# Elsevier

# Insurance: Mathematics and Economics

**Download restrictions:**Full text for ScienceDirect subscribers only

**Editor:**

**Current editor:**Hansjoerg Albrecher

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

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

Additional information is available for the following
registered editor(s): Marc Goovaerts
**For corrections or technical questions regarding this series, please contact
(Zhang, Lei)**

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

**Citations RSS feed:**at CitEc

### Impact factors

- Simple (last 10 years)
- Recursive (10)
- Discounted (10)
- Recursive discounted (10)
- H-Index (10)
- Aggregate (10)

**Access and download statistics**

**Top item:**

- By citations
- By downloads (last 12 months)

### 2008, Volume 42, Issue 2

**839-849 Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement***by*Gatzert, Nadine**850-854 A generalization of the credibility theory obtained by using the weighted balanced loss function***by*Gómez-Déniz, E.**855-863 Some results on the CTE-based capital allocation rule***by*Dhaene, J. & Henrard, L. & Landsman, Z. & Vandendorpe, A. & Vanduffel, S.

### 2008, Volume 42, Issue 1

**1-13 Pension fund investments and the valuation of liabilities under conditional indexation***by*de Jong, Frank**14-30 Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates***by*Ludkovski, Michael & Young, Virginia R.**31-38 Constant dividend barrier in a risk model with interclaim-dependent claim sizes***by*Landriault, David**39-49 Univariate and multivariate versions of the negative binomial-inverse Gaussian distributions with applications***by*Gómez-Déniz, Emilio & Sarabia, José Maria & Calderin-Ojeda, Enrique**50-58 The influence of corporate taxes on pricing and capital structure in property-liability insurance***by*Gatzert, Nadine & Schmeiser, Hato**59-64 The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest***by*Wang, Guojing & Wu, Rong**65-72 Recursions for multivariate compound phase variables***by*Eisele, Karl-Theodor**73-80 Modelling total tail dependence along diagonals***by*Zhang, Ming-Heng**81-94 Adaptive control strategies and dependence of finite time ruin on the premium loading***by*Malinovskii, Vsevolod K.**95-100 Convex bounds on multiplicative processes, with applications to pricing in incomplete markets***by*Courtois, Cindy & Denuit, Michel**101-106 On the distribution tail of an integrated risk model: A numerical approach***by*Brokate, M. & Klüppelberg, C. & Kostadinova, R. & Maller, R. & Seydel, R.C.**107-118 Mean-variance optimization problems for an accumulation phase in a defined benefit plan***by*Delong, Lukasz & Gerrard, Russell & Haberman, Steven**119-126 On the consistency of credibility premiums regarding Esscher principle***by*Pan, Maolin & Wang, Rongming & Wu, Xianyi**127-146 Modelling dependence***by*Kallenberg, Wilbert C.M.**147-153 Random sums of exchangeable variables and actuarial applications***by*Kolev, Nikolai & Paiva, Delhi**154-162 Finite-time dividend-ruin models***by*Leung, Kwai Sun & Kwok, Yue Kuen & Leung, Seng Yuen**163-176 Tail bounds for the joint distribution of the surplus prior to and at ruin***by*Psarrakos, Georgios & Politis, Konstadinos**177-188 Allocation of risks and equilibrium in markets with finitely many traders***by*Burgert, Christian & Rüschendorf, Ludger**189-211 Prices and sensitivities of Asian options: A survey***by*Boyle, Phelim & Potapchik, Alexander**212-226 Valuation of life insurance products under stochastic interest rates***by*Gaillardetz, Patrice**227-234 A two-dimensional ruin problem on the positive quadrant***by*Avram, Florin & Palmowski, Zbigniew & Pistorius, Martijn**235-242 Coherent risk measures, coherent capital allocations and the gradient allocation principle***by*Buch, A. & Dorfleitner, G.**243-254 Methods for estimating the optimal dividend barrier and the probability of ruin***by*Gerber, Hans U. & Shiu, Elias S.W. & Smith, Nathaniel**255-260 An optimal insurance strategy for an individual under an intertemporal equilibrium***by*Zhou, Chunyang & Wu, Chongfeng & Zhang, Shengping & Huang, Xuejun**261-270 Quantifying the error of convex order bounds for truncated first moments***by*Brückner, Karsten**271-287 Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations***by*Jumarie, Guy**288-300 Robust regression credibility: The influence function approach***by*Pitselis, Georgios**301-310 Insuring a risky investment project***by*Loubergé, Henri & Watt, Richard**311-318 Ruin theory for a Markov regime-switching model under a threshold dividend strategy***by*Zhu, Jinxia & Yang, Hailiang**319-331 Premium rates based on genetic studies: How reliable are they***by*Lu, Li & Macdonald, Angus & Wekwete, Chessman**332-342 Evaluation of insurance products with guarantee in incomplete markets***by*Consiglio, Andrea & De Giovanni, Domenico**343-358 The role of longevity bonds in optimal portfolios***by*Menoncin, Francesco**359-377 Bruno de Finetti and the case of the critical line's last segment***by*Barone, Luca**378-388 Prediction error in the chain ladder method***by*Wüthrich, Mario V.**389-395 Estimation of loss reserves with lognormal development factors***by*Han, Zhongxian & Gau, Wu-Chyuan**396-408 Following the rules: Integrating asset allocation and annuitization in retirement portfolios***by*Horneff, Wolfram J. & Maurer, Raimond H. & Mitchell, Olivia S. & Dus, Ivica**409-418 Mortality modelling with Lévy processes***by*Hainaut, Donatien & Devolder, Pierre**419-433 Fair valuation of insurance contracts under Lévy process specifications***by*Kassberger, Stefan & Kiesel, Rüdiger & Liebmann, Thomas**434-444 On reinsurance and investment for large insurance portfolios***by*Luo, Shangzhen & Taksar, Michael & Tsoi, Allanus**445-452 Some stability results of optimal investment in a simple Lévy market***by*Niu, Liqun**453-458 Retrieval of Black-Scholes and generalized Erlang models by perturbed observations at a fixed time***by*Neuenschwander, Daniel**459-465 Weighted premium calculation principles***by*Furman, Edward & Zitikis, Ricardas

### 2007, Volume 41, Issue 3

**299-316 Risk management of a bond portfolio using options***by*Annaert, Jan & Deelstra, Griselda & Heyman, Dries & Vanmaele, Michèle**317-338 Pricing of Ratchet equity-indexed annuities under stochastic interest rates***by*Kijima, Masaaki & Wong, Tony**339-361 Modelling the joint distribution of competing risks survival times using copula functions***by*Kaishev, Vladimir K. & Dimitrova, Dimitrina S. & Haberman, Steven**362-381 Integrating long-term care insurance purchase decisions with saving and investment for retirement***by*Gupta, Aparna & Li, Lepeng**382-391 Optimal allocation of policy limits and deductibles***by*Cheung, Ka Chun

### 2007, Volume 41, Issue 2

**223-233 Extreme behavior of multivariate phase-type distributions***by*Asimit, Alexandru V. & Jones, Bruce L.**234-249 On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals***by*Ahn, Soohan & Badescu, Andrei L.**250-263 Optimal investment for insurers when the stock price follows an exponential Lévy process***by*Kostadinova, Radostina**264-278 Valuation of catastrophe reinsurance with catastrophe bonds***by*Lee, Jin-Ping & Yu, Min-Teh**279-297 Risk measures, distortion parameters, and their empirical estimation***by*Jones, Bruce L. & Zitikis, Ricardas

### 2007, Volume 41, Issue 1

**1-16 Monotone and cash-invariant convex functions and hulls***by*Filipovic, Damir & Kupper, Michael**17-31 On the discounted penalty function in the renewal risk model with general interclaim times***by*Willmot, Gordon E.**32-40 A time-series risk model with constant interest for dependent classes of business***by*Zhang, Zhiqiang & Yuen, Kam C. & Li, Wai Keung**41-52 Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model***by*Chadjiconstantinidis, Stathis & Politis, Konstadinos**53-61 Extreme behavior of bivariate elliptical distributions***by*Asimit, Alexandru V. & Jones, Bruce L.**62-70 Jump diffusion processes and their applications in insurance and finance***by*Jang, Jiwook**71-83 Predicting automobile claims bodily injury severity with sequential ordered logit models***by*Ayuso, Mercedes & Santolino, Miguel**84-95 Valuation of cash flows under random rates of interest: A linear algebraic approach***by*Date, P. & Mamon, R. & Wang, I.C.**96-110 Integrating optimal annuity planning with consumption-investment selections in retirement planning***by*Gupta, Aparna & Li, Zhisheng**111-123 Optimal dividends in the dual model***by*Avanzi, Benjamin & U. Gerber, Hans & S.W. Shiu, Elias**124-133 The compound binomial risk model with time-correlated claims***by*Xiao, Yuntao & Guo, Junyi**134-155 Management of a pension fund under mortality and financial risks***by*Hainaut, Donatien & Devolder, Pierre**156-162 On a modification of the classical risk process***by*Bratiychuk, M.S. & Derfla, D.**163-184 Dividend maximization under consideration of the time value of ruin***by*Thonhauser, Stefan & Albrecher, Hansjorg**185-195 On the ruin probabilities of a bidimensional perturbed risk model***by*Li, Junhai & Liu, Zaiming & Tang, Qihe**196-221 Minimizing the probability of lifetime ruin under borrowing constraints***by*Bayraktar, Erhan & Young, Virginia R.

### 2007, Volume 40, Issue 3

**357-385 Lookback options and dynamic fund protection under multiscale stochastic volatility***by*Wong, Hoi Ying & Chan, Chun Man**386-402 An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates***by*Koch, Inge & Schepper, Ann De**403-414 On variational bounds in the compound Poisson approximation of the individual risk model***by*Roos, Bero**415-423 The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims***by*Chen, Yiqing & Ng, Kai W.**424-434 Bayesian graduation of mortality rates: An application to reserve evaluation***by*da Rocha Neves, Cesar & Migon, Helio S.**435-444 Hedging life insurance with pure endowments***by*Bayraktar, Erhan & Young, Virginia R.**445-458 The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees***by*Kleinow, Torsten & Willder, Mark**459-467 Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure***by*Frostig, Esther & Zaks, Yaniv & Levikson, Benny**468-484 Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz' law of mortality***by*Willemse, W.J. & Kaas, R.**485-497 Moments of claims in a Markovian environment***by*Kim, Bara & Kim, Hwa-Sung**498-508 Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes***by*Leipus, Remigijus & Siaulys, Jonas**509-523 Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion***by*Wan, Ning**525-532 Lower tail dependence for Archimedean copulas: Characterizations and pitfalls***by*Charpentier, Arthur & Segers, Johan

### 2007, Volume 40, Issue 2

**179-199 Distribution-free option pricing***by*Schepper, Ann De & Heijnen, Bart**200-208 On the asymptotic distribution of certain bivariate reinsurance treaties***by*Hashorva, Enkelejd**209-230 Time consistency conditions for acceptability measures, with an application to Tail Value at Risk***by*Roorda, Berend & Schumacher, J.M.**231-255 Default risk, bankruptcy procedures and the market value of life insurance liabilities***by*Chen, An & Suchanecki, Michael**256-266 Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications***by*Wang, Yuebao & Yang, Yang & Wang, Kaiyong & Cheng, Dongya**267-282 Pricing exotic options under regime switching***by*Boyle, Phelim & Draviam, Thangaraj**283-292 Stochastic pension fund control in the presence of Poisson jumps***by*Ngwira, Bernard & Gerrard, Russell**293-301 On the expected discounted penalty function for a perturbed risk process driven by a subordinator***by*Morales, Manuel**302-310 The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts***by*Xiao, Jianwu & Hong, Zhai & Qin, Chenglin**311-321 The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance***by*Taksar, Michael & Hunderup, Christine Loft**322-334 Optimal investment for an insurer: The martingale approach***by*Wang, Zengwu & Xia, Jianming & Zhang, Lihong**335-355 Pricing general insurance with constraints***by*Emms, Paul

### 2007, Volume 40, Issue 1

**1-14 On non-monotonic ageing properties from the Laplace transform, with actuarial applications***by*Belzunce, Felix & Ortega, Eva-Maria & Ruiz, Jose M.**15-34 Optimal strategies for pricing general insurance***by*Emms, P. & Haberman, S. & Savoulli, I.**35-57 A law of large numbers approach to valuation in life insurance***by*Fischer, Tom**58-76 Actuarial statistics with generalized linear mixed models***by*Antonio, Katrien & Beirlant, Jan**77-84 Optimal investment for an insurer with exponential utility preference***by*Wang, Nan**85-94 Coherent risk measure, equilibrium and equilibrium pricing***by*Gao, Feng & Song, Fengming & Zhang, Lihong**95-103 Joint distributions of some actuarial random vectors in the compound binomial model***by*Liu, Guoxin & Zhao, Jinyan**104-112 The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier***by*Yuen, Kam C. & Wang, Guojing & Li, Wai K.**113-134 Asymptotic and numerical analysis of the optimal investment strategy for an insurer***by*Emms, P. & Haberman, S.**135-144 The timing of annuitization: Investment dominance and mortality risk***by*Milevsky, Moshe A. & Young, Virginia R.**145-163 Claim reserving with fuzzy regression and Taylor's geometric separation method***by*de Andres-Sanchez, Jorge**164-178 The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies***by*Kling, Alexander & Richter, Andreas & Ru[ss], Jochen

### 2006, Volume 39, Issue 3

**285-286 IME-award***by*Shapiro, A.F.**287-309 Fuzzy formulation of the Lee-Carter model for mortality forecasting***by*Koissi, Marie-Claire & Shapiro, Arnold F.**310-329 Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts***by*Melnikov, Alexander & Romaniuk, Yulia**330-355 Asset and liability management under a continuous-time mean-variance optimization framework***by*Chiu, Mei Choi & Li, Duan**356-375 The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements***by*Ballotta, Laura & Esposito, Giorgia & Haberman, Steven**376-389 Excess of loss reinsurance under joint survival optimality***by*Kaishev, Vladimir K. & Dimitrova, Dimitrina S.**390-390 Third Brazilian conference on statistical modelling in insurance and finance First announcement -- Call for papers***by*Kolev, N.**392-392 Call for papers American Risk and Insurance Association 2007 annual meeting August 5-8, 2007 Quebec City, Canada***by*Vaughan, Terri**393-393 Announcement and call for papers***by*Kaas, R.**v-v Editorial***by*Marceau, E. & Goulet, V.

### 2006, Volume 39, Issue 2

**171-183 Risk-neutral valuation of participating life insurance contracts***by*Bauer, Daniel & Kiesel, Rudiger & Kling, Alexander & Ru[ss], Jochen**185-191 Multivariate loss prediction in the multivariate additive model***by*Hess, Klaus Th. & Schmidt, Klaus D. & Zocher, Mathias**193-217 Valuation and hedging of life insurance liabilities with systematic mortality risk***by*Dahl, Mikkel & Moller, Thomas**219-229 Regret, portfolio choice, and guarantees in defined contribution schemes***by*Muermann, Alexander & Mitchell, Olivia S. & Volkman, Jacqueline M.**231-249 Measuring the effect of mortality improvements on the cost of annuities***by*Khalaf-Allah, M. & Haberman, S. & Verrall, R.**251-266 Demand and adverse selection in a pooled annuity fund***by*Valdez, Emiliano A. & Piggott, John & Wang, Liang**267-284 Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and independence***by*Yang, Jingping & Cheng, Shihong & Zhang, Lihong

### 2006, Volume 39, Issue 1

**1-18 The compound binomial model with randomized decisions on paying dividends***by*Tan, Jiyang & Yang, Xiangqun**19-34 Risk measures via g-expectations***by*Rosazza Gianin, Emanuela**35-46 A private management strategy for the crop yield insurer: A theoretical approach and tests***by*Phelippe-Guinvarc'h, Martial V. & Cordier, Jean E.**47-68 Optimal insurance in a continuous-time model***by*Moore, Kristen S. & Young, Virginia R.**69-80 Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts***by*Sanguesa, C.**81-98 Optimal investment decisions with a liability: The case of defined benefit pension plans***by*Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo**99-113 Generalized estimating equations for variance and covariance parameters in regression credibility models***by*Lo, Chi Ho & Fung, Wing Kam & Zhu, Zhong Yi**115-121 On the use of posterior regret [Gamma]-minimax actions to obtain credibility premiums***by*Gomez-Deniz, E. & Perez-Sanchez, J.M. & Vazquez-Polo, F.J.**123-133 Dynamic greeks***by*Norberg, Ragnar**135-149 Pricing of multi-period rate of return guarantees: The Monte Carlo approach***by*Bakken, Henrik & Lindset, Snorre & Olson, Lars Hesstvedt**151-170 On the stop-loss transform and order for the surplus process perturbed by diffusion***by*Tsai, Cary Chi-Liang

### 2006, Volume 38, Issue 3

**427-440 Mortality-dependent financial risk measures***by*Dowd, Kevin & Cairns, Andrew J.G. & Blake, David**441-459 On univariate extreme value statistics and the estimation of reinsurance premiums***by*Vandewalle, B. & Beirlant, J.**460-468 Variability of total claim amounts under dependence between claims severity and number of events***by*Belzunce, Felix & Ortega, Eva-Maria & Pellerey, Franco & Ruiz, Jose M.**469-483 Catastrophe options with stochastic interest rates and compound Poisson losses***by*Jaimungal, Sebastian & Wang, Tao**484-494 Monotonicity results for portfolios with heterogeneous claims arrival processes***by*Frostig, Esther & Denuit, Michel**495-517 Enhancing insurer value through reinsurance optimization***by*Krvavych, Yuriy & Sherris, Michael**518-528 Minimax pricing and Choquet pricing***by*Chen, Zengjing & Kulperger, Reg**529-539 The maximum surplus before ruin in an Erlang(n) risk process and related problems***by*Li, Shuanming & Dickson, David C.M.**540-555 Modelling negatives in stochastic reserving models***by*Kunkler, Michael**556-570 A cohort-based extension to the Lee-Carter model for mortality reduction factors***by*Renshaw, A.E. & Haberman, S.**571-584 Weak convergence of a bootstrap geometric-type estimator with applications to risk theory***by*Brito, Margarida & Moreira Freitas, Ana Cristina**585-598 Pricing and hedging guaranteed returns on mix funds***by*Vellekoop, M.H. & Vd Kamp, A.A. & Post, B.A.**599-608 Hedging life insurance contracts in a Lévy process financial market***by*Riesner, Martin**609-629 Claim dependence with common effects in credibility models***by*Yeo, Keng Leong & Valdez, Emiliano A.**630-639 Analysis of risk measures for reinsurance layers***by*Ladoucette, Sophie A. & Teugels, Jef L.

### 2006, Volume 38, Issue 2

**215-228 Hedging guarantees in variable annuities under both equity and interest rate risks***by*Coleman, Thomas F. & Li, Yuying & Patron, Maria-Cristina**229-252 Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims***by*Guillen, Montserrat & Jorgensen, Peter Lochte & Nielsen, Jens Perch**253-270 Testing hypotheses about the equality of several risk measure values with applications in insurance***by*Jones, Bruce L. & Puri, Madan L. & Zitikis, Ricardas**271-288 The impact of the determinants of mortality on life insurance and annuities***by*Kwon, Hyuk-Sung & Jones, Bruce L.**289-297 Consistent risk measures for portfolio vectors***by*Burgert, Christian & Ruschendorf, Ludger**298-308 On the first time of ruin in the bivariate compound Poisson model***by*Yuen, Kam C. & Guo, Junyi & Wu, Xueyuan**309-323 Ruin probabilities in the discrete time renewal risk model***by*Cossette, Helene & Landriault, David & Marceau, Etienne**324-334 A new characterization of distortion premiums via countable additivity for comonotonic risks***by*Wu, Xianyi & Zhou, Xian**335-346 Survival risks, intertemporal consumption, and insurance: The case of distorted probabilities***by*Bleichrodt, Han & Eeckhoudt, Louis**347-359 Production under uncertainty with insurance or hedging***by*Hau, Arthur**360-373 Copula credibility for aggregate loss models***by*Frees, Edward W. & Wang, Ping**374-390 An insurance network: Nash equilibrium***by*Ramasubramanian, S.**391-405 The preservation of classes of discrete distributions under convolution and mixing***by*Pavlova, Kristina P. & Cai, Jun & Willmot, Gordon E.**406-412 Preservation of the location independent risk order under convolution***by*Hu, Taizhong & Chen, Jing & Yao, Junchao**413-426 Multivariate skew-normal distributions with applications in insurance***by*Vernic, Raluca

### 2006, Volume 38, Issue 1

**1-20 Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval***by*Koissi, Marie-Claire & Shapiro, Arnold F. & Hognas, Goran**21-38 Financial valuation of guaranteed minimum withdrawal benefits***by*Milevsky, Moshe A. & Salisbury, Thomas S.**39-56 Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities***by*Geluk, J.L. & De Vries, C.G.**57-80 The compound Poisson risk model with a threshold dividend strategy***by*Lin, X.Sheldon & Pavlova, Kristina P.**81-97 Affine stochastic mortality***by*Schrager, David F.**98-112 An application of the [alpha]-power approximation in multiple life insurance***by*Yi, Zhang & Weng, Chengguo**113-131 On the control of defined-benefit pension plans***by*Huang, Hong-Chih & Cairns, Andrew J.G.**132-148 Stochastic orders and risk measures: Consistency and bounds***by*Bauerle, Nicole & Muller, Alfred**149-156 Recursions for compound phase distributions***by*Eisele, Karl-Theodor**157-166 A volatility-varying and jump-diffusion Merton type model of interest rate risk***by*Espinosa, Fernando & Vives, Josep**167-175 Optimal portfolio problem with unknown dependency structure***by*Cheung, Ka Chun**176-188 Speedy convolution algorithms and Panjer recursions for phase-type distributions***by*Hipp, Christian**189-194 Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach***by*Tank, Fatih & Gebizlioglu, Omer L. & Apaydin, Aysen**195-214 The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case***by*Ballotta, Laura & Haberman, Steven

### 2005, Volume 37, Issue 3

**421-442 The win-first probability under interest force***by*Rulliere, Didier & Loisel, Stephane**443-468 Affine processes for dynamic mortality and actuarial valuations***by*Biffis, Enrico**469-493 Benefit uncertainty and default risk in pension plans***by*Khorasanee, Zaki**494-504 Multinomial model for random sums***by*Kolev, Nikolai & Paiva, Delhi**505-521 The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process***by*Ren, Jiandong**522-532 On the probability of ruin in a Markov-modulated risk model***by*Lu, Yi & Li, Shuanming**533-552 Fair valuation of participating policies with surrender options and regime switching***by*Siu, Tak Kuen**553-572 Static-arbitrage optimal subreplicating strategies for basket options***by*Hobson, David & Laurence, Peter & Wang, Tai-Ho**573-584 Occupation measure and local time of classical risk processes***by*Kolkovska, Ekaterina T. & Lopez-Mimbela, Jose A. & Morales, Jose Villa**585-598 Merton's model of optimal portfolio in a Black-Scholes Market driven by a fractional Brownian motion with short-range dependence***by*Jumarie, Guy**599-614 Optimal stopping behavior of equity-linked investment products with regime switching***by*Cheung, Ka Chun & Yang, Hailiang**615-634 Optimal investment for insurer with jump-diffusion risk process***by*Yang, Hailiang & Zhang, Lihong**635-649 Risk capital decomposition for a multivariate dependent gamma portfolio***by*Furman, Edward & Landsman, Zinoviy**650-672 On the discounted penalty function in a Markov-dependent risk model***by*Albrecher, Hansjorg & Boxma, Onno J.

### 2005, Volume 37, Issue 2

**153-153 Preface***by*Angela, Carla & Olivieri, Gennaro**154-172 Some asymptotic results for sums of dependent random variables, with actuarial applications***by*Laeven, Roger J.A. & Goovaerts, Marc J. & Hoedemakers, Tom**173-196 A Lévy process-based framework for the fair valuation of participating life insurance contracts***by*Ballotta, Laura**197-215 Calculation of finite time ruin probabilities for some risk models***by*Cardoso, Rui M.R. & Waters, Howard R.**216-228 The expected time to ruin in a risk process with constant barrier via martingales***by*Frostig, Esther**229-238 Dependent risks and excess of loss reinsurance***by*de Lourdes Centeno, Maria