# Elsevier

# Insurance: Mathematics and Economics

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**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

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### 1992, Volume 11, Issue 2

**87-89 The fellowship of actuaries***by*Kan, A. H. G. Rinnooy**91-96 The actuary : From academic to professional***by*Kuys, P. H. M.**97-107 A stochastic approach to insurance cycles***by*Goovaerts, M. J. & De Vylder, F. & Kaas, R.**109-111 Credibility applications in Switzerland***by*Straub, E.**113-127 Stochastic discounting***by*Buhlmann, H.**129-133 The Dutch premium principle***by*van Heerwaarden, A. E. & Kaas, R.**135-138 Credibility and the Dutch fire insurance***by*Willemse, A. H. & Voshol, E.**139-152 Ordering of risks in life insurance***by*Kling, Bart & Wolthuis, Henk**153-161 A summary of new results on optimal parameter estimation under zero-excess assumptions***by*De Vylder, F. & Goovaerts, M. J.**163-166 On the probability of ruin for infinitely divisible claim amount distributions***by*Gerber, Hans U.

### 1992, Volume 11, Issue 1

**1-6 Optimal parameter estimation under zero-excess assumptions in a classical model***by*De Vylder, F. & Goovaerts, M. J.**7-16 A Bayesian interpretation of Whittaker--Henderson graduation***by*Taylor, Greg**17-29 Modeling large claims in non-life insurance***by*Beirlant, Jan & Teugels, Jozef L.**31-48 A dynamic reinsurance theory***by*De Waegenaere, A. & Delbaen, F.**49-54 Ordering of risks through loss ratios***by*Hurlimann, Werner**55-69 Stochastic processes defined from a Lagrangian***by*De Vylder, F. & Goovaerts, M. J. & Kaas, R.**71-77 Stop-loss order, unequal means, and more dangerous distributions***by*Kaas, R. & van Heerwaarden, A. E.

### 1992, Volume 10, Issue 4

**231-231 Editorial***by*Goovaerts, M. J. & Kaas, R. & De Vylder, F.**233-238 Estimation of the heterogeneity parameter in the Buhlmann-Straub credibility theory model***by*De Vylder, F. & Goovaerts, M. J.**239-248 Current problems in insurance economics***by*Van Cayseele, P.**249-258 Actuarial software***by*Kaas, R.**259-274 Computational methods in risk theory: A matrix-algorithmic approach***by*Asmussen, Soren & Rolski, Tomasz**275-287 Extra randomness in certain annuity models***by*Beekman, John A. & Fuelling, Clinton P.**289-302 Statistical risk evaluation applied to (Belgian) car insurance***by*Beirlant, J. & Derveaux, V. & De Meyer, A. M. & Goovaerts, M. J. & Labie, E. & Maenhoudt, B.**303-309 From the generalized gamma to the generalized negative binomial distribution***by*Gerber, Hans U.

### 1991, Volume 10, Issue 3

**165-172 Insurers' profits in the third-party liability insurance***by*Dellaert, Nico & Frenk, Hans & van der Laan, Bob**173-179 A stop-loss experience rating scheme for fleets of cars***by*Teugels, Jozef L. & Sundt, Bjorn**181-190 A bootstrap procedure for estimating the adjustment coefficient***by*Embrechts, Paul & Mikosch, Thomas**191-202 Reinsurance in arbitrage-free markets***by*Sondermann, Dieter**203-230 Bond options and bond portfolio insurance***by*Sercu, P.

### 1991, Volume 10, Issue 2

**85-92 Forecasting compulsory motor insurance claims in Kuwait***by*El-Bassiouni, M. Y. & El-Habashi, M. H.**93-97 A recursive evaluation of the finite time ruin probability based on an equation of Seal***by*Kling, B. M. & Goovaerts, M. J.**99-107 The probability of ruin in a process with dependent increments***by*Promislow, S. David**109-123 Reinsurance retention levels for property/liability firms : A managerial portfolio selection framework***by*Kroll, Yoram & Nye, David**125-131 A note on Shiu--Fisher--Weil immunization theorem***by*Montrucchio, Luigi & Peccati, Lorenzo**133-136 On approximating aggregate claims distributions and stop-loss premiums by truncation***by*Sundt, Bjorn**137-143 The linear model revisited***by*Ramsay, Colin M.**145-151 Optimal claim behaviour for third-party liability insurances with perfect information***by*Dellaert, N. P. & Frenk, J. B. G. & Voshol, E.**153-159 Bounds on stop-loss premiums and ruin probabilities***by*Steenackers, A. & Goovaerts, M. J.**161-161 H.U. Gerber, Life Insurance Mathematics (Springer-Verlag, Berlin-Heidelberg, and Swiss Association of Actuaries, Zurich, 1990) pp. xiii + 131, $59.50, ISBN 3-540-52944-6 Springer-Verlag, Berlin-Heidelberg-New York. ISBN 0-387-52944-6, Springer-Verlag, New York. Berlin-Heidelberg***by*Wolthuis, H.

### 1991, Volume 10, Issue 1

**1-8 On blocked poisson processes in risk theory***by*Ramsay, Colin M.**9-20 Negative claim amounts, bessel functions, linear programming and Miller's algorithm***by*Hurlimann, Werner**21-29 Rational ruin problems--a note for the teacher***by*Dufresne, Francois & Gerber, Hans U.**31-36 On estimating the rate of return***by*Heathcote, C. R. & Husler, J.**37-50 On the estimation of the adjustment coefficient in risk theory via intermediate order statistics***by*Csorgo, Miklos & Steinebach, Josef**51-59 Risk theory for the compound Poisson process that is perturbed by diffusion***by*Dufresne, Francois & Gerber, Hans U.**61-67 On asymptotic rates on line in excess of loss reinsurance***by*Sundt, Bjorn**69-74 Linearly sufficient fun with credibility***by*Sundt, Bjorn**75-80 On the estimation of reserves from loglinear models***by*Verrall, R. J.**81-81 Correction note: On maximum likelihood estimation for count data models, insurance: mathematics and economics 9 (1990), 39-49***by*Hurlimann, W.

### 1990, Volume 9, Issue 4

**237-247 Premium allocation and risk avoidance in a large firm: a continuous model***by*Tapiero, Charles S. & Jacque, Laurent L.**249-255 Whole-life insurance lapse rates and the emergency fund hypothesis***by*Outreville, J. Francois**257-272 Applications of the GB2 family of distributions in modeling insurance loss processes***by*Cummins, J. David & Dionne, Georges & McDonald, James B. & Pritchett, B. Michael**273-275 Covariance matrix patterns invariant under multiplication and inversion***by*Jewell, William S.**277-279 On Life Table applications of ordering among risks***by*Hurlimann, Werner**281-290 The cost of deposit insurance: derivation of a risk-adjusted premium***by*Urrutia, Jorge**291-293 A discussion of 'AIDS: exponential vs. polynomial growth models' by Harry H. Panjer***by*Herzog, Thomas N.**295-303 'Finem Lauda' or the risks in swaps***by*Artzner, Philippe & Delbaen, Freddy

### 1990, Volume 9, Issue 2-3

**77-80 Credibility for increased limits***by*Klugman, Stuart**81-94 Synthetic portfolio insurance on the Italian stock index: From theory to practice***by*Pressacco, Flavio & Stucchi, Patrizia**95-99 Simulation of ruin probabilities***by*Boogaert, P. & De Waegenaere, A.**101-113 The recursive calculation of the moments of the profit on a sickness insurance policy***by*Waters, Howard**115-119 When does the surplus reach a given target?***by*Gerber, Hans U.**121-126 A remark on the moments of ruin time in classical risk theory***by*Delbaen, Freddy**127-130 Nonparametric estimators for the probability of ruin***by*Croux, Kristof & Veraverbeke, Noel**131-139 Valuation of derivative securities involving several assets using discrete time methods***by*Boyle, Phelim P.**141-148 Simulating risk solvency***by*Embrechts, Paul & Wouters, Lode**149-153 On a fundamental identity for stopping times and its application to risk theory***by*Ramsay, Colin M.**155-162 Macro-economic version of a classical formula in risk theory***by*Boogaert, P. & De Waegenaere, A.**163-169 A 'bonus/malus' system with 'conditioned' bonus***by*Sammartini, G.**171-175 On Redington's theory of immunization***by*Shiu, Elias S. W.**177-178 Ordering of risks and ruin probabilities***by*Kaas, R. & Van Heerwaarden, A. E.**179-184 Insurance vs. loss prevention - an actuarial approach***by*Heilmann, W. -R.**185-196 Interest and mortality randomness in some annuities***by*Beekman, John A. & Fuelling, Clinton P.**197-206 The parameters of a multiple criteria model of actuarial assumptions for pension plan valuations***by*Shapiro, Arnold F.**207-220 Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk***by*Heijnen, B.**221-228 On a multilevel hierarchical credibility algorithm***by*Bauwelinckx, T. & Goovaerts, M. J.**229-234 The retrospective premium reserve***by*Wolthuis, Henk & Hoem, Jan M.

### 1990, Volume 9, Issue 1

**1-19 Portfolio insurance: a simulation under different market conditions***by*Bird, Ron & Cunningham, Ross & Dennis, David & Tippett, Mark**21-32 Generalised linear models and excess mortality from peptic ulcers***by*Haberman, S. & Renshaw, A. E.**33-37 Maximizing the expected time to ruin for a company operating N distinct funds with a 'superclaims' process***by*Browne, Sidney**39-49 On maximum likelihood estimation for count data models***by*Hurlimann, Werner**51-57 Improved estimation of IBNR claims by credibility theory***by*Mack, Thomas**59-76 Optimal claim behaviour for third-party liability insurances or to claim or not to claim: that is the question***by*Dellaert, N. P. & Frenk, J. B. G. & Kouwenhoven, A. & Van Der Laan, B. S.

### 1989, Volume 8, Issue 4

**261-267 Properties of the Esscher premium calculation principle***by*Van Heerwaarden, A. E. & Kaas, R. & Goovaerts, M. J.**269-277 A martingale approach to premium calculation principles in an arbitrage free market***by*Delbaen, F. & Haezendonck, J.**279-285 Estimation of ruin probabilities by means of hazard rates***by*Kluppelberg, Claudia**287-302 Insurance-investment: diffusion analysis***by*Page, Dominique**303-308 Estimating hedonic distributions using polynomials***by*Butler, Richard J. & Worrall, John D.**309-313 On optimum loss control: the case of Poisson distributed losses***by*Cho, Dongsae**315-319 Positive homogeneity and multiplicativity of premium principles on positive risks***by*Schmidt, Klaus D.**321-330 Delay in claim settlement***by*Boogaert, P. & Haezendonck, J.

### 1989, Volume 8, Issue 3

**157-157 Guest editors' introduction***by*Panjer, Harry H. & Willmot, Gordon E.**159-164 Bayesian modelling of mortality catastrophes***by*Klugman, Stuart A.**165-173 Stochastic differential equations for compounded risk reserves***by*Garrido, Jose**175-185 Limiting tail behaviour of some discrete compound distributions***by*Willmot, Gordon E.**187-201 Weak convergence of random growth processes with applications to insurance***by*Dufresne, Daniel**203-209 AIDS: Exponential vs. polynomial growth models***by*Panjer, Harry H.**211-232 Observations on the HIV epidemic and managing uncertainty in insurance***by*Holland, David M.**233-242 Further reflections on actuarial recognition of nuclear holocaust hazard***by*Nesbitt, Cecil J.**243-249 Ruin probability by operational calculus***by*Shiu, Elias S. W.**251-258 On the computation of the aggregate claim distribution when individual claims are Inverse Gaussian***by*Gendron, Michel & Crepeau, Helene

### 1989, Volume 8, Issue 2

**105-118 The demand for Italian health insurance***by*Fiocca, Mariateresa & Hey, John D.**119-126 Bonus hunger and credibility estimators with geometric weights***by*Sundt, Bjorn**127-136 A general framework for credibility prediction of multidimensional first and second moments***by*Jewell, William S.**137-144 On the derivation of reinsurance premiums***by*Chang, Jack S. K. & Cheung, C. S. & Krinsky, I.**145-148 Recursive calculation of the probability and severity of ruin***by*Dickson, David C. M.**149-152 Representation of a time-discrete probability of eventual ruin***by*Michel, R.

### 1989, Volume 8, Issue 1

**1-1 Editorial***by*Gerber, Hans & Mammitzsch, Volker & Haezendonck, Jean & Goovaerts, Marc**3-10 The Buhlmann--Straub Model with the premium calculated according to the variance principle***by*Centeno, Lourdes**11-17 Optimal reinsurance in relation to ordering of risks***by*Van Heerwaarden, A. E. & Kaas, R. & Goovaerts, M. J.**19-21 Combining Panjer's recursion with convolution***by*Kaas, R. & Van Heerwaarden, A. E. & Goovaerts, M. J.**23-29 The practical application of credibility theory***by*Goovaerts, M. J. & Bauwelinckx, T. & Stoop, C.**31-34 A credit scoring model for personal loans***by*Steenackers, A. & Goovaerts, M. J.**35-46 Selection of variables for automobile insurance rating***by*Stroinski, Krzysztof J. & Currie, Iain D.**47-56 A managerial approach to risk theory: Some suggestions from the theory of financial decisions***by*Pressacco, Flavio**57-62 Compound and mixed distributions***by*De Vylder, F.**63-69 A three-way credibility approach to loss reserving***by*Venter, G.**71-76 Stability of pension systems when rates of return are random***by*Dufresne, Daniel**77-95 Decision theoretic foundations of credibility theory***by*Heilmann, Wolf-Rudiger**97-104 Perturbation calculus in risk theory: Application to chains and trees of reinsurance***by*Heijnen, Bart

### 1988, Volume 7, Issue 4

**211-217 Rudiments of insurance purchasing: a graphical state-claims analysis***by*Kahane, Yehuda & Schlesinger, Harris & Yanai, Nitzan**219-224 Immunization of multiple liabilities***by*Shiu, Elias S. W.**225-236 The emergence of profit in life insurance***by*Ramlau-Hansen, Henrik**237-249 On optimal dividend payments and related problems***by*Waldmann, K. -H.**251-259 Simple risk forecasts using credibility***by*Hurlimann, Werner**261-267 The validity of least squares estimation in a time series model using the bootstrap methodology***by*Son, Mun & Hamdy, Hosny & Almahmeed, Mohammad & Sindahl, Bruce**269-274 Ruin estimates for large claims***by*Embrechts, P. & Villasenor, J. A.**275-281 Further use of Shiu's approach to the evaluation of ultimate ruin probabilities***by*Willmot, Gordon E.**283-285 A recursive algorithm for convolutions of discrete uniform distributions***by*Sundt, Bjorn

### 1988, Volume 7, Issue 3

**139-152 Option pricing methods: an overview***by*Van Hulle, Cynthia**153-161 A stochastic simulation procedure for pension schemes***by*Racinello, Anna Rita**163-173 Stochastic models for bond prices, function space integrals and immunization theory***by*Beekman, John A. & Shiu, Elias S. W.**175-184 A new method for valuing underwriting agreements for rights issues***by*Aase, Knut K.**185-191 Instrument effects and stochastic dominance***by*Bradley, Michael G. & Lehman, Dale E.**193-199 The surpluses immediately before and at ruin, and the amount of the claim causing ruin***by*Dufresne, Francois & Gerber, Hans U.**201-210 Mean-lower partial moment asset pricing and the regulation of property--liability insurance rates***by*Cox, Larry A. & Griepentrog, Gary L.

### 1988, Volume 7, Issue 2

**75-80 The probability and severity of ruin for combinations of exponential claim amount distributions and their translations***by*Dufresne, Francois & Gerber, Hans U.**81-93 Optimal term life insurance -- A practical solution***by*Lévy, Haim & Simon, Julian L. & Doherty, Neil A.**95-101 Yields on lottery bonds***by*Ramlau-Hansen, Henrik**103-112 A bonus--malus system in automobile insurance***by*Neuhaus, Walther**113-122 Credibility estimators with geometric weights***by*Sundt, Bjorn**123-129 Diffusion premiums for claim severities subject to inflation***by*Garrido, Jose**131-138 Limit theorems for the present value of the surplus of an insurance portfolio***by*Boogaert, P. & Haezendonck, J. & Delbaen, F.

### 1988, Volume 7, Issue 1

**1-7 Recursive calculation of finite-time ruin probabilities***by*De Vylder, F. & Goovaerts, M. J.**9-14 Aspects of optimal insurance demand when there are uninsurable risks***by*Kischka, Peter**15-23 Mathematical fun with ruin theory***by*Gerber, Hans U.**25-33 Joint insurance and capitalization costs***by*Tapiero, Charles S. & Jacque, Laurent**35-37 On algebraic equivalence of tariffing systems***by*Hurlimann, Werner**39-40 An elementary proof of the Adelson--Panjer recursion formula***by*Hurlimann, Werner**41-47 Calculation of the probability of eventual ruin by Beekman's convolution series***by*Shiu, Elias S. W.**49-57 A gamma-minimax result in credibility theory***by*Eichenauer, Jurgen & Lehn, Jurgen & Rettig, Stefan**59-66 Cross-validatory graduation***by*Brooks, R. J. & Stone, M. & Chan, F. Y. & Chan, L. K.**67-69 Non-uniqueness of option prices***by*Gerber, Hans U. & Shiu, Elias S. W.**71-74 The contribution formula: an economic view***by*Kune, J. B.

### 1987, Volume 6, Issue 4

**237-244 The effect of risk parameters on decision making***by*Nigm, A. M. & El-Habashi, M. H. & Hamdy, H. I.**245-257 Premium rating under non-exponential utility***by*Goovaerts, M. J. & Taylor, G. C.**259-266 On the Fisher-Weil immunization theorem***by*Shiu, Elias S. W.**267-274 An improvement to the convolution method of calculating [psi](u)***by*Meyers, Glenn & Beekman, John A.**275-287 Expenses and underwriting strategy in competition***by*Taylor, G. C.**289-293 New upper bounds for stop-loss premiums for the individual model***by*Van heerwaarden, A. E. & Kaas, R. & Goovaerts, M. J.

### 1987, Volume 6, Issue 3

**169-178 Calculation of the maximum retentions in XL reinsurance***by*Zecchin, Marco**179-188 The problem of stability in insurance mathematics***by*Beirlant, J. & Rachev, S. T.**189-194 Credibility and old estimates***by*Sundt, Bjorn**195-202 Approximations for stop-loss premiums***by*Teugels, J. L. & Willmot, G.**203-212 Symbolic computing***by*Chan, Fung Yee**213-220 Estimating rates of return on Australian superannuation funds***by*McCrae, Michael & Tippett, Mark**221-232 Upperbounds on ruin probabilities in case of negative loadings and positive interest rates***by*Boogaert, P. & Crijns, V.**233-234 Stochastic modelling and analysis: A computational approach,: Henk C. Thijms, Wiley Series in Probability and Mathematical Statistics (Wiley, New York, 1986) pp. xii + 418, [UK pound]19.95***by*Teugels, Jozef L.

### 1987, Volume 6, Issue 2

**85-116 Classical risk theory in an economic environment***by*Delbaen, F. & Haezendonck, J.**117-127 A model for determining early retirement incentives***by*Sharp, Keith P.**129-134 A two-parameter family of pension contribution functions and stochastic optimization***by*O'Brien, Thomas**135-144 Retroactive price regulation and the fair rate of return***by*Doherty, Neil A.**145-149 On the robustness of premium principles***by*Heilmann, W. -R. & Schroter, K.**151-159 Prediction of IBNR claim counts by modelling the distribution of report lags***by*Kaminsky, Kenneth S.**161-164 Lebensversicherungsmathematik : H.U. Gerber, (Vereinigung schweizerischer Versicherungsmathematiker, Zurich; distributed by Springer Verlag, Berlin-Heidelberg-New York-London-Paris-Tokyo, 1986) pp. xiii + 125, DM 98,-, ISBN 3-540-16669-6***by*Wolthuis, H.

### 1987, Volume 6, Issue 1

**1-6 Matrix derivation of moving-weighted-average graduation formulas***by*Shiu, Elias S. W.**7-18 Balancing an insurance portfolio by class of business***by*Taylor, G. C.**19-31 A numerical approach to utility functions in risk theory***by*Hurlimann, W.**33-42 On the use of QUADPACK for the calculation of risk theoretical quantities***by*Kaas, R. & Goovaerts, M. J.**43-56 Difference equation approaches in evaluation of compound distributions***by*Willmot, G. E. & Panjer, H. H.**57-62 A collective risk comparative study***by*Beekman, John A. & Fuelling, Clinton P.**63-64 A simple proof of Feller's characterization of the compound Poisson distributions***by*Ospina, A. Valderrama & Gerber, H. U.**65-83 Stochastic investment models--theory and applications***by*Wilkie, A. D.

### 1986, Volume 5, Issue 4

**255-259 Points systems for car insurance***by*Hutchinson, T. P. & Rowell, S.**261-270 The determination of life premiums: An international cross-section analysis 1970-1981***by*Beenstock, Michael & Dickinson, Gerry & Khajuria, Sajay**271-274 On robust premium principles***by*Kremer, E.**275-278 A note on insurance leverage under skew distributions***by*Albrecht, Peter**279-283 Extremal values of stop-loss premiums under moment constraints***by*Kaas, R. & Goovaerts, M. J.**285-293 Estimates for the probability of ruin starting with a large initial reserve***by*Horvath, Lajos & Willekens, Eric**295-303 The submartingale assumption in risk theory***by*Moriconi, Franco**305-313 On the estimation of the adjustment coefficient in risk theory by means of stochastic approximation procedures***by*Herkenrath, Ulrich**315-334 Upper bounds on stop-loss premiums in case of known moments up to the fourth order***by*Jansen, K. & Haezendonck, J. & Goovaerts, M. J.

### 1986, Volume 5, Issue 3

**183-185 A note on risk premiums with random initial wealth***by*Doherty, Neil A. & Schlesinger, Harris**187-196 Approximation of the initial reserve for known ruin probabilities***by*Frees, Edward W.**197-199 On the impact of independence of risks on stop loss premiums***by*Heilmann, Wolf-Rudiger**201-215 Martingales in Markov processes applied to risk theory***by*Delbaen, F. & Haezendonck, J.**217-254 Stochastic models for life contingencies***by*Wolthuis, H. & Van Hoek, I.

### 1986, Volume 5, Issue 2

**119-127 Strategies for computation of compound distributions with two-sided severities***by*Jewell, W. S. & Milidiu, R. L.**129-132 Improved recursions for some compound poisson distributions***by*De Pril, Nelson