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Series handle: RePEc:eee:insuma
ISSN: 0167-6687
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Content
2021, Volume 96, Issue C
- 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
- 95-115 Modelling life tables with advanced ages: An extreme value theory approach
by Huang, Fei & Maller, Ross & Ning, Xu
- 116-124 Innovation in long-term care insurance: Joint contracts for mitigating relational moral hazard
by Zweifel, Peter
- 125-140 Sustainability of pension systems with voluntary participation
by Romp, Ward & Beetsma, Roel
- 141-155 Double-counting problem of the bonus–malus system
by Oh, Rosy & Lee, Kyung Suk & Park, Sojung C. & Ahn, Jae Youn
- 156-167 Bachelier model with stopping time and its insurance application
by Glazyrina, Anna & Melnikov, Alexander
- 168-177 Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
by Palmowski, Z. & Surya, B.A.
- 178-186 Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models
by Shushi, Tomer & Yao, Jing
- 187-195 Nonlinear reserving and multiple contract modifications in life insurance
by Christiansen, Marcus C. & Djehiche, Boualem
- 196-205 Nash equilibria in optimal reinsurance bargaining
by Anthropelos, Michail & Boonen, Tim J.
- 206-215 Optimal reinsurance-investment strategy for a dynamic contagion claim model
by Cao, Jingyi & Landriault, David & Li, Bin
- 216-229 Evolutionary credibility risk premium
by Chen, Yongzhao & Cheung, Ka Chun & Choi, Hugo Ming Cheung & Yam, Sheung Chi Phillip
- 230-245 Optimal dynamic asset allocation for DC plan accumulation/decumulation: Ambition-CVAR
by Forsyth, Peter A.
- 246-261 Ruin-based risk measures in discrete-time risk models
by Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre
- 262-277 Asymptotic independence and support detection techniques for heavy-tailed multivariate data
by Lehtomaa, Jaakko & Resnick, Sidney I.
- 278-287 The participation puzzle with reference-dependent expected utility preferences
by Wang, Jianli & Liu, Liqun & Neilson, William S.
- 288-300 Characterizing optimal allocations in quantile-based risk sharing
by Wang, Ruodu & Wei, Yunran
- 301-314 Expected utility approximation and portfolio optimisation
by Fahrenwaldt, Matthias A. & Sun, Chaofan
- 315-332 Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
by Avanzi, Benjamin & Lau, Hayden & Wong, Bernard
- 333-340 Rate of convergence of the probability of ruin in the Cramér–Lundberg model to its diffusion approximation
by Cohen, Asaf & Young, Virginia R.
- 341-352 Stochastic comparisons of the smallest and largest claim amounts with location-scale claim severities
by Barmalzan, Ghobad & Akrami, Abbas & Balakrishnan, Narayanaswamy
- 353-368 Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data
by Bozikas, Apostolos & Pitselis, Georgios
- 369-386 Prevention efforts, insurance demand and price incentives under coherent risk measures
by Bensalem, Sarah & Santibáñez, Nicolás Hernández & Kazi-Tani, Nabil
- 387-399 Relative bound and asymptotic comparison of expectile with respect to expected shortfall
by Tadese, Mekonnen & Drapeau, Samuel
2020, Volume 92, Issue C
- 1-16 Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments
by Xu, Ran & Woo, Jae-Kyung
- 17-26 On occupation times in the red of Lévy risk models
by Landriault, David & Li, Bin & Lkabous, Mohamed Amine
- 27-46 Robust optimal reinsurance–investment strategy with price jumps and correlated claims
by Chen, Zhiping & Yang, Peng
- 47-60 On sums of two counter-monotonic risks
by Chaoubi, Ihsan & Cossette, Hélène & Gadoury, Simon-Pierre & Marceau, Etienne
- 61-69 On the increasing convex order of generalized aggregation of dependent random variables
by Zhang, Yiying & Cheung, Ka Chun
- 70-89 Distributionally robust inference for extreme Value-at-Risk
by Yuen, Robert & Stoev, Stilian & Cooley, Daniel
- 90-103 Long-term real dynamic investment planning
by Gerrard, Russell & Hiabu, Munir & Nielsen, Jens Perch & Vodička, Peter
- 104-114 Optimal insurance with belief heterogeneity and incentive compatibility
by Chi, Yichun & Zhuang, Sheng Chao
- 115-127 On the asymptotic equilibrium of a population system with migration
by Pianese, Augusto & Attias, Anna & Bianchi, Sergio & Varga, Zoltàn
- 128-146 Optimal reinsurance under the mean–variance premium principle to minimize the probability of ruin
by Liang, Xiaoqing & Liang, Zhibin & Young, Virginia R.
- 147-161 Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?
by Milevsky, Moshe A.
- 162-176 Multi-stage nested classification credibility quantile regression model
by Pitselis, Georgios
2020, Volume 91, Issue C
- 1-11 Weak limits of random coefficient autoregressive processes and their application in ruin theory
by Dong, Y. & Spielmann, J.
- 12-25 Generalized expected discounted penalty function at general drawdown for Lévy risk processes
by Wang, Wenyuan & Chen, Ping & Li, Shuanming
- 26-36 The Poisson random effect model for experience ratemaking: Limitations and alternative solutions
by Lee, Woojoo & Kim, Jeonghwan & Ahn, Jae Youn
- 37-54 Incorporating hierarchical credibility theory into modelling of multi-country mortality rates
by Tsai, Cary Chi-Liang & Wu, Adelaide Di
- 55-67 Validation of association
by Ćmiel, Bogdan & Ledwina, Teresa
- 68-84 A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates
by Ungolo, Francesco & Kleinow, Torsten & Macdonald, Angus S.
- 85-103 Fast and efficient nested simulation for large variable annuity portfolios: A surrogate modeling approach
by Lin, X. Sheldon & Yang, Shuai
- 104-110 A cyclic approach on classical ruin model
by Yuen, Fei Lung & Lee, Wing Yan & Fung, Derrick W.H.
- 111-128 Health shock risk, critical illness insurance, and housing services
by Hambel, Christoph
- 129-143 An age-at-death distribution approach to forecast cohort mortality
by Basellini, Ugofilippo & Kjærgaard, Søren & Camarda, Carlo Giovanni
- 144-154 Is the inf-convolution of law-invariant preferences law-invariant?
by Liu, Peng & Wang, Ruodu & Wei, Linxiao
- 155-165 Concave distortion risk minimizing reinsurance design under adverse selection
by Cheung, Ka Chun & Phillip Yam, Sheung Chi & Yuen, Fei Lung & Zhang, Yiying
- 166-187 Copula-based Markov process
by Fang, Jun & Jiang, Fan & Liu, Yong & Yang, Jingping
- 188-201 A Bowley solution with limited ceded risk for a monopolistic reinsurer
by Chi, Yichun & Tan, Ken Seng & Zhuang, Sheng Chao
- 202-208 Optimal prevention strategies in the classical risk model
by Gauchon, Romain & Loisel, Stéphane & Rullière, Jean-Louis & Trufin, Julien
- 209-223 Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology
by Jevtić, Petar & Lanchier, Nicolas
- 224-237 Dynamic consumption and portfolio choice under prospect theory
by van Bilsen, Servaas & Laeven, Roger J.A.
- 238-243 Risk analysis with categorical explanatory variables
by Kang, Seul Ki & Peng, Liang & Xiao, Hongmin
- 244-256 Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes
by Wei, Jiaqin & Cheng, Xiang & Jin, Zhuo & Wang, Hao
- 257-268 Modelling extreme claims via composite models and threshold selection methods
by Wang, Yinzhi & Hobæk Haff, Ingrid & Huseby, Arne
2020, Volume 90, Issue C
- 1-6 The equivalence of two tax processes
by Al Ghanim, Dalal & Loeffen, Ronnie & Watson, Alexander R.
- 7-24 Unhedgeable inflation risk within pension schemes
by Chen, D.H.J. & Beetsma, R.M.W.J. & van Wijnbergen, S.J.G.
- 25-34 Approximating the time-weighted return: The case of flows at unknown time
by Guzzetti, Marco
- 35-45 On the Type I multivariate zero-truncated hurdle model with applications in health insurance
by Zhang, Pengcheng & Calderin, Enrique & Li, Shuanming & Wu, Xueyuan
- 46-57 The diffusion of complex securities: The case of CAT bonds
by Faias, José Afonso & Guedes, José
- 58-65 Livestock mortality catastrophe insurance using fatal shock process
by Pai, Jeffrey & Ravishanker, Nalini
- 66-79 Convex risk functionals: Representation and applications
by Liu, Fangda & Cai, Jun & Lemieux, Christiane & Wang, Ruodu
- 80-93 Pitfalls and merits of cointegration-based mortality models
by Jarner, Søren F. & Jallbjørn, Snorre
- 94-104 Optimal allocation to Deferred Income Annuities
by Habib, F. & Huang, H. & Mauskopf, A. & Nikolic, B. & Salisbury, T.S.
- 105-119 Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility
by Yan, Tingjin & Wong, Hoi Ying
- 120-134 On log-normal convolutions: An analytical–numerical method with applications to economic capital determination
by Furman, Edward & Hackmann, Daniel & Kuznetsov, Alexey
- 135-150 Parisian ruin with a threshold dividend strategy under the dual Lévy risk model
by Yang, Chen & Sendova, Kristina P. & Li, Zhong
- 151-168 Duration of long-term care: Socio-economic factors, type of care interactions and evolution
by Fuino, Michel & Wagner, Joël
2019, Volume 89, Issue C
- 1-15 Rank-based inference tools for copula regression, with property and casualty insurance applications
by Côté, Marie-Pier & Genest, Christian & Omelka, Marek
- 16-37 How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach
by Kaakaï, Sarah & Labit Hardy, Héloïse & Arnold, Séverine & El Karoui, Nicole
- 38-45 On the distribution of classic and some exotic ruin times
by Landriault, David & Li, Bin & Shi, Tianxiang & Xu, Di
- 46-62 Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
by Wang, Suxin & Lu, Yi
- 63-78 Robust optimal reinsurance and investment strategies for an AAI with multiple risks
by Guan, Guohui & Liang, Zongxia
- 79-91 Budget-constrained optimal insurance with belief heterogeneity
by Ghossoub, Mario
- 92-110 Nonparametric inference for distortion risk measures on tail regions
by Hou, Yanxi & Wang, Xing
- 111-127 A class of mixture of experts models for general insurance: Theoretical developments
by Fung, Tsz Chai & Badescu, Andrei L. & Lin, X. Sheldon
- 128-139 Model selection based on Lorenz and concentration curves, Gini indices and convex order
by Denuit, Michel & Sznajder, Dominik & Trufin, Julien
- 140-156 Explicit moments for a class of micro-models in non-life insurance
by Wahl, Felix
- 157-170 Robust optimal investment–reinsurance strategies for an insurer with multiple dependent risks
by Sun, Jingyun & Yao, Haixiang & Kang, Zhilin
- 171-181 Pricing industry loss warranties in a Lévy–Frailty framework
by Beer, Simone & Braun, Alexander & Marugg, Andrin
- 182-192 Options on tontines: An innovative way of combining tontines and annuities
by Chen, An & Rach, Manuel
- 193-212 Stochastic utilities with subsistence and satiation: Optimal life insurance purchase, consumption and investment
by Ye, Jinchun
2019, Volume 88, Issue C
- 1-6 How do changes in risk and risk aversion affect self-protection with Selden/Kreps–Porteus preferences?
by Wang, Jianli & Wang, Hongxia & Yick, Ho Yin
- 7-18 Stochastic differential reinsurance games with capital injections
by Zhang, Nan & Jin, Zhuo & Qian, Linyi & Fan, Kun
- 19-29 Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency
by Barigou, Karim & Chen, Ze & Dhaene, Jan
- 30-43 Optimal XL-insurance under Wasserstein-type ambiguity
by Birghila, Corina & Pflug, Georg Ch.
- 44-56 Optimal consumption and investment with insurer default risk
by Jang, Bong-Gyu & Koo, Hyeng Keun & Park, Seyoung
- 57-76 Continuous time model for notional defined contribution pension schemes: Liquidity and solvency
by Alonso-García, Jennifer & Devolder, Pierre
- 77-92 Severity modeling of extreme insurance claims for tariffication
by Laudagé, Christian & Desmettre, Sascha & Wenzel, Jörg
- 93-107 Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences
by Chong, Wing Fung
- 108-119 Evaluation of driving risk at different speeds
by Gao, Guangyuan & Wüthrich, Mario V. & Yang, Hanfang
- 120-137 Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework
by Chen, Lv & Shen, Yang
- 138-150 Incorporating big microdata in life table construction: A hypothesis-free estimator
by Lledó, Josep & Pavía, Jose M. & Morillas-Jurado, Francisco G.
- 151-158 Stochastic ordering of Gini indexes for multivariate elliptical risks
by Kim, Bara & Kim, Jeongsim
- 159-180 Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion
by Zhao, Hui & Shen, Yang & Zeng, Yan & Zhang, Wenjun
- 181-195 A continuous-time stochastic model for the mortality surface of multiple populations
by Jevtić, Petar & Regis, Luca
- 196-208 Fair valuation of insurance liability cash-flow streams in continuous time: Theory
by Delong, Łukasz & Dhaene, Jan & Barigou, Karim
- 209-225 On the existence of a representative reinsurer under heterogeneous beliefs
by Boonen, Tim J. & Ghossoub, Mario
- 226-237 The long-term behavior of number of near-maximum insurance claims
by Dembińska, Anna & Buraczyńska, Aneta
- 238-254 Valuation of contingent convertible catastrophe bonds — The case for equity conversion
by Burnecki, Krzysztof & Giuricich, Mario Nicoló & Palmowski, Zbigniew
- 255-272 Forecasting mortality rate improvements with a high-dimensional VAR
by Guibert, Quentin & Lopez, Olivier & Piette, Pierrick
- 273-282 Ruin probabilities under capital constraints
by Ramsden, Lewis & Papaioannou, Apostolos D.
2019, Volume 87, Issue C
- 1-14 A censored copula model for micro-level claim reserving
by Lopez, Olivier
- 15-33 Optimal proportional reinsurance and investment for stochastic factor models
by Brachetta, M. & Ceci, C.
- 34-50 The collective reserving model
by Wahl, Felix & Lindholm, Mathias & Verrall, Richard
- 51-66 Optimal insurance under rank-dependent expected utility
by Ghossoub, Mario
- 67-81 Optimal robust insurance with a finite uncertainty set
by Asimit, Alexandru V. & Hu, Junlei & Xie, Yuantao
- 82-91 Optimal reinsurance for Gerber–Shiu functions in the Cramér–Lundberg model
by Preischl, M. & Thonhauser, S.
- 92-100 Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market
by Asmussen, Søren & Christensen, Bent Jesper & Thøgersen, Julie
- 101-114 Robust estimation of the Pickands dependence function under random right censoring
by Goegebeur, Yuri & Guillou, Armelle & Qin, Jing
- 115-129 A dependent frequency–severity approach to modeling longitudinal insurance claims
by Lee, Gee Y. & Shi, Peng
- 130-142 Option pricing under regime-switching models: Novel approaches removing path-dependence
by Godin, Frédéric & Lai, Van Son & Trottier, Denis-Alexandre
- 143-152 Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
by Li, Danping & Young, Virginia R.
- 153-168 Collective risk models with dependence
by Cossette, Hélène & Marceau, Etienne & Mtalai, Itre
2019, Volume 86, Issue C
- 1-7 Optimal dividend policy when risk reserves follow a jump–diffusion process with a completely monotone jump density under Markov-regime switching
by Jiang, Zhengjun
- 8-18 Subgroup analysis of zero-inflated Poisson regression model with applications to insurance data
by Chen, Kun & Huang, Rui & Chan, Ngai Hang & Yau, Chun Yip
- 19-42 Affordable and adequate annuities with stable payouts: Fantasy or reality?
by van Bilsen, Servaas & Linders, Daniël
- 43-50 Dynamic risk measures for processes via backward stochastic differential equations
by Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming
- 51-63 Valuation of risk-based premium of DB pension plan with terminations
by Qian, Linyi & Shen, Yang & Wang, Wei & Yang, Zhixin
- 64-72 Risk-adjusted Bowley reinsurance under distorted probabilities
by Cheung, Ka Chun & Yam, Sheung Chi Phillip & Zhang, Yiying
- 73-83 Model-free bounds on Value-at-Risk using extreme value information and statistical distances
by Lux, Thibaut & Papapantoleon, Antonis
- 84-91 Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns
by Li, Chen & Li, Xiaohu
- 92-97 On a family of risk measures based on largest claims
by Castaño-Martínez, A. & Pigueiras, G. & Sordo, M.A.
- 98-114 Conditional tail risk measures for the skewed generalised hyperbolic family
by Ignatieva, Katja & Landsman, Zinoviy
- 115-121 Analysis of risk bounds in partially specified additive factor models
by Rüschendorf, L.
- 122-133 A forecast reconciliation approach to cause-of-death mortality modeling
by Li, Han & Li, Hong & Lu, Yang & Panagiotelis, Anastasios
- 134-144 Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes?
by Gutierrez, Tomás & Pagnoncelli, Bernardo & Valladão, Davi & Cifuentes, Arturo
- 145-157 Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions
by Kim, Joseph H.T. & Kim, So-Yeun
- 158-167 A dynamic equivalence principle for systematic longevity risk management
by Hanbali, Hamza & Denuit, Michel & Dhaene, Jan & Trufin, Julien
- 168-188 Modern tontine with bequest: Innovation in pooled annuity products
by Bernhardt, Thomas & Donnelly, Catherine
- 189-204 A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
by Li, Yuying & Forsyth, Peter A.
- 205-215 Asymptotics of multivariate conditional risk measures for Gaussian risks
by Ling, Chengxiu
- 216-231 Dynamic risk-sharing game and reinsurance contract design
by Chen, Shumin & Liu, Yanchu & Weng, Chengguo
- 232-240 On a family of risk measures based on proportional hazards models and tail probabilities
by Psarrakos, Georgios & Sordo, Miguel A.
- 241-255 Reinsurance contract design when the insurer is ambiguity-averse
by Hu, Duni & Wang, Hailong
2019, Volume 85, Issue C
- 1-14 Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
by Bi, Junna & Cai, Jun
- 15-34 To borrow or insure? Long term care costs and the impact of housing
by Shao, Adam W. & Chen, Hua & Sherris, Michael
- 35-46 On modeling left-truncated loss data using mixtures of distributions
by Blostein, Martin & Miljkovic, Tatjana
- 47-59 Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
by Dong, Yinghui & Zheng, Harry
- 60-73 Quantitative modeling of risk management strategies: Stochastic reserving and hedging of variable annuity guaranteed benefits
by Feng, Runhuan & Yi, Bingji
- 74-88 On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins
by England, P.D. & Verrall, R.J. & Wüthrich, M.V.
- 89-103 Multivariate count data generalized linear models: Three approaches based on the Sarmanov distribution
by Bolancé, Catalina & Vernic, Raluca
- 104-114 Time-consistent investment-proportional reinsurance strategy with random coefficients for mean–variance insurers
by Wang, Hao & Wang, Rongming & Wei, Jiaqin
- 115-125 Optimal initial capital induced by the optimized certainty equivalent
by Arai, Takuji & Asano, Takao & Nishide, Katsumasa
- 126-137 A Cape Cod model for the exponential dispersion family
by Taylor, Greg
- 138-152 Dynamic capital allocation with irreversible investments
by Bauer, Daniel & Kamiya, Shinichi & Ping, Xiaohu & Zanjani, George
- 153-172 Mean-risk portfolio management with bankruptcy prohibition
by Wong, K.C. & Yam, S.C.P. & Zeng, J.
- 173-184 On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
by Jiang, Wenjun & Ren, Jiandong & Yang, Chen & Hong, Hanping
- 185-197 An analysis of transaction costs in participating life insurance under mean–variance preferences
by Gatzert, Nadine
- 198-204 Random distribution kernels and three types of defaultable contingent payoffs
by Ye, Jinchun
- 205-217 An approach to merit rating by means of autoregressive sequences
by Martinek, László & Arató, N. Miklós
2019, Volume 84, Issue C
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