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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.
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.
Series handle: RePEc:eee:insuma
ISSN: 0167-6687
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Content
2015, Volume 64, Issue C
- 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
- 5-15 Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
by Luo, Xiaolin & Shevchenko, Pavel V.
- 16-27 Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
by Yang, Bowen & Li, Jackie & Balasooriya, Uditha
- 28-41 Personal finance and life insurance under separation of risk aversion and elasticity of substitution
by Jensen, N.R. & Steffensen, M.
- 42-53 Two maxentropic approaches to determine the probability density of compound risk losses
by Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia
- 54-61 On a partial integrodifferential equation of Seal’s type
by Willmot, Gordon E.
- 62-78 Pricing annuity guarantees under a double regime-switching model
by Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming
- 79-90 Valuing equity-linked death benefits with a threshold expense strategy
by Zhou, Jiang & Wu, Lan
- 91-97 A reinsurance game between two insurance companies with nonlinear risk processes
by Meng, Hui & Li, Shuanming & Jin, Zhuo
- 98-106 Ruin with insurance and financial risks following the least risky FGM dependence structure
by Chen, Yiqing & Liu, Jiajun & Liu, Fei
- 107-117 On rational pricing for a profit-seeking insurer in the year of hard market
by Malinovskii, Vsevolod K.
- 118-137 Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process
by Shen, Yang & Zeng, Yan
- 138-150 Valuation of large variable annuity portfolios under nested simulation: A functional data approach
by Gan, Guojun & Lin, X. Sheldon
- 151-161 Forecasting mortality in subpopulations using Lee–Carter type models: A comparison
by Danesi, Ivan Luciano & Haberman, Steven & Millossovich, Pietro
- 162-172 Max-factor individual risk models with application to credit portfolios
by Denuit, Michel & Kiriliouk, Anna & Segers, Johan
- 173-183 Phase-type aging modeling for health dependent costs
by Govorun, Maria & Latouche, Guy & Loisel, Stéphane
- 184-193 Minimal representation of insurance prices
by Pichler, Alois & Shapiro, Alexander
- 194-201 Bayesian total loss estimation using shared random effects
by Baumgartner, Carolin & Gruber, Lutz F. & Czado, Claudia
- 202-214 Nash equilibrium strategies for a defined contribution pension management
by Wu, Huiling & Zhang, Ling & Chen, Hua
- 215-226 Business planning for a profit-seeking insurer under deficiency of information
by Malinovskii, Vsevolod K.
- 227-233 A modified insurance risk process with uncertainty
by Yao, Kai & Qin, Zhongfeng
- 234-244 On some compound distributions with Borel summands
by Finner, H. & Kern, P. & Scheer, M.
- 245-256 Robust investment–reinsurance optimization with multiscale stochastic volatility
by Pun, Chi Seng & Wong, Hoi Ying
- 257-269 Comparative ambiguity aversion and downside ambiguity aversion
by Huang, Yi-Chieh & Tzeng, Larry Y. & Zhao, Lin
2015, Volume 61, Issue C
- 1-16 On multivariate extensions of the conditional Value-at-Risk measure
by Di Bernardino, E. & Fernández-Ponce, J.M. & Palacios-Rodríguez, F. & Rodríguez-Griñolo, M.R.
- 17-26 Reducing model risk via positive and negative dependence assumptions
by Bignozzi, Valeria & Puccetti, Giovanni & Rüschendorf, Ludger
- 27-35 Vigilant measures of risk and the demand for contingent claims
by Ghossoub, Mario
- 36-47 Assessing the solvency of insurance portfolios via a continuous-time cohort model
by Jevtić, Petar & Regis, Luca
- 48-61 Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times
by Badila, E.S. & Boxma, O.J. & Resing, J.A.C.
- 62-69 Comparison of conditional distributions in portfolios of dependent risks
by Sordo, Miguel A. & Suárez-Llorens, Alfonso & Bello, Alfonso J.
- 70-75 On optimal reinsurance policy with distortion risk measures and premiums
by Assa, Hirbod
- 76-86 In-sample forecasting applied to reserving and mesothelioma mortality
by Mammen, Enno & Martínez Miranda, María Dolores & Nielsen, Jens Perch
- 87-98 Optimal allocation and consumption with guaranteed minimum death benefits, external income and term life insurance
by Gao, Jin & Ulm, Eric R.
- 99-109 Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
by Guan, Guohui & Liang, Zongxia
- 110-124 Age-specific copula-AR-GARCH mortality models
by Lin, Tzuling & Wang, Chou-Wen & Tsai, Cary Chi-Liang
- 125-134 The time of deducting fees for variable annuities under the state-dependent fee structure
by Zhou, Jiang & Wu, Lan
- 135-145 Tail negative dependence and its applications for aggregate loss modeling
by Hua, Lei
- 146-154 Modeling loss data using composite models
by Abu Bakar, S.A. & Hamzah, N.A. & Maghsoudi, M. & Nadarajah, S.
- 155-169 A hierarchical copula-based world-wide valuation of sovereign risk
by Bernardi, Enrico & Falangi, Federico & Romagnoli, Silvia
- 170-180 Fourier-cosine method for Gerber–Shiu functions
by Chau, K.W. & Yam, S.C.P. & Yang, H.
- 181-196 Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model
by A, Chunxiang & Li, Zhongfei
- 197-205 Optimal consumption and investment problem with random horizon in a BMAP model
by Chen, Xu & Yang, Xiang-qun
- 206-226 Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
by Targino, Rodrigo S. & Peters, Gareth W. & Shevchenko, Pavel V.
- 227-234 Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims
by He, Lin & Liang, Zongxia
- 235-241 Stochastic comparison of aggregate claim amounts between two heterogeneous portfolios and its applications
by Barmalzan, Ghobad & Najafabadi, Amir T. Payandeh & Balakrishnan, Narayanaswamy
- 242-254 Optimal reinsurance and investment problem for an insurer with counterparty risk
by Zhu, Huiming & Deng, Chao & Yue, Shengjie & Deng, Yingchun
- 255-263 Optimal relativities and transition rules of a bonus–malus system
by Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha
- 264-270 A semiparametric panel approach to mortality modeling
by Li, Han & O’Hare, Colin & Zhang, Xibin
- 271-275 Extended Gerber–Shiu functions in a risk model with interest
by Schmidli, Hanspeter
- 276-285 Evaluation and default time for companies with uncertain cash flows
by Hainaut, Donatien
- 286-297 On the effectiveness of natural hedging for insurance companies and pension plans
by Li, Jackie & Haberman, Steven
2015, Volume 60, Issue C
- 1-10 Bayesian nonparametric predictive modeling of group health claims
by Fellingham, Gilbert W. & Kottas, Athanasios & Hartman, Brian M.
- 11-18 Asymptotic results for conditional measures of association of a random sum
by Asimit, Alexandru V. & Chen, Yiqing
- 19-28 Analytical pricing of vulnerable options under a generalized jump–diffusion model
by Fard, Farzad Alavi
- 29-37 On the efficient utilisation of duration
by Dierkes, Thomas & Ortmann, Karl Michael
- 38-46 A risk model with varying premiums: Its risk management implications
by Li, Shu & Landriault, David & Lemieux, Christiane
- 47-60 Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
by Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra
- 61-74 Optimal reinsurance under risk and uncertainty
by Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel & Heras, Antonio
- 75-82 Occupation times in the MAP risk model
by Landriault, David & Shi, Tianxiang
- 83-97 On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
by Bohnert, Alexander & Gatzert, Nadine & Jørgensen, Peter Løchte
- 98-107 Analysis of a drawdown-based regime-switching Lévy insurance model
by Landriault, David & Li, Bin & Li, Shu
2014, Volume 59, Issue C
- 1-10 On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times
by Lee, Wing Yan & Willmot, Gordon E.
- 11-26 Potential measures for spectrally negative Markov additive processes with applications in ruin theory
by Feng, Runhuan & Shimizu, Yasutaka
- 27-44 On the distribution of sums of random variables with copula-induced dependence
by Gijbels, Irène & Herrmann, Klaus
- 45-56 Fitting asset returns to skewed distributions: Are the skew-normal and skew-student good models?
by Eling, Martin
- 57-64 On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér–Lundberg processes
by Avram, F. & Pistorius, M.
- 65-70 Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions
by Benkhelifa, Lazhar
- 71-77 Efficient approximations for numbers of survivors in the Lee–Carter model
by Gbari, Samuel & Denuit, Michel
- 78-86 Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff
by Peng, Xingchun & Wei, Linxiao & Hu, Yijun
- 87-99 Dynamic hybrid products in life insurance: Assessing the policyholders’ viewpoint
by Bohnert, Alexander & Born, Patricia & Gatzert, Nadine
- 100-108 Risk aggregation and stochastic claims reserving in disability insurance
by Djehiche, Boualem & Löfdahl, Björn
- 109-120 Optimal reinsurance with premium constraint under distortion risk measures
by Zheng, Yanting & Cui, Wei
- 121-132 On the expected discounted dividends in the Cramér–Lundberg risk model with more frequent ruin monitoring than dividend decisions
by Choi, Michael C.H. & Cheung, Eric C.K.
- 133-143 Robust LMI stability, stabilization and H∞ control for premium pricing models with uncertainties into a stochastic discrete-time framework
by Pantelous, Athanasios A. & Yang, Lin
- 144-155 Multivariate reinsurance designs for minimizing an insurer’s capital requirement
by Zhu, Yunzhou & Chi, Yichun & Weng, Chengguo
- 156-167 Solvency II, regulatory capital, and optimal reinsurance: How good are Conditional Value-at-Risk and spectral risk measures?
by Brandtner, Mario & Kürsten, Wolfgang
- 168-177 Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
by Zhang, Zhimin & Yang, Hailiang
- 178-183 The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
by Sun, Ying & Wei, Li
- 184-193 Simulation analysis of ruin capital in Sparre Andersen’s model of risk
by Malinovskii, Vsevolod K. & Kosova, Ksenia O.
- 194-221 Coherent mortality forecasting with generalized linear models: A modified time-transformation approach
by Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang
- 222-234 Optimal investment, consumption and proportional reinsurance under model uncertainty
by Peng, Xingchun & Chen, Fenge & Hu, Yijun
- 235-242 Archimedean copulas derived from utility functions
by Spreeuw, Jaap
- 243-250 Mean-chance model for portfolio selection based on uncertain measure
by Huang, Xiaoxia & Zhao, Tianyi
- 251-257 Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes
by Heilpern, Stanislaw
- 258-278 A copula based Bayesian approach for paid–incurred claims models for non-life insurance reserving
by Peters, Gareth W. & Dong, Alice X.D. & Kohn, Robert
- 279-284 A separation theorem for the weak s-convex orders
by Denuit, Michel & Liu, Liqun & Meyer, Jack
- 285-299 Parametric mortality indexes: From index construction to hedging strategies
by Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha
- 300-310 Mean–variance asset–liability management with asset correlation risk and insurance liabilities
by Chiu, Mei Choi & Wong, Hoi Ying
- 311-320 Extreme value analysis of the Haezendonck–Goovaerts risk measure with a general Young function
by Tang, Qihe & Yang, Fan
- 321-324 Lp-metric under the location-independent risk ordering of random variables
by Yang, Jianping & Zhuang, Weiwei & Hu, Taizhong
- 325-336 Notes on discrete compound Poisson model with applications to risk theory
by Zhang, Huiming & Liu, Yunxiao & Li, Bo
2014, Volume 58, Issue C
- 1-13 On dividend strategies with non-exponential discounting
by Zhao, Qian & Wei, Jiaqin & Wang, Rongming
- 14-23 Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
by Ulm, Eric R.
- 24-33 Pricing and hedging of variable annuities with state-dependent fees
by Delong, Łukasz
- 34-45 Factor risk quantification in annuity models
by Karabey, Uǧur & Kleinow, Torsten & Cairns, Andrew J.G.
- 46-56 Quantifying the risk using copulae with nonparametric marginals
by Bolancé, Catalina & Bahraoui, Zuhair & Artís, Manuel
- 57-67 Optimal investment and risk control policies for an insurer: Expected utility maximization
by Zou, Bin & Cadenillas, Abel
- 68-76 A survey of personalized treatment models for pricing strategies in insurance
by Guelman, Leo & Guillén, Montserrat & Pérez-Marín, Ana M.
- 77-88 Quantile hedging on equity-linked life insurance contracts with transaction costs
by Melnikov, Alexander & Tong, Shuo
- 89-102 Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework
by Chen, Zhiqiang & Pelsser, Antoon & Ponds, Eduard
- 103-115 Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities
by Fung, Man Chung & Ignatieva, Katja & Sherris, Michael
- 116-120 Joint tail of ECOMOR and LCR reinsurance treaties
by Peng, Liang
- 121-131 Individual loss reserving using paid–incurred data
by Pigeon, Mathieu & Antonio, Katrien & Denuit, Michel
- 132-137 GlueVaR risk measures in capital allocation applications
by Belles-Sampera, Jaume & Guillén, Montserrat & Santolino, Miguel
- 138-149 Life insurance policy termination and survivorship
by Valdez, Emiliano A. & Vadiveloo, Jeyaraj & Dias, Ushani
- 150-158 Second order risk aggregation with the Bernstein copula
by Coqueret, Guillaume
- 159-167 Explicit solutions of optimal consumption, investment and insurance problems with regime switching
by Zou, Bin & Cadenillas, Abel
- 168-173 On the analysis of time dependent claims in a class of birth process claim count models
by Landriault, David & Willmot, Gordon E. & Xu, Di
- 174-184 A health insurance pricing model based on prevalence rates: Application to critical illness insurance
by Baione, Fabio & Levantesi, Susanna
- 185-192 Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
by Yang, Haizhong & Li, Jinzhu
- 193-203 Pricing range notes within Wishart affine models
by Chiarella, Carl & Da Fonseca, José & Grasselli, Martino
- 204-216 Purchasing life insurance to reach a bequest goal
by Bayraktar, Erhan & Promislow, S. David & Young, Virginia R.
- 217-222 Optimal portfolio choice for an insurer with loss aversion
by Guo, Wenjing
2014, Volume 56, Issue C
- 1-13 Stochastic analysis of life insurance surplus
by Nolde, Natalia & Parker, Gary
- 14-27 Bringing cost transparency to the life annuity market
by Donnelly, Catherine & Guillén, Montserrat & Nielsen, Jens Perch
- 28-37 Conditional least squares and copulae in claims reserving for a single line of business
by Pešta, Michal & Okhrin, Ostap
- 38-47 Validation of positive quadrant dependence
by Ledwina, Teresa & Wyłupek, Grzegorz
- 48-55 Optimal capital allocation in a hierarchical corporate structure
by Zaks, Yaniv & Tsanakas, Andreas
- 56-67 Time-consistent mean–variance hedging of longevity risk: Effect of cointegration
by Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying
- 68-79 On the multidimensional extension of countermonotonicity and its applications
by Lee, Woojoo & Ahn, Jae Youn
- 80-87 Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
by Fu, Ke-Ang & Ng, Cheuk Yin Andrew
- 88-101 Second-order tail asymptotics of deflated risks
by Hashorva, Enkelejd & Ling, Chengxiu & Peng, Zuoxiang
- 102-111 Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach
by Huang, H. & Milevsky, M.A. & Salisbury, T.S.
2014, Volume 55, Issue C
- 1-9 Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
by Liu, Jingchen & Woo, Jae-Kyung
- 10-17 Prediction in a non-homogeneous Poisson cluster model
by Matsui, Muneya
- 18-29 Multivariate negative binomial models for insurance claim counts
by Shi, Peng & Valdez, Emiliano A.
- 30-39 Price bounds of mortality-linked security in incomplete insurance market
by Huang, Yu-Lieh & Tsai, Jeffrey Tzuhao & Yang, Sharon S. & Cheng, Hung-Wen
- 40-57 CAPM with fuzzy returns and hypothesis testing
by Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Shapiro, A.F. & Terraza, M.
- 58-67 Capital requirements with defaultable securities
by Farkas, Walter & Koch-Medina, Pablo & Munari, Cosimo
- 68-77 Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
by Luciano, Elisa & Regis, Luca
- 78-90 Asymptotic theory for the empirical Haezendonck–Goovaerts risk measure
by Ahn, Jae Youn & Shyamalkumar, Nariankadu D.
- 91-95 On inequalities for moments and the covariance of monotone functions
by Schmidt, Klaus D.
- 96-104 Combining chain-ladder claims reserving with fuzzy numbers
by Heberle, Jochen & Thomas, Anne
- 105-115 Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
by Guan, Guohui & Liang, Zongxia
- 116-128 Optimal surrender policy for variable annuity guarantees
by Bernard, Carole & MacKay, Anne & Muehlbeyer, Max
- 129-146 A benchmark approach to risk-minimization under partial information
by Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra
- 147-155 Longevity risk, cost of capital and hedging for life insurers under Solvency II
by Meyricke, Ramona & Sherris, Michael
- 156-166 Optimal reinsurance and investment with unobservable claim size and intensity
by Liang, Zhibin & Bayraktar, Erhan
- 167-179 Dependent interest and transition rates in life insurance
by Buchardt, Kristian
- 180-190 Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
by Cheung, Ka Chun & Lo, Ambrose
- 191-199 Properties of a risk measure derived from the expected area in red
by Loisel, Stéphane & Trufin, Julien
- 200-209 Some new notions of dependence with applications in optimal allocation problems
by Cai, Jun & Wei, Wei
- 210-224 On optimal periodic dividend strategies in the dual model with diffusion
by Avanzi, Benjamin & Tu, Vincent & Wong, Bernard
- 225-249 Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape
by Klein, Nadja & Denuit, Michel & Lang, Stefan & Kneib, Thomas
- 250-260 Polynomial extensions of distributions and their applications in actuarial and financial modeling
by Li, Hao & Melnikov, Alexander
- 261-271 Valuing risky debt: A new model combining structural information with the reduced-form approach
by Ballestra, Luca Vincenzo & Pacelli, Graziella
- 272-282 On multivariate extensions of Conditional-Tail-Expectation
by Cousin, Areski & Di Bernardino, Elena
- 283-290 Valuation perspectives and decompositions for variable annuities with GMWB riders
by Hyndman, Cody B. & Wenger, Menachem
- 291-300 Arithmetic returns for investment performance measurement
by Magni, Carlo Alberto
- 301-309 Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk
by Malinovskii, Vsevolod K.
- 310-318 Annual intrinsic value of a company in a competitive insurance market
by Malinovskii, Vsevolod K.
2014, Volume 54, Issue C
- 1-11 A risk-based premium: What does it mean for DB plan sponsors?
by Chen, An & Uzelac, Filip
- 12-27 Forecasting mortality for small populations by mixing mortality data
by Ahcan, Ales & Medved, Darko & Olivieri, Annamaria & Pitacco, Ermanno
- 28-40 The ruin time under the Sparre-Andersen dual model
by Yang, Chen & Sendova, Kristina P.
- 41-48 Generalized quantiles as risk measures
by Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela
- 49-57 The Log–Lindley distribution as an alternative to the beta regression model with applications in insurance
by Gómez-Déniz, Emilio & Sordo, Miguel A. & Calderín-Ojeda, Enrique
- 58-65 Reducing risk by merging counter-monotonic risks
by Cheung, Ka Chun & Dhaene, Jan & Lo, Ambrose & Tang, Qihe
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