Contact information of Elsevier
Serial Information
Download restrictions: Full text for ScienceDirect subscribers only
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.
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.
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.
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
Citations RSS feed: at CitEc
Impact factors
Access and download statisticsTop item:
Corrections
All material on this site has been provided by the respective publishers and authors. You can help
correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .
Content
2022, Volume 107, Issue C
- 307-325 Pareto-optimal reinsurance under individual risk constraints
by Ghossoub, Mario & Jiang, Wenjun & Ren, Jiandong
- 326-348 Irreversible reinsurance: A singular control approach
by Yan, Tingjin & Park, Kyunghyun & Wong, Hoi Ying
- 349-360 Ratemaking territories and adverse selection for flood insurance
by Boudreault, Mathieu & Ojeda, Angelica
- 361-378 Bilateral risk sharing in a comonotone market with rank-dependent utilities
by Boonen, Tim J. & Jiang, Wenjun
- 379-392 Frequency-severity experience rating based on latent Markovian risk profiles
by Verschuren, Robert Matthijs
- 393-417 Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk
by Liu, Haiyan & Mao, Tiantian
2022, Volume 106, Issue C
- 1-12 Earthquake parametric insurance with Bayesian spatial quantile regression
by Pai, Jeffrey & Li, Yunxian & Yang, Aijun & Li, Chenxu
- 13-32 Imbalanced learning for insurance using modified loss functions in tree-based models
by Hu, Changyue & Quan, Zhiyu & Chong, Wing Fung
- 33-45 Frequency and severity estimation of cyber attacks using spatial clustering analysis
by Ma, Boyuan & Chu, Tingjin & Jin, Zhuo
- 46-68 Dynamic optimal adjustment policies of hybrid pension plans
by He, Lin & Liang, Zongxia & Wang, Sheng
- 69-89 Care-dependent tontines
by Chen, An & Chen, Yusha & Xu, Xian
- 90-114 Cyber risk frequency, severity and insurance viability
by Malavasi, Matteo & Peters, Gareth W. & Shevchenko, Pavel V. & Trück, Stefan & Jang, Jiwook & Sofronov, Georgy
- 115-127 Actuarial intelligence in auto insurance: Claim frequency modeling with driving behavior features and improved boosted trees
by Meng, Shengwang & Gao, Yaqian & Huang, Yifan
- 128-145 Stackelberg differential game for insurance under model ambiguity
by Cao, Jingyi & Li, Dongchen & Young, Virginia R. & Zou, Bin
- 146-172 Optimal dividends under Markov-modulated bankruptcy level
by Ferrari, Giorgio & Schuhmann, Patrick & Zhu, Shihao
- 173-192 Avoiding zero probability events when computing Value at Risk contributions
by Koike, Takaaki & Saporito, Yuri & Targino, Rodrigo
- 193-217 Robust equilibrium strategies in a defined benefit pension plan game
by Guan, Guohui & Hu, Jiaqi & Liang, Zongxia
- 218-238 Stochastic mortality dynamics driven by mixed fractional Brownian motion
by Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping
- 239-253 Multi-population modelling and forecasting life-table death counts
by Shang, Han Lin & Haberman, Steven & Xu, Ruofan
- 254-269 Combining multi-asset and intrinsic risk measures
by Laudagé, Christian & Sass, Jörn & Wenzel, Jörg
- 270-284 Parametric measures of variability induced by risk measures
by Bellini, Fabio & Fadina, Tolulope & Wang, Ruodu & Wei, Yunran
- 285-301 Green nested simulation via likelihood ratio: Applications to longevity risk management
by Feng, Ben Mingbin & Li, Johnny Siu-Hang & Zhou, Kenneth Q.
- 302-325 Asymptotic analysis of portfolio diversification
by Cui, Hengxin & Tan, Ken Seng & Yang, Fan & Zhou, Chen
- 326-340 Model mortality rates using property and casualty insurance reserving methods
by Tsai, Cary Chi-Liang & Kim, Seyeon
- 341-363 Modeling pandemic mortality risk and its application to mortality-linked security pricing
by Chen, Fen-Ying & Yang, Sharon S. & Huang, Hong-Chih
- 364-389 Multivariate matrix-exponential affine mixtures and their applications in risk theory
by Cheung, Eric C.K. & Peralta, Oscar & Woo, Jae-Kyung
2022, Volume 105, Issue C
- 1-13 Three-step risk inference in insurance ratemaking
by Hou, Yanxi & Kang, Seul Ki & Lo, Chia Chun & Peng, Liang
- 14-40 Decrease of capital guarantees in life insurance products: Can reinsurance stop it?
by Escobar-Anel, Marcos & Havrylenko, Yevhen & Kschonnek, Michel & Zagst, Rudi
- 41-53 Automatic Fatou property of law-invariant risk measures
by Chen, Shengzhong & Gao, Niushan & Leung, Denny H. & Li, Lei
- 54-63 Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels
by Ang, Zi Qing & Lee, See Keong
- 64-78 The location of a minimum variance squared distance functional
by Landsman, Zinoviy & Shushi, Tomer
- 79-95 The added value of dynamically updating motor insurance prices with telematics collected driving behavior data
by Henckaerts, Roel & Antonio, Katrien
- 96-127 Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method
by Kang, Boda & Shen, Yang & Zhu, Dan & Ziveyi, Jonathan
- 128-143 Exact credibility reference Bayesian premiums
by Gómez-Déniz, Emilio & Vázquez-Polo, Francisco J.
- 144-174 Stochastic loss reserving with mixture density neural networks
by Al-Mudafer, Muhammed Taher & Avanzi, Benjamin & Taylor, Greg & Wong, Bernard
- 175-193 Refundable income annuities: Feasibility of money-back guarantees
by Milevsky, Moshe A. & Salisbury, Thomas S.
- 194-202 Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves
by Boratyńska, Agata & Zielińska-Kolasińska, Zofia
- 203-210 Similar risks have similar prices: A useful and exact quantification
by Mildenhall, Stephen J.
- 211-237 Annuity and insurance choice under habit formation
by Boyle, Phelim & Tan, Ken Seng & Wei, Pengyu & Zhuang, Sheng Chao
- 238-251 An asymptotic study of systemic expected shortfall and marginal expected shortfall
by Chen, Yiqing & Liu, Jiajun
- 252-278 Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
by Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra
- 279-292 S-shaped narrow framing, skewness and the demand for insurance
by Chi, Yichun & Zheng, Jiakun & Zhuang, Shengchao
- 293-312 Controlling the effects of adverse selection in flexible benefit plans: A pricing-based approach
by Ng, Cherie & Sanders, Barbara & Bégin, Jean-François
- 313-335 Blockchain mining in pools: Analyzing the trade-off between profitability and ruin
by Albrecher, Hansjörg & Finger, Dina & Goffard, Pierre-O.
- 336-359 Sample recycling method – a new approach to efficient nested Monte Carlo simulations
by Feng, Runhuan & Li, Peng
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
Printed from https://ideas.repec.org/s/eee/insuma2.html
