# 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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### 2011, Volume 48, Issue 1

**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**127-134 A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model***by*Cheung, Eric C.K. & Landriault, David**135-138 Longevity risk and capital markets: The 2008-2009 update***by*Blake, David & De Waegenaere, Anja & MacMinn, Richard & Nijman, Theo**139-149 On the pricing of longevity-linked securities***by*Bauer, Daniel & Börger, Matthias & Ruß, Jochen**150-161 Longevity bond premiums: The extreme value approach and risk cubic pricing***by*Chen, Hua & Cummins, J. David**162-172 A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions***by*Kogure, Atsuyuki & Kurachi, Yoshiyuki**173-185 Securitization, structuring and pricing of longevity risk***by*Wills, Samuel & Sherris, Michael**186-197 Securitizing and tranching longevity exposures***by*Biffis, Enrico & Blake, David**198-209 Optimizing the equity-bond-annuity portfolio in retirement: The impact of uncertain health expenses***by*Pang, Gaobo & Warshawsky, Mark**210-221 Evaluating the Advanced Life Deferred Annuity -- An annuity people might actually buy***by*Gong, Guan & Webb, Anthony**222-234 Longevity risk in pension annuities with exchange options: The effect of product design***by*Stevens, Ralph & De Waegenaere, Anja & Melenberg, Bertrand**235-241 On the optimal product mix in life insurance companies using conditional value at risk***by*Tsai, Jeffrey T. & Wang, Jennifer L. & Tzeng, Larry Y.**242-253 Mortality risk modeling: Applications to insurance securitization***by*Cox, Samuel H. & Lin, Yijia & Pedersen, Hal**254-270 Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models***by*Yang, Sharon S. & Yue, Jack C. & Huang, Hong-Chih

### 2009, Volume 45, Issue 3

**315-324 Estimating value at risk of portfolio by conditional copula-GARCH method***by*Huang, Jen-Jsung & Lee, Kuo-Jung & Liang, Hueimei & Lin, Wei-Fu**325-332 Correlation order, merging and diversification***by*Dhaene, Jan & Denuit, Michel & Vanduffel, Steven**333-336 Comparative higher-degree Ross risk aversion***by*Li, Jingyuan**337-347 Esscher transforms and consumption-based models***by*Badescu, Alex & Elliott, Robert J. & Siu, Tak Kuen**348-361 TVaR-based capital allocation with copulas***by*Bargès, Mathieu & Cossette, Hélène & Marceau, Étienne**362-373 On ruin probability and aggregate claim representations for Pareto claim size distributions***by*Albrecher, Hansjörg & Kortschak, Dominik**374-381 Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes***by*Loisel, Stéphane & Mazza, Christian & Rullière, Didier**382-392 A perturbed risk model with dependence between premium rates and claim sizes***by*Zhou, Ming & Cai, Jun**393-404 On stochastic mortality modeling***by*Plat, Richard**405-409 Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints***by*Yuan, Haili & Hu, Yijun**410-423 Dynamic mortality factor model with conditional heteroskedasticity***by*Gao, Quansheng & Hu, Chengjun**424-435 Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view***by*Brazauskas, Vytaras & Kleefeld, Andreas**436-448 Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility***by*van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David**449-458 Quantile hedging for guaranteed minimum death benefits***by*Wang, Yumin**459-465 Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders***by*Song, Yongsheng & Yan, Jia-An**466-469 Comparing tail variabilities of risks by means of the excess wealth order***by*Sordo, Miguel A.**470-484 Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims***by*Chadjiconstantinidis, Stathis & Papaioannou, Apostolos D.

### 2009, Volume 45, Issue 2

**157-162 Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation***by*Cao, Yusong & Wan, Nianqing**163-172 Insurance claims modulated by a hidden Brownian marked point process***by*Elliott, Robert J. & Chen, Zhiping & Duan, Qihong**173-179 Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application***by*D'Amico, Guglielmo & Guillen, Montserrat & Manca, Raimondo**180-187 Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework***by*Corradini, M. & Gheno, A.**188-194 Approximate basket options valuation for a jump-diffusion model***by*Xu, Guoping & Zheng, Harry**195-202 On barrier strategy dividends with Parisian implementation delay for classical surplus processes***by*Dassios, Angelos & Wu, Shanle**203-208 The one-year non-life insurance risk***by*Ohlsson, Esbjörn & Lauzeningks, Jan**209-223 Estimating copula densities, using model selection techniques***by*Kallenberg, Wilbert C.M.**224-229 On cross-risk vulnerability***by*Malevergne, Y. & Rey, B.**230-235 Urban public pension, replacement rates and population growth rate in China***by*Yang, Zaigui**236-241 Neural networks approach for determining total claim amounts in insurance***by*Dalkilic, Turkan Erbay & Tank, Fatih & Kula, Kamile Sanli**242-246 The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure***by*Renaud, Jean-François**247-254 The net Bayes premium with dependence between the risk profiles***by*Hernández-Bastida, A. & Fernández-Sánchez, M.P. & Gómez-Déniz, E.**255-270 On age-period-cohort parametric mortality rate projections***by*Haberman, Steven & Renshaw, Arthur**271-277 Loss reserving using loss aversion functions***by*Choo, Weihao & de Jong, Piet**278-285 Explaining functional principal component analysis to actuarial science with an example on vehicle insurance***by*Segovia-Gonzalez, M.M. & Guerrero, F.M. & Herranz, P.**286-295 Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model***by*Costabile, Massimo & Gaudenzi, Marcellino & Massabò, Ivar & Zanette, Antonino**296-304 Using quantile regression for rate-making***by*Kudryavtsev, Andrey A.**305-314 On the total operating costs up to default in a renewal risk model***by*Feng, Runhuan

### 2009, Volume 45, Issue 1

**1-8 Semiparametric model for prediction of individual claim loss reserving***by*Zhao, Xiao Bing & Zhou, Xian & Wang, Jing Long**9-18 Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model***by*Gao, Jianwei**19-24 A Markov-modulated model for stocks paying discrete dividends***by*Sakkas, E. & Le, H.**25-34 Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints***by*Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph**35-40 Upper comonotonicity***by*Cheung, Ka Chun**41-48 An optimal dividends problem with transaction costs for spectrally negative Lévy processes***by*Loeffen, R.L.**49-58 Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts***by*Necir, Abdelhakim & Meraghni, Djamel**59-64 A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts***by*Cerqueti, Roy & Foschi, Rachele & Spizzichino, Fabio**65-73 The valuation of contingent capital with catastrophe risks***by*Lin, Shih-Kuei & Chang, Chia-Chien & Powers, Michael R.**74-80 Sample path large and moderate deviations for risk model with delayed claims***by*Gao, Fuqing & Yan, Jun**81-88 Optimal investment and reinsurance of an insurer with model uncertainty***by*Zhang, Xin & Siu, Tak Kuen**89-93 Applications of conditional comonotonicity to some optimization problems***by*Cheung, Ka Chun**94-112 What is the impact of stock market contagion on an investor's portfolio choice?***by*Branger, Nicole & Kraft, Holger & Meinerding, Christoph**113-122 Minimum standards for investment performance: A new perspective on non-life insurer solvency***by*Eling, Martin & Gatzert, Nadine & Schmeiser, Hato**123-132 Stochastic portfolio specific mortality and the quantification of mortality basis risk***by*Plat, Richard**133-138 Ruin probability in the presence of interest earnings and tax payments***by*Wei, Li**139-147 A class of multivariate copulas with bivariate Frechet marginal copulas***by*Yang, Jingping & Qi, Yongcheng & Wang, Ruodu**148-155 Continuous-time mean-variance portfolio selection with liability and regime switching***by*Xie, Shuxiang

### 2009, Volume 44, Issue 3

**325-336 [Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC***by*Sadefo Kamdem, J.**337-344 A jump-diffusion model for option pricing under fuzzy environments***by*Xu, Weidong & Wu, Chongfeng & Xu, Weijun & Li, Hongyi**345-356 Univariate and bivariate GPD methods for predicting extreme wind storm losses***by*Brodin, Erik & Rootzén, Holger**357-366 A capital allocation based on a solvency exchange option***by*Kim, Joseph H.T. & Hardy, Mary R.**367-373 A claims persistence process and insurance***by*Vallois, Pierre & Tapiero, Charles S.**374-384 Optimal reinsurance with general risk measures***by*Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio**385-397 Bounds and approximations for sums of dependent log-elliptical random variables***by*Valdez, Emiliano A. & Dhaene, Jan & Maj, Mateusz & Vanduffel, Steven**398-408 Decomposition of a Schur-constant model and its applications***by*Chi, Yichun & Yang, Jingping & Qi, Yongcheng**409-414 Optimal allocation of policy limits and deductibles under distortion risk measures***by*Zhuang, Weiwei & Chen, Zijin & Hu, Taizhong**415-425 Global loss diversification in the insurance sector***by*Sheremet, Oleg & Lucas, André**426-433 Optimal risk sharing with different reference probabilities***by*Acciaio, Beatrice & Svindland, Gregor**434-446 Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance***by*Gerstner, Thomas & Griebel, Michael & Holtz, Markus**447-458 Minimizing the lifetime shortfall or shortfall at death***by*Bayraktar, Erhan & Young, Virginia R.**459-463 Long time behaviour of stochastic interest rate models***by*Zhao, Juan**464-472 Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times***by*Ambagaspitiya, Rohana S.**473-478 Optimal proportional reinsurance and investment with transaction costs, I: Maximizing the terminal wealth***by*Zhang, Xin-Li & Zhang, Ke-Cun & Yu, Xing-Jiang**479-490 Optimal portfolios for DC pension plans under a CEV model***by*Gao, Jianwei**491-496 Survival probability for a two-dimensional risk model***by*Dang, Lanfen & Zhu, Ning & Zhang, Haiming**497-504 Computing the mean and the variance of the cedent's share for largest claims reinsurance covers***by*Hess, Christian**505-510 Adverse selection or advantageous selection? Risk and underwriting in China's health-insurance market***by*Gao, Feng & Powers, Michael R. & Wang, Jun

### 2009, Volume 44, Issue 2

**143-145 Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance***by*Genest, Christian & Gerber, Hans U. & Goovaerts, Marc J. & Laeven, Roger J.A.**146-158 Worst VaR scenarios with given marginals and measures of association***by*Kaas, Rob & Laeven, Roger J.A. & Nelsen, Roger B.**159-163 Worst VaR scenarios: A remark***by*Laeven, Roger J.A.**164-169 Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness***by*Embrechts, Paul & Neslehová, Johanna & Wüthrich, Mario V.**170-181 Estimating copula densities through wavelets***by*Genest, Christian & Masiello, Esterina & Tribouley, Karine**182-198 Pair-copula constructions of multiple dependence***by*Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik**199-213 Goodness-of-fit tests for copulas: A review and a power study***by*Genest, Christian & Rémillard, Bruno & Beaudoin, David**214-228 Multivariate probit models for conditional claim-types***by*Young, Gary & Valdez, Emiliano A. & Kohn, Robert**229-244 Modelling dynamic portfolio risk using risk drivers of elliptical processes***by*Schmidt, Rafael & Schmieder, Christian**245-259 On the discrete-time compound renewal risk model with dependence***by*Marceau, Etienne