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Content
2022, Volume 104, Issue C
- 1-14 Estimating and backtesting risk under heavy tails
by Pitera, Marcin & Schmidt, Thorsten
- 15-34 COVID-19 and credit risk: A long memory perspective
by Yin, Jie & Han, Bingyan & Wong, Hoi Ying
- 35-59 Optimal insurance to maximize RDEU under a distortion-deviation premium principle
by Liang, Xiaoqing & Wang, Ruodu & Young, Virginia R.
- 60-75 Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses
by Meng, Jin & Chan, Kung-Sik
- 76-98 On capital allocation for a risk measure derived from ruin theory
by Delsing, G.A. & Mandjes, M.R.H. & Spreij, P.J.C. & Winands, E.M.M.
- 99-132 Optimal long-term contracts with disability insurance under limited commitment
by Choi, Kyoung Jin & Jeon, Junkee & Lee, Ho-Seok & Lin, Hsuan-Chih
- 133-157 Estimating the time value of ruin in a Lévy risk model under low-frequency observation
by Wang, Wenyuan & Xie, Jiayi & Zhang, Zhimin
- 158-184 A hierarchical reserving model for reported non-life insurance claims
by Crevecoeur, Jonas & Robben, Jens & Antonio, Katrien
- 185-199 What can we learn from telematics car driving data: A survey
by Gao, Guangyuan & Meng, Shengwang & Wüthrich, Mario V.
- 200-221 Revisiting the optimal insurance design under adverse selection: Distortion risk measures and tail-risk overestimation
by Liang, Zhihang & Zou, Jushen & Jiang, Wenjun
- 222-242 Unraveling heterogeneity in cyber risks using quantile regressions
by Eling, Martin & Jung, Kwangmin & Shim, Jeungbo
- 243-261 A new class of copula regression models for modelling multivariate heavy-tailed data
by Li, Zhengxiao & Beirlant, Jan & Yang, Liang
- 262-282 A general optimal approach to Bühlmann credibility theory
by Yan, Yujie & Song, Kai-Sheng
- 283-301 A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference
by Hou, Yanxi
2022, Volume 103, Issue C
- 1-26 Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
by Huang, Yiming & Mamon, Rogemar & Xiong, Heng
- 27-40 Risk transference constraints in optimal reinsurance
by Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel & Heras, Antonio
- 41-55 Multi-population mortality modeling: When the data is too much and not enough
by Kung, Ko-Lun & MacMinn, Richard D. & Kuo, Weiyu & Tsai, Chenghsien Jason
- 56-65 Risk measures induced by efficient insurance contracts
by Wang, Qiuqi & Wang, Ruodu & Zitikis, Ričardas
- 66-95 Statistical inference for tail-based cumulative residual entropy
by Sun, Hongfang & Chen, Yu & Hu, Taizhong
- 96-118 A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
by Albrecher, Hansjörg & Cheung, Eric C.K. & Liu, Haibo & Woo, Jae-Kyung
- 119-138 On non-negative equity guarantee calculations with macroeconomic variables related to house prices
by Badescu, Alexandru & Quaye, Enoch & Tunaru, Radu
2022, Volume 102, Issue C
- 1-21 Measuring and comparing risks of different types
by Aigner, Maximilian & Chavez-Demoulin, Valérie & Guillou, Armelle
- 22-41 Regret-based optimal insurance design
by Chi, Yichun & Zhuang, Sheng Chao
- 42-55 Stackelberg differential game for reinsurance: Mean-variance framework and random horizon
by Li, Danping & Young, Virginia R.
- 56-74 Short term decumulation strategies for underspending retirees
by Forsyth, Peter A.
- 75-90 Risk aggregation and capital allocation using a new generalized Archimedean copula
by Marri, Fouad & Moutanabbir, Khouzeima
- 91-110 Portfolio risk analysis of excess of loss reinsurance
by Tang, Qihe & Tong, Zhiwei & Xun, Li
- 111-125 Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims
by Vernic, Raluca & Bolancé, Catalina & Alemany, Ramon
- 126-145 Systemic risk: Conditional distortion risk measures
by Dhaene, Jan & Laeven, Roger J.A. & Zhang, Yiying
- 146-168 Asymptotic results on marginal expected shortfalls for dependent risks
by Li, Jinzhu
- 169-187 Risk aggregation under dependence uncertainty and an order constraint
by Chen, Yuyu & Lin, Liyuan & Wang, Ruodu
- 188-202 Optimal asset allocation, consumption and retirement time with the variation in habitual persistence
by He, Lin & Liang, Zongxia & Song, Yilun & Ye, Qi
2021, Volume 101, Issue PB
- 125-139 Structured reinsurance deals with reference to relative market performance
by Vincent, Léonard & Albrecher, Hansjörg & Krvavych, Yuriy
- 140-162 A random forest based approach for predicting spreads in the primary catastrophe bond market
by Makariou, Despoina & Barrieu, Pauline & Chen, Yining
- 163-172 Testing for more positive expectation dependence with application to model comparison
by Denuit, Michel & Trufin, Julien & Verdebout, Thomas
- 173-185 Haezendonck-Goovaerts capital allocation rules
by Canna, Gabriele & Centrone, Francesca & Rosazza Gianin, Emanuela
- 186-201 De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts
by Kim, Bara & Kim, Jeongsim & Kim, Jerim
- 202-224 Dividend optimisation: A behaviouristic approach
by Brinker, Leonie Violetta & Eisenberg, Julia
- 225-239 Optimal reinsurance under the α-maxmin mean-variance criterion
by Zhang, Liming & Li, Bin
- 240-261 Gamma Mixture Density Networks and their application to modelling insurance claim amounts
by Delong, Łukasz & Lindholm, Mathias & Wüthrich, Mario V.
- 262-288 A special Tweedie sub-family with application to loss reserving prediction error
by Taylor, Greg
- 289-301 When is utilitarian welfare higher under insurance risk pooling?
by Chatterjee, Indradeb & Macdonald, Angus S. & Tapadar, Pradip & Thomas, R. Guy
- 302-319 Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability
by Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao
- 320-341 Fourier based methods for the management of complex life insurance products
by Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid
- 342-358 Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications
by Gobbi, Fabio & Kolev, Nikolai & Mulinacci, Sabrina
- 359-383 Pandemic risk management: Resources contingency planning and allocation
by Chen, Xiaowei & Chong, Wing Fung & Feng, Runhuan & Zhang, Linfeng
- 384-405 Optimal control of investment, premium and deductible for a non-life insurance company
by Christensen, Bent Jesper & Parra-Alvarez, Juan Carlos & Serrano, Rafael
- 406-424 Moment generating function of non-Markov self-excited claims processes
by Hainaut, Donatien
- 425-436 Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
by Mohammed, Nawaf & Furman, Edward & Su, Jianxi
- 437-465 A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
by Ignatieva, Katja & Landsman, Zinoviy
- 466-484 Enhancing an insurer's expected value by reinsurance and external financing
by Chi, Yichun & Liu, Fangda
- 485-497 Autocalibration and Tweedie-dominance for insurance pricing with machine learning
by Denuit, Michel & Charpentier, Arthur & Trufin, Julien
- 498-507 Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
by Colaneri, Katia & Frey, Rüdiger
- 508-524 Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
by Liu, Guo & Jin, Zhuo & Li, Shuanming
- 525-546 Multivariate dependence among cyber risks based on L-hop propagation
by Da, Gaofeng & Xu, Maochao & Zhao, Peng
- 547-571 Reinsurance of multiple risks with generic dependence structures
by Guerra, M. & de Moura, A.B.
- 572-586 Dispersion modelling of outstanding claims with double Poisson regression models
by Gao, Guangyuan & Meng, Shengwang & Shi, Yanlin
- 587-601 Optimal fee structure of variable annuities
by Wang, Gu & Zou, Bin
- 602-625 The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking
by Tzougas, George & Pignatelli di Cerchiara, Alice
- 626-638 On the ordering of credibility factors
by Youn Ahn, Jae & Jeong, Himchan & Lu, Yang
2021, Volume 101, Issue PA
- 6-22 Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance
by Ghossoub, Mario & He, Xue Dong
- 23-37 Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs
by Boonen, Tim J. & Ghossoub, Mario
- 38-54 Demand for non-life insurance under habit formation
by Li, Wenyuan & Tan, Ken Seng & Wei, Pengyu
- 55-69 Optimal retirement products under subjective mortality beliefs
by Chen, An & Hieber, Peter & Rach, Manuel
- 70-79 Optimal annuity demand for general expected utility agents
by Bernard, Carole & De Gennaro Aquino, Luca & Levante, Lucia
- 80-90 Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods
by Zhang, Jinhui & Purcal, Sachi & Wei, Jiaqin
- 91-106 Return smoothing in life insurance from a client perspective
by Ruß, Jochen & Schelling, Stefan
- 107-124 Hawkes processes in insurance: Risk model, application to empirical data and optimal investment
by Swishchuk, Anatoliy & Zagst, Rudi & Zeller, Gabriela
2021, Volume 100, Issue C
- 1-29 Optimal risk exposure and dividend payout policies under model uncertainty
by Feng, Yang & Zhu, Jinxia & Siu, Tak Kuen
- 30-58 Infinitely stochastic micro reserving
by Maciak, Matúš & Okhrin, Ostap & Pešta, Michal
- 59-75 Forecasting mortality with international linkages: A global vector-autoregression approach
by Li, Hong & Shi, Yanlin
- 76-88 The annuity puzzle and consumption hump under ambiguous life expectancy
by Han, Nan-Wei & Hung, Mao-Wei
- 89-106 Fees in tontines
by Chen, An & Guillen, Montserrat & Rach, Manuel
- 107-129 On retirement time decision making
by Chen, An & Hentschel, Felix & Steffensen, Mogens
- 130-146 Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
by Bosserhoff, Frank & Stadje, Mitja
- 147-155 On the analysis of deep drawdowns for the Lévy insurance risk model
by Landriault, David & Li, Bin & Lkabous, Mohamed Amine
- 156-192 Capital, aggregate risk, insurance prices and regulation
by Subramanian, Ajay & Wang, Jinjing
- 193-209 A decomposition of general premium principles into risk and deviation
by Nendel, Max & Riedel, Frank & Schmeck, Maren Diane
- 210-233 Stop-loss protection for a large P2P insurance pool
by Denuit, Michel & Robert, Christian Y.
- 234-260 Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests
by Alfonsi, Aurélien & Cherchali, Adel & Infante Acevedo, Jose Arturo
- 261-273 Closed-form solutions for an explicit modern ideal tontine with bequest motive
by Dagpunar, John
- 274-295 Bayesian credibility under a bivariate prior on the frequency and the severity of claims
by Cheung, Eric C.K. & Ni, Weihong & Oh, Rosy & Woo, Jae-Kyung
- 296-308 SynthETIC: An individual insurance claim simulator with feature control
by Avanzi, Benjamin & Taylor, Greg & Wang, Melantha & Wong, Bernard
- 309-328 A multi-year microlevel collective risk model
by Oh, Rosy & Jeong, Himchan & Ahn, Jae Youn & Valdez, Emiliano A.
- 329-349 Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
by Cai, Jun & Wang, Ying
- 350-371 Approximate Bayesian Computations to fit and compare insurance loss models
by Goffard, Pierre-Olivier & Laub, Patrick J.
- 372-383 Sensitivity analysis with χ2-divergences
by Makam, Vaishno Devi & Millossovich, Pietro & Tsanakas, Andreas
- 384-407 Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
by Wang, Pei & Shen, Yang & Zhang, Ling & Kang, Yuxin
- 408-428 Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging
by Kirkby, J. Lars & Nguyen, Duy
- 429-435 Concave/convex weighting and utility functions for risk: A new light on classical theorems
by Wakker, Peter P. & Yang, Jingni
2021, Volume 99, Issue C
- 1-8 Joint generalized quantile and conditional tail expectation regression for insurance risk analysis
by Guillen, Montserrat & Bermúdez, Lluís & Pitarque, Albert
- 9-24 On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
by Avanzi, Benjamin & Taylor, Greg & Wong, Bernard & Yang, Xinda
- 25-41 Time-consistent longevity hedging with long-range dependence
by Wang, Ling & Wong, Hoi Ying
- 42-62 Incorporating statistical clustering methods into mortality models to improve forecasting performances
by Tsai, Cary Chi-Liang & Cheng, Echo Sihan
- 63-78 Variable annuities: Market incompleteness and policyholder behavior
by Moenig, Thorsten
- 79-91 Right-truncated Archimedean and related copulas
by Hofert, Marius
- 92-104 The merits of pooling claims: Mutual vs. stock insurers
by Schmeiser, Hato & Orozco-Garcia, Carolina
- 105-115 Batch mode active learning framework and its application on valuing large variable annuity portfolios
by Gweon, Hyukjun & Li, Shu
- 116-129 Option pricing in regime-switching frameworks with the Extended Girsanov Principle
by Godin, Frédéric & Trottier, Denis-Alexandre
- 131-151 Revisiting optimal investment strategies of value-maximizing insurance firms
by Koch-Medina, Pablo & Moreno-Bromberg, Santiago & Ravanelli, Claudia & Šikić, Mario
- 152-162 Assessing mortality inequality in the U.S.: What can be said about the future?
by Li, Han & Hyndman, Rob J.
- 163-173 Tests for Laplace order dominance with applications to insurance data
by Bhattacharyya, Dhrubasish & Khan, Ruhul Ali & Mitra, Murari
- 174-189 Joint and survivor annuity valuation with a bivariate reinforced urn process
by Souto Arias, Luis A. & Cirillo, Pasquale
- 190-199 Cause of death specific cohort effects in U.S. mortality
by Redondo Lourés, Cristian & Cairns, Andrew J.G.
- 200-221 Addressing the life expectancy gap in pension policy
by Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward
- 222-232 It takes two: Why mortality trend modeling is more than modeling one mortality trend
by Börger, Matthias & Russ, Jochen & Schupp, Johannes
- 233-240 The role of a longevity insurance for defined contribution pension systems
by Berstein, Solange & Morales, Marco
- 241-255 Modelling mortality dependence: An application of dynamic vine copula
by Zhou, Rui & Ji, Min
- 256-267 A Fourier-cosine method for finite-time ruin probabilities
by Lee, Wing Yan & Li, Xiaolong & Liu, Fangda & Shi, Yifan & Yam, Sheung Chi Phillip
- 268-281 Gompertz law revisited: Forecasting mortality with a multi-factor exponential model
by Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun
- 282-293 Tail dependence and heavy tailedness in extreme risks
by Ji, Liuyan & Tan, Ken Seng & Yang, Fan
- 294-308 Cause-specific mortality rates: Common trends and differences
by Arnold, Séverine & Glushko, Viktoriya
- 309-326 A combined analysis of hedge effectiveness and capital efficiency in longevity hedging
by Börger, Matthias & Freimann, Arne & Ruß, Jochen
- 327-340 Deep hedging of long-term financial derivatives
by Carbonneau, Alexandre
- 341-354 Modeling and pricing longevity derivatives using Skellam distribution
by Kung, Ko-Lun & Liu, I-Chien & Wang, Chou-Wen
- 355-362 Macro longevity risk and the choice between annuity products: Evidence from Denmark
by Balter, Anne G. & Kallestrup-Lamb, Malene & Rangvid, Jesper
- 363-375 Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans
by Alvarez, Jesús-Adrián & Kallestrup-Lamb, Malene & Kjærgaard, Søren
- 376-394 Recent declines in life expectancy: Implication on longevity risk hedging
by Li, Johnny Siu-Hang & Liu, Yanxin
- 395-439 Longevity risk and capital markets: The 2019-20 update
by Blake, David & Cairns, Andrew J.G.
- 440-458 The economics of sharing macro-longevity risk
by Broeders, Dirk & Mehlkopf, Roel & van Ool, Annick
- 459-485 Pooling mortality risk in Eurozone state pension liabilities: An application of a Bayesian coherent multi-population cohort-based mortality model
by McCarthy, David G. & Wang, Po-Lin
- 486-508 Mortality data correction in the absence of monthly fertility records
by Boumezoued, Alexandre & Elfassihi, Amal
2021, Volume 98, Issue C
- 1-13 Fair dynamic valuation of insurance liabilities via convex hedging
by Chen, Ze & Chen, Bingzheng & Dhaene, Jan & Yang, Tianyu
- 14-34 Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?
by He, Lingyu & Huang, Fei & Shi, Jianjie & Yang, Yanrong
- 35-43 Bowley solution of a mean–variance game in insurance
by Li, Danping & Young, Virginia R.
- 44-50 The tail mean–variance optimal portfolio selection under generalized skew-elliptical distribution
by Eini, Esmat Jamshidi & Khaloozadeh, Hamid
- 51-62 Optimal investment for a retirement plan with deferred annuities
by Owadally, Iqbal & Jang, Chul & Clare, Andrew
- 63-67 Self-protection with random costs
by Crainich, David & Menegatti, Mario
- 68-82 Prepayment risk in reverse mortgages: An intensity-governed surrender model
by Shi, Tianxiang & Lee, Yung-Tsung
- 83-91 Law-invariant functionals that collapse to the mean
by Bellini, Fabio & Koch-Medina, Pablo & Munari, Cosimo & Svindland, Gregor
- 92-105 Cyber claim analysis using Generalized Pareto regression trees with applications to insurance
by Farkas, Sébastien & Lopez, Olivier & Thomas, Maud
- 106-119 Micro-level parametric duration-frequency-severity modeling for outstanding claim payments
by Yanez, Juan Sebastian & Pigeon, Mathieu
- 120-132 A fractional multi-states model for insurance
by Hainaut, Donatien
- 133-146 An insurance risk process with a generalized income process: A solvency analysis
by Wang, Zijia & Landriault, David & Li, Shu
- 147-152 Sensitivity analysis and tail variability for the Wang’s actuarial index
by Psarrakos, Georgios & Vliora, Polyxeni
2021, Volume 97, Issue C
- 1-6 Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times
by Chen, Yiqing & White, Toby & Yuen, Kam Chuen
- 7-23 A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems
by Chavez-Bedoya, Luis & Castaneda, Ranu
- 24-43 Modality for scenario analysis and maximum likelihood allocation
by Koike, Takaaki & Hofert, Marius
- 44-56 Pricing in a competitive stochastic insurance market
by Mourdoukoutas, Fotios & Boonen, Tim J. & Koo, Bonsoo & Pantelous, Athanasios A.
- 57-67 Univariate and multivariate claims reserving with Generalized Link Ratios
by Portugal, Luís & Pantelous, Athanasios A. & Verrall, Richard
- 68-80 Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process
by Shen, Yang & Zou, Bin
- 81-98 Dynamics of state-wise prospective reserves in the presence of non-monotone information
by Christiansen, Marcus C. & Furrer, Christian
2021, Volume 96, Issue C
- 1-14 Volterra mortality model: Actuarial valuation and risk management with long-range dependence
by Wang, Ling & Chiu, Mei Choi & Wong, Hoi Ying
- 15-30 Robust optimal investment and reinsurance for an insurer with inside information
by Peng, Xingchun & Chen, Fenge & Wang, Wenyuan
- 31-52 Calendar effect and in-sample forecasting
by Mammen, Enno & Martínez-Miranda, María Dolores & Nielsen, Jens Perch & Vogt, Michael
- 53-67 Economic Neutral Position: How to best replicate not fully replicable liabilities?
by Kunz, Andreas & Popp, Markus
- 68-80 Extreme value estimation of the conditional risk premium in reinsurance
by Goegebeur, Yuri & Guillou, Armelle & Qin, Jing
- 81-97 Pricing longevity derivatives via Fourier transforms
by Bravo, Jorge M. & Nunes, João Pedro Vidal
- 98-115 Mortality options: The point of view of an insurer
by Schmeck, Maren Diane & Schmidli, Hanspeter
- 116-126 From risk sharing to pure premium for a large number of heterogeneous losses
by Denuit, Michel & Robert, Christian Y.
- 127-139 Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information
by Oh, Rosy & Lee, Youngju & Zhu, Dan & Ahn, Jae Youn
- 140-152 Transforming public pensions: A mixed scheme with a credit granted by the state
by Boado-Penas, M. Carmen & Eisenberg, Julia & Korn, Ralf
- 153-167 Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type
by Furman, Edward & Kye, Yisub & Su, Jianxi
- 168-184 Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
by Wang, Ning & Zhang, Nan & Jin, Zhuo & Qian, Linyi
- 185-198 Pareto-optimal reinsurance policies with maximal synergy
by Jiang, Wenjun & Hong, Hanping & Ren, Jiandong
- 199-207 Stochastic orders and multivariate measures of risk contagion
by Ortega-Jiménez, P. & Sordo, M.A. & Suárez-Llorens, A.
- 208-221 Improved index insurance design and yield estimation using a dynamic factor forecasting approach
by Li, Hong & Porth, Lysa & Tan, Ken Seng & Zhu, Wenjun
- 222-231 Dynamic hazards modelling for predictive longevity risk assessment
by Kulinskaya, Elena & Gitsels, Lisanne Andra & Bakbergenuly, Ilyas & Wright, Nigel R.
- 232-247 Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models
by Brignone, Riccardo & Kyriakou, Ioannis & Fusai, Gianluca
- 248-261 Sparse regression with Multi-type Regularized Feature modeling
by Devriendt, Sander & Antonio, Katrien & Reynkens, Tom & Verbelen, Roel
- 262-275 A hybrid deep learning method for optimal insurance strategies: Algorithms and convergence analysis
by Jin, Zhuo & Yang, Hailiang & Yin, G.
- 276-291 Model-independent price bounds for Catastrophic Mortality Bonds
by Bahl, Raj Kumari & Sabanis, Sotirios
2020, Volume 95, Issue C
- 1-16 A BSDE-based approach for the optimal reinsurance problem under partial information
by Brachetta, M. & Ceci, C.
- 17-27 Pareto-optimal insurance contracts with premium budget and minimum charge constraints
by Asimit, Alexandru V. & Cheung, Ka Chun & Chong, Wing Fung & Hu, Junlei
- 28-38 Spatial patterns of mortality in the United States: A spatial filtering approach
by Cupido, Kyran & Jevtić, Petar & Paez, Antonio
- 39-47 Optimal risk-sharing across a network of insurance companies
by Ettlin, Nicolas & Farkas, Walter & Kull, Andreas & Smirnow, Alexander
- 48-58 Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
by Rabitti, Giovanni & Borgonovo, Emanuele
- 59-78 Empirical analysis and forecasting of multiple yield curves
by Gerhart, Christoph & Lütkebohmert, Eva
- 79-100 Center-outward quantiles and the measurement of multivariate risk
by Beirlant, J. & Buitendag, S. & del Barrio, E. & Hallin, M. & Kamper, F.
- 101-115 Statistical estimation for some dividend problems under the compound Poisson risk model
by Xie, Jiayi & Zhang, Zhimin
- 116-128 Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions
by Wu, Yang-Che
- 129-146 A continuous-time theory of reinsurance chains
by Chen, Lv & Shen, Yang & Su, Jianxi
- 147-158 Term structure of discount rates for firms in the insurance industry
by Giaccotto, Carmelo & Lin, Xiao & Zhao, Yanhui
- 159-165 Positivity properties of the ARFIMA(0,d,0) specifications and credibility analysis of frequency risks
by Pinquet, Jean
- 166-172 Modeling stochastic mortality for joint lives through subordinators
by Zhang, Yuxin & Brockett, Patrick
- 173-182 On a family of coherent measures of variability
by Hu, Taizhong & Chen, Ouxiang
- 183-198 Risk aggregation in non-life insurance: Standard models vs. internal models
by Eling, Martin & Jung, Kwangmin
- 199-211 On a robust risk measurement approach for capital determination errors minimization
by Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso
2020, Volume 94, Issue C
- 1-8 A more meaningful parameterization of the Lee–Carter model
by de Jong, Piet & Tickle, Leonie & Xu, Jianhui
- 9-24 Range Value-at-Risk bounds for unimodal distributions under partial information
by Bernard, Carole & Kazzi, Rodrigue & Vanduffel, Steven
- 25-39 Optimal retirement with borrowing constraints and forced unemployment risk
by Jang, Bong-Gyu & Park, Seyoung & Zhao, Huainan
- 40-57 Modeling mortality with a Bayesian vector autoregression
by Njenga, Carolyn Ndigwako & Sherris, Michael
- 58-78 Levelling the playing field: A VIX-linked structure for funded pension schemes
by Bégin, Jean-François
- 79-93 Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted models
by Počuča, Nikola & Jevtić, Petar & McNicholas, Paul D. & Miljkovic, Tatjana
- 94-99 Stability properties of Haezendonck–Goovaerts premium principles
by Gao, Niushan & Munari, Cosimo & Xanthos, Foivos
- 100-108 Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
by Zhou, Zhou & Jin, Zhuo
- 109-124 Regression based reserving models and partial information
by Lindholm, Mathias & Verrall, Richard
- 125-141 Optimal DB-PAYGO pension management towards a habitual contribution rate
by He, Lin & Liang, Zongxia & Yuan, Fengyi
- 142-153 Time consistent pension funding in a defined benefit pension plan with non-constant discounting
by Josa-Fombellida, Ricardo & Navas, Jorge
- 154-159 On positive homogeneity and comonotonic additivity of the principle of equivalent utility under Cumulative Prospect Theory
by Chudziak, J.
- 160-181 Optimal investment–consumption problem: Post-retirement with minimum guarantee
by Dadashi, Hassan
- 182-195 Predictive compound risk models with dependence
by Jeong, Himchan & Valdez, Emiliano A.
2020, Volume 93, Issue C
- 1-26 The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty
by Li, Johnny Siu-Hang & Liu, Yanxin
- 27-35 Calculation of changes in life expectancy based on proportional hazards model of an intervention
by Kulinskaya, Elena & Gitsels, Lisanne A. & Bakbergenuly, Ilyas & Wright, Nigel R.
- 36-49 Liquidation risk in insurance under contemporary regulatory frameworks
by Li, Xin & Liu, Haibo & Tang, Qihe & Zhu, Jinxia
- 50-71 A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
by Avanzi, Benjamin & Taylor, Greg & Vu, Phuong Anh & Wong, Bernard
- 72-83 Empirically assessing and modeling spillover effects from operational risk events in the insurance industry
by Eckert, Christian & Gatzert, Nadine & Heidinger, Dinah
- 84-94 A Bayesian nonparametric model and its application in insurance loss prediction
by Huang, Yifan & Meng, Shengwang
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