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Series handle: RePEc:eee:insuma
ISSN: 0167-6687
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Content
2015, Volume 61, Issue C
- 206-226 Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
by Targino, Rodrigo S. & Peters, Gareth W. & Shevchenko, Pavel V.
- 227-234 Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims
by He, Lin & Liang, Zongxia
- 235-241 Stochastic comparison of aggregate claim amounts between two heterogeneous portfolios and its applications
by Barmalzan, Ghobad & Najafabadi, Amir T. Payandeh & Balakrishnan, Narayanaswamy
- 242-254 Optimal reinsurance and investment problem for an insurer with counterparty risk
by Zhu, Huiming & Deng, Chao & Yue, Shengjie & Deng, Yingchun
- 255-263 Optimal relativities and transition rules of a bonus–malus system
by Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha
- 264-270 A semiparametric panel approach to mortality modeling
by Li, Han & O’Hare, Colin & Zhang, Xibin
- 271-275 Extended Gerber–Shiu functions in a risk model with interest
by Schmidli, Hanspeter
- 276-285 Evaluation and default time for companies with uncertain cash flows
by Hainaut, Donatien
- 286-297 On the effectiveness of natural hedging for insurance companies and pension plans
by Li, Jackie & Haberman, Steven
2015, Volume 60, Issue C
- 1-10 Bayesian nonparametric predictive modeling of group health claims
by Fellingham, Gilbert W. & Kottas, Athanasios & Hartman, Brian M.
- 11-18 Asymptotic results for conditional measures of association of a random sum
by Asimit, Alexandru V. & Chen, Yiqing
- 19-28 Analytical pricing of vulnerable options under a generalized jump–diffusion model
by Fard, Farzad Alavi
- 29-37 On the efficient utilisation of duration
by Dierkes, Thomas & Ortmann, Karl Michael
- 38-46 A risk model with varying premiums: Its risk management implications
by Li, Shu & Landriault, David & Lemieux, Christiane
- 47-60 Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
by Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra
- 61-74 Optimal reinsurance under risk and uncertainty
by Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel & Heras, Antonio
- 75-82 Occupation times in the MAP risk model
by Landriault, David & Shi, Tianxiang
- 83-97 On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
by Bohnert, Alexander & Gatzert, Nadine & Jørgensen, Peter Løchte
- 98-107 Analysis of a drawdown-based regime-switching Lévy insurance model
by Landriault, David & Li, Bin & Li, Shu
2014, Volume 59, Issue C
- 1-10 On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times
by Lee, Wing Yan & Willmot, Gordon E.
- 11-26 Potential measures for spectrally negative Markov additive processes with applications in ruin theory
by Feng, Runhuan & Shimizu, Yasutaka
- 27-44 On the distribution of sums of random variables with copula-induced dependence
by Gijbels, Irène & Herrmann, Klaus
- 45-56 Fitting asset returns to skewed distributions: Are the skew-normal and skew-student good models?
by Eling, Martin
- 57-64 On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér–Lundberg processes
by Avram, F. & Pistorius, M.
- 65-70 Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions
by Benkhelifa, Lazhar
- 71-77 Efficient approximations for numbers of survivors in the Lee–Carter model
by Gbari, Samuel & Denuit, Michel
- 78-86 Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff
by Peng, Xingchun & Wei, Linxiao & Hu, Yijun
- 87-99 Dynamic hybrid products in life insurance: Assessing the policyholders’ viewpoint
by Bohnert, Alexander & Born, Patricia & Gatzert, Nadine
- 100-108 Risk aggregation and stochastic claims reserving in disability insurance
by Djehiche, Boualem & Löfdahl, Björn
- 109-120 Optimal reinsurance with premium constraint under distortion risk measures
by Zheng, Yanting & Cui, Wei
- 121-132 On the expected discounted dividends in the Cramér–Lundberg risk model with more frequent ruin monitoring than dividend decisions
by Choi, Michael C.H. & Cheung, Eric C.K.
- 133-143 Robust LMI stability, stabilization and H∞ control for premium pricing models with uncertainties into a stochastic discrete-time framework
by Pantelous, Athanasios A. & Yang, Lin
- 144-155 Multivariate reinsurance designs for minimizing an insurer’s capital requirement
by Zhu, Yunzhou & Chi, Yichun & Weng, Chengguo
- 156-167 Solvency II, regulatory capital, and optimal reinsurance: How good are Conditional Value-at-Risk and spectral risk measures?
by Brandtner, Mario & Kürsten, Wolfgang
- 168-177 Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
by Zhang, Zhimin & Yang, Hailiang
- 178-183 The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
by Sun, Ying & Wei, Li
- 184-193 Simulation analysis of ruin capital in Sparre Andersen’s model of risk
by Malinovskii, Vsevolod K. & Kosova, Ksenia O.
- 194-221 Coherent mortality forecasting with generalized linear models: A modified time-transformation approach
by Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang
- 222-234 Optimal investment, consumption and proportional reinsurance under model uncertainty
by Peng, Xingchun & Chen, Fenge & Hu, Yijun
- 235-242 Archimedean copulas derived from utility functions
by Spreeuw, Jaap
- 243-250 Mean-chance model for portfolio selection based on uncertain measure
by Huang, Xiaoxia & Zhao, Tianyi
- 251-257 Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes
by Heilpern, Stanislaw
- 258-278 A copula based Bayesian approach for paid–incurred claims models for non-life insurance reserving
by Peters, Gareth W. & Dong, Alice X.D. & Kohn, Robert
- 279-284 A separation theorem for the weak s-convex orders
by Denuit, Michel & Liu, Liqun & Meyer, Jack
- 285-299 Parametric mortality indexes: From index construction to hedging strategies
by Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha
- 300-310 Mean–variance asset–liability management with asset correlation risk and insurance liabilities
by Chiu, Mei Choi & Wong, Hoi Ying
- 311-320 Extreme value analysis of the Haezendonck–Goovaerts risk measure with a general Young function
by Tang, Qihe & Yang, Fan
- 321-324 Lp-metric under the location-independent risk ordering of random variables
by Yang, Jianping & Zhuang, Weiwei & Hu, Taizhong
- 325-336 Notes on discrete compound Poisson model with applications to risk theory
by Zhang, Huiming & Liu, Yunxiao & Li, Bo
2014, Volume 58, Issue C
- 1-13 On dividend strategies with non-exponential discounting
by Zhao, Qian & Wei, Jiaqin & Wang, Rongming
- 14-23 Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
by Ulm, Eric R.
- 24-33 Pricing and hedging of variable annuities with state-dependent fees
by Delong, Łukasz
- 34-45 Factor risk quantification in annuity models
by Karabey, Uǧur & Kleinow, Torsten & Cairns, Andrew J.G.
- 46-56 Quantifying the risk using copulae with nonparametric marginals
by Bolancé, Catalina & Bahraoui, Zuhair & Artís, Manuel
- 57-67 Optimal investment and risk control policies for an insurer: Expected utility maximization
by Zou, Bin & Cadenillas, Abel
- 68-76 A survey of personalized treatment models for pricing strategies in insurance
by Guelman, Leo & Guillén, Montserrat & Pérez-Marín, Ana M.
- 77-88 Quantile hedging on equity-linked life insurance contracts with transaction costs
by Melnikov, Alexander & Tong, Shuo
- 89-102 Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework
by Chen, Zhiqiang & Pelsser, Antoon & Ponds, Eduard
- 103-115 Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities
by Fung, Man Chung & Ignatieva, Katja & Sherris, Michael
- 116-120 Joint tail of ECOMOR and LCR reinsurance treaties
by Peng, Liang
- 121-131 Individual loss reserving using paid–incurred data
by Pigeon, Mathieu & Antonio, Katrien & Denuit, Michel
- 132-137 GlueVaR risk measures in capital allocation applications
by Belles-Sampera, Jaume & Guillén, Montserrat & Santolino, Miguel
- 138-149 Life insurance policy termination and survivorship
by Valdez, Emiliano A. & Vadiveloo, Jeyaraj & Dias, Ushani
- 150-158 Second order risk aggregation with the Bernstein copula
by Coqueret, Guillaume
- 159-167 Explicit solutions of optimal consumption, investment and insurance problems with regime switching
by Zou, Bin & Cadenillas, Abel
- 168-173 On the analysis of time dependent claims in a class of birth process claim count models
by Landriault, David & Willmot, Gordon E. & Xu, Di
- 174-184 A health insurance pricing model based on prevalence rates: Application to critical illness insurance
by Baione, Fabio & Levantesi, Susanna
- 185-192 Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
by Yang, Haizhong & Li, Jinzhu
- 193-203 Pricing range notes within Wishart affine models
by Chiarella, Carl & Da Fonseca, José & Grasselli, Martino
- 204-216 Purchasing life insurance to reach a bequest goal
by Bayraktar, Erhan & Promislow, S. David & Young, Virginia R.
- 217-222 Optimal portfolio choice for an insurer with loss aversion
by Guo, Wenjing
2014, Volume 56, Issue C
- 1-13 Stochastic analysis of life insurance surplus
by Nolde, Natalia & Parker, Gary
- 14-27 Bringing cost transparency to the life annuity market
by Donnelly, Catherine & Guillén, Montserrat & Nielsen, Jens Perch
- 28-37 Conditional least squares and copulae in claims reserving for a single line of business
by Pešta, Michal & Okhrin, Ostap
- 38-47 Validation of positive quadrant dependence
by Ledwina, Teresa & Wyłupek, Grzegorz
- 48-55 Optimal capital allocation in a hierarchical corporate structure
by Zaks, Yaniv & Tsanakas, Andreas
- 56-67 Time-consistent mean–variance hedging of longevity risk: Effect of cointegration
by Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying
- 68-79 On the multidimensional extension of countermonotonicity and its applications
by Lee, Woojoo & Ahn, Jae Youn
- 80-87 Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
by Fu, Ke-Ang & Ng, Cheuk Yin Andrew
- 88-101 Second-order tail asymptotics of deflated risks
by Hashorva, Enkelejd & Ling, Chengxiu & Peng, Zuoxiang
- 102-111 Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach
by Huang, H. & Milevsky, M.A. & Salisbury, T.S.
2014, Volume 55, Issue C
- 1-9 Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
by Liu, Jingchen & Woo, Jae-Kyung
- 10-17 Prediction in a non-homogeneous Poisson cluster model
by Matsui, Muneya
- 18-29 Multivariate negative binomial models for insurance claim counts
by Shi, Peng & Valdez, Emiliano A.
- 30-39 Price bounds of mortality-linked security in incomplete insurance market
by Huang, Yu-Lieh & Tsai, Jeffrey Tzuhao & Yang, Sharon S. & Cheng, Hung-Wen
- 40-57 CAPM with fuzzy returns and hypothesis testing
by Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Shapiro, A.F. & Terraza, M.
- 58-67 Capital requirements with defaultable securities
by Farkas, Walter & Koch-Medina, Pablo & Munari, Cosimo
- 68-77 Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
by Luciano, Elisa & Regis, Luca
- 78-90 Asymptotic theory for the empirical Haezendonck–Goovaerts risk measure
by Ahn, Jae Youn & Shyamalkumar, Nariankadu D.
- 91-95 On inequalities for moments and the covariance of monotone functions
by Schmidt, Klaus D.
- 96-104 Combining chain-ladder claims reserving with fuzzy numbers
by Heberle, Jochen & Thomas, Anne
- 105-115 Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
by Guan, Guohui & Liang, Zongxia
- 116-128 Optimal surrender policy for variable annuity guarantees
by Bernard, Carole & MacKay, Anne & Muehlbeyer, Max
- 129-146 A benchmark approach to risk-minimization under partial information
by Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra
- 147-155 Longevity risk, cost of capital and hedging for life insurers under Solvency II
by Meyricke, Ramona & Sherris, Michael
- 156-166 Optimal reinsurance and investment with unobservable claim size and intensity
by Liang, Zhibin & Bayraktar, Erhan
- 167-179 Dependent interest and transition rates in life insurance
by Buchardt, Kristian
- 180-190 Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
by Cheung, Ka Chun & Lo, Ambrose
- 191-199 Properties of a risk measure derived from the expected area in red
by Loisel, Stéphane & Trufin, Julien
- 200-209 Some new notions of dependence with applications in optimal allocation problems
by Cai, Jun & Wei, Wei
- 210-224 On optimal periodic dividend strategies in the dual model with diffusion
by Avanzi, Benjamin & Tu, Vincent & Wong, Bernard
- 225-249 Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape
by Klein, Nadja & Denuit, Michel & Lang, Stefan & Kneib, Thomas
- 250-260 Polynomial extensions of distributions and their applications in actuarial and financial modeling
by Li, Hao & Melnikov, Alexander
- 261-271 Valuing risky debt: A new model combining structural information with the reduced-form approach
by Ballestra, Luca Vincenzo & Pacelli, Graziella
- 272-282 On multivariate extensions of Conditional-Tail-Expectation
by Cousin, Areski & Di Bernardino, Elena
- 283-290 Valuation perspectives and decompositions for variable annuities with GMWB riders
by Hyndman, Cody B. & Wenger, Menachem
- 291-300 Arithmetic returns for investment performance measurement
by Magni, Carlo Alberto
- 301-309 Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk
by Malinovskii, Vsevolod K.
- 310-318 Annual intrinsic value of a company in a competitive insurance market
by Malinovskii, Vsevolod K.
2014, Volume 54, Issue C
- 1-11 A risk-based premium: What does it mean for DB plan sponsors?
by Chen, An & Uzelac, Filip
- 12-27 Forecasting mortality for small populations by mixing mortality data
by Ahcan, Ales & Medved, Darko & Olivieri, Annamaria & Pitacco, Ermanno
- 28-40 The ruin time under the Sparre-Andersen dual model
by Yang, Chen & Sendova, Kristina P.
- 41-48 Generalized quantiles as risk measures
by Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela
- 49-57 The Log–Lindley distribution as an alternative to the beta regression model with applications in insurance
by Gómez-Déniz, Emilio & Sordo, Miguel A. & Calderín-Ojeda, Enrique
- 58-65 Reducing risk by merging counter-monotonic risks
by Cheung, Ka Chun & Dhaene, Jan & Lo, Ambrose & Tang, Qihe
- 66-75 Consumption, investment and life insurance strategies with heterogeneous discounting
by de-Paz, Albert & Marín-Solano, Jesús & Navas, Jorge & Roch, Oriol
- 76-83 A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy
by Chen, Xu & Xiao, Ting & Yang, Xiang-qun
- 84-92 Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework
by Yao, Haixiang & Lai, Yongzeng & Ma, Qinghua & Jian, Minjie
- 93-108 Risk aggregation with dependence uncertainty
by Bernard, Carole & Jiang, Xiao & Wang, Ruodu
- 109-122 Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
by Guan, Huiqi & Liang, Zongxia
- 123-132 Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
by Boudreault, Mathieu & Cossette, Hélène & Marceau, Étienne
- 133-143 Optimal dividends in the dual model under transaction costs
by Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi
- 144-151 Borch’s Theorem from the perspective of comonotonicity
by Cheung, K.C. & Rong, Yian & Yam, S.C.P.
2013, Volume 53, Issue 3
- 491-503 The value of interest rate guarantees in participating life insurance contracts: Status quo and alternative product design
by Eling, Martin & Holder, Stefan
- 504-514 Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model
by Zhao, Hui & Rong, Ximin & Zhao, Yonggan
- 515-523 Optimal dividends and ALM under unhedgeable risk
by Pelsser, Antoon A.J. & Laeven, Roger J.A.
- 524-532 A bivariate shot noise self-exciting process for insurance
by Jang, Jiwook & Dassios, Angelos
- 533-543 Optimal capital allocation based on the Tail Mean–Variance model
by Xu, Maochao & Mao, Tiantian
- 544-550 Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
by Zhu, Lingjiong
- 551-568 Insurance demand and welfare-maximizing risk capital—Some hints for the regulator in the case of exponential preferences and exponential claims
by Burren, Daniel
- 569-579 A gamma kernel density estimation for insurance loss data
by Jeon, Yongho & Kim, Joseph H.T.
- 580-596 On the mortality/longevity risk hedging with mortality immunization
by Lin, Tzuling & Tsai, Cary Chi-Liang
- 597-600 Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee
by Costabile, M.
- 601-614 Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model
by Yi, Bo & Li, Zhongfei & Viens, Frederi G. & Zeng, Yan
- 615-623 Valuing equity-linked death benefits in jump diffusion models
by Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang
- 624-631 A new immunization inequality for random streams of assets, liabilities and interest rates
by Gajek, Lesław & Krajewska, Elżbieta
- 632-642 Survival probabilities in bivariate risk models, with application to reinsurance
by Castañer, A. & Claramunt, M.M. & Lefèvre, C.
- 643-649 Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework
by He, Lin & Liang, Zongxia
- 650-663 Pricing Variable Annuity Guarantees in a local volatility framework
by Deelstra, Griselda & Rayée, Grégory
- 664-670 Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
by Bai, Lihua & Cai, Jun & Zhou, Ming
- 671-677 Stochastic Pareto-optimal reinsurance policies
by Zeng, Xudong & Luo, Shangzhen
- 678-689 Pension saving schemes with return smoothing mechanism
by Goecke, Oskar
- 690-697 Optimal reinsurance in the presence of counterparty default risk
by Asimit, Alexandru V. & Badescu, Alexandru M. & Cheung, Ka Chun
- 698-703 Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
by Rassoul, Abdelaziz
- 704-711 Fuzzy portfolio optimization model under real constraints
by Liu, Yong-Jun & Zhang, Wei-Guo
- 712-721 Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach
by Fard, Farzad Alavi & Siu, Tak Kuen
- 722-732 Conditional copula simulation for systemic risk stress testing
by Brechmann, Eike C. & Hendrich, Katharina & Czado, Claudia
- 733-746 Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods
by Jin, Zhuo & Yin, G. & Wu, Fuke
- 747-756 Generalized Makeham’s formula and economic profitability
by Magni, Carlo Alberto
- 757-768 Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
by Shen, Yang & Siu, Tak Kuen
- 769-773 Optimal dividend problem with a terminal value for spectrally positive Lévy processes
by Yin, Chuancun & Wen, Yuzhen
- 774-785 On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing
by Dutang, C. & Lefèvre, C. & Loisel, S.
- 786-794 Modeling dependencies in claims reserving with GEE
by Hudecová, Šárka & Pešta, Michal
- 795-801 Application of data clustering and machine learning in variable annuity valuation
by Gan, Guojun
- 802-811 Valuation and risk assessment of disability insurance using a discrete time trivariate Markov renewal reward process
by Maegebier, Alexander
- 812-820 Insurance bargaining under ambiguity
by Huang, Rachel J. & Huang, Yi-Chieh & Tzeng, Larry Y.
- 821-828 Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
by Puccetti, Giovanni & Wang, Bin & Wang, Ruodu
- 829-839 Total loss estimation using copula-based regression models
by Krämer, Nicole & Brechmann, Eike C. & Silvestrini, Daniel & Czado, Claudia
- 840-850 Stochastic modeling and fair valuation of drawdown insurance
by Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia
- 851-863 Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model
by Yao, Haixiang & Yang, Zhou & Chen, Ping
- 864-870 Modeling future lifetime as a fuzzy random variable
by Shapiro, Arnold F.
- 871-883 Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers
by Chen, Ping & Yam, S.C.P.
- 884-896 General lower bounds on convex functionals of aggregate sums
by Cheung, Ka Chun & Lo, Ambrose
- 897-905 Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity
by Durante, Fabrizio & Fernández Sánchez, Juan & Sempi, Carlo
- 906-918 Dividend problems in the dual risk model
by Afonso, Lourdes B. & Cardoso, Rui M.R. & Egídio dos Reis, Alfredo D.
2013, Volume 53, Issue 2
- 317-324 The uncertain premium principle based on the distortion function
by Li, Shengguo & Peng, Jin & Zhang, Bo
- 325-333 Rationale of underwriters’ pricing conduct on competitive insurance market
by Malinovskii, Vsevolod K.
- 334-342 Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
by Cheung, Ka Chun & Lo, Ambrose
- 343-354 Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
by Cheung, Eric C.K.
- 355-365 Bayesian analysis of loss reserving using dynamic models with generalized beta distribution
by Dong, A.X.D. & Chan, J.S.K.
- 366-378 Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
by Vatamidou, E. & Adan, I.J.B.F. & Vlasiou, M. & Zwart, B.
- 379-387 The determinants of mortality heterogeneity and implications for pricing annuities
by Meyricke, Ramona & Sherris, Michael
- 388-404 Estimation of the parameters of a Markov-modulated loss process in insurance
by Guillou, Armelle & Loisel, Stéphane & Stupfler, Gilles
- 405-415 The natural Banach space for version independent risk measures
by Pichler, Alois
- 416-428 Optimal proportional reinsurance and investment under partial information
by Peng, Xingchun & Hu, Yijun
- 429-438 Optimal bond portfolios with fixed time to maturity
by Andersson, Patrik & Lagerås, Andreas N.
- 439-456 Dividend optimization for regime-switching general diffusions
by Zhu, Jinxia & Chen, Feng
- 457-463 Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments
by Gzyl, Henryk & Novi-Inverardi, Pier-Luigi & Tagliani, Aldo
- 464-477 Dependent competing risks: Cause elimination and its impact on survival
by Dimitrova, Dimitrina S. & Haberman, Steven & Kaishev, Vladimir K.
- 478-489 Finite time ruin probabilities for tempered stable insurance risk processes
by Griffin, Philip S. & Maller, Ross A. & Roberts, Dale
2013, Volume 53, Issue 1
- 1-13 An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
by Badaoui, Mohamed & Fernández, Begoña
- 14-23 Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
by Hao, Xuemiao & Li, Xuan & Shimizu, Yasutaka
- 24-35 Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
by Zhang, Zhimin & Yang, Hailiang
- 36-47 Credibility theory based on trimming
by Kim, Joseph H.T. & Jeon, Yongho
- 48-63 Actuarial applications of the linear hazard transform in mortality immunization
by Tsai, Cary Chi-Liang & Chung, San-Lin
- 64-73 Consistent dynamic affine mortality models for longevity risk applications
by Blackburn, Craig & Sherris, Michael
- 74-85 Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
by Cui, Wei & Yang, Jingping & Wu, Lan
- 86-97 Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion
by Li, Yongwu & Li, Zhongfei
- 98-109 A unified analysis of claim costs up to ruin in a Markovian arrival risk model
by Cheung, Eric C.K. & Feng, Runhuan
- 110-121 Optimal dividends with debts and nonlinear insurance risk processes
by Meng, Hui & Siu, Tak Kuen & Yang, Hailiang
- 122-133 Mortality surface by means of continuous time cohort models
by Jevtić, Petar & Luciano, Elisa & Vigna, Elena
- 134-149 When can insurers offer products that dominate delayed old-age pension benefit claiming?
by Sanders, Lisanne & De Waegenaere, Anja & Nijman, Theo E.
- 150-168 Modelling and projecting mortality improvement rates using a cohort perspective
by Haberman, Steven & Renshaw, Arthur
- 169-178 Approximations of the tail probability of the product of dependent extremal random variables and applications
by Qu, Zhihui & Chen, Yu
- 179-189 Optimal reinsurance subject to Vajda condition
by Chi, Yichun & Weng, Chengguo
- 190-205 Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory
by Di Bernardino, Elena & Rullière, Didier
- 206-215 ECOMOR and LCR reinsurance with gamma-like claims
by Hashorva, Enkelejd & Li, Jinzhu
- 216-229 Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework
by Robert, Christian Y.
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