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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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Content
2017, Volume 72, Issue C
- 67-82 Measuring mortality heterogeneity with multi-state models and interval-censored data
by Boumezoued, Alexandre & Karoui, Nicole El & Loisel, Stéphane
- 83-94 The valuation of life contingencies: A symmetrical triangular fuzzy approximation
by de Andrés-Sánchez, Jorge & González-Vila Puchades, Laura
- 95-106 Capital allocation for portfolios with non-linear risk aggregation
by Boonen, Tim J. & Tsanakas, Andreas & Wüthrich, Mario V.
- 107-121 Existence of optimal consumption strategies in markets with longevity risk
by de Kort, J. & Vellekoop, M.H.
- 122-137 Modeling operational risk incorporating reputation risk: An integrated analysis for financial firms
by Eckert, Christian & Gatzert, Nadine
- 138-147 Cliquet-style return guarantees in a regime switching Lévy model
by Hieber, Peter
- 148-162 On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
by Avanzi, Benjamin & Pérez, José-Luis & Wong, Bernard & Yamazaki, Kazutoshi
- 163-174 Efficient option risk measurement with reduced model risk
by Mitra, Sovan
- 175-188 Redistribution of longevity risk: The effect of heterogeneous mortality beliefs
by Boonen, Tim J. & De Waegenaere, Anja & Norde, Henk
- 189-196 Intensity-based framework for surrender modeling in life insurance
by Russo, Vincenzo & Giacometti, Rosella & Fabozzi, Frank J.
- 197-214 Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework
by Sun, Haoze & Weng, Chengguo & Zhang, Yi
- 215-227 Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform
by Chang, Hao & Chang, Kai
- 228-234 On compound sums under dependence
by Eryilmaz, Serkan
- 235-249 Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
by Gu, Ailing & Viens, Frederi G. & Yi, Bo
- 250-264 Insurance valuation: A computable multi-period cost-of-capital approach
by Engsner, Hampus & Lindholm, Mathias & Lindskog, Filip
- 265-270 On optimal dividends with exponential and linear penalty payments
by Vierkötter, Matthias & Schmidli, Hanspeter
2016, Volume 71, Issue C
- 1-14 A micro-level claim count model with overdispersion and reporting delays
by Avanzi, Benjamin & Wong, Bernard & Yang, Xinda
- 15-26 Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach
by Floryszczak, Anthony & Le Courtois, Olivier & Majri, Mohamed
- 27-39 On a class of dependent Sparre Andersen risk models and a bailout application
by Avram, F. & Badescu, A.L. & Pistorius, M.R. & Rabehasaina, L.
- 40-49 Move-based hedging of variable annuities: A semi-analytic approach
by Lin, X. Sheldon & Wu, Panpan & Wang, Xiao
- 50-62 Longevity risk and retirement income tax efficiency: A location spending rate puzzle
by Huang, Huaxiong & Milevsky, Moshe A.
- 63-78 Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach
by Avanzi, Benjamin & Taylor, Greg & Vu, Phuong Anh & Wong, Bernard
- 79-86 Catastrophe equity put options with target variance
by Wang, Xingchun
- 87-92 Optimal allocation of policy deductibles for exchangeable risks
by Manesh, Sirous Fathi & Khaledi, Baha-Eldin & Dhaene, Jan
- 93-102 Issues with the Smith–Wilson method
by Lagerås, Andreas & Lindholm, Mathias
- 103-113 Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
by Yao, Haixiang & Chen, Ping & Li, Xun
- 114-129 Polynomial diffusion models for life insurance liabilities
by Biagini, Francesca & Zhang, Yinglin
- 130-137 Coherent modeling of male and female mortality using Lee–Carter in a complex number framework
by de Jong, Piet & Tickle, Leonie & Xu, Jianhui
- 138-144 On capital injections and dividends with tax in a classical risk model
by Schmidli, Hanspeter
- 145-153 Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods
by Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia
- 154-163 Risk aggregation in multivariate dependent Pareto distributions
by Sarabia, José María & Gómez-Déniz, Emilio & Prieto, Faustino & Jordá, Vanesa
- 164-178 Optimal mean–variance efficiency of a family with life insurance under inflation risk
by Liang, Zongxia & Zhao, Xiaoyang
- 179-188 Tail conditional moments for elliptical and log-elliptical distributions
by Landsman, Zinoviy & Makov, Udi & Shushi, Tomer
- 189-194 A note on the Log-Lindley distribution
by Jodrá, P. & Jiménez-Gamero, M.D.
- 195-204 Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
by Li, Jinzhu
- 205-219 The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options
by Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher
- 220-231 Tail asymptotics of generalized deflated risks with insurance applications
by Ling, Chengxiu & Peng, Zuoxiang
- 232-243 Optimal reinsurance under dynamic VaR constraint
by Zhang, Nan & Jin, Zhuo & Li, Shuanming & Chen, Ping
- 244-252 Bayesian multinomial latent variable modeling for fraud and abuse detection in health insurance
by Bayerstadler, Andreas & van Dijk, Linda & Winter, Fabian
- 253-267 Constrained investment–reinsurance optimization with regime switching under variance premium principle
by Chen, Lv & Qian, Linyi & Shen, Yang & Wang, Wei
- 268-283 Accounting and actuarial smoothing of retirement payouts in participating life annuities
by Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph & Siegelin, Ivonne
- 284-294 A pair of optimal reinsurance–investment strategies in the two-sided exit framework
by Landriault, David & Li, Bin & Li, Danping & Li, Dongchen
- 295-303 From regulatory life tables to stochastic mortality projections: The exponential decline model
by Denuit, Michel & Trufin, Julien
- 304-316 On the occupation times in a delayed Sparre Andersen risk model with exponential claims
by Jin, Can & Li, Shuanming & Wu, Xueyuan
- 317-331 Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors
by Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia
- 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
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