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Editor: M. J. Goovaerts
Editor: E. S. W. Shiu
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Series handle: RePEc:eee:insuma
ISSN: 0167-6687
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Content
2013, Volume 53, Issue 1
- 230-236 A note on the family of extremality stochastic orders
by López-Díaz, María Concepción & López-Díaz, Miguel
- 237-251 A heavy traffic approach to modeling large life insurance portfolios
by Blanchet, Jose & Lam, Henry
- 252-265 Optimal risk transfer under quantile-based risk measurers
by Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim
- 266-272 Long-term behavior of stochastic interest rate models with jumps and memory
by Bao, Jianhai & Yuan, Chenggui
- 273-280 Simple risk measure calculations for sums of positive random variables
by Guillén, Montserrat & Sarabia, José María & Prieto, Faustino
- 281-291 Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach
by Wei, J. & Wong, K.C. & Yam, S.C.P. & Yung, S.P.
- 292-301 Modified Gaussian pseudo-copula: Applications in insurance and finance
by Fang, Y. & Madsen, L.
- 302-316 Intensity-based premium evaluation for unemployment insurance products
by Biagini, Francesca & Groll, Andreas & Widenmann, Jan
2013, Volume 52, Issue 3
- 421-434 Control variates and conditional Monte Carlo for basket and Asian options
by Dingeç, Kemal Dinçer & Hörmann, Wolfgang
- 435-440 On iterative premium calculation principles under Cumulative Prospect Theory
by Kaluszka, Marek & Krzeszowiec, Michał
- 441-447 Tail Variance premiums for log-elliptical distributions
by Landsman, Zinoviy & Pat, Nika & Dhaene, Jan
- 448-456 Optimal dividend problem with a nonlinear regular-singular stochastic control
by Chen, Mi & Peng, Xiaofan & Guo, Junyi
- 457-464 Extensions of the notion of overall comonotonicity to partial comonotonicity
by Zhang, Lianzeng & Duan, Baige
- 465-468 Risky targets and effort
by Chuang, O-Chia & Eeckhoudt, Louis & Huang, Rachel J. & Tzeng, Larry Y.
- 469-476 An extension of Paulsen–Gjessing’s risk model with stochastic return on investments
by Yin, Chuancun & Wen, Yuzhen
- 477-489 Quantile credibility models
by Pitselis, Georgios
- 490-497 The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
by Dickson, David C.M. & Li, Shuanming
- 498-507 Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps
by Zeng, Yan & Li, Zhongfei & Lai, Yongzeng
- 508-521 Constant proportion portfolio insurance under a regime switching exponential Lévy process
by Weng, Chengguo
- 522-531 On the (in-)dependence between financial and actuarial risks
by Dhaene, Jan & Kukush, Alexander & Luciano, Elisa & Schoutens, Wim & Stassen, Ben
- 532-541 A feasible natural hedging strategy for insurance companies
by Wang, Chou-Wen & Huang, Hong-Chih & Hong, De-Chuan
- 542-549 Lifetime dependence modelling using a truncated multivariate gamma distribution
by Alai, Daniel H. & Landsman, Zinoviy & Sherris, Michael
- 550-559 Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
by Deme, El Hadji & Girard, Stéphane & Guillou, Armelle
- 560-572 Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation
by Cossette, Hélène & Côté, Marie-Pier & Marceau, Etienne & Moutanabbir, Khouzeima
- 573-589 Multidimensional smoothing by adaptive local kernel-weighted log-likelihood: Application to long-term care insurance
by Tomas, Julien & Planchet, Frédéric
- 590-598 The multi-year non-life insurance risk in the additive loss reserving model
by Diers, Dorothea & Linde, Marc
- 599-605 Choosing a random distribution with prescribed risks
by Cascos, Ignacio & Molchanov, Ilya
- 606-614 Pricing high-risk and low-risk insurance contracts with incomplete information and production costs
by Ramsay, Colin M. & Oguledo, Victor I. & Pathak, Priya
2013, Volume 52, Issue 2
- 127-134 On the generalized Gerber–Shiu function for surplus processes with interest
by Li, Shuanming & Lu, Yi
- 135-144 Reinsurance and securitisation of life insurance risk: The impact of regulatory constraints
by Barrieu, Pauline & Loubergé, Henri
- 145-156 Optimal investment policy in the time consistent mean–variance formulation
by Chen, Zhi-ping & Li, Gang & Guo, Ju-e
- 157-169 Pricing and securitization of multi-country longevity risk with mortality dependence
by Yang, Sharon S. & Wang, Chou-Wen
- 170-179 A note on discounted compound renewal sums under dependency
by Woo, Jae-Kyung & Cheung, Eric C.K.
- 180-189 Optimal reinsurance with general premium principles
by Chi, Yichun & Tan, Ken Seng
- 190-203 Expected value multiobjective portfolio rebalancing model with fuzzy parameters
by Gupta, Pankaj & Mittal, Garima & Mehlawat, Mukesh Kumar
- 204-212 Computing best bounds for nonlinear risk measures with partial information
by Wong, Man Hong & Zhang, Shuzhong
- 213-221 A characterization of optimal portfolios under the tail mean–variance criterion
by Owadally, Iqbal & Landsman, Zinoviy
- 222-230 Systemic risk tradeoffs and option prices
by Madan, Dilip B. & Schoutens, Wim
- 231-242 A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
by Yang, Sharon S. & Dai, Tian-Shyr
- 243-254 Pricing catastrophe risk bonds: A mixed approximation method
by Ma, Zong-Gang & Ma, Chao-Qun
- 255-262 A nonparametric approach to calculating value-at-risk
by Alemany, Ramon & Bolancé, Catalina & Guillén, Montserrat
- 263-274 Best portfolio insurance for long-term investment strategies in realistic conditions
by Pézier, Jacques & Scheller, Johanna
- 275-285 Modeling and forecasting mortality rates
by Mitchell, Daniel & Brockett, Patrick & Mendoza-Arriaga, Rafael & Muthuraman, Kumar
- 286-299 Pricing inflation products with stochastic volatility and stochastic interest rates
by Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W.
- 300-311 Pricing European options on deferred annuities
by Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael
- 312-319 Extremes and products of multivariate AC-product risks
by Yang, Yang & Hashorva, Enkelejd
- 320-337 Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data
by Hatzopoulos, P. & Haberman, S.
- 338-351 Testing tail monotonicity by constrained copula estimation
by Gijbels, Irène & Sznajder, Dominik
- 352-358 Challenges with non-informative gamma priors in the Bayesian over-dispersed Poisson reserving model
by Wüthrich, Mario V.
- 359-369 Optimal decision on dynamic insurance price and investment portfolio of an insurer
by Mao, Hong & Carson, James M. & Ostaszewski, Krzysztof M. & Wen, Zhongkai
- 370-380 Level premium rates as a function of initial capital
by Malinovskii, Vsevolod K.
- 381-390 Claims reserving in the hierarchical generalized linear model framework
by Gigante, Patrizia & Picech, Liviana & Sigalotti, Luciano
- 391-403 Pure robust versus robust portfolio unbiased—Credibility and asymptotic optimality
by Pitselis, Georgios
- 404-410 Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
by He, Lin & Liang, Zongxia
- 411-420 The connection between distortion risk measures and ordered weighted averaging operators
by Belles-Sampera, Jaume & Merigó, José M. & Guillén, Montserrat & Santolino, Miguel
2013, Volume 52, Issue 1
- 1-5 Worst-case actuarial calculations consistent with single- and multiple-decrement life tables
by Christiansen, Marcus C. & Denuit, Michel M.
- 6-17 Continuous-time mean–variance asset–liability management with endogenous liabilities
by Yao, Haixiang & Lai, Yongzeng & Li, Yong
- 18-28 Pricing and simulations of catastrophe bonds
by Nowak, Piotr & Romaniuk, Maciej
- 29-34 A note on killing with applications in risk theory
by Ivanovs, Jevgenijs
- 35-45 If we can simulate it, we can insure it: An application to longevity risk management
by Boyer, M. Martin & Stentoft, Lars
- 46-51 Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures
by Lu, ZhiYi & Liu, LePing & Meng, ShengWang
- 52-64 Optimal investment for an insurer with cointegrated assets: CRRA utility
by Chiu, Mei Choi & Wong, Hoi Ying
- 65-76 Exchanging uncertain mortality for a cost
by Donnelly, Catherine & Guillén, Montserrat & Nielsen, Jens Perch
- 77-86 Pricing inflation-linked variable annuities under stochastic interest rates
by Tiong, Serena
- 87-97 Individual post-retirement longevity risk management under systematic mortality risk
by Hanewald, Katja & Piggott, John & Sherris, Michael
- 98-113 On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
by Avanzi, Benjamin & Cheung, Eric C.K. & Wong, Bernard & Woo, Jae-Kyung
- 114-123 Longevity bond pricing under stochastic interest rate and mortality with regime-switching
by Shen, Yang & Siu, Tak Kuen
2012, Volume 51, Issue 3
- 505-516 A generalization of the Kaplan–Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models
by Lopez, Olivier
- 517-530 Moments and semi-moments for fuzzy portfolio selection
by Sadefo Kamdem, Jules & Tassak Deffo, Christian & Fono, Louis Aimé
- 531-537 Gram–Charlier densities: Maximum likelihood versus the method of moments
by Del Brio, Esther B. & Perote, Javier
- 538-550 Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach
by Lee, David & Li, Wai Keung & Wong, Tony Siu Tung
- 551-566 Optimal investment and consumption when regime transitions cause price shocks
by Lim, Andrew E.B. & Watewai, Thaisiri
- 567-575 On a reduced form credit risk model with common shock and regime switching
by Liang, Xue & Wang, Guojing
- 576-585 Optimal dividend and equity issuance problem with proportional and fixed transaction costs
by Peng, Xiaofan & Chen, Mi & Guo, Junyi
- 586-598 Optimal consumption and allocation in variable annuities with Guaranteed Minimum Death Benefits
by Gao, Jin & Ulm, Eric R.
- 599-616 Equitable solvent controls in a multi-period game model of risk
by Malinovskii, Vsevolod K.
- 617-623 Skew mixture models for loss distributions: A Bayesian approach
by Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea
- 624-631 Stochastic evaluation of life insurance contracts: Model point on asset trajectories and measurement of the error related to aggregation
by Nteukam T., Oberlain & Planchet, Frédéric
- 632-635 Calculation of Bayes premium for conditional elliptical risks
by Kume, Alfred & Hashorva, Enkelejd
- 636-648 Analytical calculation of risk measures for variable annuity guaranteed benefits
by Feng, Runhuan & Volkmer, Hans W.
- 649-666 Quantifying credit and market risk under Solvency II: Standard approach versus internal model
by Gatzert, Nadine & Martin, Michael
- 667-673 Optimal investment strategies for the HARA utility under the constant elasticity of variance model
by Jung, Eun Ju & Kim, Jai Heui
- 674-684 Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
by Gu, Ailing & Guo, Xianping & Li, Zhongfei & Zeng, Yan
- 685-693 Minimal cost of a Brownian risk without ruin
by Luo, Shangzhen & Taksar, Michael
- 694-701 Modelling dependent data for longevity projections
by D’Amato, Valeria & Haberman, Steven & Piscopo, Gabriella & Russolillo, Maria
- 702-712 Fuzzy risk adjusted performance measures: Application to hedge funds
by Sadefo Kamdem, J. & Mbairadjim Moussa, A. & Terraza, M.
2012, Volume 51, Issue 2
- 229-238 On a mean reverting dividend strategy with Brownian motion
by Avanzi, Benjamin & Wong, Bernard
- 239-248 Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?
by Eling, Martin
- 249-256 Convex order approximations in the case of cash flows of mixed signs
by Dhaene, Jan & Goovaerts, Marc & Vanmaele, Michèle & Van Weert, Koen
- 257-264 On the Lp-metric between a probability distribution and its distortion
by López-Díaz, Miguel & Sordo, Miguel A. & Suárez-Llorens, Alfonso
- 265-270 Convex order and comonotonic conditional mean risk sharing
by Denuit, Michel & Dhaene, Jan
- 271-281 Computing bounds on the expected payoff of Alternative Risk Transfer products
by Villegas, Andrés M. & Medaglia, Andrés L. & Zuluaga, Luis F.
- 282-291 Optimal retirement consumption with a stochastic force of mortality
by Huang, Huaxiong & Milevsky, Moshe A. & Salisbury, Thomas S.
- 292-302 Comparison of risks based on the expected proportional shortfall
by Belzunce, Félix & Pinar, José F. & Ruiz, José M. & Sordo, Miguel A.
- 303-309 Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution
by Pirvu, Traian A. & Zhang, Huayue
- 310-321 Optimal reinsurance under variance related premium principles
by Chi, Yichun
- 322-332 Heterogeneity of Australian population mortality and implications for a viable life annuity market
by Su, Shu & Sherris, Michael
- 333-343 Second-order properties of the Haezendonck–Goovaerts risk measure for extreme risks
by Mao, Tiantian & Hu, Taizhong
- 344-351 The optimal mean–variance investment strategy under value-at-risk constraints
by Ye, Jun & Li, Tiantian
- 352-369 Maximizing the utility of consumption with commutable life annuities
by Wang, Ting & Young, Virginia R.
- 370-378 An adaptive premium policy with a Bayesian motivation in the classical risk model
by Landriault, David & Lemieux, Christiane & Willmot, Gordon E.
- 379-381 A note on weighted premium calculation principles
by Kaluszka, M. & Laeven, R.J.A. & Okolewski, A.
- 382-392 Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
by Griffin, Philip S. & Maller, Ross A. & Schaik, Kees van
- 393-401 Analysis of the discounted sum of ascending ladder heights
by Cossette, Hélène & Landriault, David & Marceau, Etienne & Moutanabbir, Khouzeima
- 402-408 A multivariate aggregate loss model
by Ren, Jiandong
- 409-421 Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
by Feng, Runhuan & Volkmer, Hans W.
- 422-429 Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
by Lin, Jianxi
- 430-441 On the valuation of reverse mortgages with regular tenure payments
by Lee, Yung-Tsung & Wang, Chou-Wen & Huang, Hong-Chih
- 442-448 An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk
by Ballestra, Luca Vincenzo & Ottaviani, Massimiliano & Pacelli, Graziella
- 449-456 Second-order expansions of the risk concentration based on CTE
by Mao, Tiantian & Lv, Wenhua & Hu, Taizhong
- 457-461 Precise large deviations of aggregate claims in a size-dependent renewal risk model
by Chen, Yiqing & Yuen, Kam C.
- 462-471 Optimal insurance under multiple sources of risk with positive dependence
by Lu, ZhiYi & Liu, LePing & Zhang, JianYu & Meng, LiLi
- 472-479 Asymptotic consistency and inconsistency of the chain ladder
by Pešta, Michal & Hudecová, Šárka
- 480-491 Estimation of medical costs by copula models with dynamic change of health status
by Zhao, Xiaobing & Zhou, Xian
- 492-503 Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures
by Hua, Lei & Joe, Harry
2012, Volume 51, Issue 1
- 1-9 Portfolio selection through an extremality stochastic order
by Laniado, Henry & Lillo, Rosa E. & Pellerey, Franco & Romo, Juan
- 10-18 On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures
by Goovaerts, Marc & Linders, Daniël & Van Weert, Koen & Tank, Fatih
- 19-25 The time to ruin and the number of claims until ruin for phase-type claims
by Frostig, Esther & Pitts, Susan M. & Politis, Konstadinos
- 26-42 Optimal dividend policies for compound Poisson processes: The case of bounded dividend rates
by Azcue, Pablo & Muler, Nora
- 43-52 A new class of models for heavy tailed distributions in finance and insurance risk
by Ahn, Soohan & Kim, Joseph H.T. & Ramaswami, Vaidyanathan
- 53-65 Alarm system for insurance companies: A strategy for capital allocation
by Das, S. & Kratz, M.
- 66-72 Claims development result in the paid-incurred chain reserving method
by Happ, Sebastian & Merz, Michael & Wüthrich, Mario V.
- 73-92 Valuing equity-linked death benefits and other contingent options: A discounted density approach
by Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang
- 93-106 Ruin by dynamic contagion claims
by Dassios, Angelos & Zhao, Hongbiao
- 107-114 Haezendonck–Goovaerts risk measures and Orlicz quantiles
by Bellini, Fabio & Rosazza Gianin, Emanuela
- 115-121 Tail distortion risk and its asymptotic analysis
by Zhu, Li & Li, Haijun
- 122-133 Copula based hierarchical risk aggregation through sample reordering
by Arbenz, Philipp & Hummel, Christoph & Mainik, Georg
- 134-141 On the analysis of a general class of dependent risk processes
by Willmot, Gordon E. & Woo, Jae-Kyung
- 142-150 Jackknife empirical likelihood method for some risk measures and related quantities
by Peng, Liang & Qi, Yongcheng & Wang, Ruodu & Yang, Jingping
- 151-157 Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure
by Marri, Fouad & Furman, Edward
- 158-171 A performance analysis of participating life insurance contracts
by Faust, Roger & Schmeiser, Hato & Zemp, Alexandra
- 172-181 Optimal asset allocation for DC pension plans under inflation
by Han, Nan-wei & Hung, Mao-wei
- 182-190 Dynamic hedging of conditional value-at-risk
by Melnikov, Alexander & Smirnov, Ivan
- 191-203 Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model
by Li, Zhongfei & Zeng, Yan & Lai, Yongzeng
- 204-215 Multivariate longitudinal modeling of insurance company expenses
by Shi, Peng
- 216-221 A maximum-entropy approach to the linear credibility formula
by Payandeh Najafabadi, Amir T. & Hatami, Hamid & Omidi Najafabadi, Maryam
- 222-227 Multivariate insurance models: An overview
by Anastasiadis, Simon & Chukova, Stefanka
2012, Volume 50, Issue 3
- 293-298 Stochastic comparisons of capital allocations with applications
by Xu, Maochao & Hu, Taizhong
- 299-308 Multivariate stress scenarios and solvency
by McNeil, Alexander J. & Smith, Andrew D.
- 309-333 Parametric mortality improvement rate modelling and projecting
by Haberman, Steven & Renshaw, Arthur
- 334-337 The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
by Dickson, David C.M.
- 338-345 Ambiguity aversion, higher-order risk attitude and optimal effort
by Huang, Rachel J.
- 346-356 Modeling dependence dynamics through copulas with regime switching
by Silva Filho, Osvaldo Candido da & Ziegelmann, Flavio Augusto & Dueker, Michael J.
- 357-370 The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets
by Dhaene, Jan & Linders, Daniël & Schoutens, Wim & Vyncke, David
- 371-384 Multi-period mean–variance portfolio selection with regime switching and a stochastic cash flow
by Wu, Huiling & Li, Zhongfei
- 385-390 Comparison of increasing directionally convex transformations of random vectors with a common copula
by Belzunce, Félix & Suárez-Llorens, Alfonso & Sordo, Miguel A.
- 391-401 Managing longevity and disability risks in life annuities with long term care
by Levantesi, Susanna & Menzietti, Massimiliano
- 402-412 Delta–Gamma hedging of mortality and interest rate risk
by Luciano, Elisa & Regis, Luca & Vigna, Elena
- 413-422 Characterization of left-monotone risk aversion in the RDEU model
by Mao, Tiantian & Hu, Taizhong
- 423-429 On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities
by Li, Xiaohu & You, Yinping
- 430-436 Dependence modeling in non-life insurance using the Bernstein copula
by Diers, Dorothea & Eling, Martin & Marek, Sebastian D.
- 437-445 Dividends and reinsurance under a penalty for ruin
by Liang, Zhibin & Young, Virginia R.
- 446-461 Are quantile risk measures suitable for risk-transfer decisions?
by Guerra, Manuel & Centeno, M.L.
- 462-469 Insurance pricing with complete information, state-dependent utility, and production costs
by Ramsay, Colin M. & Oguledo, Victor I.
2012, Volume 50, Issue 2
- 229-235 Comparison and bounds for functionals of future lifetimes consistent with life tables
by Barz, Christiane & Müller, Alfred
- 236-246 Multidimensional Lee–Carter model with switching mortality processes
by Hainaut, Donatien
- 247-256 TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
by Cossette, Hélène & Mailhot, Mélina & Marceau, Étienne
- 257-265 The Solvency II square-root formula for systematic biometric risk
by Christiansen, Marcus C. & Denuit, Michel M. & Lazar, Dorina
- 266-279 Bayesian modelling of the time delay between diagnosis and settlement for Critical Illness Insurance using a Burr generalised-linear-type model
by Ozkok, Erengul & Streftaris, George & Waters, Howard R. & Wilkie, A. David
- 280-291 Lévy risk model with two-sided jumps and a barrier dividend strategy
by Bo, Lijun & Song, Renming & Tang, Dan & Wang, Yongjin & Yang, Xuewei
2012, Volume 50, Issue 1
- 1-11 Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
by Pansera, Jérôme
- 12-25 Explaining young mortality
by O’Hare, Colin & Li, Youwei
- 26-42 Excess based allocation of risk capital
by van Gulick, Gerwald & De Waegenaere, Anja & Norde, Henk
- 43-49 On the invariant properties of notions of positive dependence and copulas under increasing transformations
by Cai, Jun & Wei, Wei
- 50-56 Arbitrage in skew Brownian motion models
by Rossello, Damiano
- 57-63 Optimal reinsurance with positively dependent risks
by Cai, Jun & Wei, Wei
- 64-78 Analyzing surplus appropriation schemes in participating life insurance from the insurer’s and the policyholder’s perspective
by Bohnert, Alexander & Gatzert, Nadine
- 79-84 Competitive insurance market in the presence of ambiguity
by Anwar, Sajid & Zheng, Mingli
- 85-93 A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
by Giacometti, Rosella & Bertocchi, Marida & Rachev, Svetlozar T. & Fabozzi, Frank J.
- 94-98 Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
by Landsman, Zinoviy & Makov, Udi
- 99-108 Extreme value behavior of aggregate dependent risks
by Chen, Die & Mao, Tiantian & Pan, Xiaoqing & Hu, Taizhong
- 109-120 Recursive methods for a multi-dimensional risk process with common shocks
by Gong, Lan & Badescu, Andrei L. & Cheung, Eric C.K.
- 121-130 Optimal loss-carry-forward taxation for the Lévy risk model
by Wang, Wenyuan & Hu, Yijun
- 131-138 Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives
by Ahčan, Aleš
- 139-149 Risk concentration of aggregated dependent risks: The second-order properties
by Tong, Bin & Wu, Chongfeng & Xu, Weidong
- 150-158 Risky asset allocation and consumption rule in the presence of background risk and insurance markets
by Lin, Wen-chang & Lu, Jin-ray
- 159-166 Pricing insurance contracts under Cumulative Prospect Theory
by Kaluszka, Marek & Krzeszowiec, Michał
- 167-178 On the absolute ruin problem in a Sparre Andersen risk model with constant interest
by Mitric, Ilie-Radu & Badescu, Andrei L. & Stanford, David A.
- 179-190 Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
by Zhao, Hui & Rong, Ximin
- 191-199 Copula models for insurance claim numbers with excess zeros and time-dependence
by Zhao, Xiaobing & Zhou, Xian
- 200-216 Optimal commutable annuities to minimize the probability of lifetime ruin
by Wang, Ting & Young, Virginia R.
- 217-227 On the Haezendonck–Goovaerts risk measure for extreme risks
by Tang, Qihe & Yang, Fan
2011, Volume 49, Issue 3
- 285-297 Variable annuities: A unifying valuation approach
by Bacinello, Anna Rita & Millossovich, Pietro & Olivieri, Annamaria & Pitacco, Ermanno
- 298-309 Analysis of risk models using a level crossing technique
by Brill, Percy H. & Yu, Kaiqi
- 310-324 Asymptotics for risk capital allocations based on Conditional Tail Expectation
by Asimit, Alexandru V. & Furman, Edward & Tang, Qihe & Vernic, Raluca
- 325-334 Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
by Brahimi, Brahim & Meraghni, Djamel & Necir, Abdelhakim & Zitikis, Ričardas
- 335-344 Sensitivity of risk measures with respect to the normal approximation of total claim distributions
by Krätschmer, Volker & Zähle, Henryk
- 345-352 Asymptotic behavior of the empirical conditional value-at-risk
by Gao, Fuqing & Wang, Shaochen
- 353-360 Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
by Zhang, Wei-Guo & Zhang, Xili & Chen, Yunxia
- 361-370 Portfolio insurance under a risk-measure constraint
by De Franco, Carmine & Tankov, Peter
- 371-379 Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
by Landriault, David & Shi, Tianxiang & Willmot, Gordon E.
- 380-392 Worst case risk measurement: Back to the future?
by Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A.
- 393-400 Valuing variable annuity guarantees with the multivariate Esscher transform
by Ng, Andrew Cheuk-Yin & Li, Johnny Siu-Hang
- 401-409 A risk-based model for the valuation of pension insurance
by Chen, An
- 410-417 A characterization of the multivariate excess wealth ordering
by Fernández-Ponce, J.M. & Pellerey, F. & Rodríguez-Griñolo, M.R.
- 418-428 Behavioral optimal insurance
by Sung, K.C.J. & Yam, S.C.P. & Yung, S.P. & Zhou, J.H.
- 429-437 Accounting for regime and parameter uncertainty in regime-switching models
by Hartman, Brian M. & Heaton, Matthew J.
- 438-453 Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging
by Cairns, Andrew J.G.