# 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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(Shamier, Wendy)**

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

**ISSN:**0167-6687

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### 2003, Volume 32, Issue 3

### 2003, Volume 32, Issue 2

**201-215 On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies***by*Ribas, Carme & Marin-Solano, Jesus & Alegre, Antonio**217-228 Pension funding incorporating downside risks***by*Chang, S. C. & Tzeng, Larry Y. & Miao, Jerry C. Y.**229-243 Quadratic hedging for asset derivatives with discrete stochastic dividends***by*Battauz, Anna**245-253 Annuities with controlled random interest rates***by*Perry, David & Stadje, Wolfgang & Yosef, Rami**255-265 Comonotonic processes***by*Jouini, Elyes & Napp, Clotilde**267-280 Quality, self-regulation, and competition: the case of insurance***by*Andersson, Fredrik & Skogh, Goran**281-293 Generalized least squares estimators for covariance parameters for credibility regression models with moving average errors***by*Cossette, Helene & Luong, Andrew**295-315 Indifference pricing of insurance contracts in a product space model: applications***by*Moller, Thomas**317-330 Of happy and hapless regulators: the asymptotics of ruin***by*Powers, Michael R. & Venezian, Emilio C. & Juca, Iana B.

### 2003, Volume 32, Issue 1

**3-18 Nonlinear stochastic inflation modelling using SEASETARs***by*De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni**19-36 Kernel density estimation of actuarial loss functions***by*Bolance, Catalina & Guillen, Montserrat & Nielsen, Jens Perch**37-49 On the number of near-maximum insurance claim under dependence***by*Hashorva, Enkelejd**51-60 On the nth stop-loss transform order of ruin probability***by*Cheng, Yu & Pai, Jeffrey S.**61-71 Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest***by*Cai, Jun & Dickson, David C. M.**73-91 Compound Poisson approximations for individual models with dependent risks***by*Genest, Christian & Marceau, Etienne & Mesfioui, Mhamed**93-114 Ordering ruin probabilities for dependent claim streams***by*Frostig, Esther**115-133 Influence functions of empirical nonparametric estimators of net reinsurance premiums***by*Brazauskas, Vytaras**135-146 Risk capital allocation by coherent risk measures based on one-sided moments***by*Fischer, T.

### 2002, Volume 31, Issue 3

**315-325 On immunization, stop-loss order and the maximum Shiu measure***by*Hurlimann, Werner**327-350 On the moments of the surplus process perturbed by diffusion***by*Tsai, Cary Chi-Liang & Willmot, Gordon E.**351-364 A comparison of models for the chain-ladder method***by*Hess, Klaus Th. & Schmidt, Klaus D.**365-372 Time in the red in a two state Markov model***by*Wagner, Christian**373-393 A Poisson log-bilinear regression approach to the construction of projected lifetables***by*Brouhns, Natacha & Denuit, Michel & Vermunt, Jeroen K.**395-413 Application of survival analysis methods to long-term care insurance***by*Czado, Claudia & Rudolph, Florian**415-427 Excess of loss reinsurance and Gerber's inequality in the Sparre Anderson model***by*Centeno, Maria de Lourdes**429-445 Early surrender and the distribution of policy reserves***by*Tsai, Chenghsien & Kuo, Weiyu & Chen, Wei-Kuang**447-460 Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails***by*Konstantinides, Dimitrios & Tang, Qihe & Tsitsiashvili, Gurami**461-466 Addendum to "Analytic and bootstrap estimates of prediction errors in claims reserving"***by*England, Peter

### 2002, Volume 31, Issue 2

**133-161 The concept of comonotonicity in actuarial science and finance: applications***by*Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D.**163-178 Moment generating function approach to pricing interest rate and foreign exchange rate claims***by*Dijkstra, Theo K. & Yao, Yong**179-189 Stock exchange dynamics involving both Gaussian and Poissonian white noises: approximate solution via a symbolic stochastic calculus***by*Jumarie, Guy**191-204 Pricing no claims discount systems***by*Kliger, Doron & Levikson, Benny**205-214 On a correlated aggregate claims model with Poisson and Erlang risk processes***by*Yuen, Kam C. & Guo, Junyi & Wu, Xueyuan**215-233 Pricing contingent claims in incomplete markets when the holder can choose among different payoffs***by*Kuhn, Christoph**235-248 How many claims does it take to get ruined and recovered?***by*Egidio dos Reis, Alfredo D.**249-265 Optimal portfolio and background risk: an exact and an approximated solution***by*Menoncin, Francesco**267-284 Insurance premia consistent with the market***by*Castagnoli, Erio & Maccheroni, Fabio & Marinacci, Massimo**285-295 On asymptotic optimality in empirical Bayes credibility***by*Mashayekhi, Mostafa**297-302 A Cox process with log-normal intensity***by*Basu, Sankarshan & Dassios, Angelos**303-313 Lundberg inequalities in a diffusion environment***by*Palmowski, Zbigniew

### 2002, Volume 31, Issue 1

**1-1 Preface***by*Shapiro, Arnold**3-33 The concept of comonotonicity in actuarial science and finance: theory***by*Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D.**35-69 Optimal investment strategies and risk measures in defined contribution pension schemes***by*Haberman, Steven & Vigna, Elena**71-85 Intervention options in life insurance***by*Steffensen, Mogens**87-103 Bounds for present value functions with stochastic interest rates and stochastic volatility***by*De Schepper, Ann & Goovaerts, Marc & Dhaene, Jan & Kaas, Rob & Vyncke, David**105-113 Measuring sensitivity in a bonus-malus system***by*Gomez, E. & Hernandez, A. & Perez, J. M. & Vazquez-Polo, F. J.**115-131 The merging of neural networks, fuzzy logic, and genetic algorithms***by*Shapiro, Arnold F.

### 2002, Volume 30, Issue 3

**293-296 Editorial***by*Kaas, Rob**297-322 Recursive evaluation of aggregate claims distributions***by*Sundt, Bjorn**323-350 Stochastic control of funding systems***by*Taylor, Greg**351-362 Credibility theory: a new view from the theory of second order optimal statistics***by*Landsman, Zinoviy**363-370 A critique of fractional age assumptions***by*Jones, Bruce L. & Mereu, John A.**371-387 Allocating unfunded liability in pension valuation under uncertainty***by*Chang, Shih-Chieh & Chen, Chiang-Chu**389-404 On the expected discounted penalty function at ruin of a surplus process with interest***by*Cai, Jun & Dickson, David C. M.**405-420 Copula convergence theorems for tail events***by*Juri, Alessandro & Wuthrich, Mario V.**421-438 Compound geometric residual lifetime distributions and the deficit at ruin***by*Willmot, Gordon E.**439-450 Estimators of the regression parameters of the zeta distribution***by*Doray, Louis G. & Arsenault, Michel**451-462 The joint distributions of several important actuarial diagnostics in the classical risk model***by*Wei, Li & Wu, Rong

### 2002, Volume 30, Issue 2

**153-166 On two dependent individual risk models***by*Cossette, Helene & Gaillardetz, Patrice & Marceau, Etienne & Rioux, Jacques**167-186 A multiple state model for the analysis of permanent health insurance claims by cause of disability***by*Cordeiro, Isabel Maria Ferraz**187-198 Risk management in credit risk portfolios with correlated assets***by*Bauerle, Nicole**199-209 Optimal asset allocation in life annuities: a note***by*Charupat, Narat & Milevsky, Moshe A.**211-217 Ruin probabilities in the presence of regularly varying tails and optimal investment***by*Gaier, Johanna & Grandits, Peter**219-230 Recursive calculation of time to ruin distributions***by*Cardoso, Rui M. R. & Egidio dos Reis, Alfredo D.**231-241 Some characteristics of a surplus process in the presence of an upper barrier***by*Wang, Nan & Politis, Konstadinos**243-254 A bounded risk strategy for a market with non-observable parameters***by*Dokuchaev, Nikolai G. & Savkin, Andrey V.**255-267 General quadratic distance methods for discrete distributions definable recursively***by*Luong, Andrew & Doray, Louis G.

### 2002, Volume 30, Issue 1

**1-19 Measuring the impact of dependence between claims occurrences***by*Denuit, Michel & Lefevre, Claude & Utev, Sergey**21-25 A note on the overdispersed Poisson family***by*Schmidt, Klaus D.**27-35 On the accumulated aggregate surplus of a life portfolio***by*Hurlimann, Werner**37-49 Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model***by*Centeno, Maria de Lourdes**51-66 A generalized defective renewal equation for the surplus process perturbed by diffusion***by*Tsai, Cary Chi-Liang & Willmot, Gordon E.**67-83 Modeling claim exceedances over thresholds***by*Boutsikas, M. V. & Koutras, M. V.**85-93 A discussion on Buhlmann's criterion for asset valuation***by*Wang, Nan & Pang, Wan Kai & Huang, Wei Kwang**95-109 Measurement of relative inequity and Yaari's dual theory of risk***by*Promislow, S. David & Young, Virginia R.

### 2001, Volume 29, Issue 3

**299-318 Mortality derivatives and the option to annuitise***by*Milevsky, Moshe A. & David Promislow, S.**319-332 Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals***by*Frostig, Esther**333-344 On the time to ruin for Erlang(2) risk processes***by*Dickson, David C. M. & Hipp, Christian**345-355 On a gamma series expansion for the time-dependent probability of collective ruin***by*Albrecher, Hansjorg & Teugels, Jozef L. & Tichy, Robert F.**357-373 Bivariate analysis of survivorship and persistency***by*Valdez, Emiliano A.**375-386 An improved finite-time ruin probability formula and its Mathematica implementation***by*Ignatov, Zvetan G. & Kaishev, Vladimir K. & Krachunov, Rossen S.

### 2001, Volume 29, Issue 2

**167-185 On robustness in risk theory***by*Marceau, Etienne & Rioux, Jacques**187-215 Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase***by*Blake, David & Cairns, Andrew J. G. & Dowd, Kevin**217-229 Approximating the finite-time ruin probability under interest force***by*Brekelmans, Ruud & De Waegenaere, Anja**231-245 Uncertainty in mortality projections: an actuarial perspective***by*Olivieri, Annamaria**247-255 On the distribution of surplus immediately after ruin under interest force***by*Yang, Hailiang & Zhang, Lihong**257-269 The reset decision for segregated fund maturity guarantees***by*Armstrong, Michael J.**271-290 Toward a theory of reinsurance and retrocession***by*Powers, Michael R. & Shubik, Martin**291-296 Probability of ruin with variable premium rate in a Markovian environment***by*Jasiulewicz, Helena

### 2001, Volume 29, Issue 1

**1-21 Valuation of segregated funds: shout options with maturity extensions***by*Windcliff, H. & Forsyth, P. A. & Vetzal, K. R.**23-34 Stochastic models for broker inventory in dealership markets with a cash management interpretation***by*Perry, David & Berg, M. & Posner, M. J. M.**35-45 Minimization of risks in pension funding by means of contributions and portfolio selection***by*Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo**47-57 Ruin probabilities for time-correlated claims in the compound binomial model***by*Yuen, K. C. & Guo, J. Y.**59-71 A comparison between homogeneous and heterogeneous portfolios***by*Frostig, Esther**73-82 Function space integration for annuities***by*Perry, David & Stadje, Wolfgang**83-102 Laplace transform ordering of actuarial quantities***by*Denuit, Michel**103-115 Risk measures and insurance premium principles***by*Landsman, Zinoviy & Sherris, Michael

### 2001, Volume 28, Issue 3

**281-303 On transformations of actuarial valuation principles***by*Moller, Thomas**305-308 Does positive dependence between individual risks increase stop-loss premiums?***by*Denuit, Michel & Dhaene, Jan & Ribas, Carmen**309-323 On the number of near-maximum insurance claims***by*Li, Y. & Pakes, Anthony G.**325-339 An economic premium principle in a multiperiod economy***by*Iwaki, Hideki & Kijima, Masaaki & Morimoto, Yuji**341-350 Bonus systems in an open portfolio***by*de Lourdes Centeno, Maria & Manuel Andrade e Silva, Joao**351-360 Distribution-free comparison of pricing principles***by*Hurlimann, Werner**361-379 Aging and other distributional properties of discrete compound geometric distributions***by*Willmot, Gordon E. & Cai, Jun**381-392 Asymptotic ruin probabilities for risk processes with dependent increments***by*Muller, Alfred & Pflug, Georg**393-399 Transition probability functions for martingale laws of bond prices***by*Carriere, J. F.**401-419 On the discounted distribution functions of the surplus process perturbed by diffusion***by*Tsai, Cary Chi-Liang

### 2001, Volume 28, Issue 2

**149-149 Preface***by*Verrall, Richard**151-171 An option pricing approach to valuing upward only rent review properties with multiple reviews***by*Booth, Philip & Walsh, Duncan**173-189 Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund***by*Boulier, Jean-Francois & Huang, ShaoJuan & Taillard, Gregory**191-204 Longevity studies based on kernel hazard estimation***by*Felipe, Angie & Guillen, Montserrat & Nielsen, Jens Perch**205-216 A generalized crossed classification credibility model***by*Goulet, Vincent**217-231 Moments of compound renewal sums with discounted claims***by*Leveille, Ghislain & Garrido, Jose**233-262 Optimal investment strategy for defined contribution pension schemes***by*Vigna, Elena & Haberman, Steven**263-280 The combined effect of delay and feedback on the insurance pricing process: a control theory approach***by*Zimbidis, Alexandros & Haberman, Steven

### 2001, Volume 28, Issue 1

**1-11 Annuities under random rates of interest***by*Zaks, Abraham**13-20 Distribution of the first ladder height of a stationary risk process perturbed by [alpha]-stable Lévy motion***by*Schmidli, Hanspeter**21-30 Comparison of individual risk models***by*Lefevre, Claude & Utev, Sergey**31-47 From actuarial to financial valuation principles***by*Schweizer, Martin**49-59 A decomposition of the ruin probability for the risk process perturbed by diffusion***by*Wang, Guojing**61-67 Optimal reinsurance under mean-variance premium principles***by*Kaluszka, Marek**69-82 A class of non-expected utility risk measures and implications for asset allocations***by*van der Hoek, John & Sherris, Michael**83-90 On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models***by*Alvarez, Luis H. R.

### 2000, Volume 27, Issue 3

**277-283 On credibility evaluation and the tail area of the exponential dispersion family***by*Landsman, Zinoviy & Makov, Udi E.**285-312 An investigation into parametric models for mortality projections, with applications to immediate annuitants' and life office pensioners' data***by*Sithole, Terry Z. & Haberman, Steven & Verrall, Richard J.**313-330 A discussion of parameter and model uncertainty in insurance***by*Cairns, Andrew J. G.**331-343 On the moments of ruin and recovery times***by*Egidio dos Reis, Alfredo D.**345-363 An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis***by*Aase, Knut K.**365-396 Modelling the recent time trends in UK permanent health insurance recovery, mortality and claim inception transition intensities***by*Renshaw, A. E. & Haberman, S.**397-398 Actuarial Models for Disability Insurance: S. Haberman, E. Pitacco; Chapman & Hall, London, UK, 1999, xviii+280 pp., ISBN 0-8493-0389-3***by*Spreeuw, Jaap & Wolthuis, Henk

### 2000, Volume 27, Issue 2

**151-168 Upper and lower bounds for sums of random variables***by*Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J.**169-176 An application of nonparametric regression estimation in credibility theory***by*Qian, Weimin**177-188 Valuation of contingent-claims characterising particular pension schemes***by*Bacinello, Anna Rita**189-200 Pricing catastrophe insurance products based on actually reported claims***by*Christensen, Claus Vorm & Schmidli, Hanspeter**201-214 A no arbitrage approach to Thiele's differential equation***by*Steffensen, Mogens**215-228 Optimal investment for insurers***by*Hipp, Christian & Plum, Michael**229-235 Corporate spin-offs, bankruptcy, investment, and the value of debt***by*Hennessy, David A.**237-259 Contribution and solvency risk in a defined benefit pension scheme***by*Haberman, Steven & Butt, Zoltan & Megaloudi, Chryssoula**261-276 A family of fractional age assumptions***by*Jones, Bruce L. & Mereu, John A.

### 2000, Volume 27, Issue 1

**1-18 Computation of distorted probabilities for diffusion processes via stochastic control methods***by*Young, Virginia R. & Zariphopoulou, Thaleia**19-44 The moments of the time of ruin, the surplus before ruin, and the deficit at ruin***by*Lin, X. Sheldon & Willmot, Gordon E.**45-63 Consistent fitting of one-factor models to interest rate data***by*Rogers, L. C. G. & Stummer, Wolfgang**65-81 Equity allocation and portfolio selection in insurance***by*Taflin, Erik**83-104 Mutual fund evaluation: a portfolio insurance approach: A heuristic application in Spain***by*Chamorro, Jose M. & Perez de Villarreal, Jose M.**105-112 Insurer's optimal reinsurance strategies***by*Gajek, Leslaw & Zagrodny, Dariusz**113-122 Arithmetization of distributions and linear goal programming***by*Vilar, Jose L.**123-136 The multivariate De Pril transform***by*Sundt, Bjorn**137-144 On error bounds for approximations to multivariate distributions***by*Sundt, Bjorn**145-149 Ruin under interest force and subexponential claims: a simple treatment***by*Kalashnikov, Vladimir & Konstantinides, Dimitrios

### 2000, Volume 26, Issue 2-3

**117-117 Editorial***by*Gerber, H. U.**119-132 A Hitchhiker's guide to the techniques of adaptive nonlinear models***by*Shapiro, Arnold F.**133-149 The discrete-time risk model with correlated classes of business***by*Cossette, Helene & Marceau, Etienne**151-156 Credibility using semiparametric models and a loss function with a constancy penalty***by*Young, Virginia R.**157-173 Simple approximations of ruin probabilities***by*Grandell, Jan**175-183 An easy computable upper bound for the price of an arithmetic Asian option***by*Simon, S. & Goovaerts, M. J. & Dhaene, J.**185-192 Stochastic control for optimal new business***by*Hipp, Christian & Taksar, Michael**193-202 Non-parametric confidence intervals of instantaneous forward rates***by*Carriere, Jacques F.**203-211 Time stochastic s-convexity of claim processes***by*Denuit, Michel**213-222 Impact of dependence among multiple claims in a single loss***by*Cossette, Helene & Denuit, Michel & Marceau, Etienne**223-238 Homogeneous risk models with equalized claim amounts***by*De Vylder, F. & Goovaerts, M.**239-250 Discounted probabilities and ruin theory in the compound binomial model***by*Cheng, Shixue & Gerber, Hans U. & Shiu, Elias S. W.**251-267 Ruin probabilities based at claim instants for some non-Poisson claim processes***by*Stanford, David A. & Stroinski, Krzysztof J. & Lee, Karen**269-288 RPA pathwise derivative estimation of ruin probabilities***by*J. Vazquez-Abad, Felisa**289-307 Implementing adaptive nonlinear models***by*Shapiro, Arnold F. & Paul Gorman, R.

### 2000, Volume 26, Issue 1

**1-14 Hattendorff's theorem for non-smooth continuous-time Markov models II: Application***by*Milbrodt, Hartmut**15-24 Some distributions for classical risk process that is perturbed by diffusion***by*Wang, Guojing & Wu, Rong**25-36 Risk analysis for a stochastic cash management model with two types of customers***by*Perry, David & Stadje, Wolfgang**37-57 Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies***by*Grosen, Anders & Lochte Jorgensen, Peter**59-73 Ruin theory with risk proportional to the free reserve and securitization***by*Siegl, Thomas & F. Tichy, Robert**75-90 Cramer-Lundberg approximation for nonlinearly perturbed risk processes***by*Gyllenberg, Mats & S. Silvestrov, Dmitrii**91-99 An investigation into stochastic claims reserving models and the chain-ladder technique***by*Verrall, R. J.**101-107 A comparison of stochastic models that reproduce chain ladder reserve estimates***by*Mack, Thomas & Venter, Gary**109-111 Comments on: "A comparison of stochastic models that reproduce chain ladder reserve estimates", by Mack and Venter***by*Verrall, R. J. & England, P. D.**113-113 Book Review***by*McNeil, Alexander J.

### 1999, Volume 25, Issue 3

**261-280 On life insurance reserves in a stochastic mortality and interest rates environment***by*Marceau, Etienne & Gaillardetz, Patrice**281-293 Analytic and bootstrap estimates of prediction errors in claims reserving***by*England, Peter & Verrall, Richard**295-306 Conditional dominance criteria: definition and application to risk-management***by*Deelstra, Griselda & Grasselli, Martino & Koehl, Pierre-Francois**307-325 Pricing rate of return guarantees in a Heath-Jarrow-Morton framework***by*Miltersen, Kristian R. & Persson, Svein-Arne**327-336 Term structure modeling and asymptotic long rate***by*Yao, Yong**337-347 A synthesis of risk measures for capital adequacy***by*Lynn Wirch, Julia & Hardy, Mary R.**349-372 Insolvency risk and its impact on the policyholders' investment choices: a mean-variance approach for participating life insurance business in UK***by*Berketi, Alexandra K.**373-385 Initial selection for Permanent Health Insurance***by*Cristina Gutierrez-Delgado, M.**387-395 The Esscher premium principle in risk theory: a Bayesian sensitivity study***by*Gomez-Deniz, E. & Hernandez-Bastida, A. & Vazquez-Polo, F. J.**397-413 Practical approximations for multivariate characteristics of risk processes***by*Usabel, M. A.

### 1999, Volume 25, Issue 2

**109-122 Optimal insurance under Wang's premium principle***by*Young, Virginia R.**123-131 An application of randomly truncated data models in reserving IBNR claims***by*Herbst, Tomas**133-142 Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique***by*Usabel, Miguel**143-155 On s-convex stochastic extrema for arithmetic risks***by*Denuit, Michel & Lefevre, Claude & Mesfioui, M'hamed**157-169 Subjective risk measures: Bayesian predictive scenarios analysis***by*Siu, Tak Kuen & Yang, Hailiang**171-179 Preservation of multivariate dependence under multivariate claim models***by*Hu, Taizhong & Pan, Xiaoming**181-195 Hattendorff's theorem for non-smooth continuous-time Markov models I: Theory***by*Milbrodt, Hartmut**197-217 A new stochastically flexible event methodology with application to Proposition 103***by*Brockett, Patrick L. & Chen, Hwei-Mei & Garven, James R.

### 1999, Volume 25, Issue 1

**1-9 On the distribution of IBNR reserves***by*Goovaerts, Marc & Redant, Hendrik**11-21 The safest dependence structure among risks***by*Dhaene, Jan & Denuit, Michel**23-35 Arithmetic averaging equity-linked life insurance policies in Germany***by*Nonnenmacher, Dirk Jens F. & Ru[ss], Jochen**37-47 A note on the Taylor series expansions for multivariate characteristics of classical risk processes***by*Usabel, M. A.**49-62 Ruin probabilities with compounding assets***by*Dickson, David C. M. & Waters, Howard R.**63-84 Analysis of a defective renewal equation arising in ruin theory***by*Lin, X. Sheldon & Willmot, Gordon E.**85-104 Stochastic bounds on sums of dependent risks***by*Denuit, M. & Genest, C. & Marceau, E.**105-107 Corrigendun to "The moments of ruin time in the classical risk model with discrete claim size distribution" [Insurance: Mathematics and Economics 23 (1998) 157-172]***by*Picard, Ph. & Lefevre, C.