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Series handle: RePEc:eee:insuma
ISSN: 0167-6687
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Content
2020, Volume 91, Issue C
- 37-54 Incorporating hierarchical credibility theory into modelling of multi-country mortality rates
by Tsai, Cary Chi-Liang & Wu, Adelaide Di
- 55-67 Validation of association
by Ćmiel, Bogdan & Ledwina, Teresa
- 68-84 A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates
by Ungolo, Francesco & Kleinow, Torsten & Macdonald, Angus S.
- 85-103 Fast and efficient nested simulation for large variable annuity portfolios: A surrogate modeling approach
by Lin, X. Sheldon & Yang, Shuai
- 104-110 A cyclic approach on classical ruin model
by Yuen, Fei Lung & Lee, Wing Yan & Fung, Derrick W.H.
- 111-128 Health shock risk, critical illness insurance, and housing services
by Hambel, Christoph
- 129-143 An age-at-death distribution approach to forecast cohort mortality
by Basellini, Ugofilippo & Kjærgaard, Søren & Camarda, Carlo Giovanni
- 144-154 Is the inf-convolution of law-invariant preferences law-invariant?
by Liu, Peng & Wang, Ruodu & Wei, Linxiao
- 155-165 Concave distortion risk minimizing reinsurance design under adverse selection
by Cheung, Ka Chun & Phillip Yam, Sheung Chi & Yuen, Fei Lung & Zhang, Yiying
- 166-187 Copula-based Markov process
by Fang, Jun & Jiang, Fan & Liu, Yong & Yang, Jingping
- 188-201 A Bowley solution with limited ceded risk for a monopolistic reinsurer
by Chi, Yichun & Tan, Ken Seng & Zhuang, Sheng Chao
- 202-208 Optimal prevention strategies in the classical risk model
by Gauchon, Romain & Loisel, Stéphane & Rullière, Jean-Louis & Trufin, Julien
- 209-223 Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology
by Jevtić, Petar & Lanchier, Nicolas
- 224-237 Dynamic consumption and portfolio choice under prospect theory
by van Bilsen, Servaas & Laeven, Roger J.A.
- 238-243 Risk analysis with categorical explanatory variables
by Kang, Seul Ki & Peng, Liang & Xiao, Hongmin
- 244-256 Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes
by Wei, Jiaqin & Cheng, Xiang & Jin, Zhuo & Wang, Hao
- 257-268 Modelling extreme claims via composite models and threshold selection methods
by Wang, Yinzhi & Hobæk Haff, Ingrid & Huseby, Arne
2020, Volume 90, Issue C
- 1-6 The equivalence of two tax processes
by Al Ghanim, Dalal & Loeffen, Ronnie & Watson, Alexander R.
- 7-24 Unhedgeable inflation risk within pension schemes
by Chen, D.H.J. & Beetsma, R.M.W.J. & van Wijnbergen, S.J.G.
- 25-34 Approximating the time-weighted return: The case of flows at unknown time
by Guzzetti, Marco
- 35-45 On the Type I multivariate zero-truncated hurdle model with applications in health insurance
by Zhang, Pengcheng & Calderin, Enrique & Li, Shuanming & Wu, Xueyuan
- 46-57 The diffusion of complex securities: The case of CAT bonds
by Faias, José Afonso & Guedes, José
- 58-65 Livestock mortality catastrophe insurance using fatal shock process
by Pai, Jeffrey & Ravishanker, Nalini
- 66-79 Convex risk functionals: Representation and applications
by Liu, Fangda & Cai, Jun & Lemieux, Christiane & Wang, Ruodu
- 80-93 Pitfalls and merits of cointegration-based mortality models
by Jarner, Søren F. & Jallbjørn, Snorre
- 94-104 Optimal allocation to Deferred Income Annuities
by Habib, F. & Huang, H. & Mauskopf, A. & Nikolic, B. & Salisbury, T.S.
- 105-119 Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility
by Yan, Tingjin & Wong, Hoi Ying
- 120-134 On log-normal convolutions: An analytical–numerical method with applications to economic capital determination
by Furman, Edward & Hackmann, Daniel & Kuznetsov, Alexey
- 135-150 Parisian ruin with a threshold dividend strategy under the dual Lévy risk model
by Yang, Chen & Sendova, Kristina P. & Li, Zhong
- 151-168 Duration of long-term care: Socio-economic factors, type of care interactions and evolution
by Fuino, Michel & Wagner, Joël
2019, Volume 89, Issue C
- 1-15 Rank-based inference tools for copula regression, with property and casualty insurance applications
by Côté, Marie-Pier & Genest, Christian & Omelka, Marek
- 16-37 How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach
by Kaakaï, Sarah & Labit Hardy, Héloïse & Arnold, Séverine & El Karoui, Nicole
- 38-45 On the distribution of classic and some exotic ruin times
by Landriault, David & Li, Bin & Shi, Tianxiang & Xu, Di
- 46-62 Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
by Wang, Suxin & Lu, Yi
- 63-78 Robust optimal reinsurance and investment strategies for an AAI with multiple risks
by Guan, Guohui & Liang, Zongxia
- 79-91 Budget-constrained optimal insurance with belief heterogeneity
by Ghossoub, Mario
- 92-110 Nonparametric inference for distortion risk measures on tail regions
by Hou, Yanxi & Wang, Xing
- 111-127 A class of mixture of experts models for general insurance: Theoretical developments
by Fung, Tsz Chai & Badescu, Andrei L. & Lin, X. Sheldon
- 128-139 Model selection based on Lorenz and concentration curves, Gini indices and convex order
by Denuit, Michel & Sznajder, Dominik & Trufin, Julien
- 140-156 Explicit moments for a class of micro-models in non-life insurance
by Wahl, Felix
- 157-170 Robust optimal investment–reinsurance strategies for an insurer with multiple dependent risks
by Sun, Jingyun & Yao, Haixiang & Kang, Zhilin
- 171-181 Pricing industry loss warranties in a Lévy–Frailty framework
by Beer, Simone & Braun, Alexander & Marugg, Andrin
- 182-192 Options on tontines: An innovative way of combining tontines and annuities
by Chen, An & Rach, Manuel
- 193-212 Stochastic utilities with subsistence and satiation: Optimal life insurance purchase, consumption and investment
by Ye, Jinchun
2019, Volume 88, Issue C
- 1-6 How do changes in risk and risk aversion affect self-protection with Selden/Kreps–Porteus preferences?
by Wang, Jianli & Wang, Hongxia & Yick, Ho Yin
- 7-18 Stochastic differential reinsurance games with capital injections
by Zhang, Nan & Jin, Zhuo & Qian, Linyi & Fan, Kun
- 19-29 Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency
by Barigou, Karim & Chen, Ze & Dhaene, Jan
- 30-43 Optimal XL-insurance under Wasserstein-type ambiguity
by Birghila, Corina & Pflug, Georg Ch.
- 44-56 Optimal consumption and investment with insurer default risk
by Jang, Bong-Gyu & Koo, Hyeng Keun & Park, Seyoung
- 57-76 Continuous time model for notional defined contribution pension schemes: Liquidity and solvency
by Alonso-García, Jennifer & Devolder, Pierre
- 77-92 Severity modeling of extreme insurance claims for tariffication
by Laudagé, Christian & Desmettre, Sascha & Wenzel, Jörg
- 93-107 Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences
by Chong, Wing Fung
- 108-119 Evaluation of driving risk at different speeds
by Gao, Guangyuan & Wüthrich, Mario V. & Yang, Hanfang
- 120-137 Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework
by Chen, Lv & Shen, Yang
- 138-150 Incorporating big microdata in life table construction: A hypothesis-free estimator
by Lledó, Josep & Pavía, Jose M. & Morillas-Jurado, Francisco G.
- 151-158 Stochastic ordering of Gini indexes for multivariate elliptical risks
by Kim, Bara & Kim, Jeongsim
- 159-180 Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion
by Zhao, Hui & Shen, Yang & Zeng, Yan & Zhang, Wenjun
- 181-195 A continuous-time stochastic model for the mortality surface of multiple populations
by Jevtić, Petar & Regis, Luca
- 196-208 Fair valuation of insurance liability cash-flow streams in continuous time: Theory
by Delong, Łukasz & Dhaene, Jan & Barigou, Karim
- 209-225 On the existence of a representative reinsurer under heterogeneous beliefs
by Boonen, Tim J. & Ghossoub, Mario
- 226-237 The long-term behavior of number of near-maximum insurance claims
by Dembińska, Anna & Buraczyńska, Aneta
- 238-254 Valuation of contingent convertible catastrophe bonds — The case for equity conversion
by Burnecki, Krzysztof & Giuricich, Mario Nicoló & Palmowski, Zbigniew
- 255-272 Forecasting mortality rate improvements with a high-dimensional VAR
by Guibert, Quentin & Lopez, Olivier & Piette, Pierrick
- 273-282 Ruin probabilities under capital constraints
by Ramsden, Lewis & Papaioannou, Apostolos D.
2019, Volume 87, Issue C
- 1-14 A censored copula model for micro-level claim reserving
by Lopez, Olivier
- 15-33 Optimal proportional reinsurance and investment for stochastic factor models
by Brachetta, M. & Ceci, C.
- 34-50 The collective reserving model
by Wahl, Felix & Lindholm, Mathias & Verrall, Richard
- 51-66 Optimal insurance under rank-dependent expected utility
by Ghossoub, Mario
- 67-81 Optimal robust insurance with a finite uncertainty set
by Asimit, Alexandru V. & Hu, Junlei & Xie, Yuantao
- 82-91 Optimal reinsurance for Gerber–Shiu functions in the Cramér–Lundberg model
by Preischl, M. & Thonhauser, S.
- 92-100 Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market
by Asmussen, Søren & Christensen, Bent Jesper & Thøgersen, Julie
- 101-114 Robust estimation of the Pickands dependence function under random right censoring
by Goegebeur, Yuri & Guillou, Armelle & Qin, Jing
- 115-129 A dependent frequency–severity approach to modeling longitudinal insurance claims
by Lee, Gee Y. & Shi, Peng
- 130-142 Option pricing under regime-switching models: Novel approaches removing path-dependence
by Godin, Frédéric & Lai, Van Son & Trottier, Denis-Alexandre
- 143-152 Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
by Li, Danping & Young, Virginia R.
- 153-168 Collective risk models with dependence
by Cossette, Hélène & Marceau, Etienne & Mtalai, Itre
2019, Volume 86, Issue C
- 1-7 Optimal dividend policy when risk reserves follow a jump–diffusion process with a completely monotone jump density under Markov-regime switching
by Jiang, Zhengjun
- 8-18 Subgroup analysis of zero-inflated Poisson regression model with applications to insurance data
by Chen, Kun & Huang, Rui & Chan, Ngai Hang & Yau, Chun Yip
- 19-42 Affordable and adequate annuities with stable payouts: Fantasy or reality?
by van Bilsen, Servaas & Linders, Daniël
- 43-50 Dynamic risk measures for processes via backward stochastic differential equations
by Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming
- 51-63 Valuation of risk-based premium of DB pension plan with terminations
by Qian, Linyi & Shen, Yang & Wang, Wei & Yang, Zhixin
- 64-72 Risk-adjusted Bowley reinsurance under distorted probabilities
by Cheung, Ka Chun & Yam, Sheung Chi Phillip & Zhang, Yiying
- 73-83 Model-free bounds on Value-at-Risk using extreme value information and statistical distances
by Lux, Thibaut & Papapantoleon, Antonis
- 84-91 Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns
by Li, Chen & Li, Xiaohu
- 92-97 On a family of risk measures based on largest claims
by Castaño-Martínez, A. & Pigueiras, G. & Sordo, M.A.
- 98-114 Conditional tail risk measures for the skewed generalised hyperbolic family
by Ignatieva, Katja & Landsman, Zinoviy
- 115-121 Analysis of risk bounds in partially specified additive factor models
by Rüschendorf, L.
- 122-133 A forecast reconciliation approach to cause-of-death mortality modeling
by Li, Han & Li, Hong & Lu, Yang & Panagiotelis, Anastasios
- 134-144 Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes?
by Gutierrez, Tomás & Pagnoncelli, Bernardo & Valladão, Davi & Cifuentes, Arturo
- 145-157 Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions
by Kim, Joseph H.T. & Kim, So-Yeun
- 158-167 A dynamic equivalence principle for systematic longevity risk management
by Hanbali, Hamza & Denuit, Michel & Dhaene, Jan & Trufin, Julien
- 168-188 Modern tontine with bequest: Innovation in pooled annuity products
by Bernhardt, Thomas & Donnelly, Catherine
- 189-204 A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
by Li, Yuying & Forsyth, Peter A.
- 205-215 Asymptotics of multivariate conditional risk measures for Gaussian risks
by Ling, Chengxiu
- 216-231 Dynamic risk-sharing game and reinsurance contract design
by Chen, Shumin & Liu, Yanchu & Weng, Chengguo
- 232-240 On a family of risk measures based on proportional hazards models and tail probabilities
by Psarrakos, Georgios & Sordo, Miguel A.
- 241-255 Reinsurance contract design when the insurer is ambiguity-averse
by Hu, Duni & Wang, Hailong
2019, Volume 85, Issue C
- 1-14 Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
by Bi, Junna & Cai, Jun
- 15-34 To borrow or insure? Long term care costs and the impact of housing
by Shao, Adam W. & Chen, Hua & Sherris, Michael
- 35-46 On modeling left-truncated loss data using mixtures of distributions
by Blostein, Martin & Miljkovic, Tatjana
- 47-59 Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
by Dong, Yinghui & Zheng, Harry
- 60-73 Quantitative modeling of risk management strategies: Stochastic reserving and hedging of variable annuity guaranteed benefits
by Feng, Runhuan & Yi, Bingji
- 74-88 On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins
by England, P.D. & Verrall, R.J. & Wüthrich, M.V.
- 89-103 Multivariate count data generalized linear models: Three approaches based on the Sarmanov distribution
by Bolancé, Catalina & Vernic, Raluca
- 104-114 Time-consistent investment-proportional reinsurance strategy with random coefficients for mean–variance insurers
by Wang, Hao & Wang, Rongming & Wei, Jiaqin
- 115-125 Optimal initial capital induced by the optimized certainty equivalent
by Arai, Takuji & Asano, Takao & Nishide, Katsumasa
- 126-137 A Cape Cod model for the exponential dispersion family
by Taylor, Greg
- 138-152 Dynamic capital allocation with irreversible investments
by Bauer, Daniel & Kamiya, Shinichi & Ping, Xiaohu & Zanjani, George
- 153-172 Mean-risk portfolio management with bankruptcy prohibition
by Wong, K.C. & Yam, S.C.P. & Zeng, J.
- 173-184 On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
by Jiang, Wenjun & Ren, Jiandong & Yang, Chen & Hong, Hanping
- 185-197 An analysis of transaction costs in participating life insurance under mean–variance preferences
by Gatzert, Nadine
- 198-204 Random distribution kernels and three types of defaultable contingent payoffs
by Ye, Jinchun
- 205-217 An approach to merit rating by means of autoregressive sequences
by Martinek, László & Arató, N. Miklós
2019, Volume 84, Issue C
- 1-21 Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk
by Zhou, Kenneth Q. & Li, Johnny Siu-Hang
- 22-39 Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
by Ghossoub, Mario
- 40-53 Derivatives trading for insurers
by Xue, Xiaole & Wei, Pengyu & Weng, Chengguo
- 54-66 Dynamic hybrid products with guarantees—An optimal portfolio framework
by Hambardzumyan, Hayk & Korn, Ralf
- 67-78 On randomized reinsurance contracts
by Albrecher, Hansjörg & Cani, Arian
- 79-86 Forecasting compositional risk allocations
by Boonen, Tim J. & Guillen, Montserrat & Santolino, Miguel
- 87-97 An optimization approach to adaptive multi-dimensional capital management
by Delsing, G.A. & Mandjes, M.R.H. & Spreij, P.J.C. & Winands, E.M.M.
- 98-114 Hedging of crop harvest with derivatives on temperature
by Hainaut, Donatien
- 115-132 Robust non-zero-sum investment and reinsurance game with default risk
by Wang, Ning & Zhang, Nan & Jin, Zhuo & Qian, Linyi
2018, Volume 83, Issue C
- 1-8 Bayesian nonparametric regression models for modeling and predicting healthcare claims
by Richardson, Robert & Hartman, Brian
- 9-28 Time-consistent mean–variance portfolio optimization: A numerical impulse control approach
by Van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A.
- 29-31 Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018)
by Pesenti, Silvana M. & Tsanakas, Andreas & Millossovich, Pietro
- 32-46 Does hunger for bonuses drive the dependence between claim frequency and severity?
by Park, Sojung C. & Kim, Joseph H.T. & Ahn, Jae Youn
- 47-58 Dividends: From refracting to ratcheting
by Albrecher, Hansjörg & Bäuerle, Nicole & Bladt, Martin
- 59-74 Extreme quantile estimation for β-mixing time series and applications
by Chavez-Demoulin, Valérie & Guillou, Armelle
- 75-82 A stochastic order for the analysis of investments affected by the time value of money
by López-Díaz, María Concepción & López-Díaz, Miguel & Martínez-Fernández, Sergio
- 83-92 The dual risk model with dividends taken at arrival
by Boxma, Onno & Frostig, Esther
- 93-109 Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
by Jeon, Junkee & Kwak, Minsuk
- 110-121 The role of heterogeneous parameters for the detection of selection in insurance contracts
by Karlsson, Martin & Klohn, Florian & Rickayzen, Ben
- 122-133 Time-consistent proportional reinsurance and investment strategies under ambiguous environment
by Guan, Guohui & Liang, Zongxia & Feng, Jian
- 134-147 Portfolio management with targeted constant market volatility
by Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael
- 148-160 Optimality of multi-refraction control strategies in the dual model
by Czarna, Irmina & Pérez, José-Luis & Yamazaki, Kazutoshi
- 161-169 Allowing for time and cross dependence assumptions between claim counts in ratemaking models
by Bermúdez, Lluís & Guillén, Montserrat & Karlis, Dimitris
- 170-179 The average risk sharing problem under risk measure and expected utility theory
by Mao, Tiantian & Hu, Jiuyun & Liu, Haiyan
- 180-189 Bayesian credibility for GLMs
by Xacur, Oscar Alberto Quijano & Garrido, José
- 190-197 Discounted penalty function at Parisian ruin for Lévy insurance risk process
by Loeffen, R. & Palmowski, Z. & Surya, B.A.
- 198-205 Insurance choice under third degree stochastic dominance
by Chi, Yichun
- 206-221 Bayesian mortality forecasting with overdispersion
by Wong, Jackie S.T. & Forster, Jonathan J. & Smith, Peter W.F.
2018, Volume 82, Issue C
- 1-10 The impact of negative interest rates on optimal capital injections
by Eisenberg, Julia & Krühner, Paul
- 11-20 On fair reinsurance premiums; Capital injections in a perturbed risk model
by Ben Salah, Zied & Garrido, José
- 21-36 Non-parametric inference of transition probabilities based on Aalen–Johansen integral estimators for acyclic multi-state models: application to LTC insurance
by Guibert, Quentin & Planchet, Frédéric
- 37-47 Optimal risk allocation in reinsurance networks
by Bäuerle, Nicole & Glauner, Alexander
- 48-54 Continuity inequalities for multidimensional renewal risk models
by Gordienko, E. & Vázquez-Ortega, P.
- 55-72 Reinsurance versus securitization of catastrophe risk
by Subramanian, Ajay & Wang, Jinjing
- 73-86 Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
by Josa-Fombellida, Ricardo & López-Casado, Paula & Rincón-Zapatero, Juan Pablo
- 87-94 Bayesian ratemaking with common effects modeled by mixture of Polya tree processes
by Zhang, Jianjun & Qiu, Chunjuan & Wu, Xianyi
- 95-116 A comparative study of pricing approaches for longevity instruments
by Leung, Melvern & Fung, Man Chung & O’Hare, Colin
- 117-123 Conditional expectiles, time consistency and mixture convexity properties
by Bellini, Fabio & Bignozzi, Valeria & Puccetti, Giovanni
- 124-140 Estimating loss reserves using hierarchical Bayesian Gaussian process regression with input warping
by Lally, Nathan & Hartman, Brian
- 141-151 Upper bounds for strictly concave distortion risk measures on moment spaces
by Cornilly, D. & Rüschendorf, L. & Vanduffel, S.
- 152-166 Poissonian potential measures for Lévy risk models
by Landriault, David & Li, Bin & Wong, Jeff T.Y. & Xu, Di
- 167-180 Copula approaches for modeling cross-sectional dependence of data breach losses
by Eling, Martin & Jung, Kwangmin
- 181-190 Minimizing the probability of ruin: Optimal per-loss reinsurance
by Liang, Xiaoqing & Young, Virginia R.
- 191-200 Solvency II, or how to sweep the downside risk under the carpet
by Weber, Stefan
2018, Volume 81, Issue C
- 1-17 VIX-linked fees for GMWBs via explicit solution simulation methods
by Kouritzin, Michael A. & MacKay, Anne
- 18-26 Which eligible assets are compatible with comonotonic capital requirements?
by Koch-Medina, Pablo & Munari, Cosimo & Svindland, Gregor
- 27-35 A multivariate tail covariance measure for elliptical distributions
by Landsman, Zinoviy & Makov, Udi & Shushi, Tomer
- 36-50 Life insurance settlement and the monopolistic insurance market
by Hong, Jimin & Seog, S. Hun
- 51-70 Long-term care models and dependence probability tables by acuity level: New empirical evidence from Switzerland
by Fuino, Michel & Wagner, Joël
- 71-77 LLN-type approximations for large portfolio losses
by Liu, Jing
- 78-94 Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
by Bian, Lihua & Li, Zhongfei & Yao, Haixiang
- 95-107 Compound unimodal distributions for insurance losses
by Punzo, Antonio & Bagnato, Luca & Maruotti, Antonello
- 108-116 Optimal reinsurance under risk and uncertainty on Orlicz hearts
by Kong, Dezhou & Liu, Lishan & Wu, Yonghong
- 117-129 Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts
by Gambaro, Anna Maria & Casalini, Riccardo & Fusai, Gianluca & Ghilarducci, Alessandro
- 130-141 Parameter uncertainty and reserve risk under Solvency II
by Fröhlich, Andreas & Weng, Annegret
2018, Volume 80, Issue C
- 1-14 Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
by Wang, Suxin & Lu, Yi & Sanders, Barbara
- 15-28 Optimal insurance design under background risk with dependence
by Lu, Zhiyi & Meng, Shengwang & Liu, Leping & Han, Ziqi
- 29-44 On optimal periodic dividend strategies for Lévy risk processes
by Noba, Kei & Pérez, José-Luis & Yamazaki, Kazutoshi & Yano, Kouji
- 45-53 Banach Contraction Principle and ruin probabilities in regime-switching models
by Gajek, Lesław & Rudź, Marcin
- 54-65 Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data
by Margraf, Carolin & Elpidorou, Valandis & Verrall, Richard
- 67-83 Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
by Wang, Pei & Li, Zhongfei
- 84-92 Large deviations for risk measures in finite mixture models
by Bignozzi, Valeria & Macci, Claudio & Petrella, Lea
- 93-109 Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
by Gu, Ailing & Viens, Frederi G. & Yao, Haixiang
2018, Volume 79, Issue C
- 1-14 Pricing insurance drawdown-type contracts with underlying Lévy assets
by Palmowski, Zbigniew & Tumilewicz, Joanna
- 15-25 Insurance loss coverage and demand elasticities
by Hao, MingJie & Macdonald, Angus S. & Tapadar, Pradip & Thomas, R. Guy
- 26-42 An IBNR–RBNS insurance risk model with marked Poisson arrivals
by Ahn, Soohan & Badescu, Andrei L. & Cheung, Eric C.K. & Kim, Jeong-Rae
- 43-56 Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
by Kang, Boda & Ziveyi, Jonathan
- 57-68 A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
by Hernández, Camilo & Junca, Mauricio & Moreno-Franco, Harold
- 69-74 Ruin probability via Quantum Mechanics Approach
by Tamturk, Muhsin & Utev, Sergey
- 75-81 Weighted risk capital allocations in the presence of systematic risk
by Furman, Edward & Kuznetsov, Alexey & Zitikis, Ričardas
- 82-91 Distortion measures and homogeneous financial derivatives
by Major, John A.
- 92-100 An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
by Zhou, Ming & Dhaene, Jan & Yao, Jing
- 101-106 Using fuzzy logic to interpret dependent risks
by Kemaloglu, Sibel Acik & Shapiro, Arnold F. & Tank, Fatih & Apaydin, Aysen
- 107-123 Robust evaluation of SCR for participating life insurances under Solvency II
by Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon
- 124-136 De-risking strategy: Longevity spread buy-in
by D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena
- 137-147 Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
by Landriault, David & Li, Bin & Li, Shu
- 148-166 Stochastic distortion and its transformed copula
by Lin, Feng & Peng, Liang & Xie, Jiehua & Yang, Jingping
- 167-183 Annuitization and asset allocation under exponential utility
by Liang, Xiaoqing & Young, Virginia R.
- 184-193 On the evaluation of some multivariate compound distributions with Sarmanov’s counting distribution
by Vernic, Raluca
- 194-209 Optimal investment under VaR-Regulation and Minimum Insurance
by Chen, An & Nguyen, Thai & Stadje, Mitja
- 210-224 Optimal investment management for a defined contribution pension fund under imperfect information
by Zhang, Ling & Zhang, Hao & Yao, Haixiang
- 225-242 Optimal dividends under Erlang(2) inter-dividend decision times
by Avanzi, Benjamin & Tu, Vincent & Wong, Bernard
- 243-246 On existence and uniqueness of the principle of equivalent utility under Cumulative Prospect Theory
by Chudziak, J.
- 247-259 On generalized log-Moyal distribution: A new heavy tailed size distribution
by Bhati, Deepesh & Ravi, Sreenivasan
2018, Volume 78, Issue C