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Content
2016, Volume 71, Issue C
- 332-341 Extremes for coherent risk measures
by Asimit, Alexandru V. & Li, Jinzhu
- 342-352 Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
by Delong, Łukasz & Chen, An
- 353-366 Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration
by Kwok, Kai Yin & Chiu, Mei Choi & Wong, Hoi Ying
- 367-381 Impact of volatility clustering on equity indexed annuities
by Hainaut, Donatien
- 382-393 Valuation and risk assessment of participating life insurance in the presence of credit risk
by Eckert, Johanna & Gatzert, Nadine & Martin, Michael
- 394-406 Cooperative investment in incomplete markets under financial fairness
by Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M.
2016, Volume 70, Issue C
- 1-10 Optimally investing to reach a bequest goal
by Bayraktar, Erhan & Young, Virginia R.
- 11-18 Mean–variance asset–liability management under constant elasticity of variance process
by Zhang, Miao & Chen, Ping
- 19-37 Discrete sums of geometric Brownian motions, annuities and Asian options
by Pirjol, Dan & Zhu, Lingjiong
- 38-57 Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models
by Goudenège, Ludovic & Molent, Andrea & Zanette, Antonino
- 58-65 Inference pitfalls in Lee–Carter model for forecasting mortality
by Leng, Xuan & Peng, Liang
- 66-79 Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
by Bartels, Mariana & Ziegelmann, Flavio A.
- 80-88 Risk reducers in convex order
by He, Junnan & Tang, Qihe & Zhang, Huan
- 89-104 Exponential utility maximization for an insurer with time-inconsistent preferences
by Zhao, Qian & Wang, Rongming & Wei, Jiaqin
- 105-116 Comparing risks with reference points: A stochastic dominance approach
by Guo, Dongmei & Hu, Yi & Wang, Shouyang & Zhao, Lin
- 117-124 Bivariate credibility bonus–malus premiums distinguishing between two types of claims
by Gómez-Déniz, E.
- 125-134 Lifetime ruin under ambiguous hazard rate
by Young, Virginia R. & Zhang, Yuchong
- 135-143 Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
by Brahimi, Brahim & Abdelli, Jihane
- 144-149 Preserving the Rothschild–Stiglitz type of increasing risk with background risk
by Guo, Xu & Li, Jingyuan & Liu, Dongri & Wang, Jianli
- 150-161 Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
by Liang, Xiaoqing & Tsai, Cary Chi-Liang & Lu, Yi
- 162-168 Borch’s theorem, equal margins, and efficient allocation
by Flåm, Sjur Didrik
- 169-181 A neural network approach to efficient valuation of large portfolios of variable annuities
by Hejazi, Seyed Amir & Jackson, Kenneth R.
- 182-195 Robust optimal risk sharing and risk premia in expanding pools
by Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor
- 196-204 The role of a representative reinsurer in optimal reinsurance
by Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao
- 205-215 Generalized linear models for dependent frequency and severity of insurance claims
by Garrido, J. & Genest, C. & Schulz, J.
- 216-223 Multivariate tail conditional expectation for elliptical distributions
by Landsman, Zinoviy & Makov, Udi & Shushi, Tomer
- 224-236 Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model
by Alonso-García, J. & Devolder, P.
- 237-244 A stochastic Nash equilibrium portfolio game between two DC pension funds
by Guan, Guohui & Liang, Zongxia
- 245-258 Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence
by Bi, Junna & Liang, Zhibin & Xu, Fangjun
- 259-271 Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy
by Zhu, Jinxia & Yang, Hailiang
- 272-285 Modelling lifetime dependence for older ages using a multivariate Pareto distribution
by Alai, Daniel H. & Landsman, Zinoviy & Sherris, Michael
- 286-300 Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
by Ignatieva, Katja & Song, Andrew & Ziveyi, Jonathan
- 301-319 It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk
by Liu, Yanxin & Li, Johnny Siu-Hang
- 320-326 Long-term behavior of stochastic interest rate models with Markov switching
by Zhang, Zhenzhong & Tong, Jinying & Hu, Liangjian
- 327-338 Asset allocation strategies in the presence of liability constraints
by Cousin, Areski & Jiao, Ying & Robert, Christian Y. & Zerbib, Olivier David
- 339-353 On the credibility of insurance claim frequency: Generalized count models and parametric estimators
by Asamoah, Kwadwo
- 354-363 On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
by Woo, Jae-Kyung
- 364-372 Hedging insurance books
by Carr, Peter & Madan, Dilip B. & Melamed, Michael & Schoutens, Wim
- 373-386 Credible risk measures with applications in actuarial sciences and finance
by Pitselis, Georgios
- 387-396 Modeling loss data using mixtures of distributions
by Miljkovic, Tatjana & Grün, Bettina
- 397-405 A family of premium principles based on mixtures of TVaRs
by Sordo, Miguel A. & Castaño-Martínez, Antonia & Pigueiras, Gema
- 406-413 Sufficient conditions for ordering aggregate heterogeneous random claim amounts
by Li, Chen & Li, Xiaohu
2016, Volume 69, Issue C
- 1-13 Nonlinear reserving in life insurance: Aggregation and mean-field approximation
by Djehiche, Boualem & Löfdahl, Björn
- 14-28 Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011
by Platanakis, Emmanouil & Sutcliffe, Charles
- 29-37 A marked Cox model for the number of IBNR claims: Theory
by Badescu, Andrei L. & Lin, X. Sheldon & Tang, Dameng
- 38-44 Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
by Konstantinides, Dimitrios G. & Li, Jinzhu
- 45-58 Valuing inflation-linked death benefits under a stochastic volatility framework
by Liang, Zongxia & Sheng, Wenlong
- 59-69 Pricing and hedging basket options with exact moment matching
by Leccadito, Arturo & Paletta, Tommaso & Tunaru, Radu
- 70-81 A multivariate evolutionary credibility model for mortality improvement rates
by Schinzinger, Edo & Denuit, Michel M. & Christiansen, Marcus C.
- 82-96 Nonparametric long term prediction of stock returns with generated bond yields
by Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch
- 97-103 Tail dependence of the Gaussian copula revisited
by Furman, Edward & Kuznetsov, Alexey & Su, Jianxi & Zitikis, Ričardas
- 104-116 Optimal investment and risk control for an insurer under inside information
by Peng, Xingchun & Wang, Wenyuan
- 117-126 Optimal strategies for pay-as-you-go pension finance: A sustainability framework
by Godínez-Olivares, Humberto & Boado-Penas, María del Carmen & Haberman, Steven
- 127-137 Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
by Shen, Yang & Sherris, Michael & Ziveyi, Jonathan
- 138-148 Applications of central limit theorems for equity-linked insurance
by Feng, Runhuan & Shimizu, Yasutaka
- 149-155 An optimal co-reinsurance strategy
by Payandeh Najafabadi, Amir T. & Bazaz, Ali Panahi
- 156-167 Minimizing lifetime poverty with a penalty for bankruptcy
by Cohen, Asaf & Young, Virginia R.
- 168-193 A self-exciting threshold jump–diffusion model for option valuation
by Siu, Tak Kuen
- 194-201 Nonparametric estimation of operational value-at-risk (OpVaR)
by Tursunalieva, Ainura & Silvapulle, Param
- 202-209 A simple compound scan statistic useful for modeling insurance and risk management problems
by Koutras, Vasileios M. & Koutras, Markos V. & Yalcin, Femin
- 210-223 Minimizing the probability of lifetime drawdown under constant consumption
by Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R.
- 224-237 Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
by Guan, Guohui & Liang, Zongxia
- 238-255 Hedging pure endowments with mortality derivatives
by Wang, Ting & Young, Virginia R.
2016, Volume 68, Issue C
- 1-16 Semi-parametric accelerated hazard relational models with applications to mortality projections
by Cadena, Meitner & Denuit, Michel
- 17-26 Valuation of employee stock options using the exercise multiple approach and life tables
by Kyng, T. & Konstandatos, O. & Bienek, T.
- 27-44 Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective
by Fersini, Paola & Melisi, Giuseppe
- 45-60 Statistical emulators for pricing and hedging longevity risk products
by Risk, J. & Ludkovski, M.
- 61-72 Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions
by Bensusan, Harry & El Karoui, Nicole & Loisel, Stéphane & Salhi, Yahia
- 73-83 On a multi-dimensional risk model with regime switching
by Wang, Guanqing & Wang, Guojing & Yang, Hailiang
- 84-91 Ordering Gini indexes of multivariate elliptical risks
by Samanthi, Ranadeera Gamage Madhuka & Wei, Wei & Brazauskas, Vytaras
- 92-100 Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer’s risk limit
by Lu, ZhiYi & Meng, LiLi & Wang, Yujin & Shen, Qingjie
- 101-109 What attitudes to risk underlie distortion risk measure choices?
by Belles-Sampera, Jaume & Guillen, Montserrat & Santolino, Miguel
- 110-119 Bayesian approaches for analyzing earthquake catastrophic risk
by Li, Yunxian & Tang, Niansheng & Jiang, Xuejun
- 120-133 Sarmanov family of multivariate distributions for bivariate dynamic claim counts model
by Abdallah, Anas & Boucher, Jean-Philippe & Cossette, Hélène
- 134-140 Varying transition rules in bonus–malus systems: From rules specification to determination of optimal relativities
by Tan, Chong It
- 141-149 Confidence band for expectation dependence with applications
by Guo, Xu & Li, Jingyuan
- 150-161 Omega diffusion risk model with surplus-dependent tax and capital injections
by Cui, Zhenyu & Nguyen, Duy
- 162-168 Solvency capital estimation, reserving cycle and ultimate risk
by Ferriero, A.
- 169-177 Robust non-zero-sum stochastic differential reinsurance game
by Pun, Chi Seng & Wong, Hoi Ying
- 178-186 On allocations to portfolios of assets with statistically dependent potential risk returns
by Li, Xiaohu & Li, Chen
- 187-202 Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
by Zhou, Zhongbao & Xiao, Helu & Yin, Jialing & Zeng, Ximei & Lin, Ling
- 203-211 A comparison of two legislative approaches to the pay-as-you-go pension system in terms of adequacy. The Italian case
by Attias, Anna & Arezzo, Maria Felice & Pianese, Augusto & Varga, Zoltan
- 212-223 A characterization of equilibrium strategies in continuous-time mean–variance problems for insurers
by Alia, Ishak & Chighoub, Farid & Sohail, Ayesha
- 224-230 A multivariate extension of the increasing convex order to compare risks
by Sordo, Miguel A.
- 231-240 Inference for intermediate Haezendonck–Goovaerts risk measure
by Wang, Xing & Peng, Liang
- 241-247 An order of asymmetry in copulas, and implications for risk management
by Siburg, Karl Friedrich & Stehling, Katharina & Stoimenov, Pavel A. & Weiß, Gregor N.F.
2016, Volume 67, Issue C
- 1-20 Entrance times of random walks: With applications to pension fund modeling
by Jarner, Søren Fiig & Kronborg, Morten Tolver
- 21-26 Markov regime-switching quantile regression models and financial contagion detection
by Ye, Wuyi & Zhu, Yangguang & Wu, Yuehua & Miao, Baiqi
- 27-37 Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
by Chen, Shumin & Wang, Xi & Deng, Yinglu & Zeng, Yan
- 38-53 The network structure and systemic risk in the global non-life insurance market
by Kanno, Masayasu
- 54-64 Statutory financial reporting for variable annuity guaranteed death benefits: Market practice, mathematical modeling and computation
by Feng, Runhuan & Huang, Huaxiong
- 65-76 Marginal Indemnification Function formulation for optimal reinsurance
by Zhuang, Sheng Chao & Weng, Chengguo & Tan, Ken Seng & Assa, Hirbod
- 77-87 Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
by Zheng, Xiaoxiao & Zhou, Jieming & Sun, Zhongyang
- 88-106 Estimating the joint survival probabilities of married individuals
by Sanders, Lisanne & Melenberg, Bertrand
- 107-119 Term structure extrapolation and asymptotic forward rates
by de Kort, J. & Vellekoop, M.H.
- 120-124 A note on some joint distribution functions involving the time of ruin
by Dickson, David C.M.
- 125-132 Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling
by Zhang, Xin & Meng, Hui & Zeng, Yan
- 133-141 Optimal life-insurance selection and purchase within a market of several life-insurance providers
by Mousa, A.S. & Pinheiro, D. & Pinto, A.A.
- 142-150 Insights to systematic risk and diversification across a joint probability distribution
by Choo, Weihao & de Jong, Piet
- 151-157 Risk capital allocation with autonomous subunits: The Lorenz set
by Hougaard, Jens Leth & Smilgins, Aleksandrs
- 158-172 Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model
by Sun, Jingyun & Li, Zhongfei & Zeng, Yan
- 173-186 Semi-static hedging of variable annuities
by Bernard, Carole & Kwak, Minsuk
- 187-199 Addendum to ‘The multi-year non-life insurance risk in the additive reserving model’ [Insurance Math. Econom. 52(3) (2013) 590–598]: Quantification of multi-year non-life insurance risk in chain ladder reserving models
by Diers, Dorothea & Linde, Marc & Hahn, Lukas
2016, Volume 66, Issue C
- 1-10 A new class of copulas involving geometric distribution: Estimation and applications
by Zhang, Kong-Sheng & Lin, Jin-Guan & Xu, Pei-Rong
- 11-21 Competitive insurance pricing with complete information, loss-averse utility and finitely many policies
by Jost, Peter-J.
- 22-28 Gerber–Shiu functionals for classical risk processes perturbed by an α-stable motion
by Kolkovska, Ekaterina T. & Martín-González, Ehyter M.
- 29-43 Provisioning against borrowers default risk
by Nichil, Geoffrey & Vallois, Pierre
- 44-58 Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
by Lin, Tzuling & Tsai, Cary Chi-Liang
- 59-68 Asymptotic analysis for target asset portfolio allocation with small transaction costs
by Liu, Cong & Zheng, Harry
- 69-76 Efficient risk allocation within a non-life insurance group under Solvency II Regime
by Asimit, Alexandru V. & Badescu, Alexandru M. & Haberman, Steven & Kim, Eun-Seok
- 77-85 On the analysis of ruin-related quantities in the delayed renewal risk model
by Kim, So-Yeun & Willmot, Gordon E.
- 86-96 Assessing inflation risk in non-life insurance
by Bohnert, Alexander & Gatzert, Nadine & Kolb, Andreas
- 97-112 Time-consistent actuarial valuations
by Pelsser, Antoon & Salahnejhad Ghalehjooghi, Ahmad
- 113-123 The loss given default of a low-default portfolio with weak contagion
by Wei, Li & Yuan, Zhongyi
- 124-137 Bayesian quantile regression model for claim count data
by Fuzi, Mohd Fadzli Mohd & Jemain, Abdul Aziz & Ismail, Noriszura
- 138-152 Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps
by Zeng, Yan & Li, Danping & Gu, Ailing
2015, Volume 65, Issue C
- 1-8 Some ruin problems for the MAP risk model
by Li, Jingchao & Dickson, David C.M. & Li, Shuanming
- 9-14 Allocations of policy limits and ordering relations for aggregate remaining claims
by Manesh, Sirous Fathi & Khaledi, Baha-Eldin
- 15-21 Optimal retention for a stop-loss reinsurance with incomplete information
by Hu, Xiang & Yang, Hailiang & Zhang, Lianzeng
- 22-29 New fuzzy insurance pricing method for giga-investment project insurance
by Luukka, Pasi & Collan, Mikael
- 30-36 A note on optimal investment–consumption–insurance in a Lévy market
by Guambe, Calisto & Kufakunesu, Rodwell
- 37-45 On a risk model with claim investigation
by Huynh, Mirabelle & Landriault, David & Shi, Tianxiang & Willmot, Gordon E.
- 46-54 On minimizing drawdown risks of lifetime investments
by Chen, Xinfu & Landriault, David & Li, Bin & Li, Dongchen
- 55-65 A risk model with renewal shot-noise Cox process
by Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao
- 66-76 Time-consistent reinsurance and investment strategies for mean–variance insurer under partial information
by Liang, Zongxia & Song, Min
- 77-93 How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
by Orozco-Garcia, Carolina & Schmeiser, Hato
- 94-102 Risk models with premiums adjusted to claims number
by Li, Bo & Ni, Weihong & Constantinescu, Corina
- 103-110 Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
by Hao, Xuemiao & Li, Xuan
- 111-123 A directional multivariate value at risk
by Torres, Raúl & Lillo, Rosa E. & Laniado, Henry
- 124-135 Comparisons on aggregate risks from two sets of heterogeneous portfolios
by Zhang, Yiying & Zhao, Peng
- 136-142 Optimal dividend payments under a time of ruin constraint: Exponential claims
by Hernández, Camilo & Junca, Mauricio
- 143-155 Nonparametric prediction of stock returns based on yearly data: The long-term view
by Scholz, Michael & Nielsen, Jens Perch & Sperlich, Stefan
- 156-171 Multivariate time series modeling, estimation and prediction of mortalities
by Ekheden, Erland & Hössjer, Ola
- 172-186 Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
by Ignatieva, Katja & Landsman, Zinoviy
- 187-197 Time-consistent investment strategy under partial information
by Li, Yongwu & Qiao, Han & Wang, Shouyang & Zhang, Ling
- 198-207 A generic model for spouse’s pensions with a view towards the calculation of liabilities
by Sokol, Alexander
- 208-226 Forecasting life expectancy: Evidence from a new survival function
by Wong, Chi Heem & Tsui, Albert K.
- 227-237 Optimal non-life reinsurance under Solvency II Regime
by Asimit, Alexandru V. & Chi, Yichun & Hu, Junlei
- 238-246 The tradeoff insurance premium as a two-sided generalisation of the distortion premium
by Choo, Weihao & de Jong, Piet
- 247-258 Minimization of absolute ruin probability under negative correlation assumption
by Liang, Zongxia & Long, Mingsi
- 259-266 Optimal dividends under a stochastic interest rate
by Eisenberg, Julia
- 267-279 Designing and pricing guarantee options in defined contribution pension plans
by Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A.
- 280-290 On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
by Wong, Jeff T.Y. & Cheung, Eric C.K.
2015, Volume 64, Issue C
- 1-13 Optimal proportional reinsurance with common shock dependence
by Yuen, Kam Chuen & Liang, Zhibin & Zhou, Ming
- 14-27 Robust loss reserving in a log-linear model
by Pitselis, Georgios & Grigoriadou, Vasiliki & Badounas, Ioannis
- 28-44 Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk
by Li, Danping & Rong, Ximin & Zhao, Hui
- 45-53 Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
by Jiang, Tao & Wang, Yuebao & Chen, Yang & Xu, Hui
- 54-66 Reexamining the feasibility of diversification and transfer instruments on smoothing catastrophe risk
by Wu, Yang-Che
- 67-76 Modeling the number of insureds’ cars using queuing theory
by Boucher, Jean-Philippe & Couture-Piché, Guillaume
- 77-90 The optimal insurance under disappointment theories
by Cheung, K.C. & Chong, W.F. & Yam, S.C.P.
- 91-105 Optimal retirement income tontines
by Milevsky, Moshe A. & Salisbury, Thomas S.
- 106-125 State price densities implied from weather derivatives
by Karl Härdle, Wolfgang & López-Cabrera, Brenda & Teng, Huei-Wen
- 126-134 A bivariate risk model with mutual deficit coverage
by Ivanovs, Jevgenijs & Boxma, Onno
- 135-150 The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
by Liu, Yanxin & Li, Johnny Siu-Hang
- 151-161 Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
by Liang, Zongxia & Ma, Ming
- 162-179 Modeling trends in cohort survival probabilities
by Hatzopoulos, P. & Haberman, S.
- 180-185 Precautionary paying for stochastic improvements under background risks
by Wang, Hongxia & Wang, Jianli & Li, Jingyuan & Xia, Xinping
- 186-202 Robustness and convergence in the Lee–Carter model with cohort effects
by Hunt, Andrew & Villegas, Andrés M.
- 203-213 A multivariate Tweedie lifetime model: Censoring and truncation
by Alai, Daniel H. & Landsman, Zinoviy & Sherris, Michael
- 214-224 On two families of bivariate distributions with exponential marginals: Aggregation and capital allocation
by Cossette, Hélène & Marceau, Etienne & Perreault, Samuel
- 225-231 Functional characterizations of bivariate weak SAI with an application
by You, Yinping & Li, Xiaohu
- 232-245 An individual loss reserving model with independent reporting and settlement
by Huang, Jinlong & Qiu, Chunjuan & Wu, Xianyi & Zhou, Xian
- 246-258 Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
by Steinorth, Petra & Mitchell, Olivia S.
- 259-267 Less is more: Increasing retirement gains by using an upside terminal wealth constraint
by Donnelly, Catherine & Gerrard, Russell & Guillén, Montserrat & Nielsen, Jens Perch
- 268-272 Model points and Tail-VaR in life insurance
by Denuit, Michel & Trufin, Julien
- 273-278 The bounds of premium and optimality of stop loss insurance under uncertain random environments
by Liu, Ying & Li, Xiaozhong & Liu, Yinli
- 279-293 A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
by Scott, Alexandre & Metzler, Adam
- 294-305 Interval estimation for a measure of tail dependence
by Liu, Aiai & Hou, Yanxi & Peng, Liang
- 306-312 Expected utility and catastrophic consumption risk
by Ikefuji, Masako & Laeven, Roger J.A. & Magnus, Jan R. & Muris, Chris
- 313-325 Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
by Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang
- 326-336 Maxentropic approach to decompound aggregate risk losses
by Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia
- 337-350 Modeling mortality and pricing life annuities with Lévy processes
by Ahmadi, Seyed Saeed & Gaillardetz, Patrice
- 351-363 Optimal debt ratio and dividend payment strategies with reinsurance
by Jin, Zhuo & Yang, Hailiang & Yin, G.
- 364-379 Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
by Dai, Tian-Shyr & Yang, Sharon S. & Liu, Liang-Chih
- 380-384 On the convex transform and right-spread orders of smallest claim amounts
by Barmalzan, Ghobad & Payandeh Najafabadi, Amir T.
- 385-395 The effect of objective formulation on retirement decision making
by Butt, Adam & Khemka, Gaurav
- 396-408 Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk
by Wu, Huiling & Zeng, Yan
- 409-416 Convex ordering for insurance preferences
by Cheung, K.C. & Chong, W.F. & Yam, S.C.P.
- 417-428 Dependent frequency–severity modeling of insurance claims
by Shi, Peng & Feng, Xiaoping & Ivantsova, Anastasia
- 429-439 Risk concentration based on Expectiles for extreme risks under FGM copula
by Mao, Tiantian & Yang, Fan
- 440-451 Jump diffusion transition intensities in life insurance and disability annuity
by Jang, Jiwook & Mohd Ramli, Siti Norafidah
2015, Volume 63, Issue C
- 12-29 Modelling longevity bonds: Analysing the Swiss Re Kortis bond
by Hunt, Andrew & Blake, David
- 30-39 Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach
by Wang, Chou-Wen & Yang, Sharon S. & Huang, Hong-Chih
- 40-51 A new defined benefit pension risk measurement methodology
by Ai, Jing & Brockett, Patrick L. & Jacobson, Allen F.
- 52-65 De-risking defined benefit plans
by Lin, Yijia & MacMinn, Richard D. & Tian, Ruilin
- 66-75 Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: A practical approach
by Wan, Cheng & Bertschi, Ljudmila
- 76-90 Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
by Shao, Adam W. & Hanewald, Katja & Sherris, Michael
- 91-107 Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
by Horneff, Vanya & Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph
- 108-120 Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
by Gao, Huan & Mamon, Rogemar & Liu, Xiaoming & Tenyakov, Anton
- 121-134 A step-by-step guide to building two-population stochastic mortality models
by Li, Johnny Siu-Hang & Zhou, Rui & Hardy, Mary
- 135-146 Multi-population mortality models: A factor copula approach
by Chen, Hua & MacMinn, Richard & Sun, Tao
- 147-152 A common age effect model for the mortality of multiple populations
by Kleinow, Torsten
- 153-168 The choice of sample size for mortality forecasting: A Bayesian learning approach
by Li, Hong & De Waegenaere, Anja & Melenberg, Bertrand
- 169-190 Prospective mortality tables: Taking heterogeneity into account
by Tomas, Julien & Planchet, Frédéric
- 191-203 Love and death: A Freund model with frailty
by Gourieroux, Christian & Lu, Yang
2015, Volume 62, Issue C
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