Insurance: Mathematics and Economics
February 2008, Volume 42, Issue 1
- 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
November 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
September 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
July 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.
May 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
March 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
January 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
December 2006, Volume 39, Issue 3
- 1-1 Editorial
by Marceau, E. & Goulet, V.
- 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.
October 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
August 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
June 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.
April 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
February 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
December 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.
October 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
- 239-269 Approximations for life annuity contracts in a stochastic financial environment
by Hoedemakers, Tom & Darkiewicz, Grzegorz & Goovaerts, Marc
- 270-296 Endogenous model of surrender conditions in equity-linked life insurance
by Bacinello, Anna Rita
- 297-323 Risk measure and fair valuation of an investment guarantee in life insurance
by Barbarin, Jerome & Devolder, Pierre
- 324-334 On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times
by Albrecher, Hansjorg & Claramunt, M.Merce & Marmol, Maite
- 335-354 Optimal contributions in a defined benefit pension scheme with stochastic new entrants
by Colombo, Luigi & Haberman, Steven
- 355-370 Incorporating expert opinion into a stochastic model for the chain-ladder technique
by Verrall, R.J. & England, P.D.
August 2005, Volume 37, Issue 1
- 1-2 Preface
by Genest, Christian
- 3-5 In memory of Bruno Bassan: Short biography and list of publications
by Scarsini, Marco & Spizzichino, Fabio
- 6-12 Bivariate survival models with Clayton aging functions
by Bassan, Bruno & Spizzichino, Fabio
- 13-26 Some notions of multivariate positive dependence
by Colangelo, Antonio & Scarsini, Marco & Shaked, Moshe
- 27-41 Discrete quasi-copulas
by Quesada Molina, Jose Juan & Sempi, Carlo
- 42-48 Copulas with fractal supports
by Fredricks, Gregory A. & Nelsen, Roger B. & Rodriguez-Lallena, Jose Antonio
- 49-67 Generalized diagonal band copulas
by Lewandowski, Daniel
- 68-79 Case studies in multivariate-to-anything transforms for partially specified random vector generation
by Stanhope, Stephen
- 80-100 Estimating the tail-dependence coefficient: Properties and pitfalls
by Frahm, Gabriel & Junker, Markus & Schmidt, Rafael
- 101-114 Bivariate option pricing using dynamic copula models
by van den Goorbergh, Rob W.J. & Genest, Christian & Werker, Bas J.M.
- 115-134 Worst VaR scenarios
by Embrechts, Paul & Hoing, Andrea & Puccetti, Giovanni
- 135-151 Bounds on the value-at-risk for the sum of possibly dependent risks
by Mesfioui, Mhamed & Quessy, Jean-Francois
June 2005, Volume 36, Issue 3
- 237-250 Approximations for stop-loss reinsurance premiums
by Reijnen, Rajko & Albers, Willem & Kallenberg, Wilbert C.M.
- 251-259 A large deviation result for aggregate claims with dependent claim occurrences
by Kaas, Rob & Tang, Qihe
- 260-284 Bayesian Poisson log-bilinear mortality projections
by Czado, Claudia & Delwarde, Antoine & Denuit, Michel
- 285-302 Extremes of asymptotically spherical and elliptical random vectors
by Hashorva, Enkelejd
- 303-316 Ruin probability in the continuous-time compound binomial model
by Liu, Guoxin & Wang, Ying & Zhang, Bei
- 317-328 Axiom of solvency and portfolio immunization under random interest rates
by Gajek, Leslaw
- 329-346 Pricing equity-linked pure endowments with risky assets that follow Lévy processes
by Jaimungal, Sebastian & Young, Virginia R.