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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
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
- 293-298 Stochastic comparisons of capital allocations with applications
by Xu, Maochao & Hu, Taizhong
- 299-308 Multivariate stress scenarios and solvency
by McNeil, Alexander J. & Smith, Andrew D.
- 309-333 Parametric mortality improvement rate modelling and projecting
by Haberman, Steven & Renshaw, Arthur
- 334-337 The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
by Dickson, David C.M.
- 338-345 Ambiguity aversion, higher-order risk attitude and optimal effort
by Huang, Rachel J.
- 346-356 Modeling dependence dynamics through copulas with regime switching
by Silva Filho, Osvaldo Candido da & Ziegelmann, Flavio Augusto & Dueker, Michael J.
- 357-370 The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets
by Dhaene, Jan & Linders, Daniël & Schoutens, Wim & Vyncke, David
- 371-384 Multi-period mean–variance portfolio selection with regime switching and a stochastic cash flow
by Wu, Huiling & Li, Zhongfei
- 385-390 Comparison of increasing directionally convex transformations of random vectors with a common copula
by Belzunce, Félix & Suárez-Llorens, Alfonso & Sordo, Miguel A.
- 391-401 Managing longevity and disability risks in life annuities with long term care
by Levantesi, Susanna & Menzietti, Massimiliano
- 402-412 Delta–Gamma hedging of mortality and interest rate risk
by Luciano, Elisa & Regis, Luca & Vigna, Elena
- 413-422 Characterization of left-monotone risk aversion in the RDEU model
by Mao, Tiantian & Hu, Taizhong
- 423-429 On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities
by Li, Xiaohu & You, Yinping
- 430-436 Dependence modeling in non-life insurance using the Bernstein copula
by Diers, Dorothea & Eling, Martin & Marek, Sebastian D.
- 437-445 Dividends and reinsurance under a penalty for ruin
by Liang, Zhibin & Young, Virginia R.
- 446-461 Are quantile risk measures suitable for risk-transfer decisions?
by Guerra, Manuel & Centeno, M.L.
- 462-469 Insurance pricing with complete information, state-dependent utility, and production costs
by Ramsay, Colin M. & Oguledo, Victor I.
2012, Volume 50, Issue 2
- 229-235 Comparison and bounds for functionals of future lifetimes consistent with life tables
by Barz, Christiane & Müller, Alfred
- 236-246 Multidimensional Lee–Carter model with switching mortality processes
by Hainaut, Donatien
- 247-256 TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
by Cossette, Hélène & Mailhot, Mélina & Marceau, Étienne
- 257-265 The Solvency II square-root formula for systematic biometric risk
by Christiansen, Marcus C. & Denuit, Michel M. & Lazar, Dorina
- 266-279 Bayesian modelling of the time delay between diagnosis and settlement for Critical Illness Insurance using a Burr generalised-linear-type model
by Ozkok, Erengul & Streftaris, George & Waters, Howard R. & Wilkie, A. David
- 280-291 Lévy risk model with two-sided jumps and a barrier dividend strategy
by Bo, Lijun & Song, Renming & Tang, Dan & Wang, Yongjin & Yang, Xuewei
2012, Volume 50, Issue 1
- 1-11 Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
by Pansera, Jérôme
- 12-25 Explaining young mortality
by O’Hare, Colin & Li, Youwei
- 26-42 Excess based allocation of risk capital
by van Gulick, Gerwald & De Waegenaere, Anja & Norde, Henk
- 43-49 On the invariant properties of notions of positive dependence and copulas under increasing transformations
by Cai, Jun & Wei, Wei
- 50-56 Arbitrage in skew Brownian motion models
by Rossello, Damiano
- 57-63 Optimal reinsurance with positively dependent risks
by Cai, Jun & Wei, Wei
- 64-78 Analyzing surplus appropriation schemes in participating life insurance from the insurer’s and the policyholder’s perspective
by Bohnert, Alexander & Gatzert, Nadine
- 79-84 Competitive insurance market in the presence of ambiguity
by Anwar, Sajid & Zheng, Mingli
- 85-93 A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
by Giacometti, Rosella & Bertocchi, Marida & Rachev, Svetlozar T. & Fabozzi, Frank J.
- 94-98 Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
by Landsman, Zinoviy & Makov, Udi
- 99-108 Extreme value behavior of aggregate dependent risks
by Chen, Die & Mao, Tiantian & Pan, Xiaoqing & Hu, Taizhong
- 109-120 Recursive methods for a multi-dimensional risk process with common shocks
by Gong, Lan & Badescu, Andrei L. & Cheung, Eric C.K.
- 121-130 Optimal loss-carry-forward taxation for the Lévy risk model
by Wang, Wenyuan & Hu, Yijun
- 131-138 Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives
by Ahčan, Aleš
- 139-149 Risk concentration of aggregated dependent risks: The second-order properties
by Tong, Bin & Wu, Chongfeng & Xu, Weidong
- 150-158 Risky asset allocation and consumption rule in the presence of background risk and insurance markets
by Lin, Wen-chang & Lu, Jin-ray
- 159-166 Pricing insurance contracts under Cumulative Prospect Theory
by Kaluszka, Marek & Krzeszowiec, Michał
- 167-178 On the absolute ruin problem in a Sparre Andersen risk model with constant interest
by Mitric, Ilie-Radu & Badescu, Andrei L. & Stanford, David A.
- 179-190 Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
by Zhao, Hui & Rong, Ximin
- 191-199 Copula models for insurance claim numbers with excess zeros and time-dependence
by Zhao, Xiaobing & Zhou, Xian
- 200-216 Optimal commutable annuities to minimize the probability of lifetime ruin
by Wang, Ting & Young, Virginia R.
- 217-227 On the Haezendonck–Goovaerts risk measure for extreme risks
by Tang, Qihe & Yang, Fan
2011, Volume 49, Issue 3
- 285-297 Variable annuities: A unifying valuation approach
by Bacinello, Anna Rita & Millossovich, Pietro & Olivieri, Annamaria & Pitacco, Ermanno
- 298-309 Analysis of risk models using a level crossing technique
by Brill, Percy H. & Yu, Kaiqi
- 310-324 Asymptotics for risk capital allocations based on Conditional Tail Expectation
by Asimit, Alexandru V. & Furman, Edward & Tang, Qihe & Vernic, Raluca
- 325-334 Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
by Brahimi, Brahim & Meraghni, Djamel & Necir, Abdelhakim & Zitikis, Ričardas
- 335-344 Sensitivity of risk measures with respect to the normal approximation of total claim distributions
by Krätschmer, Volker & Zähle, Henryk
- 345-352 Asymptotic behavior of the empirical conditional value-at-risk
by Gao, Fuqing & Wang, Shaochen
- 353-360 Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
by Zhang, Wei-Guo & Zhang, Xili & Chen, Yunxia
- 361-370 Portfolio insurance under a risk-measure constraint
by De Franco, Carmine & Tankov, Peter
- 371-379 Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
by Landriault, David & Shi, Tianxiang & Willmot, Gordon E.
- 380-392 Worst case risk measurement: Back to the future?
by Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A.
- 393-400 Valuing variable annuity guarantees with the multivariate Esscher transform
by Ng, Andrew Cheuk-Yin & Li, Johnny Siu-Hang
- 401-409 A risk-based model for the valuation of pension insurance
by Chen, An
- 410-417 A characterization of the multivariate excess wealth ordering
by Fernández-Ponce, J.M. & Pellerey, F. & Rodríguez-Griñolo, M.R.
- 418-428 Behavioral optimal insurance
by Sung, K.C.J. & Yam, S.C.P. & Yung, S.P. & Zhou, J.H.
- 429-437 Accounting for regime and parameter uncertainty in regime-switching models
by Hartman, Brian M. & Heaton, Matthew J.
- 438-453 Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging
by Cairns, Andrew J.G.
- 454-461 Modelling losses and locating the tail with the Pareto Positive Stable distribution
by Guillen, Montserrat & Prieto, Faustino & Sarabia, José María
- 462-470 One-year Value-at-Risk for longevity and mortality
by Plat, Richard
- 471-486 The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts
by Li, Jing & Szimayer, Alexander
- 487-495 Archimedean copulas in finite and infinite dimensions—with application to ruin problems
by Constantinescu, Corina & Hashorva, Enkelejd & Ji, Lanpeng
- 496-500 Modeling of claim exceedances over random thresholds for related insurance portfolios
by Eryilmaz, Serkan & Gebizlioglu, Omer L. & Tank, Fatih
- 501-511 Optimal dividend and investing control of an insurance company with higher solvency constraints
by Liang, Zongxia & Huang, Jianping
- 512-519 A new look at the homogeneous risk model
by Lefèvre, Claude & Picard, Philippe
- 520-536 Pricing catastrophe swaps: A contingent claims approach
by Braun, Alexander
- 537-546 Second order regular variation and conditional tail expectation of multiple risks
by Hua, Lei & Joe, Harry
- 547-564 Equity-linked pension schemes with guarantees
by Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik
- 565-579 Analytic loss distributional approach models for operational risk from the α-stable doubly stochastic compound processes and implications for capital allocation
by Peters, Gareth W. & Shevchenko, Pavel V. & Young, Mark & Yip, Wendy
- 580-596 A joint valuation of premium payment and surrender options in participating life insurance contracts
by Schmeiser, H. & Wagner, J.
September 2011, Volume 49, Issue 2
- 155-174 A dynamic parameterization modeling for the age-period-cohort mortality
by Hatzopoulos, P. & Haberman, S.
- 175-187 Optimality of general reinsurance contracts under CTE risk measure
by Tan, Ken Seng & Weng, Chengguo & Zhang, Yi
- 188-193 Detection and correction of outliers in the bivariate chain-ladder method
by Verdonck, T. & Van Wouwe, M.
- 194-206 Minimizing the probability of lifetime ruin under stochastic volatility
by Bayraktar, Erhan & Hu, Xueying & Young, Virginia R.
- 207-215 Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
by Liang, Zhibin & Yuen, Kam Chuen & Guo, Junyi
- 216-225 Exponential change of measure applied to term structures of interest rates and exchange rates
by Bo, Lijun
- 226-239 A copula approach to test asymmetric information with applications to predictive modeling
by Shi, Peng & Valdez, Emiliano A.
- 240-248 A recursive approach to mortality-linked derivative pricing
by Shang, Zhaoning & Goovaerts, Marc & Dhaene, Jan
- 249-264 Risk comparison of different bonus distribution approaches in participating life insurance
by Zemp, Alexandra
- 265-284 A generalized beta copula with applications in modeling multivariate long-tailed data
by Yang, Xipei & Frees, Edward W. & Zhang, Zhengjun
July 2011, Volume 49, Issue 1
- 1-10 A utility-based comparison of pension funds and life insurance companies under regulatory constraints
by Broeders, Dirk & Chen, An & Koos, Birgit
- 11-17 Stochastic comparisons of distorted variability measures
by Sordo, Miguel A. & Suárez-Llorens, Alfonso
- 18-26 Bias-reduced estimators for bivariate tail modelling
by Beirlant, J. & Dierckx, G. & Guillou, A.
- 27-37 A generalized linear model with smoothing effects for claims reserving
by Björkwall, Susanna & Hössjer, Ola & Ohlsson, Esbjörn & Verrall, Richard
- 38-46 Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
by Zhu, Wenge
- 47-52 Stochastic orders in time transformed exponential models with applications
by Li, Xiaohu & Lin, Jianhua
- 53-60 Calibrating affine stochastic mortality models using term assurance premiums
by Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J.
- 61-69 On "optimal pension management in a stochastic framework" with exponential utility
by Ma, Qing-Ping
- 70-80 Actuarial applications of the linear hazard transform in life contingencies
by Tsai, Cary Chi-Liang & Jiang, Lingzhi
- 81-88 Time-simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortality
by Li, Johnny Siu-Hang & Chan, Wai-Sum
- 89-99 Reactive investment strategies
by Leung, Andrew P.
- 100-114 Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives
by Ngai, Andrew & Sherris, Michael
- 115-125 Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches
by Graf, Stefan & Kling, Alexander & Ruß, Jochen
- 126-131 A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
by Diko, Peter & Usábel, Miguel
- 132-144 The influence of non-linear dependencies on the basis risk of industry loss warranties
by Gatzert, Nadine & Kellner, Ralf
- 145-154 Optimal time-consistent investment and reinsurance policies for mean-variance insurers
by Zeng, Yan & Li, Zhongfei
May 2011, Volume 48, Issue 3
- 315-325 Household consumption, investment and life insurance
by Bruhn, Kenneth & Steffensen, Mogens
- 326-337 On the threshold dividend strategy for a generalized jump-diffusion risk model
by Chi, Yichun & Lin, X. Sheldon
- 338-343 Stochastic comparisons for allocations of policy limits and deductibles with applications
by Lu, ZhiYi & Meng, LiLi
- 344-354 Classical and singular stochastic control for the optimal dividend policy when there is regime switching
by Sotomayor, Luz R. & Cadenillas, Abel
- 355-367 Mortality density forecasts: An analysis of six stochastic mortality models
by Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa
- 368-373 Characterization of upper comonotonicity via tail convex order
by Nam, Hee Seok & Tang, Qihe & Yang, Fan
- 374-377 Convolutions of multivariate phase-type distributions
by Berdel, Jasmin & Hipp, Christian
- 378-383 Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size
by Orbán Mihálykó, Éva & Mihálykó, Csaba
- 384-397 A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
by Cheung, Eric C.K.
- 398-405 Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
by Bäuerle, Nicole & Blatter, Anja
- 406-412 A new discrete distribution with actuarial applications
by Gómez-Déniz, Emilio & Sarabia, José María & Calderín-Ojeda, Enrique
March 2011, Volume 48, Issue 2
- 161-175 Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
by Nteukam T., Oberlain & Planchet, Frédéric & Thérond, Pierre-E.
- 176-188 Optimal investment and consumption decision of a family with life insurance
by Kwak, Minsuk & Shin, Yong Hyun & Choi, U Jin
- 189-196 Refinements of two-sided bounds for renewal equations
by Woo, Jae-Kyung
- 197-204 Entropy, longevity and the cost of annuities
by Haberman, Steven & Khalaf-Allah, Marwa & Verrall, Richard
- 205-213 Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
by Choe, Geon Ho & Jang, Hyun Jin
- 214-216 A new proof of Cheung's characterization of comonotonicity
by Mao, Tiantian & Hu, Taizhong
- 217-225 On 1-convexity and nucleolus of co-insurance games
by Driessen, Theo S.H. & Fragnelli, Vito & Katsev, Ilya V. & Khmelnitskaya, Anna B.
- 226-236 Bayesian multivariate Poisson models for insurance ratemaking
by Bermúdez, Lluís & Karlis, Dimitris
- 237-245 Adaptive Importance Sampling for simulating copula-based distributions
by Bee, Marco
- 246-256 Approximation of bivariate copulas by patched bivariate Fréchet copulas
by Zheng, Yanting & Yang, Jingping & Huang, Jianhua Z.
- 257-264 Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums
by Sendov, Hristo S. & Wang, Ying & Zitikis, Ricardas
- 265-270 Explicit ruin formulas for models with dependence among risks
by Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane
- 271-279 An application of comonotonicity theory in a stochastic life annuity framework
by Liu, Xiaoming & Jang, Jisoo & Mee Kim, Sun
- 280-286 Quantile hedging for equity-linked contracts
by Klusik, Przemyslaw & Palmowski, Zbigniew
- 287-303 Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses?
by Peters, Gareth W. & Byrnes, Aaron D. & Shevchenko, Pavel V.
- 304-313 An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
by Feng, Runhuan
January 2011, Volume 48, Issue 1
- 1-18 Three retirement decision models for defined contribution pension plan members: A simulation study
by MacDonald, Bonnie-Jeanne & Cairns, Andrew J.G.
- 19-28 Risk models based on time series for count random variables
by Cossette, Hélène & Marceau, Étienne & Toureille, Florent
- 29-34 The strictest common relaxation of a family of risk measures
by Roorda, Berend & Schumacher, J.M.
- 35-55 A comparative study of parametric mortality projection models
by Haberman, Steven & Renshaw, Arthur
- 56-63 On the distribution of the (un)bounded sum of random variables
by Cherubini, Umberto & Mulinacci, Sabrina & Romagnoli, Silvia
- 64-71 Optimal non-proportional reinsurance control and stochastic differential games
by Taksar, Michael & Zeng, Xudong
- 72-84 Robust-efficient credibility models with heavy-tailed claims: A mixed linear models perspective
by Dornheim, Harald & Brazauskas, Vytaras
- 85-98 The influence of individual claims on the chain-ladder estimates: Analysis and diagnostic tool
by Verdonck, T. & Debruyne, M.
- 99-110 Multivariate density estimation using dimension reducing information and tail flattening transformations
by Buch-Kromann, Tine & Guillén, Montserrat & Linton, Oliver & Nielsen, Jens Perch
- 111-122 Risk measures in ordered normed linear spaces with non-empty cone-interior
by Konstantinides, Dimitrios G. & Kountzakis, Christos E.
- 123-133 On absolute ruin minimization under a diffusion approximation model
by Luo, Shangzhen & Taksar, Michael
- 134-145 Risk processes with shot noise Cox claim number process and reserve dependent premium rate
by Macci, Claudio & Torrisi, Giovanni Luca
- 146-152 Portfolio selection and duality under mean variance preferences
by Eichner, Thomas
- 153-160 Tails of correlation mixtures of elliptical copulas
by Manner, Hans & Segers, Johan
December 2010, Volume 47, Issue 3
- 255-265 Evaluating the goodness of fit of stochastic mortality models
by Dowd, Kevin & Cairns, Andrew J.G. & Blake, David & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa
- 266-277 Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
by van Haastrecht, Alexander & Plat, Richard & Pelsser, Antoon
- 278-293 An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
by Delong, Lukasz
- 294-302 Decision principles derived from risk measures
by Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A.
- 303-314 Long-tail longitudinal modeling of insurance company expenses
by Shi, Peng & Frees, Edward W.
- 315-326 On optimal investment in a reinsurance context with a point process market model
by Edoli, Enrico & Runggaldier, Wolfgang J.
- 327-336 A geostatistical approach for dynamic life tables: The effect of mortality on remaining lifetime and annuities
by Debón, A. & Martínez-Ruiz, F. & Montes, F.
- 337-351 Correlated intensity, counter party risks, and dependent mortalities
by Ma, Jin & Yun, Youngyun
- 352-357 Bounds for the bias of the empirical CTE
by Russo, Ralph P. & Shyamalkumar, Nariankadu D.
- 358-373 On the robustness of longevity risk pricing
by Chen, Bingzheng & Zhang, Lihong & Zhao, Lin
- 374-384 A hidden Markov regime-switching model for option valuation
by Liew, Chuin Ching & Siu, Tak Kuen
- 385-390 A note on the connection between the Esscher-Girsanov transform and the Wang transform
by Labuschagne, Coenraad C.A. & Offwood, Theresa M.
- 391-404 Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach
by Stadje, Mitja
- 405-414 Asymptotics of random contractions
by Hashorva, Enkelejd & Pakes, Anthony G. & Tang, Qihe
- 415-422 Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
by Xu, Guoping & Zheng, Harry
- 423-427 Distributional analysis of a generalization of the Polya process
by Willmot, Gordon E.
- 428-433 On the DFR property of the compound geometric distribution with applications in risk theory
by Psarrakos, Georgios
October 2010, Volume 47, Issue 2
- 105-112 Forward mortality and other vital rates -- Are they the way forward?
by Norberg, Ragnar
- 113-122 Hybrid fuzzy least-squares regression analysis in claims reserving with geometric separation method
by Apaydin, Aysen & Baser, Furkan
- 123-129 Valuation of equity-indexed annuity under stochastic mortality and interest rate
by Qian, Linyi & Wang, Wei & Wang, Rongming & Tang, Yincai
- 130-136 Characterizing a comonotonic random vector by the distribution of the sum of its components
by Cheung, Ka Chun
- 137-143 Joint characteristic functions construction via copulas
by Komelj, Janez & Perman, Mihael
- 144-153 Optimal investment-reinsurance policy for an insurance company with VaR constraint
by Chen, Shumin & Li, Zhongfei & Li, Kemian
- 154-158 Comonotonic convex upper bound and majorization
by Cheung, Ka Chun
- 159-166 Upper comonotonicity and convex upper bounds for sums of random variables
by Dong, Jing & Cheung, Ka Chun & Yang, Hailiang
- 167-175 On optimal allocation of risk vectors
by Kiesel, Swen & Rüschendorf, Ludger
- 176-186 Pricing longevity risk with the parametric bootstrap: A maximum entropy approach
by Li, Johnny Siu-Hang
- 187-189 A note on additive risk measures in rank-dependent utility
by Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A.
- 190-197 Biometric worst-case scenarios for multi-state life insurance policies
by Christiansen, Marcus C.
- 198-205 Bias correction for estimated distortion risk measure using the bootstrap
by Kim, Joseph H.T.
- 206-207 Obtaining the dividends-penalty identities by interpretation
by Gerber, Hans U. & Yang, Hailiang
- 208-215 Optimal premium policy of an insurance firm: Full and partial information
by Huang, Jianhui & Wang, Guangchen & Wu, Zhen
- 216-223 Pricing maturity guarantee with dynamic withdrawal benefit
by Ko, Bangwon & Shiu, Elias S.W. & Wei, Li
- 224-233 Parameter estimation of a bivariate compound Poisson process
by Esmaeili, Habib & Klüppelberg, Claudia
- 234-245 Catastrophe risk management with counterparty risk using alternative instruments
by Wu, Yang-Che & Chung, San-Lin
- 246-254 Optimal non-proportional reinsurance control
by Hipp, Christian & Taksar, Michael
August 2010, Volume 47, Issue 1
Printed from https://ideas.repec.org/s/eee/insuma8.html
