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Elsevier Insurance: Mathematics and Economics Contact information of
Elsevier: http://www.elsevier.com/locate/inca/505554
Download restrictions: Full text for ScienceDirect subscribers only Editor: Editor: H. U. Gerber Editor: M. J. Goovaerts Editor: E. S. W. Shiu
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More pages of listings: 0 |1 |2 |3 |4 |5 |6 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 [Downloadable! (restricted)]
9-18 Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model by Gao, Jianwei [Downloadable! (restricted)]
19-24 A Markov-modulated model for stocks paying discrete dividends by Sakkas, E. & Le, H. [Downloadable! (restricted)]
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 [Downloadable! (restricted)]
35-40 Upper comonotonicity by Cheung, Ka Chun [Downloadable! (restricted)]
41-48 An optimal dividends problem with transaction costs for spectrally negative Lévy processes by Loeffen, R.L. [Downloadable! (restricted)]
49-58 Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts by Necir, Abdelhakim & Meraghni, Djamel [Downloadable! (restricted)]
59-64 A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts by Cerqueti, Roy & Foschi, Rachele & Spizzichino, Fabio [Downloadable! (restricted)]
65-73 The valuation of contingent capital with catastrophe risks by Lin, Shih-Kuei & Chang, Chia-Chien & Powers, Michael R. [Downloadable! (restricted)]
74-80 Sample path large and moderate deviations for risk model with delayed claims by Gao, Fuqing & Yan, Jun [Downloadable! (restricted)]
81-88 Optimal investment and reinsurance of an insurer with model uncertainty by Zhang, Xin & Siu, Tak Kuen [Downloadable! (restricted)]
89-93 Applications of conditional comonotonicity to some optimization problems by Cheung, Ka Chun [Downloadable! (restricted)]
94-112 What is the impact of stock market contagion on an investor's portfolio choice? by Branger, Nicole & Kraft, Holger & Meinerding, Christoph [Downloadable! (restricted)]
113-122 Minimum standards for investment performance: A new perspective on non-life insurer solvency by Eling, Martin & Gatzert, Nadine & Schmeiser, Hato [Downloadable! (restricted)]
123-132 Stochastic portfolio specific mortality and the quantification of mortality basis risk by Plat, Richard [Downloadable! (restricted)]
133-138 Ruin probability in the presence of interest earnings and tax payments by Wei, Li [Downloadable! (restricted)]
139-147 A class of multivariate copulas with bivariate Frechet marginal copulas by Yang, Jingping & Qi, Yongcheng & Wang, Ruodu [Downloadable! (restricted)]
148-155 Continuous-time mean-variance portfolio selection with liability and regime switching by Xie, Shuxiang [Downloadable! (restricted)]
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. [Downloadable! (restricted)]
337-344 A jump-diffusion model for option pricing under fuzzy environments by Xu, Weidong & Wu, Chongfeng & Xu, Weijun & Li, Hongyi [Downloadable! (restricted)]
345-356 Univariate and bivariate GPD methods for predicting extreme wind storm losses by Brodin, Erik & Rootzén, Holger [Downloadable! (restricted)]
357-366 A capital allocation based on a solvency exchange option by Kim, Joseph H.T. & Hardy, Mary R. [Downloadable! (restricted)]
367-373 A claims persistence process and insurance by Vallois, Pierre & Tapiero, Charles S. [Downloadable! (restricted)]
374-384 Optimal reinsurance with general risk measures by Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio [Downloadable! (restricted)]
385-397 Bounds and approximations for sums of dependent log-elliptical random variables by Valdez, Emiliano A. & Dhaene, Jan & Maj, Mateusz & Vanduffel, Steven [Downloadable! (restricted)]
398-408 Decomposition of a Schur-constant model and its applications by Chi, Yichun & Yang, Jingping & Qi, Yongcheng [Downloadable! (restricted)]
409-414 Optimal allocation of policy limits and deductibles under distortion risk measures by Zhuang, Weiwei & Chen, Zijin & Hu, Taizhong [Downloadable! (restricted)]
415-425 Global loss diversification in the insurance sector by Sheremet, Oleg & Lucas, André [Downloadable! (restricted)]
426-433 Optimal risk sharing with different reference probabilities by Acciaio, Beatrice & Svindland, Gregor [Downloadable! (restricted)]
434-446 Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance by Gerstner, Thomas & Griebel, Michael & Holtz, Markus [Downloadable! (restricted)]
447-458 Minimizing the lifetime shortfall or shortfall at death by Bayraktar, Erhan & Young, Virginia R. [Downloadable! (restricted)]
459-463 Long time behaviour of stochastic interest rate models by Zhao, Juan [Downloadable! (restricted)]
464-472 Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times by Ambagaspitiya, Rohana S. [Downloadable! (restricted)]
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 [Downloadable! (restricted)]
479-490 Optimal portfolios for DC pension plans under a CEV model by Gao, Jianwei [Downloadable! (restricted)]
491-496 Survival probability for a two-dimensional risk model by Dang, Lanfen & Zhu, Ning & Zhang, Haiming [Downloadable! (restricted)]
497-504 Computing the mean and the variance of the cedent's share for largest claims reinsurance covers by Hess, Christian [Downloadable! (restricted)]
505-510 Adverse selection or advantageous selection? Risk and underwriting in China's health-insurance market by Gao, Feng & Powers, Michael R. & Wang, Jun [Downloadable! (restricted)]
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. [Downloadable! (restricted)]
146-158 Worst VaR scenarios with given marginals and measures of association by Kaas, Rob & Laeven, Roger J.A. & Nelsen, Roger B. [Downloadable! (restricted)]
159-163 Worst VaR scenarios: A remark by Laeven, Roger J.A. [Downloadable! (restricted)]
164-169 Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness by Embrechts, Paul & Neslehová, Johanna & Wüthrich, Mario V. [Downloadable! (restricted)]
170-181 Estimating copula densities through wavelets by Genest, Christian & Masiello, Esterina & Tribouley, Karine [Downloadable! (restricted)]
182-198 Pair-copula constructions of multiple dependence by Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik [Downloadable! (restricted)]
199-213 Goodness-of-fit tests for copulas: A review and a power study by Genest, Christian & Rémillard, Bruno & Beaudoin, David [Downloadable! (restricted)]
214-228 Multivariate probit models for conditional claim-types by Young, Gary & Valdez, Emiliano A. & Kohn, Robert [Downloadable! (restricted)]
229-244 Modelling dynamic portfolio risk using risk drivers of elliptical processes by Schmidt, Rafael & Schmieder, Christian [Downloadable! (restricted)]
245-259 On the discrete-time compound renewal risk model with dependence by Marceau, Etienne [Downloadable! (restricted)]
261-263 Editorial by Kaas, Rob & Loos, Jeroen & Gerber, Hans & Goovaerts, Marc & Shiu, Elias [Downloadable! (restricted)]
267-267 Editorial by Goovaerts, Marc & Kaas, Rob & Shiu, Elias [Downloadable! (restricted)]
268-277 To split or not to split: Capital allocation with convex risk measures by Tsanakas, Andreas [Downloadable! (restricted)]
278-286 Further improved recursions for a class of compound Poisson distributions by Chadjiconstantinidis, Stathis & Pitselis, Georgios [Downloadable! (restricted)]
287-295 Pricing perpetual American catastrophe put options: A penalty function approach by Lin, X. Sheldon & Wang, Tao [Downloadable! (restricted)]
296-303 The Markovian regime-switching risk model with a threshold dividend strategy by Lu, Yi & Li, Shuanming [Downloadable! (restricted)]
304-306 The tax identity in risk theory -- a simple proof and an extension by Albrecher, Hansjörg & Borst, Sem & Boxma, Onno & Resing, Jacques [Downloadable! (restricted)]
307-314 Fuzzy random variables by Shapiro, Arnold F. [Downloadable! (restricted)]
315-324 On a dual model with a dividend threshold by Ng, Andrew C.Y. [Downloadable! (restricted)]
2009, Volume 44, Issue 1 1-18 Optimal surrender strategies for equity-indexed annuity investors by Moore, Kristen S. [Downloadable! (restricted)]
19-25 The credibility premiums for models with dependence induced by common effects by Wen, Limin & Wu, Xianyi & Zhou, Xian [Downloadable! (restricted)]
26-34 Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints by Azcue, Pablo & Muler, Nora [Downloadable! (restricted)]
35-47 Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios by Laurence, Peter & Wang, Tai-Ho [Downloadable! (restricted)]
48-58 Securitization of motor insurance loss rate risks by Bae, Taehan & Kim, Changki & Kulperger, Reginald J. [Downloadable! (restricted)]
59-69 Analytical valuation of catastrophe equity options with negative exponential jumps by Chang, Lung-fu & Hung, Mao-wei [Downloadable! (restricted)]
70-77 A new aspect of a risk process and its statistical inference by Shimizu, Yasutaka [Downloadable! (restricted)]
78-87 Valuation and hedging of participating life-insurance policies under management discretion by Kleinow, Torsten [Downloadable! (restricted)]
88-94 Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs by He, Lin & Liang, Zongxia [Downloadable! (restricted)]
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 [Downloadable! (restricted)]
103-123 A parameterized approach to modeling and forecasting mortality by Hatzopoulos, P. & Haberman, S. [Downloadable! (restricted)]
124-134 Analytical approximations for prices of swap rate dependent embedded options in insurance products by Plat, Richard & Pelsser, Antoon [Downloadable! (restricted)]
135-141 A priori ratemaking using bivariate Poisson regression models by Bermúdez i Morata, Lluís [Downloadable! (restricted)]
2008, Volume 43, Issue 3 279-279 Preface by Tan, Ken Seng & Willmot, Gordon [Downloadable! (restricted)]
281-294 Dynamic asset liability management with tolerance for limited shortfalls by Detemple, Jérôme & Rindisbacher, Marcel [Downloadable! (restricted)]
295-302 Pricing currency options under two-factor Markov-modulated stochastic volatility models by Siu, Tak Kuen & Yang, Hailiang & Lau, John W. [Downloadable! (restricted)]
303-315 The design of equity-indexed annuities by Boyle, Phelim & Tian, Weidong [Downloadable! (restricted)]
316-326 Simulation of jump diffusions and the pricing of options by DiCesare, Joe & Mcleish, Don [Downloadable! (restricted)]
327-338 Computation of optimal portfolios using simulation-based dimension reduction by Boyle, Phelim & Imai, Junichi & Tan, Ken Seng [Downloadable! (restricted)]
339-349 Estimation and evaluation of the term structure of credit default swaps: An empirical study by Chen, Ren-Raw & Cheng, Xiaolin & Liu, Bo [Downloadable! (restricted)]
350-367 A model of R&D valuation and the design of research incentives by Hsu, Jason C. & Schwartz, Eduardo S. [Downloadable! (restricted)]
368-376 Claims reserving: A correlated Bayesian model by de Alba, Enrique & Nieto-Barajas, Luis E. [Downloadable! (restricted)]
377-385 Government-provided annuities under insolvency risk by Huang, Rachel J. & Tsai, Jeffrey T. & Tzeng, Larry Y. [Downloadable! (restricted)]
386-393 Skewed bivariate models and nonparametric estimation for the CTE risk measure by Bolance, Catalina & Guillen, Montserrat & Pelican, Elena & Vernic, Raluca [Downloadable! (restricted)]
394-402 Applications of a multi-state risk factor/mortality model in life insurance by Kwon, Hyuk-Sung & Jones, Bruce L. [Downloadable! (restricted)]
403-406 Characterization of comonotonicity using convex order by Cheung, Ka Chun [Downloadable! (restricted)]
407-411 Dependence and the asymptotic behavior of large claims reinsurance by Asimit, Alexandru V. & Jones, Bruce L. [Downloadable! (restricted)]
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 [Downloadable! (restricted)]
422-430 Pricing catastrophe options in discrete operational time by Chang, Carolyn W. & Chang, Jack S.K. & Lu, WeiLi [Downloadable! (restricted)]
431-436 Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims by Jiang, Jun & Tang, Qihe [Downloadable! (restricted)]
437-443 Determination of risk pricing measures from market prices of risk by Gzyl, Henryk & Mayoral, Silvia [Downloadable! (restricted)]
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 [Downloadable! (restricted)]
456-465 Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model by Chen, Ping & Yang, Hailiang & Yin, George [Downloadable! (restricted)]
466-473 Joint modelling of the total amount and the number of claims by conditionals by Sarabia, José María & Guillén, Montserrat [Downloadable! (restricted)]
474-479 Optimal control of the insurance company with proportional reinsurance policy under solvency constraints by He, Lin & Hou, Ping & Liang, Zongxia [Downloadable! (restricted)]
2008, Volume 43, Issue 2 197-202 Tail bounds for the distribution of the deficit in the renewal risk model by Psarrakos, Georgios [Downloadable! (restricted)]
203-208 Edgeworth expansion for an estimator of the adjustment coefficient by Brito, Margarida & Freitas, Ana Cristina Moreira [Downloadable! (restricted)]
209-213 On the link between credibility and frequency premium by Bolancé, Catalina & Guillén, Montserrat & Pinquet, Jean [Downloadable! (restricted)]
214-222 Pricing of catastrophe insurance options written on a loss index with reestimation by Biagini, Francesca & Bregman, Yuliya & Meyer-Brandis, Thilo [Downloadable! (restricted)]
223-226 Asset proportions in optimal portfolios with dependent default risks by Chen, Zijin & Hu, Taizhong [Downloadable! (restricted)]
227-233 Optimal dividends with incomplete information in the dual model by Gerber, Hans U. & Smith, Nathaniel [Downloadable! (restricted)]
234-244 Modelling stochastic mortality for dependent lives by Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena [Downloadable! (restricted)]
245-254 Bayesian modelling of financial guarantee insurance by Puustelli, Anne & Koskinen, Lasse & Luoma, Arto [Downloadable! (restricted)]
255-262 Actuarial comparisons for aggregate claims with randomly right-truncated claims by Escudero, Laureano F. & Ortega, Eva-María [Downloadable! (restricted)]
263-269 Weighted risk capital allocations by Furman, Edward & Zitikis, Ricardas [Downloadable! (restricted)]
270-278 Optimal dividend strategies in a Cramér-Lundberg model with capital injections by Kulenko, Natalie & Schmidli, Hanspeter [Downloadable! (restricted)]
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)]
2008, Volume 42, Issue 3 865-872 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)]
2008, Volume 42, Issue 2 469-472 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)]
2008, Volume 42, Issue 1 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)]
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This page was last updated on 2009-11-7.
IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .