# Elsevier

# Insurance: Mathematics and Economics

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### 1990, Volume 9, Issue 4

**257-272 Applications of the GB2 family of distributions in modeling insurance loss processes***by*Cummins, J. David & Dionne, Georges & McDonald, James B. & Pritchett, B. Michael**273-275 Covariance matrix patterns invariant under multiplication and inversion***by*Jewell, William S.**277-279 On Life Table applications of ordering among risks***by*Hurlimann, Werner**281-290 The cost of deposit insurance: derivation of a risk-adjusted premium***by*Urrutia, Jorge**291-293 A discussion of 'AIDS: exponential vs. polynomial growth models' by Harry H. Panjer***by*Herzog, Thomas N.**295-303 'Finem Lauda' or the risks in swaps***by*Artzner, Philippe & Delbaen, Freddy

### 1990, Volume 9, Issue 2-3

**77-80 Credibility for increased limits***by*Klugman, Stuart**81-94 Synthetic portfolio insurance on the Italian stock index: From theory to practice***by*Pressacco, Flavio & Stucchi, Patrizia**95-99 Simulation of ruin probabilities***by*Boogaert, P. & De Waegenaere, A.**101-113 The recursive calculation of the moments of the profit on a sickness insurance policy***by*Waters, Howard**115-119 When does the surplus reach a given target?***by*Gerber, Hans U.**121-126 A remark on the moments of ruin time in classical risk theory***by*Delbaen, Freddy**127-130 Nonparametric estimators for the probability of ruin***by*Croux, Kristof & Veraverbeke, Noel**131-139 Valuation of derivative securities involving several assets using discrete time methods***by*Boyle, Phelim P.**141-148 Simulating risk solvency***by*Embrechts, Paul & Wouters, Lode**149-153 On a fundamental identity for stopping times and its application to risk theory***by*Ramsay, Colin M.**155-162 Macro-economic version of a classical formula in risk theory***by*Boogaert, P. & De Waegenaere, A.**163-169 A 'bonus/malus' system with 'conditioned' bonus***by*Sammartini, G.**171-175 On Redington's theory of immunization***by*Shiu, Elias S. W.**177-178 Ordering of risks and ruin probabilities***by*Kaas, R. & Van Heerwaarden, A. E.**179-184 Insurance vs. loss prevention - an actuarial approach***by*Heilmann, W. -R.**185-196 Interest and mortality randomness in some annuities***by*Beekman, John A. & Fuelling, Clinton P.**197-206 The parameters of a multiple criteria model of actuarial assumptions for pension plan valuations***by*Shapiro, Arnold F.**207-220 Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk***by*Heijnen, B.**221-228 On a multilevel hierarchical credibility algorithm***by*Bauwelinckx, T. & Goovaerts, M. J.**229-234 The retrospective premium reserve***by*Wolthuis, Henk & Hoem, Jan M.

### 1990, Volume 9, Issue 1

**1-19 Portfolio insurance: a simulation under different market conditions***by*Bird, Ron & Cunningham, Ross & Dennis, David & Tippett, Mark**21-32 Generalised linear models and excess mortality from peptic ulcers***by*Haberman, S. & Renshaw, A. E.**33-37 Maximizing the expected time to ruin for a company operating N distinct funds with a 'superclaims' process***by*Browne, Sidney**39-49 On maximum likelihood estimation for count data models***by*Hurlimann, Werner**51-57 Improved estimation of IBNR claims by credibility theory***by*Mack, Thomas**59-76 Optimal claim behaviour for third-party liability insurances or to claim or not to claim: that is the question***by*Dellaert, N. P. & Frenk, J. B. G. & Kouwenhoven, A. & Van Der Laan, B. S.

### 1989, Volume 8, Issue 4

**261-267 Properties of the Esscher premium calculation principle***by*Van Heerwaarden, A. E. & Kaas, R. & Goovaerts, M. J.**269-277 A martingale approach to premium calculation principles in an arbitrage free market***by*Delbaen, F. & Haezendonck, J.**279-285 Estimation of ruin probabilities by means of hazard rates***by*Kluppelberg, Claudia**287-302 Insurance-investment: diffusion analysis***by*Page, Dominique**303-308 Estimating hedonic distributions using polynomials***by*Butler, Richard J. & Worrall, John D.**309-313 On optimum loss control: the case of Poisson distributed losses***by*Cho, Dongsae**315-319 Positive homogeneity and multiplicativity of premium principles on positive risks***by*Schmidt, Klaus D.**321-330 Delay in claim settlement***by*Boogaert, P. & Haezendonck, J.

### 1989, Volume 8, Issue 3

**157-157 Guest editors' introduction***by*Panjer, Harry H. & Willmot, Gordon E.**159-164 Bayesian modelling of mortality catastrophes***by*Klugman, Stuart A.**165-173 Stochastic differential equations for compounded risk reserves***by*Garrido, Jose**175-185 Limiting tail behaviour of some discrete compound distributions***by*Willmot, Gordon E.**187-201 Weak convergence of random growth processes with applications to insurance***by*Dufresne, Daniel**203-209 AIDS: Exponential vs. polynomial growth models***by*Panjer, Harry H.**211-232 Observations on the HIV epidemic and managing uncertainty in insurance***by*Holland, David M.**233-242 Further reflections on actuarial recognition of nuclear holocaust hazard***by*Nesbitt, Cecil J.**243-249 Ruin probability by operational calculus***by*Shiu, Elias S. W.**251-258 On the computation of the aggregate claim distribution when individual claims are Inverse Gaussian***by*Gendron, Michel & Crepeau, Helene

### 1989, Volume 8, Issue 2

**105-118 The demand for Italian health insurance***by*Fiocca, Mariateresa & Hey, John D.**119-126 Bonus hunger and credibility estimators with geometric weights***by*Sundt, Bjorn**127-136 A general framework for credibility prediction of multidimensional first and second moments***by*Jewell, William S.**137-144 On the derivation of reinsurance premiums***by*Chang, Jack S. K. & Cheung, C. S. & Krinsky, I.**145-148 Recursive calculation of the probability and severity of ruin***by*Dickson, David C. M.**149-152 Representation of a time-discrete probability of eventual ruin***by*Michel, R.

### 1989, Volume 8, Issue 1

**1-1 Editorial***by*Gerber, Hans & Mammitzsch, Volker & Haezendonck, Jean & Goovaerts, Marc**3-10 The Buhlmann--Straub Model with the premium calculated according to the variance principle***by*Centeno, Lourdes**11-17 Optimal reinsurance in relation to ordering of risks***by*Van Heerwaarden, A. E. & Kaas, R. & Goovaerts, M. J.**19-21 Combining Panjer's recursion with convolution***by*Kaas, R. & Van Heerwaarden, A. E. & Goovaerts, M. J.**23-29 The practical application of credibility theory***by*Goovaerts, M. J. & Bauwelinckx, T. & Stoop, C.**31-34 A credit scoring model for personal loans***by*Steenackers, A. & Goovaerts, M. J.**35-46 Selection of variables for automobile insurance rating***by*Stroinski, Krzysztof J. & Currie, Iain D.**47-56 A managerial approach to risk theory: Some suggestions from the theory of financial decisions***by*Pressacco, Flavio**57-62 Compound and mixed distributions***by*De Vylder, F.**63-69 A three-way credibility approach to loss reserving***by*Venter, G.**71-76 Stability of pension systems when rates of return are random***by*Dufresne, Daniel**77-95 Decision theoretic foundations of credibility theory***by*Heilmann, Wolf-Rudiger**97-104 Perturbation calculus in risk theory: Application to chains and trees of reinsurance***by*Heijnen, Bart

### 1988, Volume 7, Issue 4

**211-217 Rudiments of insurance purchasing: a graphical state-claims analysis***by*Kahane, Yehuda & Schlesinger, Harris & Yanai, Nitzan**219-224 Immunization of multiple liabilities***by*Shiu, Elias S. W.**225-236 The emergence of profit in life insurance***by*Ramlau-Hansen, Henrik**237-249 On optimal dividend payments and related problems***by*Waldmann, K. -H.**251-259 Simple risk forecasts using credibility***by*Hurlimann, Werner**261-267 The validity of least squares estimation in a time series model using the bootstrap methodology***by*Son, Mun & Hamdy, Hosny & Almahmeed, Mohammad & Sindahl, Bruce**269-274 Ruin estimates for large claims***by*Embrechts, P. & Villasenor, J. A.**275-281 Further use of Shiu's approach to the evaluation of ultimate ruin probabilities***by*Willmot, Gordon E.**283-285 A recursive algorithm for convolutions of discrete uniform distributions***by*Sundt, Bjorn

### 1988, Volume 7, Issue 3

**139-152 Option pricing methods: an overview***by*Van Hulle, Cynthia**153-161 A stochastic simulation procedure for pension schemes***by*Racinello, Anna Rita**163-173 Stochastic models for bond prices, function space integrals and immunization theory***by*Beekman, John A. & Shiu, Elias S. W.**175-184 A new method for valuing underwriting agreements for rights issues***by*Aase, Knut K.**185-191 Instrument effects and stochastic dominance***by*Bradley, Michael G. & Lehman, Dale E.**193-199 The surpluses immediately before and at ruin, and the amount of the claim causing ruin***by*Dufresne, Francois & Gerber, Hans U.**201-210 Mean-lower partial moment asset pricing and the regulation of property--liability insurance rates***by*Cox, Larry A. & Griepentrog, Gary L.

### 1988, Volume 7, Issue 2

**75-80 The probability and severity of ruin for combinations of exponential claim amount distributions and their translations***by*Dufresne, Francois & Gerber, Hans U.**81-93 Optimal term life insurance -- A practical solution***by*Lévy, Haim & Simon, Julian L. & Doherty, Neil A.**95-101 Yields on lottery bonds***by*Ramlau-Hansen, Henrik**103-112 A bonus--malus system in automobile insurance***by*Neuhaus, Walther**113-122 Credibility estimators with geometric weights***by*Sundt, Bjorn**123-129 Diffusion premiums for claim severities subject to inflation***by*Garrido, Jose**131-138 Limit theorems for the present value of the surplus of an insurance portfolio***by*Boogaert, P. & Haezendonck, J. & Delbaen, F.

### 1988, Volume 7, Issue 1

**1-7 Recursive calculation of finite-time ruin probabilities***by*De Vylder, F. & Goovaerts, M. J.**9-14 Aspects of optimal insurance demand when there are uninsurable risks***by*Kischka, Peter**15-23 Mathematical fun with ruin theory***by*Gerber, Hans U.**25-33 Joint insurance and capitalization costs***by*Tapiero, Charles S. & Jacque, Laurent**35-37 On algebraic equivalence of tariffing systems***by*Hurlimann, Werner**39-40 An elementary proof of the Adelson--Panjer recursion formula***by*Hurlimann, Werner**41-47 Calculation of the probability of eventual ruin by Beekman's convolution series***by*Shiu, Elias S. W.**49-57 A gamma-minimax result in credibility theory***by*Eichenauer, Jurgen & Lehn, Jurgen & Rettig, Stefan**59-66 Cross-validatory graduation***by*Brooks, R. J. & Stone, M. & Chan, F. Y. & Chan, L. K.**67-69 Non-uniqueness of option prices***by*Gerber, Hans U. & Shiu, Elias S. W.**71-74 The contribution formula: an economic view***by*Kune, J. B.

### 1987, Volume 6, Issue 4

**237-244 The effect of risk parameters on decision making***by*Nigm, A. M. & El-Habashi, M. H. & Hamdy, H. I.**245-257 Premium rating under non-exponential utility***by*Goovaerts, M. J. & Taylor, G. C.**259-266 On the Fisher-Weil immunization theorem***by*Shiu, Elias S. W.**267-274 An improvement to the convolution method of calculating [psi](u)***by*Meyers, Glenn & Beekman, John A.**275-287 Expenses and underwriting strategy in competition***by*Taylor, G. C.**289-293 New upper bounds for stop-loss premiums for the individual model***by*Van heerwaarden, A. E. & Kaas, R. & Goovaerts, M. J.

### 1987, Volume 6, Issue 3

**169-178 Calculation of the maximum retentions in XL reinsurance***by*Zecchin, Marco**179-188 The problem of stability in insurance mathematics***by*Beirlant, J. & Rachev, S. T.**189-194 Credibility and old estimates***by*Sundt, Bjorn**195-202 Approximations for stop-loss premiums***by*Teugels, J. L. & Willmot, G.**203-212 Symbolic computing***by*Chan, Fung Yee**213-220 Estimating rates of return on Australian superannuation funds***by*McCrae, Michael & Tippett, Mark**221-232 Upperbounds on ruin probabilities in case of negative loadings and positive interest rates***by*Boogaert, P. & Crijns, V.**233-234 Stochastic modelling and analysis: A computational approach,: Henk C. Thijms, Wiley Series in Probability and Mathematical Statistics (Wiley, New York, 1986) pp. xii + 418, [UK pound]19.95***by*Teugels, Jozef L.

### 1987, Volume 6, Issue 2

**85-116 Classical risk theory in an economic environment***by*Delbaen, F. & Haezendonck, J.**117-127 A model for determining early retirement incentives***by*Sharp, Keith P.**129-134 A two-parameter family of pension contribution functions and stochastic optimization***by*O'Brien, Thomas**135-144 Retroactive price regulation and the fair rate of return***by*Doherty, Neil A.**145-149 On the robustness of premium principles***by*Heilmann, W. -R. & Schroter, K.**151-159 Prediction of IBNR claim counts by modelling the distribution of report lags***by*Kaminsky, Kenneth S.**161-164 Lebensversicherungsmathematik : H.U. Gerber, (Vereinigung schweizerischer Versicherungsmathematiker, Zurich; distributed by Springer Verlag, Berlin-Heidelberg-New York-London-Paris-Tokyo, 1986) pp. xiii + 125, DM 98,-, ISBN 3-540-16669-6***by*Wolthuis, H.

### 1987, Volume 6, Issue 1

**1-6 Matrix derivation of moving-weighted-average graduation formulas***by*Shiu, Elias S. W.**7-18 Balancing an insurance portfolio by class of business***by*Taylor, G. C.**19-31 A numerical approach to utility functions in risk theory***by*Hurlimann, W.**33-42 On the use of QUADPACK for the calculation of risk theoretical quantities***by*Kaas, R. & Goovaerts, M. J.**43-56 Difference equation approaches in evaluation of compound distributions***by*Willmot, G. E. & Panjer, H. H.**57-62 A collective risk comparative study***by*Beekman, John A. & Fuelling, Clinton P.**63-64 A simple proof of Feller's characterization of the compound Poisson distributions***by*Ospina, A. Valderrama & Gerber, H. U.**65-83 Stochastic investment models--theory and applications***by*Wilkie, A. D.

### 1986, Volume 5, Issue 4

**255-259 Points systems for car insurance***by*Hutchinson, T. P. & Rowell, S.**261-270 The determination of life premiums: An international cross-section analysis 1970-1981***by*Beenstock, Michael & Dickinson, Gerry & Khajuria, Sajay**271-274 On robust premium principles***by*Kremer, E.**275-278 A note on insurance leverage under skew distributions***by*Albrecht, Peter**279-283 Extremal values of stop-loss premiums under moment constraints***by*Kaas, R. & Goovaerts, M. J.**285-293 Estimates for the probability of ruin starting with a large initial reserve***by*Horvath, Lajos & Willekens, Eric**295-303 The submartingale assumption in risk theory***by*Moriconi, Franco**305-313 On the estimation of the adjustment coefficient in risk theory by means of stochastic approximation procedures***by*Herkenrath, Ulrich**315-334 Upper bounds on stop-loss premiums in case of known moments up to the fourth order***by*Jansen, K. & Haezendonck, J. & Goovaerts, M. J.

### 1986, Volume 5, Issue 3

**183-185 A note on risk premiums with random initial wealth***by*Doherty, Neil A. & Schlesinger, Harris**187-196 Approximation of the initial reserve for known ruin probabilities***by*Frees, Edward W.**197-199 On the impact of independence of risks on stop loss premiums***by*Heilmann, Wolf-Rudiger**201-215 Martingales in Markov processes applied to risk theory***by*Delbaen, F. & Haezendonck, J.**217-254 Stochastic models for life contingencies***by*Wolthuis, H. & Van Hoek, I.

### 1986, Volume 5, Issue 2

**119-127 Strategies for computation of compound distributions with two-sided severities***by*Jewell, W. S. & Milidiu, R. L.**129-132 Improved recursions for some compound poisson distributions***by*De Pril, Nelson**133-140 A bivariate model for total fertility rate and mean age of childbearing***by*Miller, Robert B.**141-146 A stochastic-dynamic approach to pension funding***by*O'Brien, Thomas**147-149 A note on the adjustment coefficient in ruin theory***by*Mammitzsch, V.**151-157 On the small risk approximation***by*Heijnen, Bert & Gerber, Hans U.**158-163 Two inequalities on stop-loss premiums and some of its applications***by*Hurlimann, Werner**164-167 General bounds on ruin probabilities***by*Kaas, R. & Goovaerts, M. J.**169-182 Measuring the effects of reinsurance by the adjustment coefficient***by*Centeno, Lourdes

### 1986, Volume 5, Issue 1

**1-1 Editorial***by*Zehnwirth, Ben**3-29 A survey of the relationship between claims reserves and solvency margins***by*Byrnes, J. F.**31-33 Discussion of A survey of the relationship between claims reserves and solvency margins by J. Byrnes***by*Hewitt, Charles C.**35-39 Ordering of risks and ruin probabilities***by*Broeckx, F. & Goovaerts, M. & De Vylder, F.**41-44 Discussion of Ordering of risks and ruin probabilities by F. Broeckx, M. Goovaerts and F. De Vylder***by*Taylor, G. C.**45-56 Discussion of methods of claim reserving in non-life insurance***by*Reid, D. H.**57-58 Discussion of Discussion of methods of claim reserving in non-life insurance by D.H. Reid***by*Hart, D. G.**59-77 Underwriting strategy in a competitive insurance environment***by*Taylor, G. C.**79-80 Discussion of Underwriting strategy in a competitive insurance environment by G.C. Taylor***by*Benjamin, B.**81-83 Discussion of Underwriting strategy in a competitive insurance environment by G.C. Taylor***by*Pentikainen, T.**85-86 Discussion of Underwriting strategy in a competitive insurance environment by G.C. Taylor***by*Lester, R.**87-92 Best bounds for positive distributions with fixed moments***by*Kaas, R. & Goovaerts, M. J.**93-95 Discussion of Best bounds for positive distributions with fixed moments by R. Kaas and M.J. Goovaerts***by*Taylor, G. C.**97-101 Properties of premium calculation principles***by*Reich, Axel**103-112 Risk theory and serendipity***by*Borch, Karl**113-116 Computational aspects of recursive evaluation of compound distributions***by*Panjer, Harry H. & Willmot, Gordon E.**117-118 Discussion of Computational aspects of recursive evaluation of compound distributions by H.H. Panjer and G.E. Willmot***by*Brown, A.

### 1985, Volume 4, Issue 4

**227-232 Approximation of aggregate claims distributions by compound poisson distributions***by*Hipp, C.**233-238 Finite formulae for the premium of the general reinsurance treaty based on ordered claims***by*Kremer, Erhard**239-244 A note on immunization under a general stochastic equilibrium model of the term structure***by*Albrecht, Peter**245-248 Two other views of the traditional net risk premium rate***by*Ramsay, Colin M.**249-251 On additive principles of zero utility***by*Gerber, Hans U.**253-261 Product safety for a monopolist under strict liability***by*Schlesinger, Harris**263-266 A note on De Vylder's method of estimation of IBNR claims***by*Hadidi, Nasser**267-278 Optimal indemnity contracts***by*Blazenko, George**279-285 Chains of reinsurance: Non-cooperative equilibria and pareto optimality***by*d'Ursel, L. & Lauwers, M.**287-293 Bounds on compound distributions and stop-loss premiums***by*Runnenburg, J. Th. & Goovaerts, M. J.**295-295 Correction***by*Janssen, Jacques

### 1985, Volume 4, Issue 3

**143-153 Approximation and estimation of some compound distributions***by*Teugels, Jozef L.**155-162 Semilinear credibility with several approximating functions***by*De Vylder, F. & Goovaerts, M.**163-172 Non-linear regression in credibility theory***by*De Vylder, F.**173-177 Tolerance intervals in risk theory***by*Heilmann, Wolf-Rudiger**179-189 On convex principles of premium calculation***by*Deprez, Olivier & Gerber, Hans U.**191-199 Optimal insurance coverage in situations of pure and speculative risk and the risk-free asset***by*Kahane, Yehuda & Kroll, Yoram**201-206 Inversed martingales in risk theory***by*Delbaen, F. & Haezendonck, J.**207-224 Home responsibility protection and married women's pension rights***by*Haberman, S.

### 1985, Volume 4, Issue 2

**75-79 The utility of deductibles from the insurer's point of view***by*Mack, Thomas**81-91 Combination of estimates of outstanding claims in non-life insurance***by*Taylor, G. C.**93-98 Investment portfolio behavior of non-life insurers: A utility analysis***by*Briys, Eric P.**99-111 Application of the problem of moments to derive bounds on integrals with integral constraints***by*Goovaerts, M. J. & Kaas, R.**113-122 Ruin probabilities allowing for delay in claims settlement***by*Waters, Howard R. & Papatriandafylou, Alex**123-127 Investment policies and reinsurance for pension funds***by*Muller, Heinz H.**129-134 A series for infinite time ruin probabilities***by*Beekman, John A.**135-135 On the monotonicity of stop-loss premiums***by*Gerber, Hans U. & Schuerger, Klaus**137-141 Currency options as theoretical and practical instrument in hedging the exchange risk in excess of loss reinsurance***by*Eldor, Rafael & Kahane, Yehuda

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