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Series handle: RePEc:eee:insuma
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Content
2023, Volume 110, Issue C
- 1-30 Robust retirement and life insurance with inflation risk and model ambiguity
by Park, Kyunghyun & Wong, Hoi Ying & Yan, Tingjin
- 31-52 Optimal entry decision of unemployment insurance under partial information
by Xing, Jie & Ma, Jingtang & Yang, Wensheng
- 53-71 Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach
by Lautier, Jackson P. & Pozdnyakov, Vladimir & Yan, Jun
- 72-81 Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
by Nguyen, Duy Phat & Borovkov, Konstantin
- 82-105 Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
by Mi, Hui & Xu, Zuo Quan
- 106-124 Empirical tail risk management with model-based annealing random search
by Fan, Qi & Tan, Ken Seng & Zhang, Jinggong
2023, Volume 109, Issue C
- 1-28 The Gerber-Shiu discounted penalty function: A review from practical perspectives
by He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi
- 29-51 Dependence modeling of frequency-severity of insurance claims using waiting time
by Gao, Guangyuan & Li, Jiahong
- 52-68 Managing reputational risk in the decumulation phase of a pension fund
by Boado-Penas, M. Carmen & Brinker, Leonie V. & Eisenberg, Julia & Korn, Ralf
- 69-93 Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions
by Liu, Wenyue & Cadenillas, Abel
- 94-112 Deep quantile and deep composite triplet regression
by Fissler, Tobias & Merz, Michael & Wüthrich, Mario V.
2023, Volume 108, Issue C
- 1-24 Two-stage nested simulation of tail risk measurement: A likelihood ratio approach
by Dang, Ou & Feng, Mingbin & Hardy, Mary R.
- 25-45 Optimal consumption and life insurance under shortfall aversion and a drawdown constraint
by Li, Xun & Yu, Xiang & Zhang, Qinyi
- 46-59 From risk reduction to risk elimination by conditional mean risk sharing of independent losses
by Denuit, Michel & Robert, Christian Y.
- 60-83 Portfolio choice with illiquid asset for a loss-averse pension fund investor
by Chen, Zheng & Li, Zhongfei & Zeng, Yan
- 84-106 Pricing extreme mortality risk in the wake of the COVID-19 pandemic
by Li, Han & Liu, Haibo & Tang, Qihe & Yuan, Zhongyi
- 107-128 Probability equivalent level of Value at Risk and higher-order Expected Shortfalls
by Barczy, Mátyás & K. Nedényi, Fanni & Sütő, László
- 129-155 Optimal investment and consumption strategies for pooled annuity with partial information
by Xie, Lin & Chen, Lv & Qian, Linyi & Li, Danping & Yang, Zhixin
- 156-164 Inf-convolution and optimal allocations for mixed-VaRs
by Xia, Zichao & Zou, Zhenfeng & Hu, Taizhong
- 165-176 A new stochastic dominance criterion for dependent random variables with applications
by Belzunce, Félix & Martínez-Riquelme, Carolina
- 177-189 Nonparametric density estimation and risk quantification from tabulated sample moments
by Lambert, Philippe
2022, Volume 107, Issue C
- 1-21 Copula-based inference for bivariate survival data with left truncation and dependent censoring
by Deresa, N.W. & Van Keilegom, I. & Antonio, K.
- 22-37 Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
by Hanbali, Hamza & Dhaene, Jan & Linders, Daniël
- 38-56 Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
by Li, Jinzhu
- 57-67 BERT-based NLP techniques for classification and severity modeling in basic warranty data study
by Xu, Shuzhe & Zhang, Chuanlong & Hong, Don
- 68-87 Mortality modeling and regression with matrix distributions
by Albrecher, Hansjörg & Bladt, Martin & Bladt, Mogens & Yslas, Jorge
- 88-101 Cyber-contagion model with network structure applied to insurance
by Hillairet, Caroline & Lopez, Olivier & d'Oultremont, Louise & Spoorenberg, Brieuc
- 102-122 Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
by Goegebeur, Yuri & Guillou, Armelle & Pedersen, Tine & Qin, Jing
- 123-139 Basis risk management and randomly scaled uncertainty
by Mercè Claramunt, M. & Lefèvre, Claude & Loisel, Stéphane & Montesinos, Pierre
- 140-160 The Parisian and ultimate drawdowns of Lévy insurance models
by Li, Shu & Zhou, Xiaowen
- 161-179 Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns
by Gao, Lisa & Shi, Peng
- 180-198 Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models
by Fung, Tsz Chai
- 199-222 Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants
by Gribkova, N.V. & Su, J. & Zitikis, R.
- 223-268 Asymptotic theory for Mack's model
by Steinmetz, Julia & Jentsch, Carsten
- 269-287 Multivariate claim processes with rough intensities: Properties and estimation
by Hainaut, Donatien
- 288-306 Extension of as-if-Markov modeling to scaled payments
by Christiansen, Marcus C. & Furrer, Christian
- 307-325 Pareto-optimal reinsurance under individual risk constraints
by Ghossoub, Mario & Jiang, Wenjun & Ren, Jiandong
- 326-348 Irreversible reinsurance: A singular control approach
by Yan, Tingjin & Park, Kyunghyun & Wong, Hoi Ying
- 349-360 Ratemaking territories and adverse selection for flood insurance
by Boudreault, Mathieu & Ojeda, Angelica
- 361-378 Bilateral risk sharing in a comonotone market with rank-dependent utilities
by Boonen, Tim J. & Jiang, Wenjun
- 379-392 Frequency-severity experience rating based on latent Markovian risk profiles
by Verschuren, Robert Matthijs
- 393-417 Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk
by Liu, Haiyan & Mao, Tiantian
2022, Volume 106, Issue C
- 1-12 Earthquake parametric insurance with Bayesian spatial quantile regression
by Pai, Jeffrey & Li, Yunxian & Yang, Aijun & Li, Chenxu
- 13-32 Imbalanced learning for insurance using modified loss functions in tree-based models
by Hu, Changyue & Quan, Zhiyu & Chong, Wing Fung
- 33-45 Frequency and severity estimation of cyber attacks using spatial clustering analysis
by Ma, Boyuan & Chu, Tingjin & Jin, Zhuo
- 46-68 Dynamic optimal adjustment policies of hybrid pension plans
by He, Lin & Liang, Zongxia & Wang, Sheng
- 69-89 Care-dependent tontines
by Chen, An & Chen, Yusha & Xu, Xian
- 90-114 Cyber risk frequency, severity and insurance viability
by Malavasi, Matteo & Peters, Gareth W. & Shevchenko, Pavel V. & Trück, Stefan & Jang, Jiwook & Sofronov, Georgy
- 115-127 Actuarial intelligence in auto insurance: Claim frequency modeling with driving behavior features and improved boosted trees
by Meng, Shengwang & Gao, Yaqian & Huang, Yifan
- 128-145 Stackelberg differential game for insurance under model ambiguity
by Cao, Jingyi & Li, Dongchen & Young, Virginia R. & Zou, Bin
- 146-172 Optimal dividends under Markov-modulated bankruptcy level
by Ferrari, Giorgio & Schuhmann, Patrick & Zhu, Shihao
- 173-192 Avoiding zero probability events when computing Value at Risk contributions
by Koike, Takaaki & Saporito, Yuri & Targino, Rodrigo
- 193-217 Robust equilibrium strategies in a defined benefit pension plan game
by Guan, Guohui & Hu, Jiaqi & Liang, Zongxia
- 218-238 Stochastic mortality dynamics driven by mixed fractional Brownian motion
by Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping
- 239-253 Multi-population modelling and forecasting life-table death counts
by Shang, Han Lin & Haberman, Steven & Xu, Ruofan
- 254-269 Combining multi-asset and intrinsic risk measures
by Laudagé, Christian & Sass, Jörn & Wenzel, Jörg
- 270-284 Parametric measures of variability induced by risk measures
by Bellini, Fabio & Fadina, Tolulope & Wang, Ruodu & Wei, Yunran
- 285-301 Green nested simulation via likelihood ratio: Applications to longevity risk management
by Feng, Ben Mingbin & Li, Johnny Siu-Hang & Zhou, Kenneth Q.
- 302-325 Asymptotic analysis of portfolio diversification
by Cui, Hengxin & Tan, Ken Seng & Yang, Fan & Zhou, Chen
- 326-340 Model mortality rates using property and casualty insurance reserving methods
by Tsai, Cary Chi-Liang & Kim, Seyeon
- 341-363 Modeling pandemic mortality risk and its application to mortality-linked security pricing
by Chen, Fen-Ying & Yang, Sharon S. & Huang, Hong-Chih
- 364-389 Multivariate matrix-exponential affine mixtures and their applications in risk theory
by Cheung, Eric C.K. & Peralta, Oscar & Woo, Jae-Kyung
2022, Volume 105, Issue C
- 1-13 Three-step risk inference in insurance ratemaking
by Hou, Yanxi & Kang, Seul Ki & Lo, Chia Chun & Peng, Liang
- 14-40 Decrease of capital guarantees in life insurance products: Can reinsurance stop it?
by Escobar-Anel, Marcos & Havrylenko, Yevhen & Kschonnek, Michel & Zagst, Rudi
- 41-53 Automatic Fatou property of law-invariant risk measures
by Chen, Shengzhong & Gao, Niushan & Leung, Denny H. & Li, Lei
- 54-63 Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels
by Ang, Zi Qing & Lee, See Keong
- 64-78 The location of a minimum variance squared distance functional
by Landsman, Zinoviy & Shushi, Tomer
- 79-95 The added value of dynamically updating motor insurance prices with telematics collected driving behavior data
by Henckaerts, Roel & Antonio, Katrien
- 96-127 Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method
by Kang, Boda & Shen, Yang & Zhu, Dan & Ziveyi, Jonathan
- 128-143 Exact credibility reference Bayesian premiums
by Gómez-Déniz, Emilio & Vázquez-Polo, Francisco J.
- 144-174 Stochastic loss reserving with mixture density neural networks
by Al-Mudafer, Muhammed Taher & Avanzi, Benjamin & Taylor, Greg & Wong, Bernard
- 175-193 Refundable income annuities: Feasibility of money-back guarantees
by Milevsky, Moshe A. & Salisbury, Thomas S.
- 194-202 Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves
by Boratyńska, Agata & Zielińska-Kolasińska, Zofia
- 203-210 Similar risks have similar prices: A useful and exact quantification
by Mildenhall, Stephen J.
- 211-237 Annuity and insurance choice under habit formation
by Boyle, Phelim & Tan, Ken Seng & Wei, Pengyu & Zhuang, Sheng Chao
- 238-251 An asymptotic study of systemic expected shortfall and marginal expected shortfall
by Chen, Yiqing & Liu, Jiajun
- 252-278 Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
by Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra
- 279-292 S-shaped narrow framing, skewness and the demand for insurance
by Chi, Yichun & Zheng, Jiakun & Zhuang, Shengchao
- 293-312 Controlling the effects of adverse selection in flexible benefit plans: A pricing-based approach
by Ng, Cherie & Sanders, Barbara & Bégin, Jean-François
- 313-335 Blockchain mining in pools: Analyzing the trade-off between profitability and ruin
by Albrecher, Hansjörg & Finger, Dina & Goffard, Pierre-O.
- 336-359 Sample recycling method – a new approach to efficient nested Monte Carlo simulations
by Feng, Runhuan & Li, Peng
2022, Volume 104, Issue C
- 1-14 Estimating and backtesting risk under heavy tails
by Pitera, Marcin & Schmidt, Thorsten
- 15-34 COVID-19 and credit risk: A long memory perspective
by Yin, Jie & Han, Bingyan & Wong, Hoi Ying
- 35-59 Optimal insurance to maximize RDEU under a distortion-deviation premium principle
by Liang, Xiaoqing & Wang, Ruodu & Young, Virginia R.
- 60-75 Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses
by Meng, Jin & Chan, Kung-Sik
- 76-98 On capital allocation for a risk measure derived from ruin theory
by Delsing, G.A. & Mandjes, M.R.H. & Spreij, P.J.C. & Winands, E.M.M.
- 99-132 Optimal long-term contracts with disability insurance under limited commitment
by Choi, Kyoung Jin & Jeon, Junkee & Lee, Ho-Seok & Lin, Hsuan-Chih
- 133-157 Estimating the time value of ruin in a Lévy risk model under low-frequency observation
by Wang, Wenyuan & Xie, Jiayi & Zhang, Zhimin
- 158-184 A hierarchical reserving model for reported non-life insurance claims
by Crevecoeur, Jonas & Robben, Jens & Antonio, Katrien
- 185-199 What can we learn from telematics car driving data: A survey
by Gao, Guangyuan & Meng, Shengwang & Wüthrich, Mario V.
- 200-221 Revisiting the optimal insurance design under adverse selection: Distortion risk measures and tail-risk overestimation
by Liang, Zhihang & Zou, Jushen & Jiang, Wenjun
- 222-242 Unraveling heterogeneity in cyber risks using quantile regressions
by Eling, Martin & Jung, Kwangmin & Shim, Jeungbo
- 243-261 A new class of copula regression models for modelling multivariate heavy-tailed data
by Li, Zhengxiao & Beirlant, Jan & Yang, Liang
- 262-282 A general optimal approach to Bühlmann credibility theory
by Yan, Yujie & Song, Kai-Sheng
- 283-301 A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference
by Hou, Yanxi
2022, Volume 103, Issue C
- 1-26 Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
by Huang, Yiming & Mamon, Rogemar & Xiong, Heng
- 27-40 Risk transference constraints in optimal reinsurance
by Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel & Heras, Antonio
- 41-55 Multi-population mortality modeling: When the data is too much and not enough
by Kung, Ko-Lun & MacMinn, Richard D. & Kuo, Weiyu & Tsai, Chenghsien Jason
- 56-65 Risk measures induced by efficient insurance contracts
by Wang, Qiuqi & Wang, Ruodu & Zitikis, Ričardas
- 66-95 Statistical inference for tail-based cumulative residual entropy
by Sun, Hongfang & Chen, Yu & Hu, Taizhong
- 96-118 A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
by Albrecher, Hansjörg & Cheung, Eric C.K. & Liu, Haibo & Woo, Jae-Kyung
- 119-138 On non-negative equity guarantee calculations with macroeconomic variables related to house prices
by Badescu, Alexandru & Quaye, Enoch & Tunaru, Radu
2022, Volume 102, Issue C
- 1-21 Measuring and comparing risks of different types
by Aigner, Maximilian & Chavez-Demoulin, Valérie & Guillou, Armelle
- 22-41 Regret-based optimal insurance design
by Chi, Yichun & Zhuang, Sheng Chao
- 42-55 Stackelberg differential game for reinsurance: Mean-variance framework and random horizon
by Li, Danping & Young, Virginia R.
- 56-74 Short term decumulation strategies for underspending retirees
by Forsyth, Peter A.
- 75-90 Risk aggregation and capital allocation using a new generalized Archimedean copula
by Marri, Fouad & Moutanabbir, Khouzeima
- 91-110 Portfolio risk analysis of excess of loss reinsurance
by Tang, Qihe & Tong, Zhiwei & Xun, Li
- 111-125 Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims
by Vernic, Raluca & Bolancé, Catalina & Alemany, Ramon
- 126-145 Systemic risk: Conditional distortion risk measures
by Dhaene, Jan & Laeven, Roger J.A. & Zhang, Yiying
- 146-168 Asymptotic results on marginal expected shortfalls for dependent risks
by Li, Jinzhu
- 169-187 Risk aggregation under dependence uncertainty and an order constraint
by Chen, Yuyu & Lin, Liyuan & Wang, Ruodu
- 188-202 Optimal asset allocation, consumption and retirement time with the variation in habitual persistence
by He, Lin & Liang, Zongxia & Song, Yilun & Ye, Qi
2021, Volume 101, Issue PB
- 125-139 Structured reinsurance deals with reference to relative market performance
by Vincent, Léonard & Albrecher, Hansjörg & Krvavych, Yuriy
- 140-162 A random forest based approach for predicting spreads in the primary catastrophe bond market
by Makariou, Despoina & Barrieu, Pauline & Chen, Yining
- 163-172 Testing for more positive expectation dependence with application to model comparison
by Denuit, Michel & Trufin, Julien & Verdebout, Thomas
- 173-185 Haezendonck-Goovaerts capital allocation rules
by Canna, Gabriele & Centrone, Francesca & Rosazza Gianin, Emanuela
- 186-201 De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts
by Kim, Bara & Kim, Jeongsim & Kim, Jerim
- 202-224 Dividend optimisation: A behaviouristic approach
by Brinker, Leonie Violetta & Eisenberg, Julia
- 225-239 Optimal reinsurance under the α-maxmin mean-variance criterion
by Zhang, Liming & Li, Bin
- 240-261 Gamma Mixture Density Networks and their application to modelling insurance claim amounts
by Delong, Łukasz & Lindholm, Mathias & Wüthrich, Mario V.
- 262-288 A special Tweedie sub-family with application to loss reserving prediction error
by Taylor, Greg
- 289-301 When is utilitarian welfare higher under insurance risk pooling?
by Chatterjee, Indradeb & Macdonald, Angus S. & Tapadar, Pradip & Thomas, R. Guy
- 302-319 Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability
by Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao
- 320-341 Fourier based methods for the management of complex life insurance products
by Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid
- 342-358 Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications
by Gobbi, Fabio & Kolev, Nikolai & Mulinacci, Sabrina
- 359-383 Pandemic risk management: Resources contingency planning and allocation
by Chen, Xiaowei & Chong, Wing Fung & Feng, Runhuan & Zhang, Linfeng
- 384-405 Optimal control of investment, premium and deductible for a non-life insurance company
by Christensen, Bent Jesper & Parra-Alvarez, Juan Carlos & Serrano, Rafael
- 406-424 Moment generating function of non-Markov self-excited claims processes
by Hainaut, Donatien
- 425-436 Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
by Mohammed, Nawaf & Furman, Edward & Su, Jianxi
- 437-465 A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
by Ignatieva, Katja & Landsman, Zinoviy
- 466-484 Enhancing an insurer's expected value by reinsurance and external financing
by Chi, Yichun & Liu, Fangda
- 485-497 Autocalibration and Tweedie-dominance for insurance pricing with machine learning
by Denuit, Michel & Charpentier, Arthur & Trufin, Julien
- 498-507 Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
by Colaneri, Katia & Frey, Rüdiger
- 508-524 Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
by Liu, Guo & Jin, Zhuo & Li, Shuanming
- 525-546 Multivariate dependence among cyber risks based on L-hop propagation
by Da, Gaofeng & Xu, Maochao & Zhao, Peng
- 547-571 Reinsurance of multiple risks with generic dependence structures
by Guerra, M. & de Moura, A.B.
- 572-586 Dispersion modelling of outstanding claims with double Poisson regression models
by Gao, Guangyuan & Meng, Shengwang & Shi, Yanlin
- 587-601 Optimal fee structure of variable annuities
by Wang, Gu & Zou, Bin
- 602-625 The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking
by Tzougas, George & Pignatelli di Cerchiara, Alice
- 626-638 On the ordering of credibility factors
by Youn Ahn, Jae & Jeong, Himchan & Lu, Yang
2021, Volume 101, Issue PA
- 6-22 Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance
by Ghossoub, Mario & He, Xue Dong
- 23-37 Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs
by Boonen, Tim J. & Ghossoub, Mario
- 38-54 Demand for non-life insurance under habit formation
by Li, Wenyuan & Tan, Ken Seng & Wei, Pengyu
- 55-69 Optimal retirement products under subjective mortality beliefs
by Chen, An & Hieber, Peter & Rach, Manuel
- 70-79 Optimal annuity demand for general expected utility agents
by Bernard, Carole & De Gennaro Aquino, Luca & Levante, Lucia
- 80-90 Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods
by Zhang, Jinhui & Purcal, Sachi & Wei, Jiaqin
- 91-106 Return smoothing in life insurance from a client perspective
by Ruß, Jochen & Schelling, Stefan
- 107-124 Hawkes processes in insurance: Risk model, application to empirical data and optimal investment
by Swishchuk, Anatoliy & Zagst, Rudi & Zeller, Gabriela
2021, Volume 100, Issue C
- 1-29 Optimal risk exposure and dividend payout policies under model uncertainty
by Feng, Yang & Zhu, Jinxia & Siu, Tak Kuen
- 30-58 Infinitely stochastic micro reserving
by Maciak, Matúš & Okhrin, Ostap & Pešta, Michal
- 59-75 Forecasting mortality with international linkages: A global vector-autoregression approach
by Li, Hong & Shi, Yanlin
- 76-88 The annuity puzzle and consumption hump under ambiguous life expectancy
by Han, Nan-Wei & Hung, Mao-Wei
- 89-106 Fees in tontines
by Chen, An & Guillen, Montserrat & Rach, Manuel
- 107-129 On retirement time decision making
by Chen, An & Hentschel, Felix & Steffensen, Mogens
- 130-146 Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
by Bosserhoff, Frank & Stadje, Mitja
- 147-155 On the analysis of deep drawdowns for the Lévy insurance risk model
by Landriault, David & Li, Bin & Lkabous, Mohamed Amine
- 156-192 Capital, aggregate risk, insurance prices and regulation
by Subramanian, Ajay & Wang, Jinjing
- 193-209 A decomposition of general premium principles into risk and deviation
by Nendel, Max & Riedel, Frank & Schmeck, Maren Diane
- 210-233 Stop-loss protection for a large P2P insurance pool
by Denuit, Michel & Robert, Christian Y.
- 234-260 Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests
by Alfonsi, Aurélien & Cherchali, Adel & Infante Acevedo, Jose Arturo
- 261-273 Closed-form solutions for an explicit modern ideal tontine with bequest motive
by Dagpunar, John
- 274-295 Bayesian credibility under a bivariate prior on the frequency and the severity of claims
by Cheung, Eric C.K. & Ni, Weihong & Oh, Rosy & Woo, Jae-Kyung
- 296-308 SynthETIC: An individual insurance claim simulator with feature control
by Avanzi, Benjamin & Taylor, Greg & Wang, Melantha & Wong, Bernard
- 309-328 A multi-year microlevel collective risk model
by Oh, Rosy & Jeong, Himchan & Ahn, Jae Youn & Valdez, Emiliano A.
- 329-349 Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
by Cai, Jun & Wang, Ying
- 350-371 Approximate Bayesian Computations to fit and compare insurance loss models
by Goffard, Pierre-Olivier & Laub, Patrick J.
- 372-383 Sensitivity analysis with χ2-divergences
by Makam, Vaishno Devi & Millossovich, Pietro & Tsanakas, Andreas
- 384-407 Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
by Wang, Pei & Shen, Yang & Zhang, Ling & Kang, Yuxin
- 408-428 Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging
by Kirkby, J. Lars & Nguyen, Duy
- 429-435 Concave/convex weighting and utility functions for risk: A new light on classical theorems
by Wakker, Peter P. & Yang, Jingni
2021, Volume 99, Issue C
- 1-8 Joint generalized quantile and conditional tail expectation regression for insurance risk analysis
by Guillen, Montserrat & Bermúdez, Lluís & Pitarque, Albert
- 9-24 On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
by Avanzi, Benjamin & Taylor, Greg & Wong, Bernard & Yang, Xinda
- 25-41 Time-consistent longevity hedging with long-range dependence
by Wang, Ling & Wong, Hoi Ying
- 42-62 Incorporating statistical clustering methods into mortality models to improve forecasting performances
by Tsai, Cary Chi-Liang & Cheng, Echo Sihan
- 63-78 Variable annuities: Market incompleteness and policyholder behavior
by Moenig, Thorsten
- 79-91 Right-truncated Archimedean and related copulas
by Hofert, Marius
- 92-104 The merits of pooling claims: Mutual vs. stock insurers
by Schmeiser, Hato & Orozco-Garcia, Carolina
- 105-115 Batch mode active learning framework and its application on valuing large variable annuity portfolios
by Gweon, Hyukjun & Li, Shu
- 116-129 Option pricing in regime-switching frameworks with the Extended Girsanov Principle
by Godin, Frédéric & Trottier, Denis-Alexandre
- 131-151 Revisiting optimal investment strategies of value-maximizing insurance firms
by Koch-Medina, Pablo & Moreno-Bromberg, Santiago & Ravanelli, Claudia & Šikić, Mario
- 152-162 Assessing mortality inequality in the U.S.: What can be said about the future?
by Li, Han & Hyndman, Rob J.
- 163-173 Tests for Laplace order dominance with applications to insurance data
by Bhattacharyya, Dhrubasish & Khan, Ruhul Ali & Mitra, Murari
- 174-189 Joint and survivor annuity valuation with a bivariate reinforced urn process
by Souto Arias, Luis A. & Cirillo, Pasquale
- 190-199 Cause of death specific cohort effects in U.S. mortality
by Redondo Lourés, Cristian & Cairns, Andrew J.G.
- 200-221 Addressing the life expectancy gap in pension policy
by Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward
- 222-232 It takes two: Why mortality trend modeling is more than modeling one mortality trend
by Börger, Matthias & Russ, Jochen & Schupp, Johannes
- 233-240 The role of a longevity insurance for defined contribution pension systems
by Berstein, Solange & Morales, Marco
- 241-255 Modelling mortality dependence: An application of dynamic vine copula
by Zhou, Rui & Ji, Min
- 256-267 A Fourier-cosine method for finite-time ruin probabilities
by Lee, Wing Yan & Li, Xiaolong & Liu, Fangda & Shi, Yifan & Yam, Sheung Chi Phillip
- 268-281 Gompertz law revisited: Forecasting mortality with a multi-factor exponential model
by Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun
- 282-293 Tail dependence and heavy tailedness in extreme risks
by Ji, Liuyan & Tan, Ken Seng & Yang, Fan
- 294-308 Cause-specific mortality rates: Common trends and differences
by Arnold, Séverine & Glushko, Viktoriya
- 309-326 A combined analysis of hedge effectiveness and capital efficiency in longevity hedging
by Börger, Matthias & Freimann, Arne & Ruß, Jochen
- 327-340 Deep hedging of long-term financial derivatives
by Carbonneau, Alexandre
- 341-354 Modeling and pricing longevity derivatives using Skellam distribution
by Kung, Ko-Lun & Liu, I-Chien & Wang, Chou-Wen
- 355-362 Macro longevity risk and the choice between annuity products: Evidence from Denmark
by Balter, Anne G. & Kallestrup-Lamb, Malene & Rangvid, Jesper
- 363-375 Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans
by Alvarez, Jesús-Adrián & Kallestrup-Lamb, Malene & Kjærgaard, Søren
- 376-394 Recent declines in life expectancy: Implication on longevity risk hedging
by Li, Johnny Siu-Hang & Liu, Yanxin
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