Insurance: Mathematics and Economics
2012, Volume 51, Issue 1
- 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.
- 454-461 Modelling losses and locating the tail with the Pareto Positive Stable distribution
by Guillen, Montserrat & Prieto, Faustino & Sarabia, José María
- 462-470 One-year Value-at-Risk for longevity and mortality
by Plat, Richard
- 471-486 The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts
by Li, Jing & Szimayer, Alexander
- 487-495 Archimedean copulas in finite and infinite dimensions—with application to ruin problems
by Constantinescu, Corina & Hashorva, Enkelejd & Ji, Lanpeng
- 496-500 Modeling of claim exceedances over random thresholds for related insurance portfolios
by Eryilmaz, Serkan & Gebizlioglu, Omer L. & Tank, Fatih
- 501-511 Optimal dividend and investing control of an insurance company with higher solvency constraints
by Liang, Zongxia & Huang, Jianping
- 512-519 A new look at the homogeneous risk model
by Lefèvre, Claude & Picard, Philippe
- 520-536 Pricing catastrophe swaps: A contingent claims approach
by Braun, Alexander
- 537-546 Second order regular variation and conditional tail expectation of multiple risks
by Hua, Lei & Joe, Harry
- 547-564 Equity-linked pension schemes with guarantees
by Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik
- 565-579 Analytic loss distributional approach models for operational risk from the α-stable doubly stochastic compound processes and implications for capital allocation
by Peters, Gareth W. & Shevchenko, Pavel V. & Young, Mark & Yip, Wendy
- 580-596 A joint valuation of premium payment and surrender options in participating life insurance contracts
by Schmeiser, H. & Wagner, J.
September 2011, Volume 49, Issue 2
- 155-174 A dynamic parameterization modeling for the age-period-cohort mortality
by Hatzopoulos, P. & Haberman, S.
- 175-187 Optimality of general reinsurance contracts under CTE risk measure
by Tan, Ken Seng & Weng, Chengguo & Zhang, Yi
- 188-193 Detection and correction of outliers in the bivariate chain-ladder method
by Verdonck, T. & Van Wouwe, M.
- 194-206 Minimizing the probability of lifetime ruin under stochastic volatility
by Bayraktar, Erhan & Hu, Xueying & Young, Virginia R.
- 207-215 Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
by Liang, Zhibin & Yuen, Kam Chuen & Guo, Junyi
- 216-225 Exponential change of measure applied to term structures of interest rates and exchange rates
by Bo, Lijun
- 226-239 A copula approach to test asymmetric information with applications to predictive modeling
by Shi, Peng & Valdez, Emiliano A.
- 240-248 A recursive approach to mortality-linked derivative pricing
by Shang, Zhaoning & Goovaerts, Marc & Dhaene, Jan
- 249-264 Risk comparison of different bonus distribution approaches in participating life insurance
by Zemp, Alexandra
- 265-284 A generalized beta copula with applications in modeling multivariate long-tailed data
by Yang, Xipei & Frees, Edward W. & Zhang, Zhengjun
July 2011, Volume 49, Issue 1
- 1-10 A utility-based comparison of pension funds and life insurance companies under regulatory constraints
by Broeders, Dirk & Chen, An & Koos, Birgit
- 11-17 Stochastic comparisons of distorted variability measures
by Sordo, Miguel A. & Suárez-Llorens, Alfonso
- 18-26 Bias-reduced estimators for bivariate tail modelling
by Beirlant, J. & Dierckx, G. & Guillou, A.
- 27-37 A generalized linear model with smoothing effects for claims reserving
by Björkwall, Susanna & Hössjer, Ola & Ohlsson, Esbjörn & Verrall, Richard
- 38-46 Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
by Zhu, Wenge
- 47-52 Stochastic orders in time transformed exponential models with applications
by Li, Xiaohu & Lin, Jianhua
- 53-60 Calibrating affine stochastic mortality models using term assurance premiums
by Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J.
- 61-69 On "optimal pension management in a stochastic framework" with exponential utility
by Ma, Qing-Ping
- 70-80 Actuarial applications of the linear hazard transform in life contingencies
by Tsai, Cary Chi-Liang & Jiang, Lingzhi
- 81-88 Time-simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortality
by Li, Johnny Siu-Hang & Chan, Wai-Sum
- 89-99 Reactive investment strategies
by Leung, Andrew P.
- 100-114 Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives
by Ngai, Andrew & Sherris, Michael
- 115-125 Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches
by Graf, Stefan & Kling, Alexander & Ruß, Jochen
- 126-131 A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
by Diko, Peter & Usábel, Miguel
- 132-144 The influence of non-linear dependencies on the basis risk of industry loss warranties
by Gatzert, Nadine & Kellner, Ralf
- 145-154 Optimal time-consistent investment and reinsurance policies for mean-variance insurers
by Zeng, Yan & Li, Zhongfei
May 2011, Volume 48, Issue 3
- 315-325 Household consumption, investment and life insurance
by Bruhn, Kenneth & Steffensen, Mogens
- 326-337 On the threshold dividend strategy for a generalized jump-diffusion risk model
by Chi, Yichun & Lin, X. Sheldon
- 338-343 Stochastic comparisons for allocations of policy limits and deductibles with applications
by Lu, ZhiYi & Meng, LiLi
- 344-354 Classical and singular stochastic control for the optimal dividend policy when there is regime switching
by Sotomayor, Luz R. & Cadenillas, Abel
- 355-367 Mortality density forecasts: An analysis of six stochastic mortality models
by Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa
- 368-373 Characterization of upper comonotonicity via tail convex order
by Nam, Hee Seok & Tang, Qihe & Yang, Fan
- 374-377 Convolutions of multivariate phase-type distributions
by Berdel, Jasmin & Hipp, Christian
- 378-383 Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size
by Orbán Mihálykó, Éva & Mihálykó, Csaba
- 384-397 A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
by Cheung, Eric C.K.
- 398-405 Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
by Bäuerle, Nicole & Blatter, Anja
- 406-412 A new discrete distribution with actuarial applications
by Gómez-Déniz, Emilio & Sarabia, José María & Calderín-Ojeda, Enrique
March 2011, Volume 48, Issue 2
- 161-175 Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
by Nteukam T., Oberlain & Planchet, Frédéric & Thérond, Pierre-E.
- 176-188 Optimal investment and consumption decision of a family with life insurance
by Kwak, Minsuk & Shin, Yong Hyun & Choi, U Jin
- 189-196 Refinements of two-sided bounds for renewal equations
by Woo, Jae-Kyung
- 197-204 Entropy, longevity and the cost of annuities
by Haberman, Steven & Khalaf-Allah, Marwa & Verrall, Richard
- 205-213 Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
by Choe, Geon Ho & Jang, Hyun Jin
- 214-216 A new proof of Cheung's characterization of comonotonicity
by Mao, Tiantian & Hu, Taizhong
- 217-225 On 1-convexity and nucleolus of co-insurance games
by Driessen, Theo S.H. & Fragnelli, Vito & Katsev, Ilya V. & Khmelnitskaya, Anna B.
- 226-236 Bayesian multivariate Poisson models for insurance ratemaking
by Bermúdez, Lluís & Karlis, Dimitris
- 237-245 Adaptive Importance Sampling for simulating copula-based distributions
by Bee, Marco
- 246-256 Approximation of bivariate copulas by patched bivariate Fréchet copulas
by Zheng, Yanting & Yang, Jingping & Huang, Jianhua Z.
- 257-264 Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums
by Sendov, Hristo S. & Wang, Ying & Zitikis, Ricardas
- 265-270 Explicit ruin formulas for models with dependence among risks
by Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane
- 271-279 An application of comonotonicity theory in a stochastic life annuity framework
by Liu, Xiaoming & Jang, Jisoo & Mee Kim, Sun
- 280-286 Quantile hedging for equity-linked contracts
by Klusik, Przemyslaw & Palmowski, Zbigniew
- 287-303 Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses?
by Peters, Gareth W. & Byrnes, Aaron D. & Shevchenko, Pavel V.
- 304-313 An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
by Feng, Runhuan
January 2011, Volume 48, Issue 1
- 1-18 Three retirement decision models for defined contribution pension plan members: A simulation study
by MacDonald, Bonnie-Jeanne & Cairns, Andrew J.G.
- 19-28 Risk models based on time series for count random variables
by Cossette, Hélène & Marceau, Étienne & Toureille, Florent
- 29-34 The strictest common relaxation of a family of risk measures
by Roorda, Berend & Schumacher, J.M.
- 35-55 A comparative study of parametric mortality projection models
by Haberman, Steven & Renshaw, Arthur
- 56-63 On the distribution of the (un)bounded sum of random variables
by Cherubini, Umberto & Mulinacci, Sabrina & Romagnoli, Silvia
- 64-71 Optimal non-proportional reinsurance control and stochastic differential games
by Taksar, Michael & Zeng, Xudong
- 72-84 Robust-efficient credibility models with heavy-tailed claims: A mixed linear models perspective
by Dornheim, Harald & Brazauskas, Vytaras
- 85-98 The influence of individual claims on the chain-ladder estimates: Analysis and diagnostic tool
by Verdonck, T. & Debruyne, M.
- 99-110 Multivariate density estimation using dimension reducing information and tail flattening transformations
by Buch-Kromann, Tine & Guillén, Montserrat & Linton, Oliver & Nielsen, Jens Perch
- 111-122 Risk measures in ordered normed linear spaces with non-empty cone-interior
by Konstantinides, Dimitrios G. & Kountzakis, Christos E.
- 123-133 On absolute ruin minimization under a diffusion approximation model
by Luo, Shangzhen & Taksar, Michael
- 134-145 Risk processes with shot noise Cox claim number process and reserve dependent premium rate
by Macci, Claudio & Torrisi, Giovanni Luca
- 146-152 Portfolio selection and duality under mean variance preferences
by Eichner, Thomas
- 153-160 Tails of correlation mixtures of elliptical copulas
by Manner, Hans & Segers, Johan
December 2010, Volume 47, Issue 3
- 255-265 Evaluating the goodness of fit of stochastic mortality models
by Dowd, Kevin & Cairns, Andrew J.G. & Blake, David & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa
- 266-277 Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
by van Haastrecht, Alexander & Plat, Richard & Pelsser, Antoon
- 278-293 An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
by Delong, Lukasz
- 294-302 Decision principles derived from risk measures
by Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A.
- 303-314 Long-tail longitudinal modeling of insurance company expenses
by Shi, Peng & Frees, Edward W.
- 315-326 On optimal investment in a reinsurance context with a point process market model
by Edoli, Enrico & Runggaldier, Wolfgang J.
- 327-336 A geostatistical approach for dynamic life tables: The effect of mortality on remaining lifetime and annuities
by Debón, A. & Martínez-Ruiz, F. & Montes, F.
- 337-351 Correlated intensity, counter party risks, and dependent mortalities
by Ma, Jin & Yun, Youngyun
- 352-357 Bounds for the bias of the empirical CTE
by Russo, Ralph P. & Shyamalkumar, Nariankadu D.
- 358-373 On the robustness of longevity risk pricing
by Chen, Bingzheng & Zhang, Lihong & Zhao, Lin
- 374-384 A hidden Markov regime-switching model for option valuation
by Liew, Chuin Ching & Siu, Tak Kuen
- 385-390 A note on the connection between the Esscher-Girsanov transform and the Wang transform
by Labuschagne, Coenraad C.A. & Offwood, Theresa M.
- 391-404 Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach
by Stadje, Mitja
- 405-414 Asymptotics of random contractions
by Hashorva, Enkelejd & Pakes, Anthony G. & Tang, Qihe
- 415-422 Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
by Xu, Guoping & Zheng, Harry
- 423-427 Distributional analysis of a generalization of the Polya process
by Willmot, Gordon E.
- 428-433 On the DFR property of the compound geometric distribution with applications in risk theory
by Psarrakos, Georgios
October 2010, Volume 47, Issue 2
- 105-112 Forward mortality and other vital rates -- Are they the way forward?
by Norberg, Ragnar
- 113-122 Hybrid fuzzy least-squares regression analysis in claims reserving with geometric separation method
by Apaydin, Aysen & Baser, Furkan
- 123-129 Valuation of equity-indexed annuity under stochastic mortality and interest rate
by Qian, Linyi & Wang, Wei & Wang, Rongming & Tang, Yincai
- 130-136 Characterizing a comonotonic random vector by the distribution of the sum of its components
by Cheung, Ka Chun
- 137-143 Joint characteristic functions construction via copulas
by Komelj, Janez & Perman, Mihael
- 144-153 Optimal investment-reinsurance policy for an insurance company with VaR constraint
by Chen, Shumin & Li, Zhongfei & Li, Kemian
- 154-158 Comonotonic convex upper bound and majorization
by Cheung, Ka Chun
- 159-166 Upper comonotonicity and convex upper bounds for sums of random variables
by Dong, Jing & Cheung, Ka Chun & Yang, Hailiang
- 167-175 On optimal allocation of risk vectors
by Kiesel, Swen & Rüschendorf, Ludger
- 176-186 Pricing longevity risk with the parametric bootstrap: A maximum entropy approach
by Li, Johnny Siu-Hang
- 187-189 A note on additive risk measures in rank-dependent utility
by Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A.
- 190-197 Biometric worst-case scenarios for multi-state life insurance policies
by Christiansen, Marcus C.
- 198-205 Bias correction for estimated distortion risk measure using the bootstrap
by Kim, Joseph H.T.
- 206-207 Obtaining the dividends-penalty identities by interpretation
by Gerber, Hans U. & Yang, Hailiang
- 208-215 Optimal premium policy of an insurance firm: Full and partial information
by Huang, Jianhui & Wang, Guangchen & Wu, Zhen
- 216-223 Pricing maturity guarantee with dynamic withdrawal benefit
by Ko, Bangwon & Shiu, Elias S.W. & Wei, Li
- 224-233 Parameter estimation of a bivariate compound Poisson process
by Esmaeili, Habib & Klüppelberg, Claudia
- 234-245 Catastrophe risk management with counterparty risk using alternative instruments
by Wu, Yang-Che & Chung, San-Lin
- 246-254 Optimal non-proportional reinsurance control
by Hipp, Christian & Taksar, Michael
August 2010, Volume 47, Issue 1
- 1-12 Optimal risk transfer for agents with germs
by Li, Peng & Lim, Andrew E.B. & Shanthikumar, J. George
- 13-20 Estimating generalized state density of near-extreme events and its applications in analyzing stock data
by Lin, Jin-Guan & Huang, Chao & Zhuang, Qing-Yun & Zhu, Li-Ping
- 21-26 Asymptotic analysis of a risk process with high dividend barrier
by Frostig, Esther