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Series handle: RePEc:eee:insuma
ISSN: 0167-6687
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Content
August 2010, Volume 47, Issue 1
- 1-12 Optimal risk transfer for agents with germs
by Li, Peng & Lim, Andrew E.B. & Shanthikumar, J. George
- 13-20 Estimating generalized state density of near-extreme events and its applications in analyzing stock data
by Lin, Jin-Guan & Huang, Chao & Zhuang, Qing-Yun & Zhu, Li-Ping
- 21-26 Asymptotic analysis of a risk process with high dividend barrier
by Frostig, Esther
- 27-35 Optimal joint survival reinsurance: An efficient frontier approach
by Dimitrova, Dimitrina S. & Kaishev, Vladimir K.
- 36-51 Chain ladder method: Bayesian bootstrap versus classical bootstrap
by Peters, Gareth W. & Wüthrich, Mario V. & Shevchenko, Pavel V.
- 52-63 Comparison of three semiparametric methods for estimating dependence parameters in copula models
by Kojadinovic, Ivan & Yan, Jun
- 64-75 Stationary-excess operator and convex stochastic orders
by Lefèvre, Claude & Loisel, Stéphane
- 76-83 On the Lagrangian Katz family of distributions as a claim frequency model
by Gathy, Maude & Lefèvre, Claude
- 84-89 A method for determining risk aversion functions from uncertain market prices of risk
by Gzyl, Henryk & Mayoral, Silvia
- 90-97 Optimal portfolio selection for general provisioning and terminal wealth problems
by Van Weert, Koen & Dhaene, Jan & Goovaerts, Marc
- 98-104 A linear algebraic method for pricing temporary life annuities and insurance policies
by Date, P. & Mamon, R. & Jalen, L. & Wang, I.C.
June 2010, Volume 46, Issue 3
- 437-442 The conversion option in life insurance
by Su, Karen C.
- 443-449 The compound binomial model with randomly paying dividends to shareholders and policyholders
by He, Lei & Yang, Xiangqun
- 450-460 The optimal reinsurance strategy -- the individual claim case
by Centeno, M.L. & Guerra, M.
- 461-469 Markov-modulated jump-diffusions for currency option pricing
by Bo, Lijun & Wang, Yongjin & Yang, Xuewei
- 470-478 Optimal design of profit sharing rates by FFT
by Hainaut, Donatien
- 479-484 Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
by Perera, Ryle S.
- 485-492 On the optimal design of insurance contracts with guarantees
by Branger, Nicole & Mahayni, Antje & Schneider, Judith C.
- 493-499 A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments
by Zhang, Wei-Guo & Zhang, Xi-Li & Xu, Wei-Jun
- 500-510 The development of a simple and intuitive rating system under Solvency II
by Van Laere, Elisabeth & Baesens, Bart
- 511-530 An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
by Gao, Jianwei
- 531-540 Dependence structure of risk factors and diversification effects
by Zhou, Chen
- 541-546 Risk concentration and diversification: Second-order properties
by Degen, Matthias & Lambrigger, Dominik D. & Segers, Johan
- 547-553 On the Tail Mean-Variance optimal portfolio selection
by Landsman, Zinoviy
- 554-567 Detecting fuzzy relationships in regression models: The case of insurer solvency surveillance in Germany
by Berry-Stölzle, Thomas R. & Koissi, Marie-Claire & Shapiro, Arnold F.
- 568-579 Paid-incurred chain claims reserving method
by Merz, Michael & Wüthrich, Mario V.
- 580-587 Constant elasticity of variance model for proportional reinsurance and investment strategies
by Gu, Mengdi & Yang, Yipeng & Li, Shoude & Zhang, Jingyi
- 588-599 A general multivariate chain ladder model
by Zhang, Yanwei
April 2010, Volume 46, Issue 2
- 271-280 Optimal asset allocation for a general portfolio of life insurance policies
by Huang, Hong-Chih & Lee, Yung-Tsung
- 281-289 Conditional law of risk processes given that ruin occurs
by Schmidli, Hanspeter
- 290-299 Applying copula models to individual claim loss reserving methods
by Zhao, XiaoBing & Zhou, Xian
- 300-307 Optimal insurance in the presence of insurer's loss limit
by Zhou, Chunyang & Wu, Wenfeng & Wu, Chongfeng
- 308-316 On a multivariate Pareto distribution
by Asimit, Alexandru V. & Furman, Edward & Vernic, Raluca
- 317-327 A benchmarking approach to optimal asset allocation for insurers and pension funds
by Lim, Andrew E.B. & Wong, Bernard
- 328-333 Stochastic comparisons for time transformed exponential models
by Mulero, Julio & Pellerey, Franco & Rodríguez-Griñolo, Rosario
- 334-338 A new approach to the credibility formula
by Payandeh Najafabadi, Amir T.
- 339-350 Constrained smoothing B-splines for the term structure of interest rates
by Poletti Laurini, Márcio & Moura, Marcelo
- 351-361 Multivariate Tweedie distributions and some related capital-at-risk analyses
by Furman, Edward & Landsman, Zinoviy
- 362-370 Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
by Tang, Qihe & Wang, Guojing & Yuen, Kam C.
- 371-384 Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform
by Chen, Hua & Cox, Samuel H. & Wang, Shaun S.
- 385-396 Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
by Chi, Yichun
- 397-405 Optimal reinsurance with a rescuing procedure
by Zeng, Xudong
- 406-414 Archimedean copula estimation and model selection via l1-norm symmetric distribution
by Qu, Xiaomei & Zhou, Jie & Shen, Xiaojing
- 415-422 Expected present value of total dividends in a delayed claims risk model under stochastic interest rates
by Xie, Jie-hua & Zou, Wei
- 423-435 An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation
by Lin, Tzuling & Tzeng, Larry Y.
- 436-436 Erratum to "Estimating value at risk of portfolio by conditional copula-GARCH method" [Insurance: Mathematics and Economics 43 (2009) 315-324]
by Huang, Jen-Tsung & Lee, Kuo-Jung & Liang, Hueimei & Lin, Wei-Fu
February 2010, Volume 46, Issue 1
- 1-2 Editorial for the special issue on Gerber-Shiu functions
by Albrecher, Hansjörg & Constantinescu, Corina & Garrido, Jose
- 3-11 On the Gerber-Shiu function and change of measure
by Schmidli, Hanspeter
- 12-18 Finite time ruin problems for the Erlang(2) risk model
by Dickson, David C.M. & Li, Shuanming
- 19-31 Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
by Tang, Qihe & Wei, Li
- 32-41 Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
by Willmot, Gordon E. & Woo, Jae-Kyung
- 42-51 An algebraic operator approach to the analysis of Gerber-Shiu functions
by Albrecher, Hansjörg & Constantinescu, Corina & Pirsic, Gottlieb & Regensburger, Georg & Rosenkranz, Markus
- 52-66 An insurance risk model with stochastic volatility
by Chi, Yichun & Jaimungal, Sebastian & Lin, X. Sheldon
- 67-84 On the time value of absolute ruin with tax
by Ming, Rui-Xing & Wang, Wen-Yuan & Xiao, Li-Qun
- 85-91 A note on scale functions and the time value of ruin for Lévy insurance risk processes
by Biffis, Enrico & Kyprianou, Andreas E.
- 92-97 On a generalization of the Gerber-Shiu function to path-dependent penalties
by Biffis, Enrico & Morales, Manuel
- 98-108 De Finetti's optimal dividends problem with an affine penalty function at ruin
by Loeffen, Ronnie L. & Renaud, Jean-François
- 109-116 An elementary approach to discrete models of dividend strategies
by Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang
- 117-126 Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
by Cheung, Eric C.K. & Landriault, David & Willmot, Gordon E. & Woo, Jae-Kyung
- 127-134 A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
by Cheung, Eric C.K. & Landriault, David
- 135-138 Longevity risk and capital markets: The 2008-2009 update
by Blake, David & De Waegenaere, Anja & MacMinn, Richard & Nijman, Theo
- 139-149 On the pricing of longevity-linked securities
by Bauer, Daniel & Börger, Matthias & Ruß, Jochen
- 150-161 Longevity bond premiums: The extreme value approach and risk cubic pricing
by Chen, Hua & Cummins, J. David
- 162-172 A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
by Kogure, Atsuyuki & Kurachi, Yoshiyuki
- 173-185 Securitization, structuring and pricing of longevity risk
by Wills, Samuel & Sherris, Michael
- 186-197 Securitizing and tranching longevity exposures
by Biffis, Enrico & Blake, David
- 198-209 Optimizing the equity-bond-annuity portfolio in retirement: The impact of uncertain health expenses
by Pang, Gaobo & Warshawsky, Mark
- 210-221 Evaluating the Advanced Life Deferred Annuity -- An annuity people might actually buy
by Gong, Guan & Webb, Anthony
- 222-234 Longevity risk in pension annuities with exchange options: The effect of product design
by Stevens, Ralph & De Waegenaere, Anja & Melenberg, Bertrand
- 235-241 On the optimal product mix in life insurance companies using conditional value at risk
by Tsai, Jeffrey T. & Wang, Jennifer L. & Tzeng, Larry Y.
- 242-253 Mortality risk modeling: Applications to insurance securitization
by Cox, Samuel H. & Lin, Yijia & Pedersen, Hal
- 254-270 Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models
by Yang, Sharon S. & Yue, Jack C. & Huang, Hong-Chih
December 2009, Volume 45, Issue 3
- 315-324 Estimating value at risk of portfolio by conditional copula-GARCH method
by Huang, Jen-Jsung & Lee, Kuo-Jung & Liang, Hueimei & Lin, Wei-Fu
- 325-332 Correlation order, merging and diversification
by Dhaene, Jan & Denuit, Michel & Vanduffel, Steven
- 333-336 Comparative higher-degree Ross risk aversion
by Li, Jingyuan
- 337-347 Esscher transforms and consumption-based models
by Badescu, Alex & Elliott, Robert J. & Siu, Tak Kuen
- 348-361 TVaR-based capital allocation with copulas
by Bargès, Mathieu & Cossette, Hélène & Marceau, Étienne
- 362-373 On ruin probability and aggregate claim representations for Pareto claim size distributions
by Albrecher, Hansjörg & Kortschak, Dominik
- 374-381 Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
by Loisel, Stéphane & Mazza, Christian & Rullière, Didier
- 382-392 A perturbed risk model with dependence between premium rates and claim sizes
by Zhou, Ming & Cai, Jun
- 393-404 On stochastic mortality modeling
by Plat, Richard
- 405-409 Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
by Yuan, Haili & Hu, Yijun
- 410-423 Dynamic mortality factor model with conditional heteroskedasticity
by Gao, Quansheng & Hu, Chengjun
- 424-435 Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
by Brazauskas, Vytaras & Kleefeld, Andreas
- 436-448 Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
by van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David
- 449-458 Quantile hedging for guaranteed minimum death benefits
by Wang, Yumin
- 459-465 Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
by Song, Yongsheng & Yan, Jia-An
- 466-469 Comparing tail variabilities of risks by means of the excess wealth order
by Sordo, Miguel A.
- 470-484 Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims
by Chadjiconstantinidis, Stathis & Papaioannou, Apostolos D.
October 2009, Volume 45, Issue 2
- 157-162 Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
by Cao, Yusong & Wan, Nianqing
- 163-172 Insurance claims modulated by a hidden Brownian marked point process
by Elliott, Robert J. & Chen, Zhiping & Duan, Qihong
- 173-179 Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application
by D'Amico, Guglielmo & Guillen, Montserrat & Manca, Raimondo
- 180-187 Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework
by Corradini, M. & Gheno, A.
- 188-194 Approximate basket options valuation for a jump-diffusion model
by Xu, Guoping & Zheng, Harry
- 195-202 On barrier strategy dividends with Parisian implementation delay for classical surplus processes
by Dassios, Angelos & Wu, Shanle
- 203-208 The one-year non-life insurance risk
by Ohlsson, Esbjörn & Lauzeningks, Jan
- 209-223 Estimating copula densities, using model selection techniques
by Kallenberg, Wilbert C.M.
- 224-229 On cross-risk vulnerability
by Malevergne, Y. & Rey, B.
- 230-235 Urban public pension, replacement rates and population growth rate in China
by Yang, Zaigui
- 236-241 Neural networks approach for determining total claim amounts in insurance
by Dalkilic, Turkan Erbay & Tank, Fatih & Kula, Kamile Sanli
- 242-246 The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure
by Renaud, Jean-François
- 247-254 The net Bayes premium with dependence between the risk profiles
by Hernández-Bastida, A. & Fernández-Sánchez, M.P. & Gómez-Déniz, E.
- 255-270 On age-period-cohort parametric mortality rate projections
by Haberman, Steven & Renshaw, Arthur
- 271-277 Loss reserving using loss aversion functions
by Choo, Weihao & de Jong, Piet
- 278-285 Explaining functional principal component analysis to actuarial science with an example on vehicle insurance
by Segovia-Gonzalez, M.M. & Guerrero, F.M. & Herranz, P.
- 286-295 Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
by Costabile, Massimo & Gaudenzi, Marcellino & Massabò, Ivar & Zanette, Antonino
- 296-304 Using quantile regression for rate-making
by Kudryavtsev, Andrey A.
- 305-314 On the total operating costs up to default in a renewal risk model
by Feng, Runhuan
August 2009, Volume 45, Issue 1
- 1-8 Semiparametric model for prediction of individual claim loss reserving
by Zhao, Xiao Bing & Zhou, Xian & Wang, Jing Long
- 9-18 Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
by Gao, Jianwei
- 19-24 A Markov-modulated model for stocks paying discrete dividends
by Sakkas, E. & Le, H.
- 25-34 Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints
by Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph
- 35-40 Upper comonotonicity
by Cheung, Ka Chun
- 41-48 An optimal dividends problem with transaction costs for spectrally negative Lévy processes
by Loeffen, R.L.
- 49-58 Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
by Necir, Abdelhakim & Meraghni, Djamel
- 59-64 A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts
by Cerqueti, Roy & Foschi, Rachele & Spizzichino, Fabio
- 65-73 The valuation of contingent capital with catastrophe risks
by Lin, Shih-Kuei & Chang, Chia-Chien & Powers, Michael R.
- 74-80 Sample path large and moderate deviations for risk model with delayed claims
by Gao, Fuqing & Yan, Jun
- 81-88 Optimal investment and reinsurance of an insurer with model uncertainty
by Zhang, Xin & Siu, Tak Kuen
- 89-93 Applications of conditional comonotonicity to some optimization problems
by Cheung, Ka Chun
- 94-112 What is the impact of stock market contagion on an investor's portfolio choice?
by Branger, Nicole & Kraft, Holger & Meinerding, Christoph
- 113-122 Minimum standards for investment performance: A new perspective on non-life insurer solvency
by Eling, Martin & Gatzert, Nadine & Schmeiser, Hato
- 123-132 Stochastic portfolio specific mortality and the quantification of mortality basis risk
by Plat, Richard
- 133-138 Ruin probability in the presence of interest earnings and tax payments
by Wei, Li
- 139-147 A class of multivariate copulas with bivariate Frechet marginal copulas
by Yang, Jingping & Qi, Yongcheng & Wang, Ruodu
- 148-155 Continuous-time mean-variance portfolio selection with liability and regime switching
by Xie, Shuxiang
June 2009, Volume 44, Issue 3
- 325-336 [Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
by Sadefo Kamdem, J.
- 337-344 A jump-diffusion model for option pricing under fuzzy environments
by Xu, Weidong & Wu, Chongfeng & Xu, Weijun & Li, Hongyi
- 345-356 Univariate and bivariate GPD methods for predicting extreme wind storm losses
by Brodin, Erik & Rootzén, Holger
- 357-366 A capital allocation based on a solvency exchange option
by Kim, Joseph H.T. & Hardy, Mary R.
- 367-373 A claims persistence process and insurance
by Vallois, Pierre & Tapiero, Charles S.
- 374-384 Optimal reinsurance with general risk measures
by Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio
- 385-397 Bounds and approximations for sums of dependent log-elliptical random variables
by Valdez, Emiliano A. & Dhaene, Jan & Maj, Mateusz & Vanduffel, Steven
- 398-408 Decomposition of a Schur-constant model and its applications
by Chi, Yichun & Yang, Jingping & Qi, Yongcheng
- 409-414 Optimal allocation of policy limits and deductibles under distortion risk measures
by Zhuang, Weiwei & Chen, Zijin & Hu, Taizhong
- 415-425 Global loss diversification in the insurance sector
by Sheremet, Oleg & Lucas, André
- 426-433 Optimal risk sharing with different reference probabilities
by Acciaio, Beatrice & Svindland, Gregor
- 434-446 Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
by Gerstner, Thomas & Griebel, Michael & Holtz, Markus
- 447-458 Minimizing the lifetime shortfall or shortfall at death
by Bayraktar, Erhan & Young, Virginia R.
- 459-463 Long time behaviour of stochastic interest rate models
by Zhao, Juan
- 464-472 Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
by Ambagaspitiya, Rohana S.
- 473-478 Optimal proportional reinsurance and investment with transaction costs, I: Maximizing the terminal wealth
by Zhang, Xin-Li & Zhang, Ke-Cun & Yu, Xing-Jiang
- 479-490 Optimal portfolios for DC pension plans under a CEV model
by Gao, Jianwei
- 491-496 Survival probability for a two-dimensional risk model
by Dang, Lanfen & Zhu, Ning & Zhang, Haiming
- 497-504 Computing the mean and the variance of the cedent's share for largest claims reinsurance covers
by Hess, Christian
- 505-510 Adverse selection or advantageous selection? Risk and underwriting in China's health-insurance market
by Gao, Feng & Powers, Michael R. & Wang, Jun
April 2009, Volume 44, Issue 2
- 143-145 Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance
by Genest, Christian & Gerber, Hans U. & Goovaerts, Marc J. & Laeven, Roger J.A.
- 146-158 Worst VaR scenarios with given marginals and measures of association
by Kaas, Rob & Laeven, Roger J.A. & Nelsen, Roger B.
- 159-163 Worst VaR scenarios: A remark
by Laeven, Roger J.A.
- 164-169 Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness
by Embrechts, Paul & Neslehová, Johanna & Wüthrich, Mario V.
- 170-181 Estimating copula densities through wavelets
by Genest, Christian & Masiello, Esterina & Tribouley, Karine
- 182-198 Pair-copula constructions of multiple dependence
by Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik
- 199-213 Goodness-of-fit tests for copulas: A review and a power study
by Genest, Christian & Rémillard, Bruno & Beaudoin, David
- 214-228 Multivariate probit models for conditional claim-types
by Young, Gary & Valdez, Emiliano A. & Kohn, Robert
- 229-244 Modelling dynamic portfolio risk using risk drivers of elliptical processes
by Schmidt, Rafael & Schmieder, Christian
- 245-259 On the discrete-time compound renewal risk model with dependence
by Marceau, Etienne
- 261-263 Editorial
by Kaas, Rob & Loos, Jeroen & Gerber, Hans & Goovaerts, Marc & Shiu, Elias
- 267-267 Editorial
by Goovaerts, Marc & Kaas, Rob & Shiu, Elias
- 268-277 To split or not to split: Capital allocation with convex risk measures
by Tsanakas, Andreas
- 278-286 Further improved recursions for a class of compound Poisson distributions
by Chadjiconstantinidis, Stathis & Pitselis, Georgios
- 287-295 Pricing perpetual American catastrophe put options: A penalty function approach
by Lin, X. Sheldon & Wang, Tao
- 296-303 The Markovian regime-switching risk model with a threshold dividend strategy
by Lu, Yi & Li, Shuanming
- 304-306 The tax identity in risk theory -- a simple proof and an extension
by Albrecher, Hansjörg & Borst, Sem & Boxma, Onno & Resing, Jacques
- 307-314 Fuzzy random variables
by Shapiro, Arnold F.
- 315-324 On a dual model with a dividend threshold
by Ng, Andrew C.Y.
February 2009, Volume 44, Issue 1
- 1-18 Optimal surrender strategies for equity-indexed annuity investors
by Moore, Kristen S.
- 19-25 The credibility premiums for models with dependence induced by common effects
by Wen, Limin & Wu, Xianyi & Zhou, Xian
- 26-34 Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
by Azcue, Pablo & Muler, Nora
- 35-47 Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
by Laurence, Peter & Wang, Tai-Ho
- 48-58 Securitization of motor insurance loss rate risks
by Bae, Taehan & Kim, Changki & Kulperger, Reginald J.
- 59-69 Analytical valuation of catastrophe equity options with negative exponential jumps
by Chang, Lung-fu & Hung, Mao-wei
- 70-77 A new aspect of a risk process and its statistical inference
by Shimizu, Yasutaka
- 78-87 Valuation and hedging of participating life-insurance policies under management discretion
by Kleinow, Torsten
- 88-94 Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
by He, Lin & Liang, Zongxia
- 95-102 Closed-form valuations of basket options using a multivariate normal inverse Gaussian model
by Wu, Yang-Che & Liao, Szu-Lang & Shyu, So-De
- 103-123 A parameterized approach to modeling and forecasting mortality
by Hatzopoulos, P. & Haberman, S.
- 124-134 Analytical approximations for prices of swap rate dependent embedded options in insurance products
by Plat, Richard & Pelsser, Antoon
- 135-141 A priori ratemaking using bivariate Poisson regression models
by Bermúdez i Morata, Lluís
December 2008, Volume 43, Issue 3
- 279-279 Preface
by Tan, Ken Seng & Willmot, Gordon
- 281-294 Dynamic asset liability management with tolerance for limited shortfalls
by Detemple, Jérôme & Rindisbacher, Marcel
- 295-302 Pricing currency options under two-factor Markov-modulated stochastic volatility models
by Siu, Tak Kuen & Yang, Hailiang & Lau, John W.
- 303-315 The design of equity-indexed annuities
by Boyle, Phelim & Tian, Weidong
- 316-326 Simulation of jump diffusions and the pricing of options
by DiCesare, Joe & Mcleish, Don
- 327-338 Computation of optimal portfolios using simulation-based dimension reduction
by Boyle, Phelim & Imai, Junichi & Tan, Ken Seng
- 339-349 Estimation and evaluation of the term structure of credit default swaps: An empirical study
by Chen, Ren-Raw & Cheng, Xiaolin & Liu, Bo
- 350-367 A model of R&D valuation and the design of research incentives
by Hsu, Jason C. & Schwartz, Eduardo S.
- 368-376 Claims reserving: A correlated Bayesian model
by de Alba, Enrique & Nieto-Barajas, Luis E.
- 377-385 Government-provided annuities under insolvency risk
by Huang, Rachel J. & Tsai, Jeffrey T. & Tzeng, Larry Y.
- 386-393 Skewed bivariate models and nonparametric estimation for the CTE risk measure
by Bolance, Catalina & Guillen, Montserrat & Pelican, Elena & Vernic, Raluca
- 394-402 Applications of a multi-state risk factor/mortality model in life insurance
by Kwon, Hyuk-Sung & Jones, Bruce L.
- 403-406 Characterization of comonotonicity using convex order
by Cheung, Ka Chun
- 407-411 Dependence and the asymptotic behavior of large claims reinsurance
by Asimit, Alexandru V. & Jones, Bruce L.
- 412-421 Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
by Biard, Romain & Lefèvre, Claude & Loisel, Stéphane
- 422-430 Pricing catastrophe options in discrete operational time
by Chang, Carolyn W. & Chang, Jack S.K. & Lu, WeiLi
- 431-436 Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
by Jiang, Jun & Tang, Qihe
- 437-443 Determination of risk pricing measures from market prices of risk
by Gzyl, Henryk & Mayoral, Silvia
- 444-455 On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
by Cossette, Hélène & Marceau, Etienne & Marri, Fouad
- 456-465 Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model
by Chen, Ping & Yang, Hailiang & Yin, George
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