuarial statistics with generalized linear mixed models
by Antonio, Katrien & Beirlant, Jan
- 77-84 Optimal investment for an insurer with exponential utility preference
by Wang, Nan