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The email address of this editor does not seem to be valid any more. Please ask R. Kaas to have the entry updated or send us the correct address.
Editor: R. Kaas
The email address of this editor does not seem to be valid any more. Please ask R. Kaas to have the entry updated or send us the correct address.
Editor: R. Kaas
The email address of this editor does not seem to be valid any more. Please ask R. Kaas to have the entry updated or send us the correct address.
Series handle: RePEc:eee:insuma
ISSN: 0167-6687
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Content
2014, Volume 54, Issue C
- 66-75 Consumption, investment and life insurance strategies with heterogeneous discounting
by de-Paz, Albert & Marín-Solano, Jesús & Navas, Jorge & Roch, Oriol
- 76-83 A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy
by Chen, Xu & Xiao, Ting & Yang, Xiang-qun
- 84-92 Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework
by Yao, Haixiang & Lai, Yongzeng & Ma, Qinghua & Jian, Minjie
- 93-108 Risk aggregation with dependence uncertainty
by Bernard, Carole & Jiang, Xiao & Wang, Ruodu
- 109-122 Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
by Guan, Huiqi & Liang, Zongxia
- 123-132 Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
by Boudreault, Mathieu & Cossette, Hélène & Marceau, Étienne
- 133-143 Optimal dividends in the dual model under transaction costs
by Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi
- 144-151 Borch’s Theorem from the perspective of comonotonicity
by Cheung, K.C. & Rong, Yian & Yam, S.C.P.
2013, Volume 53, Issue 3
- 491-503 The value of interest rate guarantees in participating life insurance contracts: Status quo and alternative product design
by Eling, Martin & Holder, Stefan
- 504-514 Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model
by Zhao, Hui & Rong, Ximin & Zhao, Yonggan
- 515-523 Optimal dividends and ALM under unhedgeable risk
by Pelsser, Antoon A.J. & Laeven, Roger J.A.
- 524-532 A bivariate shot noise self-exciting process for insurance
by Jang, Jiwook & Dassios, Angelos
- 533-543 Optimal capital allocation based on the Tail Mean–Variance model
by Xu, Maochao & Mao, Tiantian
- 544-550 Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
by Zhu, Lingjiong
- 551-568 Insurance demand and welfare-maximizing risk capital—Some hints for the regulator in the case of exponential preferences and exponential claims
by Burren, Daniel
- 569-579 A gamma kernel density estimation for insurance loss data
by Jeon, Yongho & Kim, Joseph H.T.
- 580-596 On the mortality/longevity risk hedging with mortality immunization
by Lin, Tzuling & Tsai, Cary Chi-Liang
- 597-600 Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee
by Costabile, M.
- 601-614 Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model
by Yi, Bo & Li, Zhongfei & Viens, Frederi G. & Zeng, Yan
- 615-623 Valuing equity-linked death benefits in jump diffusion models
by Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang
- 624-631 A new immunization inequality for random streams of assets, liabilities and interest rates
by Gajek, Lesław & Krajewska, Elżbieta
- 632-642 Survival probabilities in bivariate risk models, with application to reinsurance
by Castañer, A. & Claramunt, M.M. & Lefèvre, C.
- 643-649 Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework
by He, Lin & Liang, Zongxia
- 650-663 Pricing Variable Annuity Guarantees in a local volatility framework
by Deelstra, Griselda & Rayée, Grégory
- 664-670 Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
by Bai, Lihua & Cai, Jun & Zhou, Ming
- 671-677 Stochastic Pareto-optimal reinsurance policies
by Zeng, Xudong & Luo, Shangzhen
- 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
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