# Elsevier

# Insurance: Mathematics and Economics

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**Current editor:**Hansjoerg Albrecher

**Current editor:**M. J. Goovaerts

**Current editor:**E. S. W. Shiu

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**Series handle:**repec:eee:insuma

**ISSN:**0167-6687

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### 2012, Volume 50, Issue 1

**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.

### 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

### 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

### 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

### 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

### 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

### 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

### 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

### 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**27-35 Optimal joint survival reinsurance: An efficient frontier approach***by*Dimitrova, Dimitrina S. & Kaishev, Vladimir K.**36-51 Chain ladder method: Bayesian bootstrap versus classical bootstrap***by*Peters, Gareth W. & Wüthrich, Mario V. & Shevchenko, Pavel V.**52-63 Comparison of three semiparametric methods for estimating dependence parameters in copula models***by*Kojadinovic, Ivan & Yan, Jun**64-75 Stationary-excess operator and convex stochastic orders***by*Lefèvre, Claude & Loisel, Stéphane**76-83 On the Lagrangian Katz family of distributions as a claim frequency model***by*Gathy, Maude & Lefèvre, Claude**84-89 A method for determining risk aversion functions from uncertain market prices of risk***by*Gzyl, Henryk & Mayoral, Silvia**90-97 Optimal portfolio selection for general provisioning and terminal wealth problems***by*Van Weert, Koen & Dhaene, Jan & Goovaerts, Marc**98-104 A linear algebraic method for pricing temporary life annuities and insurance policies***by*Date, P. & Mamon, R. & Jalen, L. & Wang, I.C.

### 2010, Volume 46, Issue 3

**437-442 The conversion option in life insurance***by*Su, Karen C.**443-449 The compound binomial model with randomly paying dividends to shareholders and policyholders***by*He, Lei & Yang, Xiangqun**450-460 The optimal reinsurance strategy -- the individual claim case***by*Centeno, M.L. & Guerra, M.**461-469 Markov-modulated jump-diffusions for currency option pricing***by*Bo, Lijun & Wang, Yongjin & Yang, Xuewei**470-478 Optimal design of profit sharing rates by FFT***by*Hainaut, Donatien**479-484 Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market***by*Perera, Ryle S.**485-492 On the optimal design of insurance contracts with guarantees***by*Branger, Nicole & Mahayni, Antje & Schneider, Judith C.**493-499 A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments***by*Zhang, Wei-Guo & Zhang, Xi-Li & Xu, Wei-Jun**500-510 The development of a simple and intuitive rating system under Solvency II***by*Van Laere, Elisabeth & Baesens, Bart**511-530 An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts***by*Gao, Jianwei**531-540 Dependence structure of risk factors and diversification effects***by*Zhou, Chen**541-546 Risk concentration and diversification: Second-order properties***by*Degen, Matthias & Lambrigger, Dominik D. & Segers, Johan**547-553 On the Tail Mean-Variance optimal portfolio selection***by*Landsman, Zinoviy**554-567 Detecting fuzzy relationships in regression models: The case of insurer solvency surveillance in Germany***by*Berry-Stölzle, Thomas R. & Koissi, Marie-Claire & Shapiro, Arnold F.**568-579 Paid-incurred chain claims reserving method***by*Merz, Michael & Wüthrich, Mario V.**580-587 Constant elasticity of variance model for proportional reinsurance and investment strategies***by*Gu, Mengdi & Yang, Yipeng & Li, Shoude & Zhang, Jingyi**588-599 A general multivariate chain ladder model***by*Zhang, Yanwei

### 2010, Volume 46, Issue 2

**271-280 Optimal asset allocation for a general portfolio of life insurance policies***by*Huang, Hong-Chih & Lee, Yung-Tsung**281-289 Conditional law of risk processes given that ruin occurs***by*Schmidli, Hanspeter**290-299 Applying copula models to individual claim loss reserving methods***by*Zhao, XiaoBing & Zhou, Xian**300-307 Optimal insurance in the presence of insurer's loss limit***by*Zhou, Chunyang & Wu, Wenfeng & Wu, Chongfeng**308-316 On a multivariate Pareto distribution***by*Asimit, Alexandru V. & Furman, Edward & Vernic, Raluca**317-327 A benchmarking approach to optimal asset allocation for insurers and pension funds***by*Lim, Andrew E.B. & Wong, Bernard**328-333 Stochastic comparisons for time transformed exponential models***by*Mulero, Julio & Pellerey, Franco & Rodríguez-Griñolo, Rosario**334-338 A new approach to the credibility formula***by*Payandeh Najafabadi, Amir T.**339-350 Constrained smoothing B-splines for the term structure of interest rates***by*Poletti Laurini, Márcio & Moura, Marcelo**351-361 Multivariate Tweedie distributions and some related capital-at-risk analyses***by*Furman, Edward & Landsman, Zinoviy**362-370 Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model***by*Tang, Qihe & Wang, Guojing & Yuen, Kam C.**371-384 Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform***by*Chen, Hua & Cox, Samuel H. & Wang, Shaun S.**385-396 Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance***by*Chi, Yichun**397-405 Optimal reinsurance with a rescuing procedure***by*Zeng, Xudong**406-414 Archimedean copula estimation and model selection via l1-norm symmetric distribution***by*Qu, Xiaomei & Zhou, Jie & Shen, Xiaojing**415-422 Expected present value of total dividends in a delayed claims risk model under stochastic interest rates***by*Xie, Jie-hua & Zou, Wei**423-435 An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation***by*Lin, Tzuling & Tzeng, Larry Y.**436-436 Erratum to "Estimating value at risk of portfolio by conditional copula-GARCH method" [Insurance: Mathematics and Economics 43 (2009) 315-324]***by*Huang, Jen-Tsung & Lee, Kuo-Jung & Liang, Hueimei & Lin, Wei-Fu

### 2010, Volume 46, Issue 1

**1-2 Editorial for the special issue on Gerber-Shiu functions***by*Albrecher, Hansjörg & Constantinescu, Corina & Garrido, Jose**3-11 On the Gerber-Shiu function and change of measure***by*Schmidli, Hanspeter**12-18 Finite time ruin problems for the Erlang(2) risk model***by*Dickson, David C.M. & Li, Shuanming**19-31 Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence***by*Tang, Qihe & Wei, Li**32-41 Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts***by*Willmot, Gordon E. & Woo, Jae-Kyung**42-51 An algebraic operator approach to the analysis of Gerber-Shiu functions***by*Albrecher, Hansjörg & Constantinescu, Corina & Pirsic, Gottlieb & Regensburger, Georg & Rosenkranz, Markus**52-66 An insurance risk model with stochastic volatility***by*Chi, Yichun & Jaimungal, Sebastian & Lin, X. Sheldon**67-84 On the time value of absolute ruin with tax***by*Ming, Rui-Xing & Wang, Wen-Yuan & Xiao, Li-Qun**85-91 A note on scale functions and the time value of ruin for Lévy insurance risk processes***by*Biffis, Enrico & Kyprianou, Andreas E.**92-97 On a generalization of the Gerber-Shiu function to path-dependent penalties***by*Biffis, Enrico & Morales, Manuel**98-108 De Finetti's optimal dividends problem with an affine penalty function at ruin***by*Loeffen, Ronnie L. & Renaud, Jean-François**109-116 An elementary approach to discrete models of dividend strategies***by*Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang**117-126 Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models***by*Cheung, Eric C.K. & Landriault, David & Willmot, Gordon E. & Woo, Jae-Kyung