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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
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