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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
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
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.
Series handle: RePEc:eee:insuma
ISSN: 0167-6687
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Content
October 2000, Volume 27, Issue 2
- 189-200 Pricing catastrophe insurance products based on actually reported claims
by Christensen, Claus Vorm & Schmidli, Hanspeter
- 201-214 A no arbitrage approach to Thiele's differential equation
by Steffensen, Mogens
- 215-228 Optimal investment for insurers
by Hipp, Christian & Plum, Michael
- 229-235 Corporate spin-offs, bankruptcy, investment, and the value of debt
by Hennessy, David A.
- 237-259 Contribution and solvency risk in a defined benefit pension scheme
by Haberman, Steven & Butt, Zoltan & Megaloudi, Chryssoula
- 261-276 A family of fractional age assumptions
by Jones, Bruce L. & Mereu, John A.
August 2000, Volume 27, Issue 1
- 1-18 Computation of distorted probabilities for diffusion processes via stochastic control methods
by Young, Virginia R. & Zariphopoulou, Thaleia
- 19-44 The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
by Lin, X. Sheldon & Willmot, Gordon E.
- 45-63 Consistent fitting of one-factor models to interest rate data
by Rogers, L. C. G. & Stummer, Wolfgang
- 65-81 Equity allocation and portfolio selection in insurance
by Taflin, Erik
- 83-104 Mutual fund evaluation: a portfolio insurance approach: A heuristic application in Spain
by Chamorro, Jose M. & Perez de Villarreal, Jose M.
- 105-112 Insurer's optimal reinsurance strategies
by Gajek, Leslaw & Zagrodny, Dariusz
- 113-122 Arithmetization of distributions and linear goal programming
by Vilar, Jose L.
- 123-136 The multivariate De Pril transform
by Sundt, Bjorn
- 137-144 On error bounds for approximations to multivariate distributions
by Sundt, Bjorn
- 145-149 Ruin under interest force and subexponential claims: a simple treatment
by Kalashnikov, Vladimir & Konstantinides, Dimitrios
May 2000, Volume 26, Issue 2-3
- 117-117 Editorial
by Gerber, H. U.
- 119-132 A Hitchhiker's guide to the techniques of adaptive nonlinear models
by Shapiro, Arnold F.
- 133-149 The discrete-time risk model with correlated classes of business
by Cossette, Helene & Marceau, Etienne
- 151-156 Credibility using semiparametric models and a loss function with a constancy penalty
by Young, Virginia R.
- 157-173 Simple approximations of ruin probabilities
by Grandell, Jan
- 175-183 An easy computable upper bound for the price of an arithmetic Asian option
by Simon, S. & Goovaerts, M. J. & Dhaene, J.
- 185-192 Stochastic control for optimal new business
by Hipp, Christian & Taksar, Michael
- 193-202 Non-parametric confidence intervals of instantaneous forward rates
by Carriere, Jacques F.
- 203-211 Time stochastic s-convexity of claim processes
by Denuit, Michel
- 213-222 Impact of dependence among multiple claims in a single loss
by Cossette, Helene & Denuit, Michel & Marceau, Etienne
- 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
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