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March 2020, Volume 2020, Issue 3
- 218-244 Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
by Zhongyang Sun & Xin Zhang & Kam Chuen Yuen - 245-271 Budget-constrained optimal retention with an upper limit on the retained loss
by Mario Ghossoub
February 2020, Volume 2020, Issue 2
- 84-109 Optimal asset allocation for participating contracts under the VaR and PI constraint
by Yinghui Dong & Sang Wu & Wenxin Lv & Guojing Wang - 110-127 A Hermite-spline model of post-retirement mortality
by Stephen J. Richards - 128-151 Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates
by Yuying Liu & Zhaoyang Liu & Guoxin Liu - 152-171 Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
by Brian Hartman & Chris Groendyke & David Engler
January 2020, Volume 2020, Issue 1
- 1-29 Neural network embedding of the over-dispersed Poisson reserving model
by Andrea Gabrielli & Ronald Richman & Mario V. Wüthrich - 30-43 Regulatory measures for distressed insurance undertakings: a comparative study
by An Chen & Peter Hieber & Lars Lämmlein - 44-83 Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
by David Baños & Erik Bølviken & Sindre Duedahl & Frank Proske
November 2019, Volume 2019, Issue 10
- 824-836 Concordance-based predictive measures in regression models for discrete responses
by Michel Denuit & Mhamed Mesfioui & Julien Trufin - 837-866 On additivity of tail comonotonic risks
by Ka Chun Cheung & Hok Kan Ling & Qihe Tang & Sheung Chi Phillip Yam & Fei Lung Yuen - 867-902 Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure
by K. Fergusson - 903-923 Reinsurance premium principles based on weighted loss functions
by Jun Cai & Ying Wang
October 2019, Volume 2019, Issue 9
- 729-751 Budget-constrained optimal reinsurance design under coherent risk measures
by Ka Chun Cheung & Wing Fung Chong & Ambrose Lo - 752-767 Optimal proportional reinsurance with a loss-dependent premium principle
by Duni Hu & Hailong Wang - 768-783 Representation of concave distortions and applications
by Gero Junike - 784-798 Reinsurance contract design with adverse selection
by K. C. Cheung & S. C. P. Yam & F. L. Yuen - 799-823 A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time
by Florin Avram & Dan Goreac
September 2019, Volume 2019, Issue 8
- 637-641 Ragnar Norberg (1945–2017): an actuary of a unique kind
by Mogens Steffensen - 642-660 Extending composite loss models using a general framework of advanced computational tools
by Bettina Grün & Tatjana Miljkovic - 661-685 The maximum entropy mortality model: forecasting mortality using statistical moments
by Marius D. Pascariu & Adam Lenart & Vladimir Canudas-Romo - 686-710 Multivariate Cox Hidden Markov models with an application to operational risk
by Tsz Chai Fung & Andrei L. Badescu & X. Sheldon Lin - 711-728 A unified approach to ruin probabilities with delays for spectrally negative Lévy processes
by Mohamed Amine Lkabous & Jean-François Renaud
August 2019, Volume 2019, Issue 7
- 548-557 Gibbs posterior inference on value-at-risk
by Nicholas Syring & Liang Hong & Ryan Martin - 558-584 A general class of distortion operators for pricing contingent claims with applications to CAT bonds
by Frédéric Godin & Van Son Lai & Denis-Alexandre Trottier - 585-603 Intrinsic objective Bayesian estimation of the mean of the Tweedie family
by Limor Langbord & Zinoviy Landsman & Udi E. Makov - 604-620 An introduction to gevistic regression mortality models
by Anthony Medford & James W. Vaupel - 621-635 One-year estimation uncertainty in some claim development models
by Walther Neuhaus
July 2019, Volume 2019, Issue 6
- 453-477 A criterion for the comparison of binary classifiers based on a stochastic dominance with an application to the sale of home insurances
by María Concepción López-Díaz & Miguel López-Díaz & Sergio Martínez-Fernández - 478-507 Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
by Peter Hieber & Jan Natolski & Ralf Werner - 508-522 Spatial statistical modelling of insurance risk: a spatial epidemiological approach to car insurance
by Oskar Tufvesson & Johan Lindström & Erik Lindström - 523-547 Survival analysis of pension scheme mortality when data are missing
by Francesco Ungolo & Marcus C. Christiansen & Torsten Kleinow & Angus S. MacDonald
May 2019, Volume 2019, Issue 5
- 355-386 Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times
by Eric C.K. Cheung & Runhuan Feng - 387-405 Multivariate lifetime distributions for the exponential dispersion family
by Daniel H. Alai - 406-431 A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates
by Cary Chi-Liang Tsai & Ying Zhang - 432-451 Interplay of insurance and financial risks in a stochastic environment
by Qihe Tang & Yang Yang
April 2019, Volume 2019, Issue 4
- 273-290 Comparisons of aggregate claim numbers and amounts: a study of heterogeneity
by Yiying Zhang & Peng Zhao & Ka Chun Cheung - 291-307 Computing the Gerber–Shiu function by frame duality projection
by Wenyuan Wang & Zhimin Zhang - 308-335 Approximation methods for piecewise deterministic Markov processes and their costs
by Peter Kritzer & Gunther Leobacher & Michaela Szölgyenyi & Stefan Thonhauser - 336-354 The expected discounted penalty function: from infinite time to finite time
by Shuanming Li & Yi Lu & Kristina P. Sendova
March 2019, Volume 2019, Issue 3
- 188-203 The impact of geographical factors on churn prediction: an application to an insurance company in Madrid's urban area
by Miguel Ángel de la Llave & Fernando A. López & Ana Angulo - 204-227 Life insurance decisions under recursive utility
by Ninna Reitzel Jensen - 228-246 Compound trend renewal process with discounted claims: a unified approach
by Ghislain Léveillé & Emmanuel Hamel - 247-272 Modeling cause-of-death mortality using hierarchical Archimedean copula
by Hong Li & Yang Lu
February 2019, Volume 2019, Issue 2
- 97-112 A logistic two-population mortality projection model for modelling mortality at advanced ages for both sexes
by Jackie Li & Jia Liu - 113-128 Insurance loss coverage and social welfare
by MingJie Hao & Angus S. Macdonald & Pradip Tapadar & R. Guy Thomas - 129-142 Focussed selection of the claim severity distribution
by Yinzhi Wang & Ingrid Hobæk Haff - 143-162 Claims frequency modeling using telematics car driving data
by Guangyuan Gao & Shengwang Meng & Mario V. Wüthrich - 163-187 Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
by Karim Barigou & Jan Dhaene
January 2019, Volume 2019, Issue 1
- 1-31 Periodic threshold-type dividend strategy in the compound Poisson risk model
by Eric C. K. Cheung & Zhimin Zhang - 32-61 Parisian types of ruin probabilities for a class of dependent risk-reserve processes
by Mogens Bladt & Bo Friis Nielsen & Oscar Peralta - 62-79 A constraint-free approach to optimal reinsurance
by Hans U. Gerber & Elias S.W. Shiu & Hailiang Yang - 80-96 A two-dimensional dividend problem for collaborating companies and an optimal stopping problem
by Peter Grandits
November 2018, Volume 2018, Issue 10
- 863-889 Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
by Xia Han & Zhibin Liang & Kam Chuen Yuen - 890-906 A dynamic bivariate common shock model with cumulative effect and its actuarial application
by Hyunju Lee & Ji Hwan Cha - 907-932 Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model
by Michele Antonello & Luca Cipani & Wolfgang J. Runggaldier - 933-952 Optimal investment and risk control for an insurer with partial information in an anticipating environment
by Xingchun Peng & Fenge Chen & Wenyuan Wang
October 2018, Volume 2018, Issue 9
- 753-769 An application of two-stage quantile regression to insurance ratemaking
by Antonio Heras & Ignacio Moreno & José L. Vilar-Zanón - 770-791 Credibility pseudo-estimators
by Stig Rosenlund - 792-822 Convex risk measures for the aggregation of multiple information sources and applications in insurance
by G. I. Papayiannis & A. N. Yannacopoulos - 823-844 Valuation of an early exercise defined benefit underpin hybrid pension
by Xiaobai Zhu & Mary Hardy & David Saunders - 845-862 Semiparametric estimation in the optimal dividend barrier for the classical risk model
by Hiroshi Shiraishi & Zudi Lu
September 2018, Volume 2018, Issue 8
- 661-680 Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure
by Xing Wang & Qing Liu & Yanxi Hou & Liang Peng - 681-705 A data driven binning strategy for the construction of insurance tariff classes
by Roel Henckaerts & Katrien Antonio & Maxime Clijsters & Roel Verbelen - 706-726 A proposition of generalized stochastic Milevsky–Promislov mortality models
by Piotr S̀liwka & Lesław Socha - 727-752 Moments of renewal shot-noise processes and their applications
by Jiwook Jang & Angelos Dassios & Hongbiao Zhao
August 2018, Volume 2018, Issue 7
- 555-575 Ruin probabilities in classical risk models with gamma claims
by Corina Constantinescu & Gennady Samorodnitsky & Wei Zhu - 576-604 Lifetime dependence models generated by multiply monotone functions
by Daniel H. Alai & Zinoviy Landsman - 605-628 A Bayesian non-parametric model for small population mortality
by Hong Li & Yang Lu - 629-659 Multivariate geometric expectiles
by Klaus Herrmann & Marius Hofert & Mélina Mailhot
July 2018, Volume 2018, Issue 6
- 465-480 Machine learning in individual claims reserving
by Mario V. Wüthrich - 481-504 Mathematical foundation of the replicating portfolio approach
by Jan Natolski & Ralf Werner - 505-513 Ruin under stochastic dependence between premium and claim arrivals
by Matija Vidmar - 514-528 Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
by Long Bai - 529-544 Separation of small and large claims on the basis of collective models
by Tobias Gütschow & Klaus Th. Hess & Klaus D. Schmidt - 545-554 Dirichlet process mixture models for insurance loss data
by Liang Hong & Ryan Martin
May 2018, Volume 2018, Issue 5
- 357-378 Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model
by Hiroaki Hata & Kazuhiro Yasuda - 379-403 Some mathematical aspects of price optimisation
by Enkelejd Hashorva & Gildas Ratovomirija & Maissa Tamraz & Yizhou Bai - 404-411 A note on Mossin’s theorem for deductible insurance given random initial wealth
by Liang Hong - 412-425 Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations
by Xiang Hu & Lianzeng Zhang & Weiwei Sun - 426-449 A new efficient method for estimating the Gerber–Shiu function in the classical risk model
by Zhimin Zhang & Wen Su - 450-463 Precise local large deviations for heavy-tailed random sums with applications to risk models
by Qiuying Zhang & Fengyang Cheng
April 2018, Volume 2018, Issue 4
- 275-293 A note on optimal expected utility of dividend payments with proportional reinsurance
by Xiaoqing Liang & Zbigniew Palmowski - 294-327 Lifetime asset allocation with idiosyncratic and systematic mortality risks
by Yang Shen & Michael Sherris - 328-355 Conditional risk measures in a bipartite market structure
by Oliver Kley & Claudia Klüppelberg & Gesine Reinert
March 2018, Volume 2018, Issue 3
- 173-190 Pricing pension buy-outs under stochastic interest and mortality rates
by Ayşe Arık & Yeliz Yolcu-Okur & Şule Şahin & Ömür Uğur - 191-202 Randomly weighted sums of dependent subexponential random variables with applications to risk theory
by Fengyang Cheng & Dongya Cheng - 203-224 Interest rate model comparisons for participating products under Solvency II
by Kjersti Aas & Linda R. Neef & Lloyd Williams & Dag Raabe - 225-249 Optimal retirement time under habit persistence: what makes individuals retire early?
by An Chen & Felix Hentschel & Xian Xu - 250-273 The real risk in pension forecasting
by Søren Kærgaard Slipsager
February 2018, Volume 2018, Issue 2
- 85-108 Automatic balancing mechanisms for notional defined contribution accounts in the presence of uncertainty
by Jennifer Alonso-García & María del Carmen Boado-Penas & Pierre Devolder - 109-128 Third cumulant for multivariate aggregate claim models
by Nicola Loperfido & Stepan Mazur & Krzysztof Podgórski - 129-144 Confidence intervals of the premiums of optimal bonus malus systems
by Dimitris Karlis & George Tzougas & Nicholas Frangos - 145-171 Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
by Danping Li & Yan Zeng & Hailiang Yang
January 2018, Volume 2018, Issue 1
- 1-22 Robust reinsurance contracts in continuous time
by Duni Hu & Shou Chen & Hailong Wang - 23-41 Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios
by Narayanaswamy Balakrishnan & Yiying Zhang & Peng Zhao - 42-63 Odd Pareto families of distributions for modeling loss payment data
by Nonhle Channon Mdziniso & Kahadawala Cooray - 64-75 Sharp bounds on change in expected values and variances for single risk analysis in the flood catastrophe model
by Patryk Miziuła & Radek Solnický - 76-83 Linking dividends and capital injections – a probabilistic approach
by Hansjörg Albrecher & Jevgenijs Ivanovs
November 2017, Volume 2017, Issue 10
- 829-853 Converting retirement benefit into a life care annuity with graded benefits
by Javier Pla-Porcel & Manuel Ventura-Marco & Carlos Vidal-Meliá - 854-869 Discrete time ruin probability with Parisian delay
by Irmina Czarna & Zbigniew Palmowski & Przemysław Świa̧tek - 870-897 Robust bootstrap procedures for the chain-ladder method
by Kris Peremans & Pieter Segaert & Stefan Van Aelst & Tim Verdonck - 898-919 Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
by Zhimin Zhang
October 2017, Volume 2017, Issue 9
- 751-760 On capital injections and dividends with tax in a diffusion approximation
by Hanspeter Schmidli - 761-784 On dividends in the phase–type dual risk model
by Agnieszka I. Bergel & Eugenio V. Rodríguez-Martínez & Alfredo D. Egídio dos Reis - 785-803 A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics
by Harrie Hendriks & Zinoviy Landsman - 804-828 Parameter risk in time-series mortality forecasts
by Torsten Kleinow & Stephen J. Richards
September 2017, Volume 2017, Issue 8
- 651-669 Financial fairness and conditional indexation
by Torsten Kleinow & Johannes M. Schumacher - 670-707 A class of nonzero-sum investment and reinsurance games subject to systematic risks
by Chi Chung Siu & Sheung Chi Phillip Yam & Hailiang Yang & Hui Zhao - 708-729 On the relationship between classical chain ladder and granular reserving
by M. Hiabu - 730-750 On some new dependence models derived from multivariate collective models in insurance applications
by Enkelejd Hashorva & Gildas Ratovomirija & Maissa Tamraz
August 2017, Volume 2017, Issue 7
- 559-583 Pricing participating policies under the Meixner process and stochastic volatility
by Brett Shanahan & Farzad Alavi Fard & John van der Hoek - 584-605 A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
by Ambrose Lo - 606-627 A stochastic comparison of customer classifiers with an application to customer attrition in commercial banking
by M. C. López-Díaz & M. López-Díaz & S. Martínez-Fernández - 628-650 Analysis of IBNR claims in renewal insurance models
by David Landriault & Gordon E. Willmot & Di Xu
July 2017, Volume 2017, Issue 6
- 471-494 Long guarantees with short duration: the rolling annuity
by Søren Fiig Jarner & Michael Preisel - 495-518 Assessing implicit hypotheses in life table construction
by Josep Lledó & Jose M. Pavía & Francisco G. Morillas - 519-534 Berry-Esseen bounds for compound-Poisson loss percentiles
by Frank Y. Feng & Michael R. Powers & Rui’an Xiao & Lin Zhao - 535-554 Optimal insurance in the presence of reinsurance
by Sheng Chao Zhuang & Tim J. Boonen & Ken Seng Tan & Zuo Quan Xu - 555-557 Jan M. Hoem, 1939–2017
by Ragnar Norberg
May 2017, Volume 2017, Issue 5
- 377-394 Kolmogorov’s forward PIDE and forward transition rates in life insurance
by Kristian Buchardt - 395-418 CDF formulation for solving an optimal reinsurance problem
by Chengguo Weng & Sheng Chao Zhuang - 419-440 Incorporating the Bühlmann credibility into mortality models to improve forecasting performances
by Cary Chi-Liang Tsai & Tzuling Lin - 441-451 On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims
by Anişoara Maria Răducan & Raluca Vernic & Gheorghiţă Zbăganu - 452-469 Nonparametric estimation of the finite time ruin probability in the classical risk model
by Zhimin Zhang
April 2017, Volume 2017, Issue 4
- 287-318 Iterated VaR or CTE measures: A false good idea?
by Pierre Devolder & Adrien Lebègue - 319-342 Multi-population mortality models: fitting, forecasting and comparisons
by Vasil Enchev & Torsten Kleinow & Andrew J. G. Cairns - 343-365 Basis risk in static versus dynamic longevity-risk hedging
by Clemente De Rosa & Elisa Luciano & Luca Regis - 366-375 Optimal proportional reinsurance from the point of view of cedent and reinsurer
by Nicolino Ettore D’Ortona & Gabriella Marcarelli
March 2017, Volume 2017, Issue 3
- 209-230 Valuing variable annuity guarantees on multiple assets
by José Da Fonseca & Jonathan Ziveyi - 231-244 A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
by M. Costabile - 245-266 Reduction of Value-at-Risk bounds via independence and variance information
by Giovanni Puccetti & Ludger Rüschendorf & Daniel Small & Steven Vanduffel - 267-285 Drawdown analysis for the renewal insurance risk process
by David Landriault & Bin Li & Shu Li
February 2017, Volume 2017, Issue 2
- 105-124 Ordering properties of the smallest and largest claim amounts in a general scale model
by Ghobad Barmalzan & Amir T. Payandeh Najafabadi & Narayanaswamy Balakrishnan - 125-147 Forecasting disability: application of a frailty model
by Joelle H. Fong & Michael Sherris & James Yap - 148-158 A posteriori ratemaking using bivariate Poisson models
by Lluís Bermúdez & Dimitris Karlis - 159-174 Ruin probabilities in multivariate risk models with periodic common shock
by Ionica Cojocaru - 175-208 Product pricing and solvency capital requirements for long-term care insurance
by Adam W. Shao & Michael Sherris & Joelle H. Fong
January 2017, Volume 2017, Issue 1
- 1-28 Characterizations of optimal reinsurance treaties: a cost-benefit approach
by Ka Chun Cheung & Ambrose Lo - 29-50 Integral and differential equations for the moments of multistate models in health insurance
by Franck Adékambi & Marcus C. Christiansen - 51-87 Lévy insurance risk process with Poissonian taxation
by Zhimin Zhang & Eric C.K. Cheung & Hailiang Yang - 88-104 Tail mutual exclusivity and Tail-VaR lower bounds
by Ka Chun Cheung & Michel Denuit & Jan Dhaene
November 2016, Volume 2016, Issue 10
- 859-875 Signs of dependence and heavy tails in non-life insurance data
by Jonas Alm - 876-904 Reserves and cash flows under stochastic retirement
by Kamille Sofie TÅgholt Gad & Jeppe Woetmann Nielsen - 905-931 Barrier present value maximization for a diffusion model of insurance surplus
by Shangzhen Luo & Mingming Wang - 932-951 On a risk measure inspired from the ruin probability and the expected deficit at ruin
by Ilie-Radu Mitric & Julien Trufin
October 2016, Volume 2016, Issue 9
- 763-792 Dynamics of solvency risk in life insurance liabilities
by M.C. Christiansen & M.A. Fahrenwaldt - 793-816 Optimal life insurance with no-borrowing constraints: duality approach and example
by Xudong Zeng & James M. Carson & Qihong Chen & Yuling Wang - 817-836 Modeling claims data with composite Stoppa models
by Enrique Calderín-Ojeda & Chun Fung Kwok - 837-857 An analysis of a three-factor model proposed by the Danish Society of Actuaries for forecasting and risk analysis
by Peter Løchte Jørgensen & Søren Kærgaard Slipsager
September 2016, Volume 2016, Issue 8
- 673-691 How an aggressively expanding insurance company becomes insolvent
by Vsevolod K. Malinovskii - 692-712 Multivariate Tweedie lifetimes: the impact of dependence
by Daniel H. Alai & Zinoviy Landsman & Michael Sherris - 713-740 General convex order on risk aggregation
by Edgars Jakobsons & Xiaoying Han & Ruodu Wang - 741-762 Optimal reinsurance: minimize the expected time to reach a goal
by Shangzhen Luo & Mingming Wang & Xudong Zeng
August 2016, Volume 2016, Issue 7
- 581-603 The impact of multiple structural changes on mortality predictions
by Frank van Berkum & Katrien Antonio & Michel Vellekoop - 604-623 Bifurcation of attritional and large losses in an additive IBNR environment
by Ulrich Riegel - 624-645 Optimal reinsurance with expectile
by Jun Cai & Chengguo Weng - 646-671 Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
by Xiang Lin & Yiping Qian
July 2016, Volume 2016, Issue 6
- 489-501 Frailty modelling of time-to-lapse of single policies for customers holding multiple car contracts
by Marion Haugen & Tron Anders Moger - 502-529 Stress scenario generation for solvency and risk management
by Marcus Christian Christiansen & Lars Frederik Brandt Henriksen & Kristian Juul Schomacker & Mogens Steffensen - 530-549 Cramér–Von Mises distance estimation for some positive infinitely divisible parametric families with actuarial applications
by Andrew Luong - 550-564 The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
by Wing Yan Lee & Gordon E. Willmot - 565-579 Asymptotics for a discrete-time risk model with Gamma-like insurance risks
by Yang Yang & Kam C. Yuen
May 2016, Volume 2016, Issue 5
- 385-397 The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula
by Wuyuan Jiang & Zhaojun Yang - 398-419 Dynamic preferences for popular investment strategies in pension funds
by Carole Bernard & Minsuk Kwak - 420-445 On the time and the number of claims when the surplus drops below a certain level
by Shuanming Li & Yi Lu - 446-465 The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
by Anna Rita Bacinello & Pietro Millossovich & Alvaro Montealegre - 466-487 Equity-linked annuities with multiscale hybrid stochastic and local volatility
by Sun-Yong Choi & Jeong-Hoon Kim
April 2016, Volume 2016, Issue 4
- 279-292 Uncertainty on survival probabilities and solvency capital requirement: application to long-term care insurance
by Frédéric Planchet & Julien Tomas - 293-318 On the valuation of reverse mortgage insurance
by Chou-Wen Wang & Hong-Chih Huang & Yung-Tsung Lee - 319-337 Parisian ruin probability with a lower ultimate bankrupt barrier
by Irmina Czarna - 338-355 Bayesian and Bühlmann credibility for phase-type distributions with a univariate risk parameter
by Amin Hassan Zadeh & David A. Stanford - 356-383 On fitting generalized linear and non-linear models of mortality
by Iain D. Currie
March 2016, Volume 2016, Issue 3
- 181-197 Optimal insurance and reinsurance policies chosen jointly in the individual risk model
by A.Y. Golubin - 198-215 Insurance ratemaking using a copula-based multivariate Tweedie model
by Peng Shi - 216-245 Moment-based density approximations for aggregate losses
by Tao Jin & Serge B. Provost & Jiandong Ren - 246-261 A bivariate model for evaluating equity-linked policies with surrender option
by Paolo De Angelis & Antonio Luciano Martire & Emilio Russo - 262-278 Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions
by Lazhar Benkhelifa
February 2016, Volume 2016, Issue 2
- 93-112 Cohort extensions of the Poisson common factor model for modelling both genders jointly
by Bowen Yang & Jackie Li & Uditha Balasooriya - 113-145 Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing
by Matias Leppisaari - 146-166 Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models
by Pauline M. Barrieu & Luitgard A.M. Veraart - 167-180 Unallocated loss adjustment expense reserving
by Esbjörn Ohlsson
January 2016, Volume 2016, Issue 1
- 1-17 Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
by Haizhong Yang & Wei Gao & Jinzhu Li - 18-36 Optimal dynamic reinsurance with dependent risks: variance premium principle
by Zhibin Liang & Kam Chuen Yuen - 37-62 Optimal investment-consumption-insurance with random parameters
by Yang Shen & Jiaqin Wei - 63-91 On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
by Eric C.K. Cheung & Jae-Kyung Woo
November 2015, Volume 2015, Issue 8
- () Editorial Board
by The Editors - 641-659 Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
by Yang Yang & Dimitrios G. Konstantinides - 660-688 Cash flows and policyholder behaviour in the semi-Markov life insurance setup
by Kristian Buchardt & Thomas Møller & Kristian Bjerre Schmidt - 689-724 Mortality regimes and longevity risk in a life annuity portfolio
by Killian Lemoine - 725-751 Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
by Bo Yi & Frederi Viens & Zhongfei Li & Yan Zeng
October 2015, Volume 2015, Issue 7
- 549-572 A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications
by Armelle Guillou & Philippe Naveau & Alexandre You - 573-591 Calculation of ruin probabilities for a dense class of heavy tailed distributions
by Mogens Bladt & Bo Friis Nielsen & Gennady Samorodnitsky - 592-615 Dividend optimization for general diffusions with restricted dividend payment rates
by Jinxia Zhu - 616-639 On risk charges and shadow account options in pension funds
by Peter Løchte Jørgensen & Nadine Gatzert
August 2015, Volume 2015, Issue 6
- 469-481 Gaussian risk models with financial constraints
by Krzysztof Dȩbicki & Enkelejd Hashorva & Lanpeng Ji - 482-499 A model study about the applicability of the Chain Ladder method
by Magda Schiegl - 500-515 Bayesian estimators of the lognormal–Pareto composite distribution
by Kahadawala Cooray & Chin-I Cheng