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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.
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ISSN: 0167-6687
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Content
2019, Volume 84, Issue C
- 40-53 Derivatives trading for insurers
by Xue, Xiaole & Wei, Pengyu & Weng, Chengguo
- 54-66 Dynamic hybrid products with guarantees—An optimal portfolio framework
by Hambardzumyan, Hayk & Korn, Ralf
- 67-78 On randomized reinsurance contracts
by Albrecher, Hansjörg & Cani, Arian
- 79-86 Forecasting compositional risk allocations
by Boonen, Tim J. & Guillen, Montserrat & Santolino, Miguel
- 87-97 An optimization approach to adaptive multi-dimensional capital management
by Delsing, G.A. & Mandjes, M.R.H. & Spreij, P.J.C. & Winands, E.M.M.
- 98-114 Hedging of crop harvest with derivatives on temperature
by Hainaut, Donatien
- 115-132 Robust non-zero-sum investment and reinsurance game with default risk
by Wang, Ning & Zhang, Nan & Jin, Zhuo & Qian, Linyi
2018, Volume 83, Issue C
- 1-8 Bayesian nonparametric regression models for modeling and predicting healthcare claims
by Richardson, Robert & Hartman, Brian
- 9-28 Time-consistent mean–variance portfolio optimization: A numerical impulse control approach
by Van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A.
- 29-31 Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018)
by Pesenti, Silvana M. & Tsanakas, Andreas & Millossovich, Pietro
- 32-46 Does hunger for bonuses drive the dependence between claim frequency and severity?
by Park, Sojung C. & Kim, Joseph H.T. & Ahn, Jae Youn
- 47-58 Dividends: From refracting to ratcheting
by Albrecher, Hansjörg & Bäuerle, Nicole & Bladt, Martin
- 59-74 Extreme quantile estimation for β-mixing time series and applications
by Chavez-Demoulin, Valérie & Guillou, Armelle
- 75-82 A stochastic order for the analysis of investments affected by the time value of money
by López-Díaz, María Concepción & López-Díaz, Miguel & Martínez-Fernández, Sergio
- 83-92 The dual risk model with dividends taken at arrival
by Boxma, Onno & Frostig, Esther
- 93-109 Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
by Jeon, Junkee & Kwak, Minsuk
- 110-121 The role of heterogeneous parameters for the detection of selection in insurance contracts
by Karlsson, Martin & Klohn, Florian & Rickayzen, Ben
- 122-133 Time-consistent proportional reinsurance and investment strategies under ambiguous environment
by Guan, Guohui & Liang, Zongxia & Feng, Jian
- 134-147 Portfolio management with targeted constant market volatility
by Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael
- 148-160 Optimality of multi-refraction control strategies in the dual model
by Czarna, Irmina & Pérez, José-Luis & Yamazaki, Kazutoshi
- 161-169 Allowing for time and cross dependence assumptions between claim counts in ratemaking models
by Bermúdez, Lluís & Guillén, Montserrat & Karlis, Dimitris
- 170-179 The average risk sharing problem under risk measure and expected utility theory
by Mao, Tiantian & Hu, Jiuyun & Liu, Haiyan
- 180-189 Bayesian credibility for GLMs
by Xacur, Oscar Alberto Quijano & Garrido, José
- 190-197 Discounted penalty function at Parisian ruin for Lévy insurance risk process
by Loeffen, R. & Palmowski, Z. & Surya, B.A.
- 198-205 Insurance choice under third degree stochastic dominance
by Chi, Yichun
- 206-221 Bayesian mortality forecasting with overdispersion
by Wong, Jackie S.T. & Forster, Jonathan J. & Smith, Peter W.F.
2018, Volume 82, Issue C
- 1-10 The impact of negative interest rates on optimal capital injections
by Eisenberg, Julia & Krühner, Paul
- 11-20 On fair reinsurance premiums; Capital injections in a perturbed risk model
by Ben Salah, Zied & Garrido, José
- 21-36 Non-parametric inference of transition probabilities based on Aalen–Johansen integral estimators for acyclic multi-state models: application to LTC insurance
by Guibert, Quentin & Planchet, Frédéric
- 37-47 Optimal risk allocation in reinsurance networks
by Bäuerle, Nicole & Glauner, Alexander
- 48-54 Continuity inequalities for multidimensional renewal risk models
by Gordienko, E. & Vázquez-Ortega, P.
- 55-72 Reinsurance versus securitization of catastrophe risk
by Subramanian, Ajay & Wang, Jinjing
- 73-86 Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
by Josa-Fombellida, Ricardo & López-Casado, Paula & Rincón-Zapatero, Juan Pablo
- 87-94 Bayesian ratemaking with common effects modeled by mixture of Polya tree processes
by Zhang, Jianjun & Qiu, Chunjuan & Wu, Xianyi
- 95-116 A comparative study of pricing approaches for longevity instruments
by Leung, Melvern & Fung, Man Chung & O’Hare, Colin
- 117-123 Conditional expectiles, time consistency and mixture convexity properties
by Bellini, Fabio & Bignozzi, Valeria & Puccetti, Giovanni
- 124-140 Estimating loss reserves using hierarchical Bayesian Gaussian process regression with input warping
by Lally, Nathan & Hartman, Brian
- 141-151 Upper bounds for strictly concave distortion risk measures on moment spaces
by Cornilly, D. & Rüschendorf, L. & Vanduffel, S.
- 152-166 Poissonian potential measures for Lévy risk models
by Landriault, David & Li, Bin & Wong, Jeff T.Y. & Xu, Di
- 167-180 Copula approaches for modeling cross-sectional dependence of data breach losses
by Eling, Martin & Jung, Kwangmin
- 181-190 Minimizing the probability of ruin: Optimal per-loss reinsurance
by Liang, Xiaoqing & Young, Virginia R.
- 191-200 Solvency II, or how to sweep the downside risk under the carpet
by Weber, Stefan
2018, Volume 81, Issue C
- 1-17 VIX-linked fees for GMWBs via explicit solution simulation methods
by Kouritzin, Michael A. & MacKay, Anne
- 18-26 Which eligible assets are compatible with comonotonic capital requirements?
by Koch-Medina, Pablo & Munari, Cosimo & Svindland, Gregor
- 27-35 A multivariate tail covariance measure for elliptical distributions
by Landsman, Zinoviy & Makov, Udi & Shushi, Tomer
- 36-50 Life insurance settlement and the monopolistic insurance market
by Hong, Jimin & Seog, S. Hun
- 51-70 Long-term care models and dependence probability tables by acuity level: New empirical evidence from Switzerland
by Fuino, Michel & Wagner, Joël
- 71-77 LLN-type approximations for large portfolio losses
by Liu, Jing
- 78-94 Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
by Bian, Lihua & Li, Zhongfei & Yao, Haixiang
- 95-107 Compound unimodal distributions for insurance losses
by Punzo, Antonio & Bagnato, Luca & Maruotti, Antonello
- 108-116 Optimal reinsurance under risk and uncertainty on Orlicz hearts
by Kong, Dezhou & Liu, Lishan & Wu, Yonghong
- 117-129 Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts
by Gambaro, Anna Maria & Casalini, Riccardo & Fusai, Gianluca & Ghilarducci, Alessandro
- 130-141 Parameter uncertainty and reserve risk under Solvency II
by Fröhlich, Andreas & Weng, Annegret
2018, Volume 80, Issue C
- 1-14 Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
by Wang, Suxin & Lu, Yi & Sanders, Barbara
- 15-28 Optimal insurance design under background risk with dependence
by Lu, Zhiyi & Meng, Shengwang & Liu, Leping & Han, Ziqi
- 29-44 On optimal periodic dividend strategies for Lévy risk processes
by Noba, Kei & Pérez, José-Luis & Yamazaki, Kazutoshi & Yano, Kouji
- 45-53 Banach Contraction Principle and ruin probabilities in regime-switching models
by Gajek, Lesław & Rudź, Marcin
- 54-65 Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data
by Margraf, Carolin & Elpidorou, Valandis & Verrall, Richard
- 67-83 Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
by Wang, Pei & Li, Zhongfei
- 84-92 Large deviations for risk measures in finite mixture models
by Bignozzi, Valeria & Macci, Claudio & Petrella, Lea
- 93-109 Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
by Gu, Ailing & Viens, Frederi G. & Yao, Haixiang
2018, Volume 79, Issue C
- 1-14 Pricing insurance drawdown-type contracts with underlying Lévy assets
by Palmowski, Zbigniew & Tumilewicz, Joanna
- 15-25 Insurance loss coverage and demand elasticities
by Hao, MingJie & Macdonald, Angus S. & Tapadar, Pradip & Thomas, R. Guy
- 26-42 An IBNR–RBNS insurance risk model with marked Poisson arrivals
by Ahn, Soohan & Badescu, Andrei L. & Cheung, Eric C.K. & Kim, Jeong-Rae
- 43-56 Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
by Kang, Boda & Ziveyi, Jonathan
- 57-68 A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
by Hernández, Camilo & Junca, Mauricio & Moreno-Franco, Harold
- 69-74 Ruin probability via Quantum Mechanics Approach
by Tamturk, Muhsin & Utev, Sergey
- 75-81 Weighted risk capital allocations in the presence of systematic risk
by Furman, Edward & Kuznetsov, Alexey & Zitikis, Ričardas
- 82-91 Distortion measures and homogeneous financial derivatives
by Major, John A.
- 92-100 An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
by Zhou, Ming & Dhaene, Jan & Yao, Jing
- 101-106 Using fuzzy logic to interpret dependent risks
by Kemaloglu, Sibel Acik & Shapiro, Arnold F. & Tank, Fatih & Apaydin, Aysen
- 107-123 Robust evaluation of SCR for participating life insurances under Solvency II
by Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon
- 124-136 De-risking strategy: Longevity spread buy-in
by D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena
- 137-147 Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
by Landriault, David & Li, Bin & Li, Shu
- 148-166 Stochastic distortion and its transformed copula
by Lin, Feng & Peng, Liang & Xie, Jiehua & Yang, Jingping
- 167-183 Annuitization and asset allocation under exponential utility
by Liang, Xiaoqing & Young, Virginia R.
- 184-193 On the evaluation of some multivariate compound distributions with Sarmanov’s counting distribution
by Vernic, Raluca
- 194-209 Optimal investment under VaR-Regulation and Minimum Insurance
by Chen, An & Nguyen, Thai & Stadje, Mitja
- 210-224 Optimal investment management for a defined contribution pension fund under imperfect information
by Zhang, Ling & Zhang, Hao & Yao, Haixiang
- 225-242 Optimal dividends under Erlang(2) inter-dividend decision times
by Avanzi, Benjamin & Tu, Vincent & Wong, Bernard
- 243-246 On existence and uniqueness of the principle of equivalent utility under Cumulative Prospect Theory
by Chudziak, J.
- 247-259 On generalized log-Moyal distribution: A new heavy tailed size distribution
by Bhati, Deepesh & Ravi, Sreenivasan
2018, Volume 78, Issue C
- 1-12 An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
by Zhao, Yixing & Mamon, Rogemar
- 13-29 From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions
by Fontanari, Andrea & Cirillo, Pasquale & Oosterlee, Cornelis W.
- 30-43 Early default risk and surrender risk: Impacts on participating life insurance policies
by Cheng, Chunli & Li, Jing
- 44-52 Duality in ruin problems for ordered risk models
by Goffard, Pierre-Olivier & Lefèvre, Claude
- 53-71 Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications
by Cossette, Hélène & Marceau, Etienne & Mtalai, Itre & Veilleux, Déry
- 72-86 Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility
by Li, Danping & Shen, Yang & Zeng, Yan
- 87-104 Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
by Tang, Mei-Ling & Chen, Son-Nan & Lai, Gene C. & Wu, Ting-Pin
- 105-113 Stochastic orders and co-risk measures under positive dependence
by Sordo, M.A. & Bello, A.J. & Suárez-Llorens, A.
- 114-122 Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications
by Beirlant, J. & Maribe, G. & Verster, A.
- 123-135 Non-cooperative dynamic games for general insurance markets
by Boonen, Tim J. & Pantelous, Athanasios A. & Wu, Renchao
- 136-156 Approximation of ruin probabilities via Erlangized scale mixtures
by Peralta, Oscar & Rojas-Nandayapa, Leonardo & Xie, Wangyue & Yao, Hui
- 157-173 Longevity risk and capital markets: The 2015–16 update
by Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard
- 174-182 The choice of trigger in an insurance linked security: The mortality risk case
by MacMinn, Richard & Richter, Andreas
- 183-200 Pension risk management with funding and buyout options
by Cox, Samuel H. & Lin, Yijia & Shi, Tianxiang
- 201-211 The effect of longevity drift and investment volatility on income sufficiency in retirement
by Mayhew, Les & Smith, David & Wright, Douglas
- 212-229 Valuation of longevity-linked life annuities
by Bravo, Jorge Miguel & El Mekkaoui de Freitas, Najat
- 230-245 Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company?
by Bruszas, Sandy & Kaschützke, Barbara & Maurer, Raimond & Siegelin, Ivonne
- 246-254 Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approach
by Hsieh, Ming-hua & Wang, Jennifer L. & Chiu, Yu-Fen & Chen, Yen-Chih
- 255-266 Profitability and risk profile of reverse mortgages: A cross-system and cross-plan comparison
by Lee, Yung-Tsung & Kung, Ko-Lun & Liu, I-Chien
- 267-285 A strategy for hedging risks associated with period and cohort effects using q-forwards
by Liu, Yanxin & Li, Johnny Siu-Hang
- 286-300 Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets
by Kurtbegu, Enareta
- 301-315 Cause-of-death mortality: What can be learned from population dynamics?
by Boumezoued, Alexandre & Hardy, Héloïse Labit & El Karoui, Nicole & Arnold, Séverine
- 316-324 Using Taiwan National Health Insurance Database to model cancer incidence and mortality rates
by Yue, Jack C. & Wang, Hsin-Chung & Leong, Yin-Yee & Su, Wei-Ping
- 325-338 Do actuaries believe in longevity deceleration?
by Debonneuil, Edouard & Loisel, Stéphane & Planchet, Frédéric
- 339-350 The double-gap life expectancy forecasting model
by Pascariu, Marius D. & Canudas-Romo, Vladimir & Vaupel, James W.
- 351-359 Mortality models and longevity risk for small populations
by Wang, Hsin-Chung & Yue, Ching-Syang Jack & Chong, Chen-Tai
- 360-368 Identifiability, cointegration and the gravity model
by Hunt, Andrew & Blake, David
- 369-380 Modeling trend processes in parametric mortality models
by Börger, Matthias & Schupp, Johannes
2017, Volume 77, Issue C
- 1-13 On the optimality of periodic barrier strategies for a spectrally positive Lévy process
by Pérez, José-Luis & Yamazaki, Kazutoshi
- 14-23 Wanting robustness in insurance: A model of catastrophe risk pricing and its empirical test
by Zhu, Wenge
- 24-37 Pareto-optimal reinsurance arrangements under general model settings
by Cai, Jun & Liu, Haiyan & Wang, Ruodu
- 38-48 Remarks on composite Bernstein copula and its application to credit risk analysis
by Guo, Nan & Wang, Fang & Yang, Jingping
- 49-64 A general approach to full-range tail dependence copulas
by Su, Jianxi & Hua, Lei
- 65-77 Modelling censored losses using splicing: A global fit strategy with mixed Erlang and extreme value distributions
by Reynkens, Tom & Verbelen, Roel & Beirlant, Jan & Antonio, Katrien
- 78-83 Interplay of subexponential and dependent insurance and financial risks
by Chen, Yiqing
- 84-96 Time-consistent mean–variance asset–liability management with random coefficients
by Wei, Jiaqin & Wang, Tianxiao
- 97-110 A class of random field memory models for mortality forecasting
by Doukhan, P. & Pommeret, D. & Rynkiewicz, J. & Salhi, Y.
- 111-118 Optimal insurance design with a bonus
by Li, Yongwu & Xu, Zuo Quan
- 119-132 Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process
by Liang, Xiaoqing & Lu, Yi
- 133-142 Purchasing casualty insurance to avoid lifetime ruin
by Young, Virginia R.
- 143-149 Some comparison results for finite-time ruin probabilities in the classical risk model
by Lefèvre, Claude & Trufin, Julien & Zuyderhoff, Pierre
- 150-165 Model spaces for risk measures
by Liebrich, Felix-Benedikt & Svindland, Gregor
- 166-176 Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach
by Li, Han & O’Hare, Colin
- 177-188 Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
by Duarte, Thiago B. & Valladão, Davi M. & Veiga, Álvaro
2017, Volume 76, Issue C
- 1-13 Hierarchical Archimedean copulas through multivariate compound distributions
by Cossette, Hélène & Gadoury, Simon-Pierre & Marceau, Étienne & Mtalai, Itre
- 14-27 Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency
by Dhaene, Jan & Stassen, Ben & Barigou, Karim & Linders, Daniël & Chen, Ze
- 28-47 Haezendonck–Goovaerts risk measure with a heavy tailed loss
by Liu, Qing & Peng, Liang & Wang, Xing
- 48-55 De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
by Hu, Xiang & Duan, Baige & Zhang, Lianzeng
- 56-68 Multiple risk factor dependence structures: Distributional properties
by Su, Jianxi & Furman, Edward
- 69-74 On taxed spectrally negative Lévy processes with draw-down stopping
by Avram, Florin & Vu, Nhat Linh & Zhou, Xiaowen
- 75-86 Longevity-linked assets and pre-retirement consumption/portfolio decisions
by Menoncin, Francesco & Regis, Luca
- 87-94 Efficient randomized quasi-Monte Carlo methods for portfolio market risk
by Sak, Halis & Başoğlu, İsmail
- 95-103 Evaluation of credit value adjustment in K-forward
by Hao, Xuemiao & Liang, Chunli & Wei, Linghua
- 104-117 Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate
by Shevchenko, Pavel V. & Luo, Xiaolin
- 118-134 Modeling partial Greeks of variable annuities with dependence
by Gan, Guojun & Valdez, Emiliano A.
- 135-140 Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function
by Boratyńska, Agata
- 141-148 Joint stochastic orders of high degrees and their applications in portfolio selections
by Wei, Wei
- 149-163 Unit-linked life insurance policies: Optimal hedging in partially observable market models
by Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra
- 164-171 Solvency II reporting: How to interpret funds’ aggregate solvency capital requirement figures
by Mezőfi, Balázs & Niedermayer, Andras & Niedermayer, Daniel & Süli, Balázs Márton
- 172-184 Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework
by Menoncin, Francesco & Vigna, Elena
- 185-195 Optimal insurance design in the presence of exclusion clauses
by Chi, Yichun & Liu, Fangda
2017, Volume 75, Issue C
- 1-15 Optimal hedging with basis risk under mean–variance criterion
by Zhang, Jingong & Tan, Ken Seng & Weng, Chengguo
- 16-31 Analysis of survivorship life insurance portfolios with stochastic rates of return
by Chen, Li & Lin, Luyao & Lu, Yi & Parker, Gary
- 32-47 Optimal consumption, investment and housing with means-tested public pension in retirement
by Andréasson, Johan G. & Shevchenko, Pavel V. & Novikov, Alex
- 48-57 Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models
by Neves, César & Fernandes, Cristiano & Hoeltgebaum, Henrique
- 58-70 A reinsurance and investment game between two insurance companies with the different opinions about some extra information
by Yan, Ming & Peng, Fanyi & Zhang, Shuhua
- 71-81 Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model
by Hahn, Lukas
- 82-89 Optimality of excess-loss reinsurance under a mean–variance criterion
by Li, Danping & Li, Dongchen & Young, Virginia R.
- 90-97 The joint mortality of couples in continuous time
by Jevtić, P. & Hurd, T.R.
- 98-104 Confidence sets and confidence bands for a beta distribution with applications to credit risk management
by Kiatsupaibul, Seksan & Hayter, Anthony J. & Somsong, Sarunya
- 105-116 Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
by Cai, Jun & Wang, Ying & Mao, Tiantian
- 117-125 Identifiability issues of age–period and age–period–cohort models of the Lee–Carter type
by Beutner, Eric & Reese, Simon & Urbain, Jean-Pierre
- 126-136 Data breaches: Goodness of fit, pricing, and risk measurement
by Eling, Martin & Loperfido, Nicola
- 137-150 Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
by Chen, Zheng & Li, Zhongfei & Zeng, Yan & Sun, Jingyun
- 151-165 Characterization of between-group inequality of longevity in European Union countries
by Debón, A. & Chaves, L. & Haberman, S. & Villa, F.
- 166-179 Grouped multivariate and functional time series forecasting:An application to annuity pricing
by Shang, Han Lin & Haberman, Steven
- 180-188 The fundamental theorem of mutual insurance
by Albrecht, Peter & Huggenberger, Markus
- 189-202 Fuzzy logic modifications of the Analytic Hierarchy Process
by Shapiro, Arnold F. & Koissi, Marie-Claire
2017, Volume 74, Issue C
- 1-6 A note on the convexity of ruin probabilities
by Landriault, David & Li, Bin & Loke, Sooie-Hoe & Willmot, Gordon E. & Xu, Di
- 7-19 Optimal investment and reinsurance for an insurer under Markov-modulated financial market
by Xu, Lin & Zhang, Liming & Yao, Dingjun
- 20-30 Intergenerational risk sharing in closing pension funds
by Boonen, Tim J. & De Waegenaere, Anja
- 31-45 Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér–Lundberg model
by Chen, Shumin & Zeng, Yan & Hao, Zhifeng
- 46-62 Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
by Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy
- 63-77 Contagion modeling between the financial and insurance markets with time changed processes
by Hainaut, Donatien
- 78-83 Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model
by Touazi, A. & Benouaret, Z. & Aissani, D. & Adjabi, S.
- 84-98 Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus
by Shimizu, Yasutaka & Zhang, Zhimin
- 99-108 Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks
by Lauer, Alexandra & Zähle, Henryk
- 109-121 Multiple risk factor dependence structures: Copulas and related properties
by Su, Jianxi & Furman, Edward
- 122-134 Risk measures in a quantile regression credibility framework with Fama/French data applications
by Pitselis, Georgios
- 135-146 Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
by Zhao, Yongxia & Chen, Ping & Yang, Hailiang
- 147-152 Characterization of acceptance sets for co-monotone risk measures
by Rieger, Marc Oliver
- 153-163 Parisian ruin for a refracted Lévy process
by Lkabous, Mohamed Amine & Czarna, Irmina & Renaud, Jean-François
- 164-169 A new uncertain insurance model with variational lower limit
by Liu, Yang & Zhang, Xingfang & Ma, Weimin
- 170-181 A state dependent reinsurance model
by Boxma, Onno & Frostig, Esther & Perry, David & Yosef, Rami
- 182-196 Sustainability of participation in collective pension schemes: An option pricing approach
by Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & Broeders, Dirk W.G.A. & Pelsser, Antoon A.J.
- 197-209 On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation
by Ratovomirija, Gildas & Tamraz, Maissa & Vernic, Raluca
2017, Volume 73, Issue C
- 1-19 Complete discounted cash flow valuation
by Gajek, Lesław & Kuciński, Łukasz
- 20-26 Risk aggregation in Solvency II through recursive log-normals
by Bølviken, Erik & Guillen, Montserrat
- 27-30 A note on risky targets and effort
by Wong, Kit Pong
- 31-40 Ordering optimal deductible allocations for stochastic arrangement increasing risks
by Li, Chen & Li, Xiaohu
- 41-53 Full Bayesian analysis of claims reserving uncertainty
by Peters, Gareth W. & Targino, Rodrigo S. & Wüthrich, Mario V.
- 54-67 Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks
by Han, Nan-Wei & Hung, Mao-Wei
- 68-74 Incorporating model uncertainty into optimal insurance contract design
by Ch. Pflug, Georg & Timonina-Farkas, Anna & Hochrainer-Stigler, Stefan
- 75-81 A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
by Chen, Yiqing & Yuan, Zhongyi
- 82-93 Optimal dividend payout model with risk sensitive preferences
by Bäuerle, Nicole & Jaśkiewicz, Anna
- 94-104 On a bivariate copula with both upper and lower full-range tail dependence
by Hua, Lei
- 105-115 On the effects of changing mortality patterns on investment, labour and consumption under uncertainty
by Ewald, Christian-Oliver & Zhang, Aihua
- 116-123 On the distribution of cumulative Parisian ruin
by Guérin, Hélène & Renaud, Jean-François
- 124-136 A unisex stochastic mortality model to comply with EU Gender Directive
by Chen, An & Vigna, Elena
- 137-155 Optimal investment strategies for participating contracts
by Lin, Hongcan & Saunders, David & Weng, Chengguo
- 156-167 A limit distribution of credit portfolio losses with low default probabilities
by Shi, Xiaojun & Tang, Qihe & Yuan, Zhongyi
2017, Volume 72, Issue C
- 1-5 Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization
by Denuit, Michel M. & Mesfioui, Mhamed
- 6-20 Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
by Li, Danping & Rong, Ximin & Zhao, Hui & Yi, Bo
- 21-35 A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
by Cantia, Catalin & Tunaru, Radu
- 36-48 Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
by Feng, Runhuan & Jing, Xiaochen
- 49-66 Multi-period risk sharing under financial fairness
by Bao, Hailong & Ponds, Eduard H.M. & Schumacher, Johannes M.
Printed from https://ideas.repec.org/s/eee/insuma4.html
