# 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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**ISSN:**0167-6687

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### 2009, Volume 45, Issue 2

**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**261-263 Editorial***by*Kaas, Rob & Loos, Jeroen & Gerber, Hans & Goovaerts, Marc & Shiu, Elias**267-267 Editorial***by*Goovaerts, Marc & Kaas, Rob & Shiu, Elias**268-277 To split or not to split: Capital allocation with convex risk measures***by*Tsanakas, Andreas**278-286 Further improved recursions for a class of compound Poisson distributions***by*Chadjiconstantinidis, Stathis & Pitselis, Georgios**287-295 Pricing perpetual American catastrophe put options: A penalty function approach***by*Lin, X. Sheldon & Wang, Tao**296-303 The Markovian regime-switching risk model with a threshold dividend strategy***by*Lu, Yi & Li, Shuanming**304-306 The tax identity in risk theory -- a simple proof and an extension***by*Albrecher, Hansjörg & Borst, Sem & Boxma, Onno & Resing, Jacques**307-314 Fuzzy random variables***by*Shapiro, Arnold F.**315-324 On a dual model with a dividend threshold***by*Ng, Andrew C.Y.

### 2009, Volume 44, Issue 1

**1-18 Optimal surrender strategies for equity-indexed annuity investors***by*Moore, Kristen S.**19-25 The credibility premiums for models with dependence induced by common effects***by*Wen, Limin & Wu, Xianyi & Zhou, Xian**26-34 Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints***by*Azcue, Pablo & Muler, Nora**35-47 Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios***by*Laurence, Peter & Wang, Tai-Ho**48-58 Securitization of motor insurance loss rate risks***by*Bae, Taehan & Kim, Changki & Kulperger, Reginald J.**59-69 Analytical valuation of catastrophe equity options with negative exponential jumps***by*Chang, Lung-fu & Hung, Mao-wei**70-77 A new aspect of a risk process and its statistical inference***by*Shimizu, Yasutaka**78-87 Valuation and hedging of participating life-insurance policies under management discretion***by*Kleinow, Torsten**88-94 Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs***by*He, Lin & Liang, Zongxia**95-102 Closed-form valuations of basket options using a multivariate normal inverse Gaussian model***by*Wu, Yang-Che & Liao, Szu-Lang & Shyu, So-De**103-123 A parameterized approach to modeling and forecasting mortality***by*Hatzopoulos, P. & Haberman, S.**124-134 Analytical approximations for prices of swap rate dependent embedded options in insurance products***by*Plat, Richard & Pelsser, Antoon**135-141 A priori ratemaking using bivariate Poisson regression models***by*Bermúdez i Morata, Lluís

### 2008, Volume 43, Issue 3

**279-279 Preface***by*Tan, Ken Seng & Willmot, Gordon**281-294 Dynamic asset liability management with tolerance for limited shortfalls***by*Detemple, Jérôme & Rindisbacher, Marcel**295-302 Pricing currency options under two-factor Markov-modulated stochastic volatility models***by*Siu, Tak Kuen & Yang, Hailiang & Lau, John W.**303-315 The design of equity-indexed annuities***by*Boyle, Phelim & Tian, Weidong**316-326 Simulation of jump diffusions and the pricing of options***by*DiCesare, Joe & Mcleish, Don**327-338 Computation of optimal portfolios using simulation-based dimension reduction***by*Boyle, Phelim & Imai, Junichi & Tan, Ken Seng**339-349 Estimation and evaluation of the term structure of credit default swaps: An empirical study***by*Chen, Ren-Raw & Cheng, Xiaolin & Liu, Bo**350-367 A model of R&D valuation and the design of research incentives***by*Hsu, Jason C. & Schwartz, Eduardo S.**368-376 Claims reserving: A correlated Bayesian model***by*de Alba, Enrique & Nieto-Barajas, Luis E.**377-385 Government-provided annuities under insolvency risk***by*Huang, Rachel J. & Tsai, Jeffrey T. & Tzeng, Larry Y.**386-393 Skewed bivariate models and nonparametric estimation for the CTE risk measure***by*Bolance, Catalina & Guillen, Montserrat & Pelican, Elena & Vernic, Raluca**394-402 Applications of a multi-state risk factor/mortality model in life insurance***by*Kwon, Hyuk-Sung & Jones, Bruce L.**403-406 Characterization of comonotonicity using convex order***by*Cheung, Ka Chun**407-411 Dependence and the asymptotic behavior of large claims reinsurance***by*Asimit, Alexandru V. & Jones, Bruce L.**412-421 Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed***by*Biard, Romain & Lefèvre, Claude & Loisel, Stéphane**422-430 Pricing catastrophe options in discrete operational time***by*Chang, Carolyn W. & Chang, Jack S.K. & Lu, WeiLi**431-436 Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims***by*Jiang, Jun & Tang, Qihe**437-443 Determination of risk pricing measures from market prices of risk***by*Gzyl, Henryk & Mayoral, Silvia**444-455 On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula***by*Cossette, Hélène & Marceau, Etienne & Marri, Fouad**456-465 Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model***by*Chen, Ping & Yang, Hailiang & Yin, George**466-473 Joint modelling of the total amount and the number of claims by conditionals***by*Sarabia, José María & Guillén, Montserrat**474-479 Optimal control of the insurance company with proportional reinsurance policy under solvency constraints***by*He, Lin & Hou, Ping & Liang, Zongxia

### 2008, Volume 43, Issue 2

**197-202 Tail bounds for the distribution of the deficit in the renewal risk model***by*Psarrakos, Georgios**203-208 Edgeworth expansion for an estimator of the adjustment coefficient***by*Brito, Margarida & Freitas, Ana Cristina Moreira**209-213 On the link between credibility and frequency premium***by*Bolancé, Catalina & Guillén, Montserrat & Pinquet, Jean**214-222 Pricing of catastrophe insurance options written on a loss index with reestimation***by*Biagini, Francesca & Bregman, Yuliya & Meyer-Brandis, Thilo**223-226 Asset proportions in optimal portfolios with dependent default risks***by*Chen, Zijin & Hu, Taizhong**227-233 Optimal dividends with incomplete information in the dual model***by*Gerber, Hans U. & Smith, Nathaniel**234-244 Modelling stochastic mortality for dependent lives***by*Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena**245-254 Bayesian modelling of financial guarantee insurance***by*Puustelli, Anne & Koskinen, Lasse & Luoma, Arto**255-262 Actuarial comparisons for aggregate claims with randomly right-truncated claims***by*Escudero, Laureano F. & Ortega, Eva-María**263-269 Weighted risk capital allocations***by*Furman, Edward & Zitikis, Ricardas**270-278 Optimal dividend strategies in a Cramér-Lundberg model with capital injections***by*Kulenko, Natalie & Schmidli, Hanspeter

### 2008, Volume 43, Issue 1

**1-14 The impact of illiquidity on the asset management of insurance companies***by*Berry-Stölzle, Thomas R.**15-28 Optimal investment and life insurance strategies under minimum and maximum constraints***by*Nielsen, Peter Holm & Steffensen, Mogens**29-40 Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment***by*Zaglauer, Katharina & Bauer, Daniel**41-55 Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios***by*Barbarin, Jérôme**56-68 Optimal consumption and portfolio choice for pooled annuity funds***by*Stamos, Michael Z.**69-84 GARCH option pricing: A semiparametric approach***by*Badescu, Alexandru M. & Kulperger, Reg J.**85-92 Tails of random sums of a heavy-tailed number of light-tailed terms***by*Robert, Christian Y. & Segers, Johan**93-98 Worst allocations of policy limits and deductibles***by*Hua, Lei & Cheung, Ka Chun**99-107 On option pricing under a completely random measure via a generalized Esscher transform***by*Lau, John W. & Siu, Tak Kuen**108-115 Threshold control of mutual insurance with limited commitment***by*Yan, Jia & Liu, John J. & Li, Kevin X.**116-120 A uniform asymptotic estimate for discounted aggregate claims with subexponential tails***by*Hao, Xuemiao & Tang, Qihe**121-133 Fitting mixed-effects models when data are left truncated***by*Paulsen, Jostein & Lunde, Astrid & Skaug, Hans Julius**134-149 Optimal dividend strategies for a risk process under force of interest***by*Albrecher, Hansjörg & Thonhauser, Stefan**150-157 Enhanced annuities and the impact of individual underwriting on an insurer's profit situation***by*Hoermann, Gudrun & Ruß, Jochen**158-164 Tail asymptotic results for elliptical distributions***by*Hashorva, Enkelejd**165-173 The effect of modelling parameters on the value of GMWB guarantees***by*Chen, Z. & Vetzal, K. & Forsyth, P.A.**174-184 Quadratic stochastic intensity and prospective mortality tables***by*Gourieroux, C. & Monfort, A.**185-196 Optimal reinsurance under VaR and CTE risk measures***by*Cai, Jun & Tan, Ken Seng & Weng, Chengguo & Zhang, Yi

### 2008, Volume 42, Issue 3

**865-872 Stochastic orders of scalar products with applications***by*Hua, Lei & Cheung, Ka Chun**873-886 A binomial model for valuing equity-linked policies embedding surrender options***by*Costabile, Massimo & Massabó, Ivar & Russo, Emilio**887-896 An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk***by*Kijima, Masaaki & Muromachi, Yukio**897-902 A note on the Swiss Solvency Test risk measure***by*Filipovic, Damir & Vogelpoth, Nicolas**903-908 Using distortions of copulas to price synthetic CDOs***by*Crane, Glenis & van der Hoek, John**909-919 Valuation of life insurance surrender and exchange options***by*Nordahl, Helge A.**920-934 Valuation of the interest rate guarantee embedded in defined contribution pension plans***by*Yang, Sharon S. & Yueh, Meng-Lan & Tang, Chun-Hua**935-942 On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities***by*Coulibaly, Ibrahim & Lefèvre, Claude**943-953 Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach***by*Xie, Shuxiang & Li, Zhongfei & Wang, Shouyang**954-961 Optimal dividend and issuance of equity policies in the presence of proportional costs***by*Løkka, Arne & Zervos, Mihail**962-967 The periodic risk model with investment***by*Kötter, Mirko & Bäuerle, Nicole**968-975 Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint***by*Bai, Lihua & Guo, Junyi**976-983 Optimal financing and dividend control of the insurance company with proportional reinsurance policy***by*He, Lin & Liang, Zongxia**984-991 Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy***by*Yang, Hu & Zhang, Zhimin**992-999 Optimal insurance under the insurer's risk constraint***by*Zhou, Chunyang & Wu, Chongfeng**1000-1012 Pension funds as institutions for intertemporal risk transfer***by*Baumann, Roger T. & Müller, Heinz H.**1013-1021 Assessing the cost of capital for longevity risk***by*Olivieri, Annamaria & Pitacco, Ermanno**1022-1027 Tolerance intervals for quantiles of bivariate risks and risk measurement***by*Gebizlioglu, Omer L. & Yagci, Banu**1028-1034 Characterizations of classes of risk measures by dispersive orders***by*Sordo, Miguel A.**1035-1049 Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies***by*Chen, An**1050-1061 Regret aversion and annuity risk in defined contribution pension plans***by*Frehen, Rik G.P. & Hoevenaars, Roy P.M.M. & Palm, Franz C. & Schotman, Peter C.**1062-1066 Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts***by*Blake, David & Dowd, Kevin & Cairns, Andrew J.G.**1067-1085 Static super-replicating strategies for a class of exotic options***by*Chen, X. & Deelstra, G. & Dhaene, J. & Vanmaele, M.**1086-1094 On the dual risk model with tax payments***by*Albrecher, Hansjörg & Badescu, Andrei & Landriault, David**1095-1103 Pricing bivariate option under GARCH processes with time-varying copula***by*Zhang, J. & Guégan, D.**1104-1108 On the ruin time distribution for a Sparre Andersen process with exponential claim sizes***by*Borovkov, Konstantin A. & Dickson, David C.M.**1109-1117 Analytic bounds and approximations for annuities and Asian options***by*Vanduffel, Steven & Shang, Zhaoning & Henrard, Luc & Dhaene, Jan & Valdez, Emiliano A.**1118-1127 Comparison results for exchangeable credit risk portfolios***by*Cousin, Areski & Laurent, Jean-Paul**1128-1137 A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market***by*Vandaele, Nele & Vanmaele, Michèle**1138-1145 The private value of public pensions***by*Petrichev, Konstantin & Thorp, Susan**1146-1158 A game theoretic approach to option valuation under Markovian regime-switching models***by*Siu, Tak Kuen**1159-1164 Stochastic optimal control of DC pension funds***by*Gao, Jianwei

### 2008, Volume 42, Issue 2

**469-472 An application of Kendall distributions and alternative dependence measures: SPX vs. VIX***by*Fountain, Robert L. & Herman Jr., John R. & Rustvold, D. Leif**473-483 On the construction of copulas and quasi-copulas with given diagonal sections***by*Nelsen, Roger B. & Quesada-Molina, José Juan & Rodriguez-Lallena, José Antonio & Úbeda-Flores, Manuel**484-491 Error bounds in approximations of random sums using gamma-type operators***by*Sangüesa, C.**492-504 Estimating the term structure of mortality***by*Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E.**505-519 Longevity risk in portfolios of pension annuities***by*Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E.**520-528 Risk measurement in the presence of background risk***by*Tsanakas, Andreas**529-539 Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria***by*Guerra, Manuel & de Lourdes Centeno, Maria**540-547 Actuarial risk measures for financial derivative pricing***by*Goovaerts, Marc J. & Laeven, Roger J.A.**548-559 Estimating VAR models for the term structure of interest rates***by*Vereda, Luciano & Lopes, Hélio & Fukuda, Regina**560-577 Integrated insurance risk models with exponential Lévy investment***by*Klüppelberg, Claudia & Kostadinova, Radostina**578-593 Valuation of intergenerational transfers in funded collective pension schemes***by*Hoevenaars, Roy P.M.M. & Ponds, Eduard H.M.**594-599 Portfolio diversification under local and moderate deviations from power laws***by*Ibragimov, Rustam & Walden, Johan**600-608 On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution***by*Landriault, David & Willmot, Gordon**609-616 Cooperative hedging with a higher interest rate for borrowing***by*Zhou, Qing & Wu, Weixing & Wang, Zengwu**617-627 The compound Poisson risk model with multiple thresholds***by*Lin, X. Sheldon & Sendova, Kristina P.**628-637 Securitization of catastrophe mortality risks***by*Lin, Yijia & Cox, Samuel H.**638-650 Fitting and validation of a bivariate model for large claims***by*Drees, Holger & Müller, Peter**651-655 Improved convex upper bound via conditional comonotonicity***by*Cheung, Ka Chun**656-667 Risk theory insight into a zone-adaptive control strategy***by*Malinovskii, Vsevolod K.**668-679 Approximations for the moments of ruin time in the compound Poisson model***by*Pitts, Susan M. & Politis, Konstadinos**680-690 A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension***by*Christiansen, Marcus C.**691-703 Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio***by*Young, Virginia R.**704-716 A general asset-liability management model for the efficient simulation of portfolios of life insurance policies***by*Gerstner, Thomas & Griebel, Michael & Holtz, Markus & Goschnick, Ralf & Haep, Marcus**717-726 A risk model with paying dividends and random environment***by*Kim, Bara & Kim, Hwa-Sung & Kim, Jeongsim**727-735 Credibility premiums for the zero-inflated Poisson model and new hunger for bonus interpretation***by*Boucher, Jean-Philippe & Denuit, Michel**736-745 On the parameterization of the CreditRisk + model for estimating credit portfolio risk***by*Vandendorpe, Antoine & Ho, Ngoc-Diep & Vanduffel, Steven & Van Dooren, Paul**746-762 Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin***by*Loisel, Stéphane & Mazza, Christian & Rullière, Didier**763-770 Tail dependence for multivariate t -copulas and its monotonicity***by*Chan, Yin & Li, Haijun**771-778 Indifference prices of structured catastrophe (CAT) bonds***by*Egami, Masahiko & Young, Virginia R.**779-786 A Bayesian dichotomous model with asymmetric link for fraud in insurance***by*Bermúdez, Ll. & Pérez, J.M. & Ayuso, M. & Gómez, E. & Vázquez, F.J.**787-796 A sensitivity analysis of typical life insurance contracts with respect to the technical basis***by*Christiansen, Marcus C.**797-816 On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling***by*Renshaw, A.E. & Haberman, S.**817-830 Heavy-tailed longitudinal data modeling using copulas***by*Sun, Jiafeng & Frees, Edward W. & Rosenberg, Marjorie A.**831-838 Comonotonic approximations to quantiles of life annuity conditional expected present value***by*Denuit, Michel