Insurance: Mathematics and Economics

Download restrictions: Full text for ScienceDirect subscribers only
Editor:
Editor: H. U. Gerber
Editor: M. J. Goovaerts
Editor: E. S. W. Shiu
For technical questions regarding this series, please contact (Heidi Boesdal)
Series handle: repec:eee:insuma

2008, Volume 43, Issue 1

• 1-14 The impact of illiquidity on the asset management of insurance companies
  by Berry-Stölzle, Thomas R. [Downloadable! (restricted)]
• 15-28 Optimal investment and life insurance strategies under minimum and maximum constraints
  by Nielsen, Peter Holm & Steffensen, Mogens [Downloadable! (restricted)]
• 29-40 Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
  by Zaglauer, Katharina & Bauer, Daniel [Downloadable! (restricted)]
• 41-55 Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
  by Barbarin, Jérôme [Downloadable! (restricted)]
• 56-68 Optimal consumption and portfolio choice for pooled annuity funds
  by Stamos, Michael Z. [Downloadable! (restricted)]
• 69-84 GARCH option pricing: A semiparametric approach
  by Badescu, Alexandru M. & Kulperger, Reg J. [Downloadable! (restricted)]
• 85-92 Tails of random sums of a heavy-tailed number of light-tailed terms
  by Robert, Christian Y. & Segers, Johan [Downloadable! (restricted)]
• 93-98 Worst allocations of policy limits and deductibles
  by Hua, Lei & Cheung, Ka Chun [Downloadable! (restricted)]
• 99-107 On option pricing under a completely random measure via a generalized Esscher transform
  by Lau, John W. & Siu, Tak Kuen [Downloadable! (restricted)]
• 108-115 Threshold control of mutual insurance with limited commitment
  by Yan, Jia & Liu, John J. & Li, Kevin X. [Downloadable! (restricted)]
• 116-120 A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
  by Hao, Xuemiao & Tang, Qihe [Downloadable! (restricted)]
• 121-133 Fitting mixed-effects models when data are left truncated
  by Paulsen, Jostein & Lunde, Astrid & Skaug, Hans Julius [Downloadable! (restricted)]
• 134-149 Optimal dividend strategies for a risk process under force of interest
  by Albrecher, Hansjörg & Thonhauser, Stefan [Downloadable! (restricted)]
• 150-157 Enhanced annuities and the impact of individual underwriting on an insurer's profit situation
  by Hoermann, Gudrun & Ruß, Jochen [Downloadable! (restricted)]
• 158-164 Tail asymptotic results for elliptical distributions
  by Hashorva, Enkelejd [Downloadable! (restricted)]
• 165-173 The effect of modelling parameters on the value of GMWB guarantees
  by Chen, Z. & Vetzal, K. & Forsyth, P.A. [Downloadable! (restricted)]
• 174-184 Quadratic stochastic intensity and prospective mortality tables
  by Gourieroux, C. & Monfort, A. [Downloadable! (restricted)]
• 185-196 Optimal reinsurance under VaR and CTE risk measures
  by Cai, Jun & Tan, Ken Seng & Weng, Chengguo & Zhang, Yi [Downloadable! (restricted)]

• 865-872 Stochastic orders of scalar products with applications
  by Hua, Lei & Cheung, Ka Chun [Downloadable! (restricted)]
• 873-886 A binomial model for valuing equity-linked policies embedding surrender options
  by Costabile, Massimo & Massabó, Ivar & Russo, Emilio [Downloadable! (restricted)]
• 887-896 An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
  by Kijima, Masaaki & Muromachi, Yukio [Downloadable! (restricted)]
• 897-902 A note on the Swiss Solvency Test risk measure
  by Filipovic, Damir & Vogelpoth, Nicolas [Downloadable! (restricted)]
• 903-908 Using distortions of copulas to price synthetic CDOs
  by Crane, Glenis & van der Hoek, John [Downloadable! (restricted)]
• 909-919 Valuation of life insurance surrender and exchange options
  by Nordahl, Helge A. [Downloadable! (restricted)]
• 920-934 Valuation of the interest rate guarantee embedded in defined contribution pension plans
  by Yang, Sharon S. & Yueh, Meng-Lan & Tang, Chun-Hua [Downloadable! (restricted)]
• 935-942 On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities
  by Coulibaly, Ibrahim & Lefèvre, Claude [Downloadable! (restricted)]
• 943-953 Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach
  by Xie, Shuxiang & Li, Zhongfei & Wang, Shouyang [Downloadable! (restricted)]
• 954-961 Optimal dividend and issuance of equity policies in the presence of proportional costs
  by Løkka, Arne & Zervos, Mihail [Downloadable! (restricted)]
• 962-967 The periodic risk model with investment
  by Kötter, Mirko & Bäuerle, Nicole [Downloadable! (restricted)]
• 968-975 Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
  by Bai, Lihua & Guo, Junyi [Downloadable! (restricted)]
• 976-983 Optimal financing and dividend control of the insurance company with proportional reinsurance policy
  by He, Lin & Liang, Zongxia [Downloadable! (restricted)]
• 984-991 Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
  by Yang, Hu & Zhang, Zhimin [Downloadable! (restricted)]
• 992-999 Optimal insurance under the insurer's risk constraint
  by Zhou, Chunyang & Wu, Chongfeng [Downloadable! (restricted)]
• 1000-1012 Pension funds as institutions for intertemporal risk transfer
  by Baumann, Roger T. & Müller, Heinz H. [Downloadable! (restricted)]
• 1013-1021 Assessing the cost of capital for longevity risk
  by Olivieri, Annamaria & Pitacco, Ermanno [Downloadable! (restricted)]
• 1022-1027 Tolerance intervals for quantiles of bivariate risks and risk measurement
  by Gebizlioglu, Omer L. & Yagci, Banu [Downloadable! (restricted)]
• 1028-1034 Characterizations of classes of risk measures by dispersive orders
  by Sordo, Miguel A. [Downloadable! (restricted)]
• 1035-1049 Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies
  by Chen, An [Downloadable! (restricted)]
• 1050-1061 Regret aversion and annuity risk in defined contribution pension plans
  by Frehen, Rik G.P. & Hoevenaars, Roy P.M.M. & Palm, Franz C. & Schotman, Peter C. [Downloadable! (restricted)]
• 1062-1066 Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
  by Blake, David & Dowd, Kevin & Cairns, Andrew J.G. [Downloadable! (restricted)]
• 1067-1085 Static super-replicating strategies for a class of exotic options
  by Chen, X. & Deelstra, G. & Dhaene, J. & Vanmaele, M. [Downloadable! (restricted)]
• 1086-1094 On the dual risk model with tax payments
  by Albrecher, Hansjörg & Badescu, Andrei & Landriault, David [Downloadable! (restricted)]
• 1095-1103 Pricing bivariate option under GARCH processes with time-varying copula
  by Zhang, J. & Guégan, D. [Downloadable! (restricted)]
• 1104-1108 On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
  by Borovkov, Konstantin A. & Dickson, David C.M. [Downloadable! (restricted)]
• 1109-1117 Analytic bounds and approximations for annuities and Asian options
  by Vanduffel, Steven & Shang, Zhaoning & Henrard, Luc & Dhaene, Jan & Valdez, Emiliano A. [Downloadable! (restricted)]
• 1118-1127 Comparison results for exchangeable credit risk portfolios
  by Cousin, Areski & Laurent, Jean-Paul [Downloadable! (restricted)]
• 1128-1137 A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
  by Vandaele, Nele & Vanmaele, Michèle [Downloadable! (restricted)]
• 1138-1145 The private value of public pensions
  by Petrichev, Konstantin & Thorp, Susan [Downloadable! (restricted)]
• 1146-1158 A game theoretic approach to option valuation under Markovian regime-switching models
  by Siu, Tak Kuen [Downloadable! (restricted)]
• 1159-1164 Stochastic optimal control of DC pension funds
  by Gao, Jianwei [Downloadable! (restricted)]

• 469-472 An application of Kendall distributions and alternative dependence measures: SPX vs. VIX
  by Fountain, Robert L. & Herman Jr., John R. & Rustvold, D. Leif [Downloadable! (restricted)]
• 473-483 On the construction of copulas and quasi-copulas with given diagonal sections
  by Nelsen, Roger B. & Quesada-Molina, José Juan & Rodri­guez-Lallena, José Antonio & Úbeda-Flores, Manuel [Downloadable! (restricted)]
• 484-491 Error bounds in approximations of random sums using gamma-type operators
  by Sangüesa, C. [Downloadable! (restricted)]
• 492-504 Estimating the term structure of mortality
  by Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E. [Downloadable! (restricted)]
• 505-519 Longevity risk in portfolios of pension annuities
  by Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E. [Downloadable! (restricted)]
• 520-528 Risk measurement in the presence of background risk
  by Tsanakas, Andreas [Downloadable! (restricted)]
• 529-539 Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
  by Guerra, Manuel & de Lourdes Centeno, Maria [Downloadable! (restricted)]
• 540-547 Actuarial risk measures for financial derivative pricing
  by Goovaerts, Marc J. & Laeven, Roger J.A. [Downloadable! (restricted)]
• 548-559 Estimating VAR models for the term structure of interest rates
  by Vereda, Luciano & Lopes, Hélio & Fukuda, Regina [Downloadable! (restricted)]
• 560-577 Integrated insurance risk models with exponential Lévy investment
  by Klüppelberg, Claudia & Kostadinova, Radostina [Downloadable! (restricted)]
• 578-593 Valuation of intergenerational transfers in funded collective pension schemes
  by Hoevenaars, Roy P.M.M. & Ponds, Eduard H.M. [Downloadable! (restricted)]
• 594-599 Portfolio diversification under local and moderate deviations from power laws
  by Ibragimov, Rustam & Walden, Johan [Downloadable! (restricted)]
• 600-608 On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
  by Landriault, David & Willmot, Gordon [Downloadable! (restricted)]
• 609-616 Cooperative hedging with a higher interest rate for borrowing
  by Zhou, Qing & Wu, Weixing & Wang, Zengwu [Downloadable! (restricted)]
• 617-627 The compound Poisson risk model with multiple thresholds
  by Lin, X. Sheldon & Sendova, Kristina P. [Downloadable! (restricted)]
• 628-637 Securitization of catastrophe mortality risks
  by Lin, Yijia & Cox, Samuel H. [Downloadable! (restricted)]
• 638-650 Fitting and validation of a bivariate model for large claims
  by Drees, Holger & Müller, Peter [Downloadable! (restricted)]
• 651-655 Improved convex upper bound via conditional comonotonicity
  by Cheung, Ka Chun [Downloadable! (restricted)]
• 656-667 Risk theory insight into a zone-adaptive control strategy
  by Malinovskii, Vsevolod K. [Downloadable! (restricted)]
• 668-679 Approximations for the moments of ruin time in the compound Poisson model
  by Pitts, Susan M. & Politis, Konstadinos [Downloadable! (restricted)]
• 680-690 A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
  by Christiansen, Marcus C. [Downloadable! (restricted)]
• 691-703 Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
  by Young, Virginia R. [Downloadable! (restricted)]
• 704-716 A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
  by Gerstner, Thomas & Griebel, Michael & Holtz, Markus & Goschnick, Ralf & Haep, Marcus [Downloadable! (restricted)]
• 717-726 A risk model with paying dividends and random environment
  by Kim, Bara & Kim, Hwa-Sung & Kim, Jeongsim [Downloadable! (restricted)]
• 727-735 Credibility premiums for the zero-inflated Poisson model and new hunger for bonus interpretation
  by Boucher, Jean-Philippe & Denuit, Michel [Downloadable! (restricted)]
• 736-745 On the parameterization of the CreditRisk + model for estimating credit portfolio risk
  by Vandendorpe, Antoine & Ho, Ngoc-Diep & Vanduffel, Steven & Van Dooren, Paul [Downloadable! (restricted)]
• 746-762 Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
  by Loisel, Stéphane & Mazza, Christian & Rullière, Didier [Downloadable! (restricted)]
• 763-770 Tail dependence for multivariate t -copulas and its monotonicity
  by Chan, Yin & Li, Haijun [Downloadable! (restricted)]
• 771-778 Indifference prices of structured catastrophe (CAT) bonds
  by Egami, Masahiko & Young, Virginia R. [Downloadable! (restricted)]
• 779-786 A Bayesian dichotomous model with asymmetric link for fraud in insurance
  by Bermúdez, Ll. & Pérez, J.M. & Ayuso, M. & Gómez, E. & Vázquez, F.J. [Downloadable! (restricted)]
• 787-796 A sensitivity analysis of typical life insurance contracts with respect to the technical basis
  by Christiansen, Marcus C. [Downloadable! (restricted)]
• 797-816 On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling
  by Renshaw, A.E. & Haberman, S. [Downloadable! (restricted)]
• 817-830 Heavy-tailed longitudinal data modeling using copulas
  by Sun, Jiafeng & Frees, Edward W. & Rosenberg, Marjorie A. [Downloadable! (restricted)]
• 831-838 Comonotonic approximations to quantiles of life annuity conditional expected present value
  by Denuit, Michel [Downloadable! (restricted)]
• 839-849 Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
  by Gatzert, Nadine [Downloadable! (restricted)]
• 850-854 A generalization of the credibility theory obtained by using the weighted balanced loss function
  by Gómez-Déniz, E. [Downloadable! (restricted)]
• 855-863 Some results on the CTE-based capital allocation rule
  by Dhaene, J. & Henrard, L. & Landsman, Z. & Vandendorpe, A. & Vanduffel, S. [Downloadable! (restricted)]

• 1-13 Pension fund investments and the valuation of liabilities under conditional indexation
  by de Jong, Frank [Downloadable! (restricted)]
• 14-30 Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
  by Ludkovski, Michael & Young, Virginia R. [Downloadable! (restricted)]
• 31-38 Constant dividend barrier in a risk model with interclaim-dependent claim sizes
  by Landriault, David [Downloadable! (restricted)]
• 39-49 Univariate and multivariate versions of the negative binomial-inverse Gaussian distributions with applications
  by Gómez-Déniz, Emilio & Sarabia, José Mari­a & Calderi­n-Ojeda, Enrique [Downloadable! (restricted)]
• 50-58 The influence of corporate taxes on pricing and capital structure in property-liability insurance
  by Gatzert, Nadine & Schmeiser, Hato [Downloadable! (restricted)]
• 59-64 The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest
  by Wang, Guojing & Wu, Rong [Downloadable! (restricted)]
• 65-72 Recursions for multivariate compound phase variables
  by Eisele, Karl-Theodor [Downloadable! (restricted)]
• 73-80 Modelling total tail dependence along diagonals
  by Zhang, Ming-Heng [Downloadable! (restricted)]
• 81-94 Adaptive control strategies and dependence of finite time ruin on the premium loading
  by Malinovskii, Vsevolod K. [Downloadable! (restricted)]
• 95-100 Convex bounds on multiplicative processes, with applications to pricing in incomplete markets
  by Courtois, Cindy & Denuit, Michel [Downloadable! (restricted)]
• 101-106 On the distribution tail of an integrated risk model: A numerical approach
  by Brokate, M. & Klüppelberg, C. & Kostadinova, R. & Maller, R. & Seydel, R.C. [Downloadable! (restricted)]
• 107-118 Mean-variance optimization problems for an accumulation phase in a defined benefit plan
  by Delong, Lukasz & Gerrard, Russell & Haberman, Steven [Downloadable! (restricted)]
• 119-126 On the consistency of credibility premiums regarding Esscher principle
  by Pan, Maolin & Wang, Rongming & Wu, Xianyi [Downloadable! (restricted)]
• 127-146 Modelling dependence
  by Kallenberg, Wilbert C.M. [Downloadable! (restricted)]
• 147-153 Random sums of exchangeable variables and actuarial applications
  by Kolev, Nikolai & Paiva, Delhi [Downloadable! (restricted)]
• 154-162 Finite-time dividend-ruin models
  by Leung, Kwai Sun & Kwok, Yue Kuen & Leung, Seng Yuen [Downloadable! (restricted)]
• 163-176 Tail bounds for the joint distribution of the surplus prior to and at ruin
  by Psarrakos, Georgios & Politis, Konstadinos [Downloadable! (restricted)]
• 177-188 Allocation of risks and equilibrium in markets with finitely many traders
  by Burgert, Christian & Rüschendorf, Ludger [Downloadable! (restricted)]
• 189-211 Prices and sensitivities of Asian options: A survey
  by Boyle, Phelim & Potapchik, Alexander [Downloadable! (restricted)]
• 212-226 Valuation of life insurance products under stochastic interest rates
  by Gaillardetz, Patrice [Downloadable! (restricted)]
• 227-234 A two-dimensional ruin problem on the positive quadrant
  by Avram, Florin & Palmowski, Zbigniew & Pistorius, Martijn [Downloadable! (restricted)]
• 235-242 Coherent risk measures, coherent capital allocations and the gradient allocation principle
  by Buch, A. & Dorfleitner, G. [Downloadable! (restricted)]
• 243-254 Methods for estimating the optimal dividend barrier and the probability of ruin
  by Gerber, Hans U. & Shiu, Elias S.W. & Smith, Nathaniel [Downloadable! (restricted)]
• 255-260 An optimal insurance strategy for an individual under an intertemporal equilibrium
  by Zhou, Chunyang & Wu, Chongfeng & Zhang, Shengping & Huang, Xuejun [Downloadable! (restricted)]
• 261-270 Quantifying the error of convex order bounds for truncated first moments
  by Brückner, Karsten [Downloadable! (restricted)]
• 271-287 Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
  by Jumarie, Guy [Downloadable! (restricted)]
• 288-300 Robust regression credibility: The influence function approach
  by Pitselis, Georgios [Downloadable! (restricted)]
• 301-310 Insuring a risky investment project
  by Loubergé, Henri & Watt, Richard [Downloadable! (restricted)]
• 311-318 Ruin theory for a Markov regime-switching model under a threshold dividend strategy
  by Zhu, Jinxia & Yang, Hailiang [Downloadable! (restricted)]
• 319-331 Premium rates based on genetic studies: How reliable are they
  by Lu, Li & Macdonald, Angus & Wekwete, Chessman [Downloadable! (restricted)]
• 332-342 Evaluation of insurance products with guarantee in incomplete markets
  by Consiglio, Andrea & De Giovanni, Domenico [Downloadable! (restricted)]
• 343-358 The role of longevity bonds in optimal portfolios
  by Menoncin, Francesco [Downloadable! (restricted)]
• 359-377 Bruno de Finetti and the case of the critical line's last segment
  by Barone, Luca [Downloadable! (restricted)]
• 378-388 Prediction error in the chain ladder method
  by Wüthrich, Mario V. [Downloadable! (restricted)]
• 389-395 Estimation of loss reserves with lognormal development factors
  by Han, Zhongxian & Gau, Wu-Chyuan [Downloadable! (restricted)]
• 396-408 Following the rules: Integrating asset allocation and annuitization in retirement portfolios
  by Horneff, Wolfram J. & Maurer, Raimond H. & Mitchell, Olivia S. & Dus, Ivica [Downloadable! (restricted)]
• 409-418 Mortality modelling with Lévy processes
  by Hainaut, Donatien & Devolder, Pierre [Downloadable! (restricted)]
• 419-433 Fair valuation of insurance contracts under Lévy process specifications
  by Kassberger, Stefan & Kiesel, Rüdiger & Liebmann, Thomas [Downloadable! (restricted)]
• 434-444 On reinsurance and investment for large insurance portfolios
  by Luo, Shangzhen & Taksar, Michael & Tsoi, Allanus [Downloadable! (restricted)]
• 445-452 Some stability results of optimal investment in a simple Lévy market
  by Niu, Liqun [Downloadable! (restricted)]
• 453-458 Retrieval of Black-Scholes and generalized Erlang models by perturbed observations at a fixed time
  by Neuenschwander, Daniel [Downloadable! (restricted)]
• 459-465 Weighted premium calculation principles
  by Furman, Edward & Zitikis, Ricardas [Downloadable! (restricted)]

• 299-316 Risk management of a bond portfolio using options
  by Annaert, Jan & Deelstra, Griselda & Heyman, Dries & Vanmaele, Michèle [Downloadable! (restricted)]
• 317-338 Pricing of Ratchet equity-indexed annuities under stochastic interest rates
  by Kijima, Masaaki & Wong, Tony [Downloadable! (restricted)]
• 339-361 Modelling the joint distribution of competing risks survival times using copula functions
  by Kaishev, Vladimir K. & Dimitrova, Dimitrina S. & Haberman, Steven [Downloadable! (restricted)]
• 362-381 Integrating long-term care insurance purchase decisions with saving and investment for retirement
  by Gupta, Aparna & Li, Lepeng [Downloadable! (restricted)]
• 382-391 Optimal allocation of policy limits and deductibles
  by Cheung, Ka Chun [Downloadable! (restricted)]

• 223-233 Extreme behavior of multivariate phase-type distributions
  by Asimit, Alexandru V. & Jones, Bruce L. [Downloadable! (restricted)]
• 234-249 On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
  by Ahn, Soohan & Badescu, Andrei L. [Downloadable! (restricted)]
• 250-263 Optimal investment for insurers when the stock price follows an exponential Levy process
  by Kostadinova, Radostina [Downloadable! (restricted)]
• 264-278 Valuation of catastrophe reinsurance with catastrophe bonds
  by Lee, Jin-Ping & Yu, Min-Teh [Downloadable! (restricted)]
• 279-297 Risk measures, distortion parameters, and their empirical estimation
  by Jones, Bruce L. & Zitikis, Ricardas [Downloadable! (restricted)]

• 1-16 Monotone and cash-invariant convex functions and hulls
  by Filipovic, Damir & Kupper, Michael [Downloadable! (restricted)]
• 17-31 On the discounted penalty function in the renewal risk model with general interclaim times
  by Willmot, Gordon E. [Downloadable! (restricted)]
• 32-40 A time-series risk model with constant interest for dependent classes of business
  by Zhang, Zhiqiang & Yuen, Kam C. & Li, Wai Keung [Downloadable! (restricted)]
• 41-52 Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model
  by Chadjiconstantinidis, Stathis & Politis, Konstadinos [Downloadable! (restricted)]
• 53-61 Extreme behavior of bivariate elliptical distributions
  by Asimit, Alexandru V. & Jones, Bruce L. [Downloadable! (restricted)]
• 62-70 Jump diffusion processes and their applications in insurance and finance
  by Jang, Jiwook [Downloadable! (restricted)]
• 71-83 Predicting automobile claims bodily injury severity with sequential ordered logit models
  by Ayuso, Mercedes & Santolino, Miguel [Downloadable! (restricted)]
• 84-95 Valuation of cash flows under random rates of interest: A linear algebraic approach
  by Date, P. & Mamon, R. & Wang, I.C. [Downloadable! (restricted)]
• 96-110 Integrating optimal annuity planning with consumption-investment selections in retirement planning
  by Gupta, Aparna & Li, Zhisheng [Downloadable! (restricted)]
• 111-123 Optimal dividends in the dual model
  by Avanzi, Benjamin & U. Gerber, Hans & S.W. Shiu, Elias [Downloadable! (restricted)]
• 124-133 The compound binomial risk model with time-correlated claims
  by Xiao, Yuntao & Guo, Junyi [Downloadable! (restricted)]
• 134-155 Management of a pension fund under mortality and financial risks
  by Hainaut, Donatien & Devolder, Pierre [Downloadable! (restricted)]
• 156-162 On a modification of the classical risk process
  by Bratiychuk, M.S. & Derfla, D. [Downloadable! (restricted)]
• 163-184 Dividend maximization under consideration of the time value of ruin
  by Thonhauser, Stefan & Albrecher, Hansjorg [Downloadable! (restricted)]
• 185-195 On the ruin probabilities of a bidimensional perturbed risk model
  by Li, Junhai & Liu, Zaiming & Tang, Qihe [Downloadable! (restricted)]
• 196-221 Minimizing the probability of lifetime ruin under borrowing constraints
  by Bayraktar, Erhan & Young, Virginia R. [Downloadable! (restricted)]

• 357-385 Lookback options and dynamic fund protection under multiscale stochastic volatility
  by Wong, Hoi Ying & Chan, Chun Man [Downloadable! (restricted)]
• 386-402 An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates
  by Koch, Inge & Schepper, Ann De [Downloadable! (restricted)]
• 403-414 On variational bounds in the compound Poisson approximation of the individual risk model
  by Roos, Bero [Downloadable! (restricted)]
• 415-423 The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
  by Chen, Yiqing & Ng, Kai W. [Downloadable! (restricted)]
• 424-434 Bayesian graduation of mortality rates: An application to reserve evaluation
  by da Rocha Neves, Cesar & Migon, Helio S. [Downloadable! (restricted)]
• 435-444 Hedging life insurance with pure endowments
  by Bayraktar, Erhan & Young, Virginia R. [Downloadable! (restricted)]
• 445-458 The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
  by Kleinow, Torsten & Willder, Mark [Downloadable! (restricted)]
• 459-467 Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
  by Frostig, Esther & Zaks, Yaniv & Levikson, Benny [Downloadable! (restricted)]
• 468-484 Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz' law of mortality
  by Willemse, W.J. & Kaas, R. [Downloadable! (restricted)]
• 485-497 Moments of claims in a Markovian environment
  by Kim, Bara & Kim, Hwa-Sung [Downloadable! (restricted)]
• 498-508 Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
  by Leipus, Remigijus & Siaulys, Jonas [Downloadable! (restricted)]
• 509-523 Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
  by Wan, Ning [Downloadable! (restricted)]
• 525-532 Lower tail dependence for Archimedean copulas: Characterizations and pitfalls
  by Charpentier, Arthur & Segers, Johan [Downloadable! (restricted)]

• 179-199 Distribution-free option pricing
  by Schepper, Ann De & Heijnen, Bart [Downloadable! (restricted)]
• 200-208 On the asymptotic distribution of certain bivariate reinsurance treaties
  by Hashorva, Enkelejd [Downloadable! (restricted)]
• 209-230 Time consistency conditions for acceptability measures, with an application to Tail Value at Risk
  by Roorda, Berend & Schumacher, J.M. [Downloadable! (restricted)]
• 231-255 Default risk, bankruptcy procedures and the market value of life insurance liabilities
  by Chen, An & Suchanecki, Michael [Downloadable! (restricted)]
• 256-266 Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications
  by Wang, Yuebao & Yang, Yang & Wang, Kaiyong & Cheng, Dongya [Downloadable! (restricted)]
• 267-282 Pricing exotic options under regime switching
  by Boyle, Phelim & Draviam, Thangaraj [Downloadable! (restricted)]
• 283-292 Stochastic pension fund control in the presence of Poisson jumps
  by Ngwira, Bernard & Gerrard, Russell [Downloadable! (restricted)]
• 293-301 On the expected discounted penalty function for a perturbed risk process driven by a subordinator
  by Morales, Manuel [Downloadable! (restricted)]
• 302-310 The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
  by Xiao, Jianwu & Hong, Zhai & Qin, Chenglin [Downloadable! (restricted)]
• 311-321 The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
  by Taksar, Michael & Hunderup, Christine Loft [Downloadable! (restricted)]
• 322-334 Optimal investment for an insurer: The martingale approach
  by Wang, Zengwu & Xia, Jianming & Zhang, Lihong [Downloadable! (restricted)]
• 335-355 Pricing general insurance with constraints
  by Emms, Paul [Downloadable! (restricted)]

• 1-14 On non-monotonic ageing properties from the Laplace transform, with actuarial applications
  by Belzunce, Felix & Ortega, Eva-Maria & Ruiz, Jose M. [Downloadable! (restricted)]
• 15-34 Optimal strategies for pricing general insurance
  by Emms, P. & Haberman, S. & Savoulli, I. [Downloadable! (restricted)]
• 35-57 A law of large numbers approach to valuation in life insurance
  by Fischer, Tom [Downloadable! (restricted)]
• 58-76 Actuarial statistics with generalized linear mixed models
  by Antonio, Katrien & Beirlant, Jan [Downloadable! (restricted)]
• 77-84 Optimal investment for an insurer with exponential utility preference
  by Wang, Nan [Downloadable! (restricted)]
• 85-94 Coherent risk measure, equilibrium and equilibrium pricing
  by Gao, Feng & Song, Fengming & Zhang, Lihong [Downloadable! (restricted)]
• 95-103 Joint distributions of some actuarial random vectors in the compound binomial model
  by Liu, Guoxin & Zhao, Jinyan [Downloadable! (restricted)]
• 104-112 The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
  by Yuen, Kam C. & Wang, Guojing & Li, Wai K. [Downloadable! (restricted)]
• 113-134 Asymptotic and numerical analysis of the optimal investment strategy for an insurer
  by Emms, P. & Haberman, S. [Downloadable! (restricted)]
• 135-144 The timing of annuitization: Investment dominance and mortality risk
  by Milevsky, Moshe A. & Young, Virginia R. [Downloadable! (restricted)]
• 145-163 Claim reserving with fuzzy regression and Taylor's geometric separation method
  by de Andres-Sanchez, Jorge [Downloadable! (restricted)]
• 164-178 The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
  by Kling, Alexander & Richter, Andreas & Ru[ss], Jochen [Downloadable! (restricted)]

• 285-286 IME-award
  by Shapiro, A.F. [Downloadable! (restricted)]
• 287-309 Fuzzy formulation of the Lee-Carter model for mortality forecasting
  by Koissi, Marie-Claire & Shapiro, Arnold F. [Downloadable! (restricted)]
• 310-329 Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
  by Melnikov, Alexander & Romaniuk, Yulia [Downloadable! (restricted)]
• 330-355 Asset and liability management under a continuous-time mean-variance optimization framework
  by Chiu, Mei Choi & Li, Duan [Downloadable! (restricted)]
• 356-375 The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements
  by Ballotta, Laura & Esposito, Giorgia & Haberman, Steven [Downloadable! (restricted)]
• 376-389 Excess of loss reinsurance under joint survival optimality
  by Kaishev, Vladimir K. & Dimitrova, Dimitrina S. [Downloadable! (restricted)]
• 390-390 Third Brazilian conference on statistical modelling in insurance and finance First announcement -- Call for papers
  by Kolev, N. [Downloadable! (restricted)]
• 392-392 Call for papers American Risk and Insurance Association 2007 annual meeting August 5-8, 2007 Quebec City, Canada
  by Vaughan, Terri [Downloadable! (restricted)]

Access and download statistics

Did you know? Over five million full texts a year are downloaded through IDEAS.

This page was last updated on 2008-10-4.