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Content
2025, Volume 125, Issue C
- S0167668725000800 Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash
by Cao, Jingyi & Li, Dongchen & Young, Virginia R. & Zou, Bin
- S0167668725000812 L-estimation of claim severity models weighted by Kumaraswamy density
by Poudyal, Chudamani & Aryal, Gokarna R. & Pokhrel, Keshav P.
- S0167668725000824 Pitfalls in machine learning interpretability: Manipulating partial dependence plots to hide discrimination
by Xin, Xi & Hooker, Giles & Huang, Fei
- S0167668725000836 Bayesian CART models for aggregate claim modeling
by Zhang, Yaojun & Ji, Lanpeng & Aivaliotis, Georgios & Taylor, Charles C.
- S0167668725000848 Optimal timing of green technology adoption for climate risk mitigation
by Zhang, Jiannan & Fan, Kun & Jin, Zhuo & Zhang, Nan
- S0167668725000861 Portfolio selection and risk sharing via risk budgeting
by Asimit, Vali & Chong, Wing Fung & Tunaru, Radu & Zhou, Feng
- S0167668725000873 Equilibrium investment strategies for a defined contribution pension plan with random risk aversion
by Wang, Ling & Jia, Bowen
- S0167668725000885 Optimal life insurance and annuity decisions under money illusion
by Li, Wenyuan & Wei, Pengyu
- S0167668725000952 Uniform asymptotic estimates for ruin probabilities of a multidimensional risk model with càdlàg returns and multivariate heavy tailed claims
by Konstantinides, Dimitrios G. & Passalidis, Charalampos D.
- S0167668725000964 An observation-driven state-space count model for experience rating
by Ahn, Jae Youn & Jeong, Himchan & Lu, Yang & Wüthrich, Mario V.
- S0167668725000976 Ordering higher risks in Yaari's dual theory
by Castaño-Martínez, A. & Pigueiras, G. & Ramos, C.D. & Sordo, M.A.
- S0167668725000988 A note on bequest preferences in utility maximisation for modern tontines
by Bernhardt, Thomas
- S0167668725001003 Avoiding a longevity catastrophe: Harnessing longevity indices to mitigate individual, institutional and systemic longevity risks
by Coughlan, Guy
- S0167668725001015 An optimal periodic dividend and risk control problem for an insurance company
by Kelbert, Mark & Moreno-Franco, Harold A.
- S0167668725001027 Development of multimorbidity patterns in older adults in Switzerland: A competing risks modeling approach
by Aburto Barrera, Laura Iveth & Nicolet, Anna & Bagnoud, Christophe & Marti, Joachim & Wagner, Joël
- S0167668725001039 Diversification effect in multivariate optimal risk transfer
by Asimit, Vali & Fung, Tsz Chai & Peng, Liang & Yang, Fang
- S0167668725001040 Censored and extreme losses: Functional convergence and applications to tail goodness-of-fit
by Bladt, Martin & Øhlenschlæger, Christoffer
- S0167668725001052 Dynamic derivative-based pension investment with stochastic volatility: A behavioral perspective
by Chen, Zheng & Li, Zhongfei & Zeng, Yan & Shen, Yang
- S0167668725001064 Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility
by Chang, Hao & Li, Xiao-Jia
- S0167668725001076 Dynamic investment-driven insurance pricing and optimal regulation
by Chen, Bingzheng & Liang, Zongxia & Pang, Shunzhi
- S0167668725001088 Individual survivor fund account: The impact of bequest motives on tontine participation
by Ng, Tak Wa & Nguyen, Thai
- S0167668725001106 Transformers-based least square Monte Carlo for solvency calculation in life insurance
by Perla, Francesca & Scognamiglio, Salvatore & Spadaro, Andrea & Zanetti, Paolo
- S0167668725001118 Robust parameter estimation for the Lee-Carter family: A probabilistic principal component approach
by Guo, Yiping & Li, Johnny Siu-Hang
- S0167668725001131 Numerical methods for computing risk measures of variable annuities under exponential Lévy models
by Kudryavtsev, Oleg & Wei, Xiao
- S0167668725001155 Additive tree latent variable models with applications to insurance loss prediction
by Wang, Zhihao & Shi, Yanlin & Gao, Guangyuan
- S0167668725001179 Life care reverse mortgages: Monitoring the net cashflows of a new hybrid insurance product
by Apicella, Giovanna & Lorenzo, Emilia Di & Magni, Giulia & Sibillo, Marilena
- S0167668725001180 Optimal risk sharing with correlated insurance businesses in a Stackelberg-Nash differential game
by Wu, Mengyu & Liang, Zhibin & Zhang, Qingqing
- S0167668725001210 Risk measures on Musielak-Orlicz spaces: A state-dependent perspective for insurance
by Strati, Francesco
- S016766872500085X Distributionally robust tail bounds based on Wasserstein distance and f-divergence
by Birghila, Corina & Aigner, Maximilian & Engelke, Sebastian
- S016766872500099X Non-parametric estimators of scaled cash flows
by Bathke, Theis & Furrer, Christian
- S016766872500109X Modelling seasonal mortality: An age–period–cohort approach
by Bégin, Jean-François & Boudreault, Mathieu & Landry, Thomas
- S016766872500112X Optimal consumption-leisure-investment and retirement choices with nonconcave aspirational utility
by Li, Shuang & Meng, Hui & Zhou, Ming
2025, Volume 124, Issue C
- S0167668725000642 Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option
by Surya, Budhi Arta & Syaifudin, Wawan Hafid
- S0167668725000654 The principle of a single big jump from the perspective of tail moment risk measure
by Li, Jinzhu
- S0167668725000721 Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility
by Wang, Ning & Zhang, Yumo
- S0167668725000733 Data-rich economic forecasting for actuarial applications
by Zhu, Felix & Dong, Yumo & Huang, Fei
- S0167668725000745 Care-dependent target benefit pension plan with minimum liability gap
by Ti, Ruotian & Rong, Ximin & Tao, Cheng & Zhao, Hui
- S0167668725000757 Experience rating in the Cramér-Lundberg model
by Averhoff, Melanie & Thøgersen, Julie
- S0167668725000769 As-if-Markov reserves for reserve-dependent payments
by Christiansen, Marcus C. & Djehiche, Boualem
- S0167668725000770 Forecasting and backtesting gradient allocations of expected shortfall
by Koike, Takaaki & Chen, Cathy W.S. & Lin, Edward M.H.
- S0167668725000782 Risk exchange under infinite-mean Pareto models
by Chen, Yuyu & Embrechts, Paul & Wang, Ruodu
- S0167668725000794 A usage-based insurance (UBI) pricing model considering customer retention
by Li, Hong-Jie & Luo, Xing-Gang & Zhang, Zhong-Liang & Huang, Shen-Wei & Jiang, Wei
2025, Volume 123, Issue C
- S0167668725000472 Portfolio benchmarks in defined contribution pension plan management
by Huang, Daxin & Liu, Yang
- S0167668725000587 Improving detections of serial dynamics for longitudinal actuarial data with underwriting-controlled testing
by Fung, Tsz Chai
- S0167668725000599 Approximations of multi-period liability values by simple formulas
by Engler, Nils & Lindskog, Filip
- S0167668725000605 Learning from COVID-19: A catastrophe mortality bond solution in the post-pandemic era
by Chen, Ze & Li, Hong & Mao, Yu & Zhou, Kenneth Q.
- S0167668725000617 Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models
by Da Fonseca, José & Wong, Patrick
- S0167668725000629 Optimal insurance contract under mean-variance preference with value at risk constraint
by Li, Zixuan & Meng, Hui & Zhou, Ming
- S0167668725000630 Efficient hedging of life insurance portfolio for loss-averse insurers
by Motte, Edouard & Hainaut, Donatien
2025, Volume 122, Issue C
- 1-10 Robust indifference valuation of catastrophe bonds
by Liu, Haibo
- 11-29 Subjective survival beliefs and the life-cycle model
by Jeong, Seung Yeon & Owadally, Iqbal & Haberman, Steven & Wright, Douglas
- 30-43 Identifying scenarios for the own risk and Solvency assessment of insurance companies
by Aigner, Philipp
- 44-60 Auto insurance fraud detection: Leveraging cost sensitive and insensitive algorithms for comprehensive analysis
by Yankol Schalck, Meryem
- 61-81 Insurance contract for electric vehicle charging stations: A Stackelberg game-theoretic approach
by Jin, Yuanmin & Jin, Zhuo & Wei, Jiaqin
- 82-90 Almost stochastic dominance: Magnitude constraints on risk aversion
by Liu, Liqun & Meyer, Jack
- 91-118 Efficient and proper generalised linear models with power link functions
by Asimit, Vali & Badescu, Alexandru & Chen, Ziwei & Zhou, Feng
- 119-136 Efficient evaluation of risk allocations
by Blier-Wong, Christopher & Cossette, Hélène & Marceau, Etienne
- 137-142 Self-protection under Nth-degree risk increase of random unit cost
by Yin, Yongjin & Meng, Shengwang
- 143-156 The impact of intermediaries on insurance demand and pricing
by Li, Dongchen & Zeng, Yan & Zhao, Yixing
- 157-179 A generalized tail mean-variance model for optimal capital allocation
by Yang, Yang & Wang, Guojing & Yao, Jing & Xie, Hengyue
- 180-193 Pricing insurance contracts with an existing portfolio as background risk
by De Vecchi, Corrado & Scherer, Matthias
- 194-213 Optimal reinsurance from an optimal transport perspective
by Acciaio, Beatrice & Albrecher, Hansjörg & Flores, Brandon García
- 214-229 Length of stay in residential aged care: Patterns and determinants from a population-based cohort study
by Xu, Mengyi & Yan, Gaoyun
- 230-248 Mean-variance optimization for participating life insurance contracts
by Fießinger, Felix & Stadje, Mitja
- 249-261 Forecasting age distribution of deaths: Cumulative distribution function transformation
by Shang, Han Lin & Haberman, Steven
- 262-274 Bayesian adaptive portfolio optimization for DC pension plans
by Gao, Shuping & Guo, Junyi & Liang, Xiaoqing
- 275-299 Equilibrium intergenerational risk-sharing design for a target benefit pension plan
by Chen, Lv & Li, Danping & Wang, Yumin & Zhu, Xiaobai
2025, Volume 121, Issue C
- 1-25 Dividend corridors and a ruin constraint
by Albrecher, Hansjörg & Garcia Flores, Brandon & Hipp, Christian
- 26-44 Tail similarity
by Asimit, Vali & Yuan, Zhongyi & Zhou, Feng
- 45-62 Insurance loss modeling with gradient tree-boosted mixture models
by Hou, Yanxi & Li, Jiahong & Gao, Guangyuan
- 63-78 Uncertainty in heteroscedastic Bayesian model averaging
by Jessup, Sébastien & Mailhot, Mélina & Pigeon, Mathieu
- 79-99 Innovative combo product design embedding variable annuity and long-term care insurance contracts
by Shen, Yang & Sherris, Michael & Wang, Yawei & Ziveyi, Jonathan
- 100-110 Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes
by Josa-Fombellida, Ricardo & López-Casado, Paula
- 111-132 Designing and valuing new equity-linked insurance products for couples
by Tang, Kelvin & Cheung, Eric C.K. & Woo, Jae-Kyung
- 133-143 Axiomatic risk sharing and capital allocation
by Boonen, Tim J. & Koster, Maurice
- 144-156 Estimating the impact of COVID-19 on mortality using granular data
by van Berkum, Frank & Melenberg, Bertrand & Vellekoop, Michel
- 157-180 Bowley-optimal convex-loaded premium principles
by Ghossoub, Mario & Li, Bin & Shi, Benxuan
2025, Volume 120, Issue C
- 1-16 Comonotonicity and Pareto optimality, with application to collaborative insurance
by Denuit, Michel & Dhaene, Jan & Ghossoub, Mario & Robert, Christian Y.
- 17-41 Automated machine learning in insurance
by Dong, Panyi & Quan, Zhiyu
- 42-50 A risk measurement approach from risk-averse stochastic optimization of score functions
by Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso
- 51-60 Automobile Insurance Fraud Detection Based on PSO-XGBoost Model and Interpretable Machine Learning Method
by Ding, Ning & Ruan, Xiao & Wang, Hao & Liu, Yuan
- 61-78 Distributionally robust insurance under the Wasserstein distance
by Boonen, Tim J. & Jiang, Wenjun
- 79-90 Continuous-time optimal reporting with full insurance under the mean-variance criterion
by Cao, Jingyi & Li, Dongchen & Young, Virginia R. & Zou, Bin
- 91-106 Hidden semi-Markov models for rainfall-related insurance claims
by Shi, Yue & Punzo, Antonio & Otneim, Håkon & Maruotti, Antonello
- 107-130 Evolution of institutional long-term care costs based on health factors
by Shemendyuk, Aleksandr & Wagner, Joël
- 131-158 How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model
by Feng, Yang & Siu, Tak Kuen & Zhu, Jinxia
- 159-188 Optimal consumption and annuity equivalent wealth with mortality model uncertainty
by Li, Zhengming & Shen, Yang & Su, Jianxi
- 189-206 Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin
by Locas, Félix & Renaud, Jean-François
- 207-235 Mean-variance longevity risk-sharing for annuity contracts
by Hanbali, Hamza
- 236-268 Robust Nash equilibrium for defined contribution pension games with delay under multivariate stochastic covariance models
by Zhu, Huainian & Zhang, Yumo
- 269-284 Valuation of variable annuity portfolios using finite and infinite width neural networks
by Lim, Hong Beng & Shyamalkumar, Nariankadu D. & Tao, Siyang
- 285-301 Target benefit pension with longevity risk and stochastic interest rate valuation
by Tao, Cheng & Rong, Ximin & Zhao, Hui
- 302-324 Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information
by Peng, Xingchun & Luo, Liuling
2024, Volume 119, Issue C
- 1-16 A buy-hold-sell pension saving strategy
by Khemka, Gaurav & Steffensen, Mogens & Warren, Geoffrey J.
- 17-31 A life insurance model with asymmetric time preferences
by Alderborn, Joakim
- 32-47 Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach
by Mourdoukoutas, Fotios & Boonen, Tim J. & Koo, Bonsoo & Pantelous, Athanasios A.
- 48-63 Value-enhancing modeling of surrenders and lapses
by Huang, Hsiao-Tzu & Hwang, Yawen & Chan, Linus Fang-Shu & Tsai, Chenghsien Jason
- 64-92 Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation
by Jiang, Haoran & Zhang, Zhehao & Zhu, Xiaojun
- 93-105 Blended insurance scheme: A synergistic conventional-index insurance mixture
by Zhang, Jinggong
- 106-118 On the effects of public subsidies for severe and mild dependency on long-term care insurance
by Courbage, Christophe & Oros, Cornel
- 119-129 Spatial copula-based modeling of claim frequency and claim size in third-party car insurance: A Poisson-mixed approach for predictive analysis
by Tadayon, Vahid & Ghanbarzadeh, Mitra
- 130-145 Multinomial backtesting of distortion risk measures
by Bettels, Sören & Kim, Sojung & Weber, Stefan
- 146-156 Uniqueness of equilibrium with survival probability heterogeneity and endogenous annuity price
by Lau, Sau-Him Paul & Ying, Yinan & Zhang, Qilin
- 157-178 A unified theory of decentralized insurance
by Feng, Runhuan & Liu, Ming & Zhang, Ning
- 179-193 Valuation of guaranteed lifelong withdrawal benefit with the long-term care option
by Yang, Yang & Chen, Shaoying & Cui, Zhenyu & Zhang, Zhimin
- 194-209 Optimal insurance design under asymmetric Nash bargaining
by Chi, Yichun & Hu, Tao & Zhao, Zhengtang & Zheng, Jiakun
- 210-225 Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models
by Mata López, Dante & Noba, Kei & Pérez, José-Luis & Yamazaki, Kazutoshi
- 226-237 A two-layer stochastic game approach to reinsurance contracting and competition
by Liang, Zongxia & Xia, Yi & Zou, Bin
- 238-250 Egalitarian pooling and sharing of longevity risk a.k.a. can an administrator help skin the tontine cat?
by Dhaene, Jan & Milevsky, Moshe A.
- 251-260 Bivariate Tail Conditional Co-Expectation for elliptical distributions
by Cerqueti, Roy & Palestini, Arsen
- 261-267 A new characterization of second-order stochastic dominance
by Guan, Yuanying & Huang, Muqiao & Wang, Ruodu
- 268-297 Pension funds with longevity risk: an optimal portfolio insurance approach
by Di Giacinto, Marina & Mancinelli, Daniele & Marino, Mario & Oliva, Immacolata
2024, Volume 118, Issue C
- 1-24 Optimal insurance with mean-deviation measures
by Boonen, Tim J. & Han, Xia
- 25-43 Effective experience rating for large insurance portfolios via surrogate modeling
by Calcetero Vanegas, Sebastián & Badescu, Andrei L. & Lin, X. Sheldon
- 44-58 An excursion theoretic approach to Parisian ruin problem
by Li, Bo & Zhou, Xiaowen
- 59-71 Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet
by Harcourt, Darcy & Daglish, Toby & Ulm, Eric R.
- 72-94 Benefit volatility-targeting strategies in lifetime pension pools
by Bégin, Jean-François & Sanders, Barbara
- 95-103 Comparing and quantifying tail dependence
by Siburg, Karl Friedrich & Strothmann, Christopher & Weiß, Gregor
- 104-122 Stochastic orders and distortion risk contribution ratio measures
by Zhang, Yiying
- 123-128 Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments
by Denuit, Michel & Trufin, Julien
- 129-141 Are reference measures of law-invariant functionals unique?
by Liebrich, Felix-Benedikt
- 142-156 Probabilistic approach to risk processes with level-dependent premium rate
by Denisov, Denis & Gotthardt, Niklas & Korshunov, Dmitry & Wachtel, Vitali
- 157-174 Correlation aversion and bivariate stochastic dominance with respect to reference functions
by Li, Jingyuan & Wang, Jianli & Zhou, Lin
- 175-194 Precautionary risk-reduction and saving decisions: Two sides of the same coin?
by Peter, Richard & Hofmann, Annette
- 195-222 Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity
by Wang, Tao & Chen, Zhiping
2024, Volume 117, Issue C
- 1-15 Optimal investment-disinvestment choices in health-dependent variable annuity
by D'Amico, Guglielmo & Singh, Shakti & Selvamuthu, Dharmaraja
- 16-44 Optimal control under uncertainty: Application to the issue of CAT bonds
by Baradel, Nicolas
- 45-66 A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data
by Li, Zhengxiao & Wang, Fei & Zhao, Zhengtang
- 67-98 Robust asset-liability management games for n players under multivariate stochastic covariance models
by Wang, Ning & Zhang, Yumo
- 99-113 An analysis of precautionary behavior in retirement decision making with an application to pension system reform
by Magnani, Marco
- 114-129 On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
by Chen, An & Stadje, Mitja & Zhang, Fangyuan
- 130-139 Testing for auto-calibration with Lorenz and Concentration curves
by Denuit, Michel & Huyghe, Julie & Trufin, Julien & Verdebout, Thomas
- 140-153 Law-invariant return and star-shaped risk measures
by Laeven, Roger J.A. & Rosazza Gianin, Emanuela & Zullino, Marco
- 154-169 Coping with longevity via hedging: Fair dynamic valuation of variable annuities
by Chen, Ze & Feng, Runhuan & Li, Hong & Yang, Tianyu
- 170-181 Star-shaped acceptability indexes
by Righi, Marcelo Brutti
- 182-195 Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm
by Bae, Taehan & Miljkovic, Tatjana
2024, Volume 116, Issue C
- 1-26 A Hawkes model with CARMA(p,q) intensity
by Mercuri, Lorenzo & Perchiazzo, Andrea & Rroji, Edit
- 27-43 Scenario selection with LASSO regression for the valuation of variable annuity portfolios
by Nguyen, Hang & Sherris, Michael & Villegas, Andrés M. & Ziveyi, Jonathan
- 44-50 Inter-order relations between equivalence for Lp-quantiles of the Student's t distribution
by Bignozzi, Valeria & Merlo, Luca & Petrella, Lea
- 51-73 Random distortion risk measures
by Zang, Xin & Jiang, Fan & Xia, Chenxi & Yang, Jingping
- 74-94 Can price collars increase insurance loss coverage?
by Chatterjee, Indradeb & Hao, MingJie & Tapadar, Pradip & Thomas, R. Guy
- 95-113 A Dirichlet process mixture regression model for the analysis of competing risk events
by Ungolo, Francesco & van den Heuvel, Edwin R.
- 114-133 Quantile mortality modelling of multiple populations via neural networks
by Corsaro, Stefania & Marino, Zelda & Scognamiglio, Salvatore
- 134-147 Risk quantization by magnitude and propensity
by Faugeras, Olivier P. & Pagès, Gilles
- 148-164 Optimal payout strategies when Bruno de Finetti meets model uncertainty
by Feng, Yang & Siu, Tak Kuen & Zhu, Jinxia
- 165-188 Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools
by Kabuche, Doreen & Sherris, Michael & Villegas, Andrés M. & Ziveyi, Jonathan
- 189-201 Stackelberg equilibria with multiple policyholders
by Ghossoub, Mario & Zhu, Michael B.
- 202-217 A mean field game approach to optimal investment and risk control for competitive insurers
by Bo, Lijun & Wang, Shihua & Zhou, Chao
- 218-234 Tail mean-variance portfolio selection with estimation risk
by Huang, Zhenzhen & Wei, Pengyu & Weng, Chengguo
- 235-248 Worst-case risk with unspecified risk preferences
by Liu, Haiyan
2024, Volume 115, Issue C
- 1-12 Adjusted higher-order expected shortfall
by Zou, Zhenfeng & Hu, Taizhong
- 13-21 Tweedie multivariate semi-parametric credibility with the exchangeable correlation
by Jeong, Himchan
- 22-35 Probability equivalent level for CoVaR and VaR
by Ortega-Jiménez, Patricia & Pellerey, Franco & Sordo, Miguel A. & Suárez-Llorens, Alfonso
- 36-61 Bowley solution under the reinsurer's default risk
by Chen, Yanhong & Cheung, Ka Chun & Zhang, Yiying
- 62-82 Variance insurance contracts
by Chi, Yichun & Zhou, Xun Yu & Zhuang, Sheng Chao
- 83-121 Bootstrap consistency for the Mack bootstrap
by Steinmetz, Julia & Jentsch, Carsten
- 122-131 Pricing guaranteed annuity options in a linear-rational Wishart mortality model
by Da Fonseca, José
- 132-150 Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
by Huang, Zhenzhen & Kwok, Yue Kuen & Xu, Ziqing
- 151-168 Moral hazard in loss reduction and state-dependent utility
by Seog, S. Hun & Hong, Jimin
2024, Volume 114, Issue C
- 1-14 Risk-neutral valuation of GLWB riders in variable annuities
by Bacinello, Anna Rita & Maggistro, Rosario & Zoccolan, Ivan
- 15-28 Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
by Günther, Sascha & Hieber, Peter
- 29-42 Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm
by Gao, Guangyuan
- 43-55 Asymptotic results on tail moment for light-tailed risks
by Wang, Bingjie & Li, Jinzhu
- 56-78 Stressing dynamic loss models
by Kroell, Emma & Pesenti, Silvana M. & Jaimungal, Sebastian
- 79-107 Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
by Yang, Yang & Wang, Guojing & Yao, Jing
- 108-131 Bayesian CART models for insurance claims frequency
by Zhang, Yaojun & Ji, Lanpeng & Aivaliotis, Georgios & Taylor, Charles
- 132-155 A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment
by Kizaki, Keisuke & Saito, Taiga & Takahashi, Akihiko
- 156-175 Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates
by Zhao, Chaoyi & Jia, Zijian & Wu, Lan
- 176-191 Optimal annuitization and asset allocation under linear habit formation
by Guan, Guohui & Liang, Zongxia & Ma, Xingjian
- 192-211 Optimal investment in defined contribution pension schemes with forward utility preferences
by Ng, Kenneth Tsz Hin & Chong, Wing Fung
- 212-222 A family of variability measures based on the cumulative residual entropy and distortion functions
by Psarrakos, Georgios & Toomaj, Abdolsaeed & Vliora, Polyxeni
- 223-241 On the factors determining the health profiles and care needs of institutionalized elders
by Shemendyuk, Aleksandr & Wagner, Joël
- 242-251 Longevity hedge effectiveness using socioeconomic indices
by Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai
2023, Volume 113, Issue C
- 1-23 Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach
by Qiu, Ming & Jin, Zhuo & Li, Shuanming
- 24-49 Equilibria and efficiency in a reinsurance market
by Zhu, Michael B. & Ghossoub, Mario & Boonen, Tim J.
- 50-69 Aggregate Markov models in life insurance: Properties and valuation
by Ahmad, Jamaal & Bladt, Mogens & Furrer, Christian
- 70-95 Optimal investment, consumption and life insurance purchase with learning about return predictability
by Peng, Xingchun & Li, Baihui
- 96-121 Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach
by Li, Johnny Siu-Hang & Liu, Yanxin & Chan, Wai-Sum
- 122-139 Joint life care annuities to help retired couples to finance the cost of long-term care
by Ventura-Marco, Manuel & Vidal-Meliá, Carlos & Pérez-Salamero González, Juan Manuel
- 140-160 Intergenerational sharing of unhedgeable inflation risk
by Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & van Wijnbergen, Sweder J.G.
- 161-184 Intergenerational actuarial fairness when longevity increases: Amending the retirement age
by Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward
- 185-197 Diversification quotients based on VaR and ES
by Han, Xia & Lin, Liyuan & Wang, Ruodu
- 199-214 Multi-constrained optimal reinsurance model from the duality perspectives
by Cheung, Ka Chun & He, Wanting & Wang, He
- 215-232 Bivariate distribution regression with application to insurance data
by Wang, Yunyun & Oka, Tatsushi & Zhu, Dan
- 233-250 European option pricing with market frictions, regime switches and model uncertainty
by Siu, Tak Kuen
- 251-273 Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
by Wang, Ning & Zhang, Yumo
- 274-292 Optimal risk management with reinsurance and its counterparty risk hedging
by Chi, Yichun & Hu, Tao & Huang, Yuxia
- 293-309 Two-phase selection of representative contracts for valuation of large variable annuity portfolios
by Jiang, Ruihong & Saunders, David & Weng, Chengguo
- 310-325 Diagnostic tests before modeling longitudinal actuarial data
by Li, Yinhuan & Fung, Tsz Chai & Peng, Liang & Qian, Linyi
2023, Volume 112, Issue C
- 1-22 The Cramér-Lundberg model with a fluctuating number of clients
by Braunsteins, Peter & Mandjes, Michel
- 23-32 Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
by Denuit, Michel & Robert, Christian Y.
- 33-47 Multiple per-claim reinsurance based on maximizing the Lundberg exponent
by Meng, Hui & Wei, Li & Zhou, Ming
- 48-58 Optimal retirement savings over the life cycle: A deterministic analysis in closed form
by Fischer, Marcel & Jensen, Bjarne Astrup & Koch, Marlene
- 59-79 Optimal insurance design under mean-variance preference with narrow framing
by Liang, Xiaoqing & Jiang, Wenjun & Zhang, Yiying
- 80-96 Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin
by Liang, Xiaoqing & Young, Virginia R.
- 97-109 A note on portfolios of averages of lognormal variables
by Boyle, Phelim & Jiang, Ruihong
- 120-141 Asymptotics for a time-dependent by-claim model with dependent subexponential claims
by Yuan, Meng & Lu, Dawei
- 142-167 Valuation of general GMWB annuities in a low interest rate environment
by Fontana, Claudio & Rotondi, Francesco
2023, Volume 111, Issue C
Printed from https://ideas.repec.org/s/eee/insuma.html
