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Content
2013, Volume 53, Issue 3
- 678-689 Pension saving schemes with return smoothing mechanism
by Goecke, Oskar
- 690-697 Optimal reinsurance in the presence of counterparty default risk
by Asimit, Alexandru V. & Badescu, Alexandru M. & Cheung, Ka Chun
- 698-703 Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
by Rassoul, Abdelaziz
- 704-711 Fuzzy portfolio optimization model under real constraints
by Liu, Yong-Jun & Zhang, Wei-Guo
- 712-721 Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach
by Fard, Farzad Alavi & Siu, Tak Kuen
- 722-732 Conditional copula simulation for systemic risk stress testing
by Brechmann, Eike C. & Hendrich, Katharina & Czado, Claudia
- 733-746 Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods
by Jin, Zhuo & Yin, G. & Wu, Fuke
- 747-756 Generalized Makeham’s formula and economic profitability
by Magni, Carlo Alberto
- 757-768 Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
by Shen, Yang & Siu, Tak Kuen
- 769-773 Optimal dividend problem with a terminal value for spectrally positive Lévy processes
by Yin, Chuancun & Wen, Yuzhen
- 774-785 On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing
by Dutang, C. & Lefèvre, C. & Loisel, S.
- 786-794 Modeling dependencies in claims reserving with GEE
by Hudecová, Šárka & Pešta, Michal
- 795-801 Application of data clustering and machine learning in variable annuity valuation
by Gan, Guojun
- 802-811 Valuation and risk assessment of disability insurance using a discrete time trivariate Markov renewal reward process
by Maegebier, Alexander
- 812-820 Insurance bargaining under ambiguity
by Huang, Rachel J. & Huang, Yi-Chieh & Tzeng, Larry Y.
- 821-828 Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
by Puccetti, Giovanni & Wang, Bin & Wang, Ruodu
- 829-839 Total loss estimation using copula-based regression models
by Krämer, Nicole & Brechmann, Eike C. & Silvestrini, Daniel & Czado, Claudia
- 840-850 Stochastic modeling and fair valuation of drawdown insurance
by Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia
- 851-863 Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model
by Yao, Haixiang & Yang, Zhou & Chen, Ping
- 864-870 Modeling future lifetime as a fuzzy random variable
by Shapiro, Arnold F.
- 871-883 Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers
by Chen, Ping & Yam, S.C.P.
- 884-896 General lower bounds on convex functionals of aggregate sums
by Cheung, Ka Chun & Lo, Ambrose
- 897-905 Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity
by Durante, Fabrizio & Fernández Sánchez, Juan & Sempi, Carlo
- 906-918 Dividend problems in the dual risk model
by Afonso, Lourdes B. & Cardoso, Rui M.R. & Egídio dos Reis, Alfredo D.
2013, Volume 53, Issue 2
- 317-324 The uncertain premium principle based on the distortion function
by Li, Shengguo & Peng, Jin & Zhang, Bo
- 325-333 Rationale of underwriters’ pricing conduct on competitive insurance market
by Malinovskii, Vsevolod K.
- 334-342 Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
by Cheung, Ka Chun & Lo, Ambrose
- 343-354 Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
by Cheung, Eric C.K.
- 355-365 Bayesian analysis of loss reserving using dynamic models with generalized beta distribution
by Dong, A.X.D. & Chan, J.S.K.
- 366-378 Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
by Vatamidou, E. & Adan, I.J.B.F. & Vlasiou, M. & Zwart, B.
- 379-387 The determinants of mortality heterogeneity and implications for pricing annuities
by Meyricke, Ramona & Sherris, Michael
- 388-404 Estimation of the parameters of a Markov-modulated loss process in insurance
by Guillou, Armelle & Loisel, Stéphane & Stupfler, Gilles
- 405-415 The natural Banach space for version independent risk measures
by Pichler, Alois
- 416-428 Optimal proportional reinsurance and investment under partial information
by Peng, Xingchun & Hu, Yijun
- 429-438 Optimal bond portfolios with fixed time to maturity
by Andersson, Patrik & Lagerås, Andreas N.
- 439-456 Dividend optimization for regime-switching general diffusions
by Zhu, Jinxia & Chen, Feng
- 457-463 Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments
by Gzyl, Henryk & Novi-Inverardi, Pier-Luigi & Tagliani, Aldo
- 464-477 Dependent competing risks: Cause elimination and its impact on survival
by Dimitrova, Dimitrina S. & Haberman, Steven & Kaishev, Vladimir K.
- 478-489 Finite time ruin probabilities for tempered stable insurance risk processes
by Griffin, Philip S. & Maller, Ross A. & Roberts, Dale
2013, Volume 53, Issue 1
- 1-13 An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
by Badaoui, Mohamed & Fernández, Begoña
- 14-23 Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
by Hao, Xuemiao & Li, Xuan & Shimizu, Yasutaka
- 24-35 Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
by Zhang, Zhimin & Yang, Hailiang
- 36-47 Credibility theory based on trimming
by Kim, Joseph H.T. & Jeon, Yongho
- 48-63 Actuarial applications of the linear hazard transform in mortality immunization
by Tsai, Cary Chi-Liang & Chung, San-Lin
- 64-73 Consistent dynamic affine mortality models for longevity risk applications
by Blackburn, Craig & Sherris, Michael
- 74-85 Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
by Cui, Wei & Yang, Jingping & Wu, Lan
- 86-97 Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion
by Li, Yongwu & Li, Zhongfei
- 98-109 A unified analysis of claim costs up to ruin in a Markovian arrival risk model
by Cheung, Eric C.K. & Feng, Runhuan
- 110-121 Optimal dividends with debts and nonlinear insurance risk processes
by Meng, Hui & Siu, Tak Kuen & Yang, Hailiang
- 122-133 Mortality surface by means of continuous time cohort models
by Jevtić, Petar & Luciano, Elisa & Vigna, Elena
- 134-149 When can insurers offer products that dominate delayed old-age pension benefit claiming?
by Sanders, Lisanne & De Waegenaere, Anja & Nijman, Theo E.
- 150-168 Modelling and projecting mortality improvement rates using a cohort perspective
by Haberman, Steven & Renshaw, Arthur
- 169-178 Approximations of the tail probability of the product of dependent extremal random variables and applications
by Qu, Zhihui & Chen, Yu
- 179-189 Optimal reinsurance subject to Vajda condition
by Chi, Yichun & Weng, Chengguo
- 190-205 Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory
by Di Bernardino, Elena & Rullière, Didier
- 206-215 ECOMOR and LCR reinsurance with gamma-like claims
by Hashorva, Enkelejd & Li, Jinzhu
- 216-229 Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework
by Robert, Christian Y.
- 230-236 A note on the family of extremality stochastic orders
by López-Díaz, María Concepción & López-Díaz, Miguel
- 237-251 A heavy traffic approach to modeling large life insurance portfolios
by Blanchet, Jose & Lam, Henry
- 252-265 Optimal risk transfer under quantile-based risk measurers
by Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim
- 266-272 Long-term behavior of stochastic interest rate models with jumps and memory
by Bao, Jianhai & Yuan, Chenggui
- 273-280 Simple risk measure calculations for sums of positive random variables
by Guillén, Montserrat & Sarabia, José María & Prieto, Faustino
- 281-291 Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach
by Wei, J. & Wong, K.C. & Yam, S.C.P. & Yung, S.P.
- 292-301 Modified Gaussian pseudo-copula: Applications in insurance and finance
by Fang, Y. & Madsen, L.
- 302-316 Intensity-based premium evaluation for unemployment insurance products
by Biagini, Francesca & Groll, Andreas & Widenmann, Jan
2013, Volume 52, Issue 3
- 421-434 Control variates and conditional Monte Carlo for basket and Asian options
by Dingeç, Kemal Dinçer & Hörmann, Wolfgang
- 435-440 On iterative premium calculation principles under Cumulative Prospect Theory
by Kaluszka, Marek & Krzeszowiec, Michał
- 441-447 Tail Variance premiums for log-elliptical distributions
by Landsman, Zinoviy & Pat, Nika & Dhaene, Jan
- 448-456 Optimal dividend problem with a nonlinear regular-singular stochastic control
by Chen, Mi & Peng, Xiaofan & Guo, Junyi
- 457-464 Extensions of the notion of overall comonotonicity to partial comonotonicity
by Zhang, Lianzeng & Duan, Baige
- 465-468 Risky targets and effort
by Chuang, O-Chia & Eeckhoudt, Louis & Huang, Rachel J. & Tzeng, Larry Y.
- 469-476 An extension of Paulsen–Gjessing’s risk model with stochastic return on investments
by Yin, Chuancun & Wen, Yuzhen
- 477-489 Quantile credibility models
by Pitselis, Georgios
- 490-497 The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
by Dickson, David C.M. & Li, Shuanming
- 498-507 Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps
by Zeng, Yan & Li, Zhongfei & Lai, Yongzeng
- 508-521 Constant proportion portfolio insurance under a regime switching exponential Lévy process
by Weng, Chengguo
- 522-531 On the (in-)dependence between financial and actuarial risks
by Dhaene, Jan & Kukush, Alexander & Luciano, Elisa & Schoutens, Wim & Stassen, Ben
- 532-541 A feasible natural hedging strategy for insurance companies
by Wang, Chou-Wen & Huang, Hong-Chih & Hong, De-Chuan
- 542-549 Lifetime dependence modelling using a truncated multivariate gamma distribution
by Alai, Daniel H. & Landsman, Zinoviy & Sherris, Michael
- 550-559 Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
by Deme, El Hadji & Girard, Stéphane & Guillou, Armelle
- 560-572 Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation
by Cossette, Hélène & Côté, Marie-Pier & Marceau, Etienne & Moutanabbir, Khouzeima
- 573-589 Multidimensional smoothing by adaptive local kernel-weighted log-likelihood: Application to long-term care insurance
by Tomas, Julien & Planchet, Frédéric
- 590-598 The multi-year non-life insurance risk in the additive loss reserving model
by Diers, Dorothea & Linde, Marc
- 599-605 Choosing a random distribution with prescribed risks
by Cascos, Ignacio & Molchanov, Ilya
- 606-614 Pricing high-risk and low-risk insurance contracts with incomplete information and production costs
by Ramsay, Colin M. & Oguledo, Victor I. & Pathak, Priya
2013, Volume 52, Issue 2
- 127-134 On the generalized Gerber–Shiu function for surplus processes with interest
by Li, Shuanming & Lu, Yi
- 135-144 Reinsurance and securitisation of life insurance risk: The impact of regulatory constraints
by Barrieu, Pauline & Loubergé, Henri
- 145-156 Optimal investment policy in the time consistent mean–variance formulation
by Chen, Zhi-ping & Li, Gang & Guo, Ju-e
- 157-169 Pricing and securitization of multi-country longevity risk with mortality dependence
by Yang, Sharon S. & Wang, Chou-Wen
- 170-179 A note on discounted compound renewal sums under dependency
by Woo, Jae-Kyung & Cheung, Eric C.K.
- 180-189 Optimal reinsurance with general premium principles
by Chi, Yichun & Tan, Ken Seng
- 190-203 Expected value multiobjective portfolio rebalancing model with fuzzy parameters
by Gupta, Pankaj & Mittal, Garima & Mehlawat, Mukesh Kumar
- 204-212 Computing best bounds for nonlinear risk measures with partial information
by Wong, Man Hong & Zhang, Shuzhong
- 213-221 A characterization of optimal portfolios under the tail mean–variance criterion
by Owadally, Iqbal & Landsman, Zinoviy
- 222-230 Systemic risk tradeoffs and option prices
by Madan, Dilip B. & Schoutens, Wim
- 231-242 A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
by Yang, Sharon S. & Dai, Tian-Shyr
- 243-254 Pricing catastrophe risk bonds: A mixed approximation method
by Ma, Zong-Gang & Ma, Chao-Qun
- 255-262 A nonparametric approach to calculating value-at-risk
by Alemany, Ramon & Bolancé, Catalina & Guillén, Montserrat
- 263-274 Best portfolio insurance for long-term investment strategies in realistic conditions
by Pézier, Jacques & Scheller, Johanna
- 275-285 Modeling and forecasting mortality rates
by Mitchell, Daniel & Brockett, Patrick & Mendoza-Arriaga, Rafael & Muthuraman, Kumar
- 286-299 Pricing inflation products with stochastic volatility and stochastic interest rates
by Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W.
- 300-311 Pricing European options on deferred annuities
by Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael
- 312-319 Extremes and products of multivariate AC-product risks
by Yang, Yang & Hashorva, Enkelejd
- 320-337 Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data
by Hatzopoulos, P. & Haberman, S.
- 338-351 Testing tail monotonicity by constrained copula estimation
by Gijbels, Irène & Sznajder, Dominik
- 352-358 Challenges with non-informative gamma priors in the Bayesian over-dispersed Poisson reserving model
by Wüthrich, Mario V.
- 359-369 Optimal decision on dynamic insurance price and investment portfolio of an insurer
by Mao, Hong & Carson, James M. & Ostaszewski, Krzysztof M. & Wen, Zhongkai
- 370-380 Level premium rates as a function of initial capital
by Malinovskii, Vsevolod K.
- 381-390 Claims reserving in the hierarchical generalized linear model framework
by Gigante, Patrizia & Picech, Liviana & Sigalotti, Luciano
- 391-403 Pure robust versus robust portfolio unbiased—Credibility and asymptotic optimality
by Pitselis, Georgios
- 404-410 Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
by He, Lin & Liang, Zongxia
- 411-420 The connection between distortion risk measures and ordered weighted averaging operators
by Belles-Sampera, Jaume & Merigó, José M. & Guillén, Montserrat & Santolino, Miguel
2013, Volume 52, Issue 1
- 1-5 Worst-case actuarial calculations consistent with single- and multiple-decrement life tables
by Christiansen, Marcus C. & Denuit, Michel M.
- 6-17 Continuous-time mean–variance asset–liability management with endogenous liabilities
by Yao, Haixiang & Lai, Yongzeng & Li, Yong
- 18-28 Pricing and simulations of catastrophe bonds
by Nowak, Piotr & Romaniuk, Maciej
- 29-34 A note on killing with applications in risk theory
by Ivanovs, Jevgenijs
- 35-45 If we can simulate it, we can insure it: An application to longevity risk management
by Boyer, M. Martin & Stentoft, Lars
- 46-51 Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures
by Lu, ZhiYi & Liu, LePing & Meng, ShengWang
- 52-64 Optimal investment for an insurer with cointegrated assets: CRRA utility
by Chiu, Mei Choi & Wong, Hoi Ying
- 65-76 Exchanging uncertain mortality for a cost
by Donnelly, Catherine & Guillén, Montserrat & Nielsen, Jens Perch
- 77-86 Pricing inflation-linked variable annuities under stochastic interest rates
by Tiong, Serena
- 87-97 Individual post-retirement longevity risk management under systematic mortality risk
by Hanewald, Katja & Piggott, John & Sherris, Michael
- 98-113 On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
by Avanzi, Benjamin & Cheung, Eric C.K. & Wong, Bernard & Woo, Jae-Kyung
- 114-123 Longevity bond pricing under stochastic interest rate and mortality with regime-switching
by Shen, Yang & Siu, Tak Kuen
2012, Volume 51, Issue 3
- 505-516 A generalization of the Kaplan–Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models
by Lopez, Olivier
- 517-530 Moments and semi-moments for fuzzy portfolio selection
by Sadefo Kamdem, Jules & Tassak Deffo, Christian & Fono, Louis Aimé
- 531-537 Gram–Charlier densities: Maximum likelihood versus the method of moments
by Del Brio, Esther B. & Perote, Javier
- 538-550 Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach
by Lee, David & Li, Wai Keung & Wong, Tony Siu Tung
- 551-566 Optimal investment and consumption when regime transitions cause price shocks
by Lim, Andrew E.B. & Watewai, Thaisiri
- 567-575 On a reduced form credit risk model with common shock and regime switching
by Liang, Xue & Wang, Guojing
- 576-585 Optimal dividend and equity issuance problem with proportional and fixed transaction costs
by Peng, Xiaofan & Chen, Mi & Guo, Junyi
- 586-598 Optimal consumption and allocation in variable annuities with Guaranteed Minimum Death Benefits
by Gao, Jin & Ulm, Eric R.
- 599-616 Equitable solvent controls in a multi-period game model of risk
by Malinovskii, Vsevolod K.
- 617-623 Skew mixture models for loss distributions: A Bayesian approach
by Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea
- 624-631 Stochastic evaluation of life insurance contracts: Model point on asset trajectories and measurement of the error related to aggregation
by Nteukam T., Oberlain & Planchet, Frédéric
- 632-635 Calculation of Bayes premium for conditional elliptical risks
by Kume, Alfred & Hashorva, Enkelejd
- 636-648 Analytical calculation of risk measures for variable annuity guaranteed benefits
by Feng, Runhuan & Volkmer, Hans W.
- 649-666 Quantifying credit and market risk under Solvency II: Standard approach versus internal model
by Gatzert, Nadine & Martin, Michael
- 667-673 Optimal investment strategies for the HARA utility under the constant elasticity of variance model
by Jung, Eun Ju & Kim, Jai Heui
- 674-684 Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
by Gu, Ailing & Guo, Xianping & Li, Zhongfei & Zeng, Yan
- 685-693 Minimal cost of a Brownian risk without ruin
by Luo, Shangzhen & Taksar, Michael
- 694-701 Modelling dependent data for longevity projections
by D’Amato, Valeria & Haberman, Steven & Piscopo, Gabriella & Russolillo, Maria
- 702-712 Fuzzy risk adjusted performance measures: Application to hedge funds
by Sadefo Kamdem, J. & Mbairadjim Moussa, A. & Terraza, M.
2012, Volume 51, Issue 2
- 229-238 On a mean reverting dividend strategy with Brownian motion
by Avanzi, Benjamin & Wong, Bernard
- 239-248 Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?
by Eling, Martin
- 249-256 Convex order approximations in the case of cash flows of mixed signs
by Dhaene, Jan & Goovaerts, Marc & Vanmaele, Michèle & Van Weert, Koen
- 257-264 On the Lp-metric between a probability distribution and its distortion
by López-Díaz, Miguel & Sordo, Miguel A. & Suárez-Llorens, Alfonso
- 265-270 Convex order and comonotonic conditional mean risk sharing
by Denuit, Michel & Dhaene, Jan
- 271-281 Computing bounds on the expected payoff of Alternative Risk Transfer products
by Villegas, Andrés M. & Medaglia, Andrés L. & Zuluaga, Luis F.
- 282-291 Optimal retirement consumption with a stochastic force of mortality
by Huang, Huaxiong & Milevsky, Moshe A. & Salisbury, Thomas S.
- 292-302 Comparison of risks based on the expected proportional shortfall
by Belzunce, Félix & Pinar, José F. & Ruiz, José M. & Sordo, Miguel A.
- 303-309 Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution
by Pirvu, Traian A. & Zhang, Huayue
- 310-321 Optimal reinsurance under variance related premium principles
by Chi, Yichun
- 322-332 Heterogeneity of Australian population mortality and implications for a viable life annuity market
by Su, Shu & Sherris, Michael
- 333-343 Second-order properties of the Haezendonck–Goovaerts risk measure for extreme risks
by Mao, Tiantian & Hu, Taizhong
- 344-351 The optimal mean–variance investment strategy under value-at-risk constraints
by Ye, Jun & Li, Tiantian
- 352-369 Maximizing the utility of consumption with commutable life annuities
by Wang, Ting & Young, Virginia R.
- 370-378 An adaptive premium policy with a Bayesian motivation in the classical risk model
by Landriault, David & Lemieux, Christiane & Willmot, Gordon E.
- 379-381 A note on weighted premium calculation principles
by Kaluszka, M. & Laeven, R.J.A. & Okolewski, A.
- 382-392 Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
by Griffin, Philip S. & Maller, Ross A. & Schaik, Kees van
- 393-401 Analysis of the discounted sum of ascending ladder heights
by Cossette, Hélène & Landriault, David & Marceau, Etienne & Moutanabbir, Khouzeima
- 402-408 A multivariate aggregate loss model
by Ren, Jiandong
- 409-421 Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
by Feng, Runhuan & Volkmer, Hans W.
- 422-429 Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
by Lin, Jianxi
- 430-441 On the valuation of reverse mortgages with regular tenure payments
by Lee, Yung-Tsung & Wang, Chou-Wen & Huang, Hong-Chih
- 442-448 An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk
by Ballestra, Luca Vincenzo & Ottaviani, Massimiliano & Pacelli, Graziella
- 449-456 Second-order expansions of the risk concentration based on CTE
by Mao, Tiantian & Lv, Wenhua & Hu, Taizhong
- 457-461 Precise large deviations of aggregate claims in a size-dependent renewal risk model
by Chen, Yiqing & Yuen, Kam C.
- 462-471 Optimal insurance under multiple sources of risk with positive dependence
by Lu, ZhiYi & Liu, LePing & Zhang, JianYu & Meng, LiLi
- 472-479 Asymptotic consistency and inconsistency of the chain ladder
by Pešta, Michal & Hudecová, Šárka
- 480-491 Estimation of medical costs by copula models with dynamic change of health status
by Zhao, Xiaobing & Zhou, Xian
- 492-503 Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures
by Hua, Lei & Joe, Harry
2012, Volume 51, Issue 1
- 1-9 Portfolio selection through an extremality stochastic order
by Laniado, Henry & Lillo, Rosa E. & Pellerey, Franco & Romo, Juan
- 10-18 On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures
by Goovaerts, Marc & Linders, Daniël & Van Weert, Koen & Tank, Fatih
- 19-25 The time to ruin and the number of claims until ruin for phase-type claims
by Frostig, Esther & Pitts, Susan M. & Politis, Konstadinos
- 26-42 Optimal dividend policies for compound Poisson processes: The case of bounded dividend rates
by Azcue, Pablo & Muler, Nora
- 43-52 A new class of models for heavy tailed distributions in finance and insurance risk
by Ahn, Soohan & Kim, Joseph H.T. & Ramaswami, Vaidyanathan
- 53-65 Alarm system for insurance companies: A strategy for capital allocation
by Das, S. & Kratz, M.
- 66-72 Claims development result in the paid-incurred chain reserving method
by Happ, Sebastian & Merz, Michael & Wüthrich, Mario V.
- 73-92 Valuing equity-linked death benefits and other contingent options: A discounted density approach
by Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang
- 93-106 Ruin by dynamic contagion claims
by Dassios, Angelos & Zhao, Hongbiao
- 107-114 Haezendonck–Goovaerts risk measures and Orlicz quantiles
by Bellini, Fabio & Rosazza Gianin, Emanuela
- 115-121 Tail distortion risk and its asymptotic analysis
by Zhu, Li & Li, Haijun
- 122-133 Copula based hierarchical risk aggregation through sample reordering
by Arbenz, Philipp & Hummel, Christoph & Mainik, Georg
- 134-141 On the analysis of a general class of dependent risk processes
by Willmot, Gordon E. & Woo, Jae-Kyung
- 142-150 Jackknife empirical likelihood method for some risk measures and related quantities
by Peng, Liang & Qi, Yongcheng & Wang, Ruodu & Yang, Jingping
- 151-157 Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure
by Marri, Fouad & Furman, Edward
- 158-171 A performance analysis of participating life insurance contracts
by Faust, Roger & Schmeiser, Hato & Zemp, Alexandra
- 172-181 Optimal asset allocation for DC pension plans under inflation
by Han, Nan-wei & Hung, Mao-wei
- 182-190 Dynamic hedging of conditional value-at-risk
by Melnikov, Alexander & Smirnov, Ivan
- 191-203 Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model
by Li, Zhongfei & Zeng, Yan & Lai, Yongzeng
- 204-215 Multivariate longitudinal modeling of insurance company expenses
by Shi, Peng
- 216-221 A maximum-entropy approach to the linear credibility formula
by Payandeh Najafabadi, Amir T. & Hatami, Hamid & Omidi Najafabadi, Maryam
- 222-227 Multivariate insurance models: An overview
by Anastasiadis, Simon & Chukova, Stefanka
2012, Volume 50, Issue 3
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