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Content
May 2000, Volume 26, Issue 2-3
- 223-238 Homogeneous risk models with equalized claim amounts
by De Vylder, F. & Goovaerts, M.
- 239-250 Discounted probabilities and ruin theory in the compound binomial model
by Cheng, Shixue & Gerber, Hans U. & Shiu, Elias S. W.
- 251-267 Ruin probabilities based at claim instants for some non-Poisson claim processes
by Stanford, David A. & Stroinski, Krzysztof J. & Lee, Karen
- 269-288 RPA pathwise derivative estimation of ruin probabilities
by J. Vazquez-Abad, Felisa
- 289-307 Implementing adaptive nonlinear models
by Shapiro, Arnold F. & Paul Gorman, R.
February 2000, Volume 26, Issue 1
- 1-14 Hattendorff's theorem for non-smooth continuous-time Markov models II: Application
by Milbrodt, Hartmut
- 15-24 Some distributions for classical risk process that is perturbed by diffusion
by Wang, Guojing & Wu, Rong
- 25-36 Risk analysis for a stochastic cash management model with two types of customers
by Perry, David & Stadje, Wolfgang
- 37-57 Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
by Grosen, Anders & Lochte Jorgensen, Peter
- 59-73 Ruin theory with risk proportional to the free reserve and securitization
by Siegl, Thomas & F. Tichy, Robert
- 75-90 Cramer-Lundberg approximation for nonlinearly perturbed risk processes
by Gyllenberg, Mats & S. Silvestrov, Dmitrii
- 91-99 An investigation into stochastic claims reserving models and the chain-ladder technique
by Verrall, R. J.
- 101-107 A comparison of stochastic models that reproduce chain ladder reserve estimates
by Mack, Thomas & Venter, Gary
- 109-111 Comments on: "A comparison of stochastic models that reproduce chain ladder reserve estimates", by Mack and Venter
by Verrall, R. J. & England, P. D.
- 113-113 Book Review
by McNeil, Alexander J.
December 1999, Volume 25, Issue 3
- 261-280 On life insurance reserves in a stochastic mortality and interest rates environment
by Marceau, Etienne & Gaillardetz, Patrice
- 281-293 Analytic and bootstrap estimates of prediction errors in claims reserving
by England, Peter & Verrall, Richard
- 295-306 Conditional dominance criteria: definition and application to risk-management
by Deelstra, Griselda & Grasselli, Martino & Koehl, Pierre-Francois
- 307-325 Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
by Miltersen, Kristian R. & Persson, Svein-Arne
- 327-336 Term structure modeling and asymptotic long rate
by Yao, Yong
- 337-347 A synthesis of risk measures for capital adequacy
by Lynn Wirch, Julia & Hardy, Mary R.
- 349-372 Insolvency risk and its impact on the policyholders' investment choices: a mean-variance approach for participating life insurance business in UK
by Berketi, Alexandra K.
- 373-385 Initial selection for Permanent Health Insurance
by Cristina Gutierrez-Delgado, M.
- 387-395 The Esscher premium principle in risk theory: a Bayesian sensitivity study
by Gomez-Deniz, E. & Hernandez-Bastida, A. & Vazquez-Polo, F. J.
- 397-413 Practical approximations for multivariate characteristics of risk processes
by Usabel, M. A.
November 1999, Volume 25, Issue 2
- 109-122 Optimal insurance under Wang's premium principle
by Young, Virginia R.
- 123-131 An application of randomly truncated data models in reserving IBNR claims
by Herbst, Tomas
- 133-142 Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
by Usabel, Miguel
- 143-155 On s-convex stochastic extrema for arithmetic risks
by Denuit, Michel & Lefevre, Claude & Mesfioui, M'hamed
- 157-169 Subjective risk measures: Bayesian predictive scenarios analysis
by Siu, Tak Kuen & Yang, Hailiang
- 171-179 Preservation of multivariate dependence under multivariate claim models
by Hu, Taizhong & Pan, Xiaoming
- 181-195 Hattendorff's theorem for non-smooth continuous-time Markov models I: Theory
by Milbrodt, Hartmut
- 197-217 A new stochastically flexible event methodology with application to Proposition 103
by Brockett, Patrick L. & Chen, Hwei-Mei & Garven, James R.
September 1999, Volume 25, Issue 1
- 1-9 On the distribution of IBNR reserves
by Goovaerts, Marc & Redant, Hendrik
- 11-21 The safest dependence structure among risks
by Dhaene, Jan & Denuit, Michel
- 23-35 Arithmetic averaging equity-linked life insurance policies in Germany
by Nonnenmacher, Dirk Jens F. & Ru[ss], Jochen
- 37-47 A note on the Taylor series expansions for multivariate characteristics of classical risk processes
by Usabel, M. A.
- 49-62 Ruin probabilities with compounding assets
by Dickson, David C. M. & Waters, Howard R.
- 63-84 Analysis of a defective renewal equation arising in ruin theory
by Lin, X. Sheldon & Willmot, Gordon E.
- 85-104 Stochastic bounds on sums of dependent risks
by Denuit, M. & Genest, C. & Marceau, E.
- 105-107 Corrigendun to "The moments of ruin time in the classical risk model with discrete claim size distribution" [Insurance: Mathematics and Economics 23 (1998) 157-172]
by Picard, Ph. & Lefevre, C.
May 1999, Volume 24, Issue 3
- 155-172 Explicit finite-time and infinite-time ruin probabilities in the continuous case
by De Vylder, F. Etienne & Goovaerts, Marc J.
- 173-185 Stop-loss premiums under dependence
by Albers, Willem
- 187-199 Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system
by Chang, Shih-Chieh
- 201-217 Extremal generators and extremal distributions for the continuous s-convex stochastic orderings
by Denuit, Michel & Vylder, Etienne De & Lefevre, Claude
- 219-227 Non-optimality of a linear combination of proportional and non-proportional reinsurance
by Hurlimann, W.
- 229-247 A longitudinal data analysis interpretation of credibility models
by Frees, Edward W. & Young, Virginia R. & Luo, Yu
- 249-271 Inequality extensions of Prabhu's formula in ruin theory
by De Vylder, F. E. & Goovaerts, M. J.
- 273-280 A theorem on multi-period insurance contracts without commitment
by Vazquez, Francisco J. & Watt, R.
- 281-290 Supermodular ordering and stochastic annuities
by Goovaerts, M. J. & Dhaene, J.
- 291-300 Sequential credibility evaluation for symmetric location claim distributions
by Landsman, Zinoviy & Makov, Udi E.
- 301-308 On the distributions of two classes of correlated aggregate claims
by Ambagaspitiya, Rohana S.
- 309-321 On the distribution of the surplus of the D-E model prior to and at ruin
by Zhang, Chunsheng & Wu, Rong
- 323-332 On dependence of risks and stop-loss premiums
by Hu, Taizhong & Wu, Zhiqiang
March 1999, Volume 24, Issue 1-2
- 3-14 From ruin theory to pricing reset guarantees and perpetual put options
by Gerber, Hans U. & Shiu, Elias S. W.
- 15-21 Recursions for convolutions of discrete uniform distributions revisited
by Sundt, Bjorn
- 23-29 Credibility evaluation for the exponential dispersion family
by Landsman, Zinoviy & Makov, Udi E.
- 31-50 A class of bivariate stochastic orderings, with applications in actuarial sciences
by Denuit, Michel & Lefevre, Claude & Mesfioui, M'hamed
- 51-65 A process with stochastic claim frequency and a linear dividend barrier
by Siegl, Thomas & Tichy, Robert F.
- 67-81 Modelling different types of automobile insurance fraud behaviour in the Spanish market
by Artis, Manuel & Ayuso, Mercedes & Guillen, Montserrat
- 83-94 The GARCH(1,1)-M model: results for the densities of the variance and the mean
by De Schepper, Ann & Goovaerts, Marc J.
- 95-101 Decomposing catastrophic risk
by Schlesinger, Harris
- 103-115 Solvency margins and equalization reserves
by De Vylder, F. & Goovaerts, M.
- 117-138 The effect of the nature of the liabilities on the solvency and maturity payouts of a UK life office fund: a stochastic evaluation
by Berketi, Alexandra K. & Macdonald, Angus S.
- 139-148 Fitting bivariate loss distributions with copulas
by Klugman, Stuart A. & Parsa, Rahul
- 149-154 Martingales, scale functions and stochastic life annuities: a note
by Milevsky, Moshe Arye
December 1998, Volume 23, Issue 3
- 215-230 On the computation of aggregate claims distributions: some new approximations
by Chaubey, Yogendra P. & Garrido, Jose & Trudeau, Sonia
- 231-250 Burr regression and portfolio segmentation
by Beirlant, Jan & Goegebeur, Yuri & Verlaak, Robert & Vynckier, Petra
- 251-261 Loss development forecasting models: an econometrician's view
by Kloek, T.
- 263-286 Pension schemes as options on pension fund assets: implications for pension fund management
by Blake, David
- 287-295 Equation for survival probability in a finite time interval in case of non-zero real interest force
by Pervozvansky, A. Jr.
November 1998, Volume 23, Issue 2
- 111-117 A note on optimal parameter estimation under zero-excess assumptions
by Goulet, Vincent
- 119-139 Bounds for stop-loss premium under restrictions on I-divergence
by Xu, Lina & Bricker, Dennis L. & Kortanek, Kenneth O.
- 141-156 On the tradeoff between the law of large numbers and oligopoly in insurance
by Powers, Michael R. & Shubik, Martin
- 157-172 The moments of ruin time in the classical risk model with discrete claim size distribution
by Picard, Philippe & Lefevre, Claude
- 173-177 A minimax risk strategy for portfolio immunization
by Barber, Joel R. & Copper, Mark L.
- 179-180 Erratum to: "A note on interest rate term structure estimation using tension splines" [Insurance: Mathematics and Economics 22 (1998) 139-143]
by Barzanti, Luca & Corradi, Corrado
October 1998, Volume 23, Issue 1
- 1-14 Families of update rules for non-additive measures: Applications in pricing risks
by Young, Virginia R.
- 15-19 On the distribution of a sum of correlated aggregate claims
by Ambagaspitiya, Rohana S.
- 21-31 Compound bivariate Lagrangian Poisson distributions
by Ambagaspitiya, Rohana S.
- 33-43 Aging properties and bounds for ruin probabilities and stop-loss premiums
by Cai, Jun & Garrido, Jose
- 45-58 Double barrier hitting time distributions with applications to exotic options
by Sheldon Lin, X.
- 59-69 Prediction of claim numbers based on hazard rates
by Spreeuw, Jaap & Goovaerts, Marc
- 71-83 Applications to risk theory of a Monte Carlo multiple integration method
by Usabel, Miguel A.
- 85-90 Zero coupon bonds and affine term structures: reconsidering the one-factor model
by Alvarez, Luis H. R.
- 91-110 Exact and approximate properties of the distribution of surplus before and after ruin
by Willmot, Gordon E. & Sheldon Lin, X.
July 1998, Volume 22, Issue 3
- 209-228 Stochastic cooperative games in insurance
by Suijs, Jeroen & De Waegenaere, Anja & Borm, Peter
- 229-233 Optimal reinsurance and stop-loss order
by Denuit, Michel & Vermandele, Catherine
- 235-242 Comonotonicity, correlation order and premium principles
by Wang, Shaun & Dhaene, Jan
- 243-249 Pricing insurance contracts -- an economic viewpoint
by Kliger, Doron & Levikson, Benny
- 251-262 Ruin probabilities for Erlang(2) risk processes
by Dickson, David C. M. & Hipp, Christian
- 263-276 On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
by Gerber, Hans U. & Landry, Bruno
- 277-285 On distribution-free safe layer-additive pricing
by Hurlimann, W.
June 1998, Volume 22, Issue 2
May 1998, Volume 22, Issue 1
- 1-1 The interplay between insurance, finance and control
by Asmussen, Soren & Barndorff-Nielsen, Ole. E.
- 3-16 Ruin theory with compounding assets -- a survey
by Paulsen, Jostein
- 17-23 Some system theoretic aspects of interest rate theory
by Bjork, Tomas & Christensen, Bent Jesper & Gombani, Andrea
- 25-39 Concepts and methods for discrete and continuous time control under uncertainty
by Runggaldier, Wolfgang J.
- 41-51 Optimal proportional reinsurance policies for diffusion models with transaction costs
by Hojgaard, Bjarne & Taksar, Michael
- 53-64 On some filtering problems arising in mathematical finance
by Brigo, Damiano & Hanzon, Bernard
- 65-73 An actuarial approach to option pricing under the physical measure and without market assumptions
by Bladt, Mogens & Rydberg, Tina Hviid
- 75-91 On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
by Schal, Manfred
- 93-104 Ruin probabilities in perturbed risk models
by Schlegel, Sabine
- 105-122 Optimal risk and dividend control for a company with a debt liability
by Taksar, Michael I. & Zhou, Xun Yu
December 1997, Volume 21, Issue 3
November 1997, Volume 21, Issue 2
- 95-95 Preface
by Shiu, Elias S. W.
- 97-102 An old-age social security program for Bangladesh
by Beekman, John A. & Kabir, Md. Humayun
- 103-111 Better late than never: The case of the rollover option
by Bilodeau, Claire
- 113-127 Reserving for maturity guarantees: Two approaches
by Boyle, Phelim P. & Hardy, Mary R.
- 129-137 The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
by Gerber, Hans U. & Shiu, Elias S. W.
- 139-152 The Istanbul option: Where the standard European option becomes Asian
by Jacques, Michel
- 153-162 Hedging strategies using catastrophe insurance options
by O'Brien, Thomas
- 163-172 Regression-quantile graduation of Australian life tables, 1946-1992
by Portnoy, Esther
- 173-183 Axiomatic characterization of insurance prices
by Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H.
October 1997, Volume 21, Issue 1
- 1-16 The effect of interest on negative surplus
by Dickson, David C. M. & Egidio dos Reis, Alfredo D.
- 17-24 Non-optimal prediction by the chain ladder method
by Schmidt, Klaus D.
- 25-42 Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions
by Willmot, Gordon E.
- 43-79 Stochastic pension fund modelling
by Cairns, Andrew J. G. & Parker, Gary
- 81-89 Testing independence in bivariate distributions of claim frequencies and severities
by Carriere, Jacques F.
- 91-92 Practical analysis of extreme values : J. Beirlant, J. Teugels and P. Vynckier, Leuven University Press, 1996
by Klugman, Stuart
October 1997, Volume 20, Issue 3
September 1997, Volume 20, Issue 2
June 1997, Volume 20, Issue 1
- 1-15 Controlled diffusion models for optimal dividend pay-out
by Asmussen, Soren & Taksar, Michael
- 17-21 Liquid asset allocation using "newsvendor" models with convex shortage costs
by Gerchak, Yigal & Wang, Shaun
- 23-34 Computing compound distributions faster!
by den Iseger, P. W. & Smith, M. A. J. & Dekker, R.
- 35-41 A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
by Vanneste, M. & Goovaerts, M. J. & De Schepper, A. & Dhaene, J.
- 43-58 The solution of Schmitter's simple problem: Numerical illustration
by De Vylder, F. & Goovaerts, M. & Marceau, E.
- 59-78 The bi-atomic uniform minimal solution of Schmitter's problem
by De Vylder, F. & Goovaerts, M. & Marceau, E.
May 1997, Volume 19, Issue 3
April 1997, Volume 19, Issue 2
December 1996, Volume 19, Issue 1
- 1-18 The numerical solution of the Schmitter problems: Theory
by De Vylder, F. & Marceau, E.
- 19-30 Valuation of the early-exercise price for options using simulations and nonparametric regression
by Carriere, Jacques F.
- 31-43 Claims reserving and generalised additive models
by Verrall, Richard
- 45-53 Goodness of fit test statistics for the zeta family
by Luong, Andrew & Doray, Louis G.
- 55-59 Deductible insurance and production: A comment
by Gollier, Christian
- 61-80 Reinsurance and ruin
by Dickson, David C. M. & Waters, Howard R.
- 81-83 Correction note to "On the preservation of some orderings of risks under convolution"
by Pellerey, Franco
November 1996, Volume 18, Issue 3
July 1996, Volume 18, Issue 2
May 1996, Volume 18, Issue 1
- 1-12 Taylor-series expansion for multivariate characteristics of classical risk processes
by Frey, Andreas & Schmidt, Volker
- 13-27 On smoothness terms in multidimensional Whittaker graduation
by Broffitt, James D.
- 29-33 Bounds on the tails of convolutions of compound distributions
by Willmot, Gordon E. & Lin, Xiaodong
- 35-42 On probability distributions of present values in life insurance
by Hesselager, Ole & Norberg, Ragnar
- 43-57 UMVUE of the IBNR reserve in a lognormal linear regression model
by Doray, Louis G.
- 59-71 Stability of pension systems when gains/losses are amortized and rates of return are autoregressive
by Gerrard, R. & Haberman, S.
- 73-79 Statistical tests of stochastic process models used in the financial theory of insurance companies
by Brockett, Patrick L. & Witt, Robert C. & Golany, Boaz & Sipra, Naim & Xia, Xiaohua
- 81-85 The compound Poisson approximation for a portfolio of dependent risks
by Goovaerts, M. J. & Dhaene, J.
April 1996, Volume 17, Issue 3
October 1995, Volume 17, Issue 2
- 101-118 A theory of risk, return and solvency
by Powers, Michael R.
- 119-123 Deductible insurance and production
by Machnes, Yaffa
- 125-132 A reappraisal of the principle underlying the conventional actuarial estimator of qx
by Puzey, Anthony S.
- 133-147 Optimal per claim deductibility in insurance with the possibility of risky investments
by Paulsen, Jostein
- 149-161 Estimating the adjustment coefficient in an ARMA(p, q) risk model
by Christ, Ralf & Steinebach, Josef
- 163-169 Long-term returns in stochastic interest rate models
by Deelstra, G. & Delbaen, F.
- 171-180 Differential equations for moments of present values in life insurance
by Norberg, Ragnar
- 181-192 A counting process approach to stochastic interest
by Moller, Christian Max
- 193-201 Ordering claim size distributions and mixed Poisson probabilities
by Kaas, R. & Hesselager, O.
August 1995, Volume 17, Issue 1
July 1995, Volume 16, Issue 3
May 1995, Volume 16, Issue 2
April 1995, Volume 16, Issue 1
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