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Editor: Hansjoerg Albrecher
Editor: M. J. Goovaerts
Editor: E. S. W. Shiu
Series handle: RePEc:eee:insuma
ISSN: 0167-6687
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Content
May 1998, Volume 22, Issue 1
- 1-1 The interplay between insurance, finance and control
by Asmussen, Soren & Barndorff-Nielsen, Ole. E.
- 3-16 Ruin theory with compounding assets -- a survey
by Paulsen, Jostein
- 17-23 Some system theoretic aspects of interest rate theory
by Bjork, Tomas & Christensen, Bent Jesper & Gombani, Andrea
- 25-39 Concepts and methods for discrete and continuous time control under uncertainty
by Runggaldier, Wolfgang J.
- 41-51 Optimal proportional reinsurance policies for diffusion models with transaction costs
by Hojgaard, Bjarne & Taksar, Michael
- 53-64 On some filtering problems arising in mathematical finance
by Brigo, Damiano & Hanzon, Bernard
- 65-73 An actuarial approach to option pricing under the physical measure and without market assumptions
by Bladt, Mogens & Rydberg, Tina Hviid
- 75-91 On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
by Schal, Manfred
- 93-104 Ruin probabilities in perturbed risk models
by Schlegel, Sabine
- 105-122 Optimal risk and dividend control for a company with a debt liability
by Taksar, Michael I. & Zhou, Xun Yu
December 1997, Volume 21, Issue 3
November 1997, Volume 21, Issue 2
- 95-95 Preface
by Shiu, Elias S. W.
- 97-102 An old-age social security program for Bangladesh
by Beekman, John A. & Kabir, Md. Humayun
- 103-111 Better late than never: The case of the rollover option
by Bilodeau, Claire
- 113-127 Reserving for maturity guarantees: Two approaches
by Boyle, Phelim P. & Hardy, Mary R.
- 129-137 The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
by Gerber, Hans U. & Shiu, Elias S. W.
- 139-152 The Istanbul option: Where the standard European option becomes Asian
by Jacques, Michel
- 153-162 Hedging strategies using catastrophe insurance options
by O'Brien, Thomas
- 163-172 Regression-quantile graduation of Australian life tables, 1946-1992
by Portnoy, Esther
- 173-183 Axiomatic characterization of insurance prices
by Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H.
October 1997, Volume 21, Issue 1
- 1-16 The effect of interest on negative surplus
by Dickson, David C. M. & Egidio dos Reis, Alfredo D.
- 17-24 Non-optimal prediction by the chain ladder method
by Schmidt, Klaus D.
- 25-42 Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions
by Willmot, Gordon E.
- 43-79 Stochastic pension fund modelling
by Cairns, Andrew J. G. & Parker, Gary
- 81-89 Testing independence in bivariate distributions of claim frequencies and severities
by Carriere, Jacques F.
- 91-92 Practical analysis of extreme values : J. Beirlant, J. Teugels and P. Vynckier, Leuven University Press, 1996
by Klugman, Stuart
October 1997, Volume 20, Issue 3
September 1997, Volume 20, Issue 2
June 1997, Volume 20, Issue 1
- 1-15 Controlled diffusion models for optimal dividend pay-out
by Asmussen, Soren & Taksar, Michael
- 17-21 Liquid asset allocation using "newsvendor" models with convex shortage costs
by Gerchak, Yigal & Wang, Shaun
- 23-34 Computing compound distributions faster!
by den Iseger, P. W. & Smith, M. A. J. & Dekker, R.
- 35-41 A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
by Vanneste, M. & Goovaerts, M. J. & De Schepper, A. & Dhaene, J.
- 43-58 The solution of Schmitter's simple problem: Numerical illustration
by De Vylder, F. & Goovaerts, M. & Marceau, E.
- 59-78 The bi-atomic uniform minimal solution of Schmitter's problem
by De Vylder, F. & Goovaerts, M. & Marceau, E.
May 1997, Volume 19, Issue 3
April 1997, Volume 19, Issue 2
December 1996, Volume 19, Issue 1
- 1-18 The numerical solution of the Schmitter problems: Theory
by De Vylder, F. & Marceau, E.
- 19-30 Valuation of the early-exercise price for options using simulations and nonparametric regression
by Carriere, Jacques F.
- 31-43 Claims reserving and generalised additive models
by Verrall, Richard
- 45-53 Goodness of fit test statistics for the zeta family
by Luong, Andrew & Doray, Louis G.
- 55-59 Deductible insurance and production: A comment
by Gollier, Christian
- 61-80 Reinsurance and ruin
by Dickson, David C. M. & Waters, Howard R.
- 81-83 Correction note to "On the preservation of some orderings of risks under convolution"
by Pellerey, Franco
November 1996, Volume 18, Issue 3
July 1996, Volume 18, Issue 2
May 1996, Volume 18, Issue 1
- 1-12 Taylor-series expansion for multivariate characteristics of classical risk processes
by Frey, Andreas & Schmidt, Volker
- 13-27 On smoothness terms in multidimensional Whittaker graduation
by Broffitt, James D.
- 29-33 Bounds on the tails of convolutions of compound distributions
by Willmot, Gordon E. & Lin, Xiaodong
- 35-42 On probability distributions of present values in life insurance
by Hesselager, Ole & Norberg, Ragnar
- 43-57 UMVUE of the IBNR reserve in a lognormal linear regression model
by Doray, Louis G.
- 59-71 Stability of pension systems when gains/losses are amortized and rates of return are autoregressive
by Gerrard, R. & Haberman, S.
- 73-79 Statistical tests of stochastic process models used in the financial theory of insurance companies
by Brockett, Patrick L. & Witt, Robert C. & Golany, Boaz & Sipra, Naim & Xia, Xiaohua
- 81-85 The compound Poisson approximation for a portfolio of dependent risks
by Goovaerts, M. J. & Dhaene, J.
April 1996, Volume 17, Issue 3
October 1995, Volume 17, Issue 2
- 101-118 A theory of risk, return and solvency
by Powers, Michael R.
- 119-123 Deductible insurance and production
by Machnes, Yaffa
- 125-132 A reappraisal of the principle underlying the conventional actuarial estimator of qx
by Puzey, Anthony S.
- 133-147 Optimal per claim deductibility in insurance with the possibility of risky investments
by Paulsen, Jostein
- 149-161 Estimating the adjustment coefficient in an ARMA(p, q) risk model
by Christ, Ralf & Steinebach, Josef
- 163-169 Long-term returns in stochastic interest rate models
by Deelstra, G. & Delbaen, F.
- 171-180 Differential equations for moments of present values in life insurance
by Norberg, Ragnar
- 181-192 A counting process approach to stochastic interest
by Moller, Christian Max
- 193-201 Ordering claim size distributions and mixed Poisson probabilities
by Kaas, R. & Hesselager, O.
August 1995, Volume 17, Issue 1
July 1995, Volume 16, Issue 3
May 1995, Volume 16, Issue 2
April 1995, Volume 16, Issue 1
- 1-6 Loss robustness via Fisher-weighted squared-error loss function
by Makov, Udi E.
- 7-22 Ruin estimates under interest force
by Sundt, Bjorn & Teugels, Jozef L.
- 23-30 On the preservation of some orderings of risks under convolution
by Pellerey, Franco
- 31-38 Recursions for the individual model
by Dhaene, Jan & Vandebroek, Martina
- 39-62 Actuarial models for pricing disability benefits: Towards a unifying approach
by Pitacco, Ermanno
- 63-68 Corporate spin-offs as a value enhancing technique when faced with legal liability
by MacMinn, Richard D. & Brockett, Patrick L.
- 69-77 A stochastic population model for high demand CCRCs
by Jones, Bruce L.
- 79-105 Explicit analytic ruin probabilities for bounded claims
by De Vylder, F. & Marceau, E.
December 1994, Volume 15, Issue 2-3
- 121-126 From perpetual strangles to Russian options
by Gerber, Hans U. & Shiu, Elias S. W.
- 127-132 Some alternatives for the individual model
by Kaas, R. & Gerber, H. U.
- 133-138 Which stochastic model is underlying the chain ladder method?
by Mack, Thomas
- 139-149 Longest runs in coin tossing
by Binswanger, K. & Embrechts, P.
- 151-162 Dynamic approaches to pension funding
by Haberman, Steven & Sung, Joo-Ho
- 163-179 Actuarial equivalence
by Wolthuis, Henk
- 181-186 A note on the solution of practical ruin problems
by De Vylder, F. & Goovaerts, M. J.
- 187-201 Capital structure and the cost of equity capital in the property-liability insurance industry
by Cummins, J. David & Lamm-Tennant, Joan
- 203-217 Premium adjustment by generalized adaptive exponential smoothing
by Herkenrath, U.
- 219-231 Compound model for two dependent kinds of claim
by Partrat, Christian
October 1994, Volume 15, Issue 1
July 1994, Volume 14, Issue 3
May 1994, Volume 14, Issue 2
- 107-115 On some measures of the severity of ruin in the classical Poisson model
by Picard, Philippe
- 117-127 Evaluation of the GIC rollover option
by Pedersen, Hal W. & Shiu, Elias S. W.
- 129-138 Proportional convergence and tail-cutting techniques in evaluating aggregate claim distributions
by Wang, Shaun & Panjer, Harry
- 139-161 A survey of stochastic continuous time models of the term structure of interest rates
by Vetzal, Kenneth R.
- 163-179 On the first crossing of the surplus process with a given upper barrier
by Picard, Philippe & Lefevre, Claude
- 181-196 On a class of approximative computation methods in the individual risk model
by Dhaene, Jan & Pril, Nelson De
April 1994, Volume 14, Issue 1
- 1-18 Pricing long term care insurance contracts
by Levikson, B. & Mizrahi, G.
- 19-32 Trend analysis and prediction procedures for time nonhomogeneous claim processes
by Berg, Menachem P. & Haberman, Steven
- 33-37 An analytical inversion of a Laplace transform related to annuities certain
by De Schepper, A. & Teunen, M. & Goovaerts, M.
- 39-50 Some results on the estimation of the credibility factor in the classical Buhlmann model
by Dannenburg, Dennis
- 51-60 Ruin problems and dual events
by Dickson, David C. M. & dos Reis, Alfredo Egidio
December 1993, Volume 13, Issue 3
- 241-254 How to (and how not to) compute stop-loss premiums in practice
by Kaas, R.
- 255-262 A stop-loss experience rating scheme for fleets of cars, Part II
by Szynal, Dominik & Teugels, Jozef L.
- 263-270 Pension funding : The effect of changing the frequency of valuations
by Haberman, Steven
- 271-285 Delay, feedback and variability of pension contributions and fund levels
by Zimbidis, Alexandros & Haberman, Steven
- 287-297 Critical starting points for stable evaluation of mixed Poisson probabilities
by Wang, Shaun & Panjer, Harry
- 299-302 Production decisions in case of monotone likelihood ratio shifts of cumulative distribution functions
by Machnes, Yaffa
- 303-304 Pricing equity-linked life insurance with endogenous minimum guarantees : A corrigendum
by Bacinello, Anna Rita & Ortu, Fulvio
November 1993, Volume 13, Issue 2
September 1993, Volume 13, Issue 1
- 1-5 Bonus-malus system or partial coverage to oppose moral hazard problems?
by Vandebroek, Martina
- 7-14 A state space formulation of Whittaker graduation, with extensions
by Verrall, R. J.
- 15-22 Annuity distributions : A new class of compound Poisson distributions
by Ramsay, Colin M.
- 23-34 From planar Brownian windings to Asian options
by Yor, Marc
- 35-37 On Berry-Esseen results for the compound Poisson distribution
by Michel, R.
- 39-44 Remarks on the Swiss premium principle on positive risks
by Beyer, Dirk & Riedel, Manfred
- 45-56 Pension funding with time delays and autoregressive rates of investment return
by Haberman, Steven
- 57-62 Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
by Veraverbeke, Noel
- 63-74 On the application of Thiele's differential equation in life insurance
by Linnemann, Per
- 75-81 A semi-parametric estimator of a risk distribution
by Carriere, Jacques
- 83-97 Extensions of Ohlin's lemma with applications to optimal reinsurance structures
by Hesselager, Ole
June 1993, Volume 12, Issue 3
- 225-244 Optimal claim behaviour for vehicle damage insurances
by Dellaert, N. P. & Frenk, J. B. G. & van Rijsoort, L. P.
- 245-257 Pricing equity-linked life insurance with endogenous minimum guarantees
by Bacinello, Anna Rita & Ortu, Fulvio
- 259-264 Asymptotic ordering of risks and ruin probabilities
by Kluppelberg, Claudia
- 265-286 A Bayesian analysis of a simultaneous equations model for insurance rate-making
by Scollnik, David P. M.
- 287-295 Empirical probability generating function : An overview
by Nakamura, Miguel & Perez-Abreu, Victor
- 297-299 Using expected loss ratios in reserving
by Gogol, Daniel
April 1993, Volume 12, Issue 2
February 1993, Volume 12, Issue 1
- 1-1 Editorial
by Kuys, P. H. M.
- 3-8 Nonparametric tests for mixed Poisson distributions
by Carriere, Jacques
- 9-22 The probability of ruin for the Inverse Gaussian and related processes
by Dufresne, F. & Gerber, H. U.
- 23-38 How long is the surplus below zero?
by Egidio dos Reis, Alfredo
- 39-45 The transformed rejection method for generating Poisson random variables
by Hormann, W.
- 47-56 The impact of government social security payments on the annuity market
by Simon Power & Townley, Peter G. C.
- 57-60 Asymmetries and household insurance : A note
by Eisenhauer, Joseph G.
- 61-61 Ordering of risks : Angela van Heerwaarden, (Thesis publishers, Amsterdam, 1992) pp. 159, fl.37,50/US $21,-, ISBN 90.5170.122.5
by Goovaerts, M. J.
December 1992, Volume 11, Issue 4
- 247-247 Editorial
by Delbaen, F.
- 249-257 A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
by Schachermayer, W.
- 259-269 Estimation of the yield curve and the forward rate curve starting from a finite number of observations
by Delbaen, F. & Lorimier, Sabine
- 271-281 Interest randomness in annuities certain
by De Schepper, A. & De Vylder, F. & Goovaerts, M. & Kaas, R.
- 283-290 Some further results on annuities certain with random interest
by De Schepper, A. & Goovaerts, M.
- 291-294 The Laplace transform of annuities certain with exponential time distribution
by De Schepper, A. & Goovaerts, M. & Delbaen, F.
- 295-299 Remarks on the methodology introduced by Goovaerts et al
by Deelstra, G. & Delbaen, F.
- 301-310 A stochastic interest model with an application to insurance
by Dietz, Hans M.
- 311-314 Numerical evaluation of the Wilkie inflation model
by Hurlimann, Werner
October 1992, Volume 11, Issue 3
August 1992, Volume 11, Issue 2
- 81-82 Editorial
by de Vylder, F. & Goovaerts, M. J. & Kaas, R.
- 83-86 The actuary
by Buhlmann, H.
- 87-89 The fellowship of actuaries
by Kan, A. H. G. Rinnooy
- 91-96 The actuary : From academic to professional
by Kuys, P. H. M.
- 97-107 A stochastic approach to insurance cycles
by Goovaerts, M. J. & De Vylder, F. & Kaas, R.
- 109-111 Credibility applications in Switzerland
by Straub, E.
- 113-127 Stochastic discounting
by Buhlmann, H.
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