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Content
2018, Volume 78, Issue C
- 105-113 Stochastic orders and co-risk measures under positive dependence
by Sordo, M.A. & Bello, A.J. & Suárez-Llorens, A.
- 114-122 Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications
by Beirlant, J. & Maribe, G. & Verster, A.
- 123-135 Non-cooperative dynamic games for general insurance markets
by Boonen, Tim J. & Pantelous, Athanasios A. & Wu, Renchao
- 136-156 Approximation of ruin probabilities via Erlangized scale mixtures
by Peralta, Oscar & Rojas-Nandayapa, Leonardo & Xie, Wangyue & Yao, Hui
- 157-173 Longevity risk and capital markets: The 2015–16 update
by Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard
- 174-182 The choice of trigger in an insurance linked security: The mortality risk case
by MacMinn, Richard & Richter, Andreas
- 183-200 Pension risk management with funding and buyout options
by Cox, Samuel H. & Lin, Yijia & Shi, Tianxiang
- 201-211 The effect of longevity drift and investment volatility on income sufficiency in retirement
by Mayhew, Les & Smith, David & Wright, Douglas
- 212-229 Valuation of longevity-linked life annuities
by Bravo, Jorge Miguel & El Mekkaoui de Freitas, Najat
- 230-245 Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company?
by Bruszas, Sandy & Kaschützke, Barbara & Maurer, Raimond & Siegelin, Ivonne
- 246-254 Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approach
by Hsieh, Ming-hua & Wang, Jennifer L. & Chiu, Yu-Fen & Chen, Yen-Chih
- 255-266 Profitability and risk profile of reverse mortgages: A cross-system and cross-plan comparison
by Lee, Yung-Tsung & Kung, Ko-Lun & Liu, I-Chien
- 267-285 A strategy for hedging risks associated with period and cohort effects using q-forwards
by Liu, Yanxin & Li, Johnny Siu-Hang
- 286-300 Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets
by Kurtbegu, Enareta
- 301-315 Cause-of-death mortality: What can be learned from population dynamics?
by Boumezoued, Alexandre & Hardy, Héloïse Labit & El Karoui, Nicole & Arnold, Séverine
- 316-324 Using Taiwan National Health Insurance Database to model cancer incidence and mortality rates
by Yue, Jack C. & Wang, Hsin-Chung & Leong, Yin-Yee & Su, Wei-Ping
- 325-338 Do actuaries believe in longevity deceleration?
by Debonneuil, Edouard & Loisel, Stéphane & Planchet, Frédéric
- 339-350 The double-gap life expectancy forecasting model
by Pascariu, Marius D. & Canudas-Romo, Vladimir & Vaupel, James W.
- 351-359 Mortality models and longevity risk for small populations
by Wang, Hsin-Chung & Yue, Ching-Syang Jack & Chong, Chen-Tai
- 360-368 Identifiability, cointegration and the gravity model
by Hunt, Andrew & Blake, David
- 369-380 Modeling trend processes in parametric mortality models
by Börger, Matthias & Schupp, Johannes
2017, Volume 77, Issue C
- 1-13 On the optimality of periodic barrier strategies for a spectrally positive Lévy process
by Pérez, José-Luis & Yamazaki, Kazutoshi
- 14-23 Wanting robustness in insurance: A model of catastrophe risk pricing and its empirical test
by Zhu, Wenge
- 24-37 Pareto-optimal reinsurance arrangements under general model settings
by Cai, Jun & Liu, Haiyan & Wang, Ruodu
- 38-48 Remarks on composite Bernstein copula and its application to credit risk analysis
by Guo, Nan & Wang, Fang & Yang, Jingping
- 49-64 A general approach to full-range tail dependence copulas
by Su, Jianxi & Hua, Lei
- 65-77 Modelling censored losses using splicing: A global fit strategy with mixed Erlang and extreme value distributions
by Reynkens, Tom & Verbelen, Roel & Beirlant, Jan & Antonio, Katrien
- 78-83 Interplay of subexponential and dependent insurance and financial risks
by Chen, Yiqing
- 84-96 Time-consistent mean–variance asset–liability management with random coefficients
by Wei, Jiaqin & Wang, Tianxiao
- 97-110 A class of random field memory models for mortality forecasting
by Doukhan, P. & Pommeret, D. & Rynkiewicz, J. & Salhi, Y.
- 111-118 Optimal insurance design with a bonus
by Li, Yongwu & Xu, Zuo Quan
- 119-132 Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process
by Liang, Xiaoqing & Lu, Yi
- 133-142 Purchasing casualty insurance to avoid lifetime ruin
by Young, Virginia R.
- 143-149 Some comparison results for finite-time ruin probabilities in the classical risk model
by Lefèvre, Claude & Trufin, Julien & Zuyderhoff, Pierre
- 150-165 Model spaces for risk measures
by Liebrich, Felix-Benedikt & Svindland, Gregor
- 166-176 Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach
by Li, Han & O’Hare, Colin
- 177-188 Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
by Duarte, Thiago B. & Valladão, Davi M. & Veiga, Álvaro
2017, Volume 76, Issue C
- 1-13 Hierarchical Archimedean copulas through multivariate compound distributions
by Cossette, Hélène & Gadoury, Simon-Pierre & Marceau, Étienne & Mtalai, Itre
- 14-27 Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency
by Dhaene, Jan & Stassen, Ben & Barigou, Karim & Linders, Daniël & Chen, Ze
- 28-47 Haezendonck–Goovaerts risk measure with a heavy tailed loss
by Liu, Qing & Peng, Liang & Wang, Xing
- 48-55 De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
by Hu, Xiang & Duan, Baige & Zhang, Lianzeng
- 56-68 Multiple risk factor dependence structures: Distributional properties
by Su, Jianxi & Furman, Edward
- 69-74 On taxed spectrally negative Lévy processes with draw-down stopping
by Avram, Florin & Vu, Nhat Linh & Zhou, Xiaowen
- 75-86 Longevity-linked assets and pre-retirement consumption/portfolio decisions
by Menoncin, Francesco & Regis, Luca
- 87-94 Efficient randomized quasi-Monte Carlo methods for portfolio market risk
by Sak, Halis & Başoğlu, İsmail
- 95-103 Evaluation of credit value adjustment in K-forward
by Hao, Xuemiao & Liang, Chunli & Wei, Linghua
- 104-117 Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate
by Shevchenko, Pavel V. & Luo, Xiaolin
- 118-134 Modeling partial Greeks of variable annuities with dependence
by Gan, Guojun & Valdez, Emiliano A.
- 135-140 Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function
by Boratyńska, Agata
- 141-148 Joint stochastic orders of high degrees and their applications in portfolio selections
by Wei, Wei
- 149-163 Unit-linked life insurance policies: Optimal hedging in partially observable market models
by Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra
- 164-171 Solvency II reporting: How to interpret funds’ aggregate solvency capital requirement figures
by Mezőfi, Balázs & Niedermayer, Andras & Niedermayer, Daniel & Süli, Balázs Márton
- 172-184 Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework
by Menoncin, Francesco & Vigna, Elena
- 185-195 Optimal insurance design in the presence of exclusion clauses
by Chi, Yichun & Liu, Fangda
2017, Volume 75, Issue C
- 1-15 Optimal hedging with basis risk under mean–variance criterion
by Zhang, Jingong & Tan, Ken Seng & Weng, Chengguo
- 16-31 Analysis of survivorship life insurance portfolios with stochastic rates of return
by Chen, Li & Lin, Luyao & Lu, Yi & Parker, Gary
- 32-47 Optimal consumption, investment and housing with means-tested public pension in retirement
by Andréasson, Johan G. & Shevchenko, Pavel V. & Novikov, Alex
- 48-57 Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models
by Neves, César & Fernandes, Cristiano & Hoeltgebaum, Henrique
- 58-70 A reinsurance and investment game between two insurance companies with the different opinions about some extra information
by Yan, Ming & Peng, Fanyi & Zhang, Shuhua
- 71-81 Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model
by Hahn, Lukas
- 82-89 Optimality of excess-loss reinsurance under a mean–variance criterion
by Li, Danping & Li, Dongchen & Young, Virginia R.
- 90-97 The joint mortality of couples in continuous time
by Jevtić, P. & Hurd, T.R.
- 98-104 Confidence sets and confidence bands for a beta distribution with applications to credit risk management
by Kiatsupaibul, Seksan & Hayter, Anthony J. & Somsong, Sarunya
- 105-116 Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
by Cai, Jun & Wang, Ying & Mao, Tiantian
- 117-125 Identifiability issues of age–period and age–period–cohort models of the Lee–Carter type
by Beutner, Eric & Reese, Simon & Urbain, Jean-Pierre
- 126-136 Data breaches: Goodness of fit, pricing, and risk measurement
by Eling, Martin & Loperfido, Nicola
- 137-150 Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
by Chen, Zheng & Li, Zhongfei & Zeng, Yan & Sun, Jingyun
- 151-165 Characterization of between-group inequality of longevity in European Union countries
by Debón, A. & Chaves, L. & Haberman, S. & Villa, F.
- 166-179 Grouped multivariate and functional time series forecasting:An application to annuity pricing
by Shang, Han Lin & Haberman, Steven
- 180-188 The fundamental theorem of mutual insurance
by Albrecht, Peter & Huggenberger, Markus
- 189-202 Fuzzy logic modifications of the Analytic Hierarchy Process
by Shapiro, Arnold F. & Koissi, Marie-Claire
2017, Volume 74, Issue C
- 1-6 A note on the convexity of ruin probabilities
by Landriault, David & Li, Bin & Loke, Sooie-Hoe & Willmot, Gordon E. & Xu, Di
- 7-19 Optimal investment and reinsurance for an insurer under Markov-modulated financial market
by Xu, Lin & Zhang, Liming & Yao, Dingjun
- 20-30 Intergenerational risk sharing in closing pension funds
by Boonen, Tim J. & De Waegenaere, Anja
- 31-45 Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér–Lundberg model
by Chen, Shumin & Zeng, Yan & Hao, Zhifeng
- 46-62 Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
by Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy
- 63-77 Contagion modeling between the financial and insurance markets with time changed processes
by Hainaut, Donatien
- 78-83 Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model
by Touazi, A. & Benouaret, Z. & Aissani, D. & Adjabi, S.
- 84-98 Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus
by Shimizu, Yasutaka & Zhang, Zhimin
- 99-108 Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks
by Lauer, Alexandra & Zähle, Henryk
- 109-121 Multiple risk factor dependence structures: Copulas and related properties
by Su, Jianxi & Furman, Edward
- 122-134 Risk measures in a quantile regression credibility framework with Fama/French data applications
by Pitselis, Georgios
- 135-146 Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
by Zhao, Yongxia & Chen, Ping & Yang, Hailiang
- 147-152 Characterization of acceptance sets for co-monotone risk measures
by Rieger, Marc Oliver
- 153-163 Parisian ruin for a refracted Lévy process
by Lkabous, Mohamed Amine & Czarna, Irmina & Renaud, Jean-François
- 164-169 A new uncertain insurance model with variational lower limit
by Liu, Yang & Zhang, Xingfang & Ma, Weimin
- 170-181 A state dependent reinsurance model
by Boxma, Onno & Frostig, Esther & Perry, David & Yosef, Rami
- 182-196 Sustainability of participation in collective pension schemes: An option pricing approach
by Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & Broeders, Dirk W.G.A. & Pelsser, Antoon A.J.
- 197-209 On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation
by Ratovomirija, Gildas & Tamraz, Maissa & Vernic, Raluca
2017, Volume 73, Issue C
- 1-19 Complete discounted cash flow valuation
by Gajek, Lesław & Kuciński, Łukasz
- 20-26 Risk aggregation in Solvency II through recursive log-normals
by Bølviken, Erik & Guillen, Montserrat
- 27-30 A note on risky targets and effort
by Wong, Kit Pong
- 31-40 Ordering optimal deductible allocations for stochastic arrangement increasing risks
by Li, Chen & Li, Xiaohu
- 41-53 Full Bayesian analysis of claims reserving uncertainty
by Peters, Gareth W. & Targino, Rodrigo S. & Wüthrich, Mario V.
- 54-67 Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks
by Han, Nan-Wei & Hung, Mao-Wei
- 68-74 Incorporating model uncertainty into optimal insurance contract design
by Ch. Pflug, Georg & Timonina-Farkas, Anna & Hochrainer-Stigler, Stefan
- 75-81 A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
by Chen, Yiqing & Yuan, Zhongyi
- 82-93 Optimal dividend payout model with risk sensitive preferences
by Bäuerle, Nicole & Jaśkiewicz, Anna
- 94-104 On a bivariate copula with both upper and lower full-range tail dependence
by Hua, Lei
- 105-115 On the effects of changing mortality patterns on investment, labour and consumption under uncertainty
by Ewald, Christian-Oliver & Zhang, Aihua
- 116-123 On the distribution of cumulative Parisian ruin
by Guérin, Hélène & Renaud, Jean-François
- 124-136 A unisex stochastic mortality model to comply with EU Gender Directive
by Chen, An & Vigna, Elena
- 137-155 Optimal investment strategies for participating contracts
by Lin, Hongcan & Saunders, David & Weng, Chengguo
- 156-167 A limit distribution of credit portfolio losses with low default probabilities
by Shi, Xiaojun & Tang, Qihe & Yuan, Zhongyi
2017, Volume 72, Issue C
- 1-5 Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization
by Denuit, Michel M. & Mesfioui, Mhamed
- 6-20 Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
by Li, Danping & Rong, Ximin & Zhao, Hui & Yi, Bo
- 21-35 A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
by Cantia, Catalin & Tunaru, Radu
- 36-48 Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
by Feng, Runhuan & Jing, Xiaochen
- 49-66 Multi-period risk sharing under financial fairness
by Bao, Hailong & Ponds, Eduard H.M. & Schumacher, Johannes M.
- 67-82 Measuring mortality heterogeneity with multi-state models and interval-censored data
by Boumezoued, Alexandre & Karoui, Nicole El & Loisel, Stéphane
- 83-94 The valuation of life contingencies: A symmetrical triangular fuzzy approximation
by de Andrés-Sánchez, Jorge & González-Vila Puchades, Laura
- 95-106 Capital allocation for portfolios with non-linear risk aggregation
by Boonen, Tim J. & Tsanakas, Andreas & Wüthrich, Mario V.
- 107-121 Existence of optimal consumption strategies in markets with longevity risk
by de Kort, J. & Vellekoop, M.H.
- 122-137 Modeling operational risk incorporating reputation risk: An integrated analysis for financial firms
by Eckert, Christian & Gatzert, Nadine
- 138-147 Cliquet-style return guarantees in a regime switching Lévy model
by Hieber, Peter
- 148-162 On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
by Avanzi, Benjamin & Pérez, José-Luis & Wong, Bernard & Yamazaki, Kazutoshi
- 163-174 Efficient option risk measurement with reduced model risk
by Mitra, Sovan
- 175-188 Redistribution of longevity risk: The effect of heterogeneous mortality beliefs
by Boonen, Tim J. & De Waegenaere, Anja & Norde, Henk
- 189-196 Intensity-based framework for surrender modeling in life insurance
by Russo, Vincenzo & Giacometti, Rosella & Fabozzi, Frank J.
- 197-214 Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework
by Sun, Haoze & Weng, Chengguo & Zhang, Yi
- 215-227 Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform
by Chang, Hao & Chang, Kai
- 228-234 On compound sums under dependence
by Eryilmaz, Serkan
- 235-249 Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
by Gu, Ailing & Viens, Frederi G. & Yi, Bo
- 250-264 Insurance valuation: A computable multi-period cost-of-capital approach
by Engsner, Hampus & Lindholm, Mathias & Lindskog, Filip
- 265-270 On optimal dividends with exponential and linear penalty payments
by Vierkötter, Matthias & Schmidli, Hanspeter
2016, Volume 71, Issue C
- 1-14 A micro-level claim count model with overdispersion and reporting delays
by Avanzi, Benjamin & Wong, Bernard & Yang, Xinda
- 15-26 Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach
by Floryszczak, Anthony & Le Courtois, Olivier & Majri, Mohamed
- 27-39 On a class of dependent Sparre Andersen risk models and a bailout application
by Avram, F. & Badescu, A.L. & Pistorius, M.R. & Rabehasaina, L.
- 40-49 Move-based hedging of variable annuities: A semi-analytic approach
by Lin, X. Sheldon & Wu, Panpan & Wang, Xiao
- 50-62 Longevity risk and retirement income tax efficiency: A location spending rate puzzle
by Huang, Huaxiong & Milevsky, Moshe A.
- 63-78 Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach
by Avanzi, Benjamin & Taylor, Greg & Vu, Phuong Anh & Wong, Bernard
- 79-86 Catastrophe equity put options with target variance
by Wang, Xingchun
- 87-92 Optimal allocation of policy deductibles for exchangeable risks
by Manesh, Sirous Fathi & Khaledi, Baha-Eldin & Dhaene, Jan
- 93-102 Issues with the Smith–Wilson method
by Lagerås, Andreas & Lindholm, Mathias
- 103-113 Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
by Yao, Haixiang & Chen, Ping & Li, Xun
- 114-129 Polynomial diffusion models for life insurance liabilities
by Biagini, Francesca & Zhang, Yinglin
- 130-137 Coherent modeling of male and female mortality using Lee–Carter in a complex number framework
by de Jong, Piet & Tickle, Leonie & Xu, Jianhui
- 138-144 On capital injections and dividends with tax in a classical risk model
by Schmidli, Hanspeter
- 145-153 Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods
by Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia
- 154-163 Risk aggregation in multivariate dependent Pareto distributions
by Sarabia, José María & Gómez-Déniz, Emilio & Prieto, Faustino & Jordá, Vanesa
- 164-178 Optimal mean–variance efficiency of a family with life insurance under inflation risk
by Liang, Zongxia & Zhao, Xiaoyang
- 179-188 Tail conditional moments for elliptical and log-elliptical distributions
by Landsman, Zinoviy & Makov, Udi & Shushi, Tomer
- 189-194 A note on the Log-Lindley distribution
by Jodrá, P. & Jiménez-Gamero, M.D.
- 195-204 Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
by Li, Jinzhu
- 205-219 The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options
by Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher
- 220-231 Tail asymptotics of generalized deflated risks with insurance applications
by Ling, Chengxiu & Peng, Zuoxiang
- 232-243 Optimal reinsurance under dynamic VaR constraint
by Zhang, Nan & Jin, Zhuo & Li, Shuanming & Chen, Ping
- 244-252 Bayesian multinomial latent variable modeling for fraud and abuse detection in health insurance
by Bayerstadler, Andreas & van Dijk, Linda & Winter, Fabian
- 253-267 Constrained investment–reinsurance optimization with regime switching under variance premium principle
by Chen, Lv & Qian, Linyi & Shen, Yang & Wang, Wei
- 268-283 Accounting and actuarial smoothing of retirement payouts in participating life annuities
by Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph & Siegelin, Ivonne
- 284-294 A pair of optimal reinsurance–investment strategies in the two-sided exit framework
by Landriault, David & Li, Bin & Li, Danping & Li, Dongchen
- 295-303 From regulatory life tables to stochastic mortality projections: The exponential decline model
by Denuit, Michel & Trufin, Julien
- 304-316 On the occupation times in a delayed Sparre Andersen risk model with exponential claims
by Jin, Can & Li, Shuanming & Wu, Xueyuan
- 317-331 Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors
by Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia
- 332-341 Extremes for coherent risk measures
by Asimit, Alexandru V. & Li, Jinzhu
- 342-352 Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
by Delong, Łukasz & Chen, An
- 353-366 Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration
by Kwok, Kai Yin & Chiu, Mei Choi & Wong, Hoi Ying
- 367-381 Impact of volatility clustering on equity indexed annuities
by Hainaut, Donatien
- 382-393 Valuation and risk assessment of participating life insurance in the presence of credit risk
by Eckert, Johanna & Gatzert, Nadine & Martin, Michael
- 394-406 Cooperative investment in incomplete markets under financial fairness
by Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M.
2016, Volume 70, Issue C
- 1-10 Optimally investing to reach a bequest goal
by Bayraktar, Erhan & Young, Virginia R.
- 11-18 Mean–variance asset–liability management under constant elasticity of variance process
by Zhang, Miao & Chen, Ping
- 19-37 Discrete sums of geometric Brownian motions, annuities and Asian options
by Pirjol, Dan & Zhu, Lingjiong
- 38-57 Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models
by Goudenège, Ludovic & Molent, Andrea & Zanette, Antonino
- 58-65 Inference pitfalls in Lee–Carter model for forecasting mortality
by Leng, Xuan & Peng, Liang
- 66-79 Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
by Bartels, Mariana & Ziegelmann, Flavio A.
- 80-88 Risk reducers in convex order
by He, Junnan & Tang, Qihe & Zhang, Huan
- 89-104 Exponential utility maximization for an insurer with time-inconsistent preferences
by Zhao, Qian & Wang, Rongming & Wei, Jiaqin
- 105-116 Comparing risks with reference points: A stochastic dominance approach
by Guo, Dongmei & Hu, Yi & Wang, Shouyang & Zhao, Lin
- 117-124 Bivariate credibility bonus–malus premiums distinguishing between two types of claims
by Gómez-Déniz, E.
- 125-134 Lifetime ruin under ambiguous hazard rate
by Young, Virginia R. & Zhang, Yuchong
- 135-143 Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
by Brahimi, Brahim & Abdelli, Jihane
- 144-149 Preserving the Rothschild–Stiglitz type of increasing risk with background risk
by Guo, Xu & Li, Jingyuan & Liu, Dongri & Wang, Jianli
- 150-161 Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
by Liang, Xiaoqing & Tsai, Cary Chi-Liang & Lu, Yi
- 162-168 Borch’s theorem, equal margins, and efficient allocation
by Flåm, Sjur Didrik
- 169-181 A neural network approach to efficient valuation of large portfolios of variable annuities
by Hejazi, Seyed Amir & Jackson, Kenneth R.
- 182-195 Robust optimal risk sharing and risk premia in expanding pools
by Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor
- 196-204 The role of a representative reinsurer in optimal reinsurance
by Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao
- 205-215 Generalized linear models for dependent frequency and severity of insurance claims
by Garrido, J. & Genest, C. & Schulz, J.
- 216-223 Multivariate tail conditional expectation for elliptical distributions
by Landsman, Zinoviy & Makov, Udi & Shushi, Tomer
- 224-236 Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model
by Alonso-García, J. & Devolder, P.
- 237-244 A stochastic Nash equilibrium portfolio game between two DC pension funds
by Guan, Guohui & Liang, Zongxia
- 245-258 Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence
by Bi, Junna & Liang, Zhibin & Xu, Fangjun
- 259-271 Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy
by Zhu, Jinxia & Yang, Hailiang
- 272-285 Modelling lifetime dependence for older ages using a multivariate Pareto distribution
by Alai, Daniel H. & Landsman, Zinoviy & Sherris, Michael
- 286-300 Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
by Ignatieva, Katja & Song, Andrew & Ziveyi, Jonathan
- 301-319 It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk
by Liu, Yanxin & Li, Johnny Siu-Hang
- 320-326 Long-term behavior of stochastic interest rate models with Markov switching
by Zhang, Zhenzhong & Tong, Jinying & Hu, Liangjian
- 327-338 Asset allocation strategies in the presence of liability constraints
by Cousin, Areski & Jiao, Ying & Robert, Christian Y. & Zerbib, Olivier David
- 339-353 On the credibility of insurance claim frequency: Generalized count models and parametric estimators
by Asamoah, Kwadwo
- 354-363 On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
by Woo, Jae-Kyung
- 364-372 Hedging insurance books
by Carr, Peter & Madan, Dilip B. & Melamed, Michael & Schoutens, Wim
- 373-386 Credible risk measures with applications in actuarial sciences and finance
by Pitselis, Georgios
- 387-396 Modeling loss data using mixtures of distributions
by Miljkovic, Tatjana & Grün, Bettina
- 397-405 A family of premium principles based on mixtures of TVaRs
by Sordo, Miguel A. & Castaño-Martínez, Antonia & Pigueiras, Gema
- 406-413 Sufficient conditions for ordering aggregate heterogeneous random claim amounts
by Li, Chen & Li, Xiaohu
2016, Volume 69, Issue C
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