# Elsevier

# Insurance: Mathematics and Economics

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

**Editor:**

**Current editor:**Hansjoerg Albrecher

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

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

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

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

**Citations RSS feed:**at CitEc

### Impact factors

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

**Access and download statistics**

**Top item:**

- By citations
- By downloads (last 12 months)

### 1994, Volume 14, Issue 1

### 1993, Volume 13, Issue 3

**241-254 How to (and how not to) compute stop-loss premiums in practice***by*Kaas, R.**255-262 A stop-loss experience rating scheme for fleets of cars, Part II***by*Szynal, Dominik & Teugels, Jozef L.**263-270 Pension funding : The effect of changing the frequency of valuations***by*Haberman, Steven**271-285 Delay, feedback and variability of pension contributions and fund levels***by*Zimbidis, Alexandros & Haberman, Steven**287-297 Critical starting points for stable evaluation of mixed Poisson probabilities***by*Wang, Shaun & Panjer, Harry**299-302 Production decisions in case of monotone likelihood ratio shifts of cumulative distribution functions***by*Machnes, Yaffa**303-304 Pricing equity-linked life insurance with endogenous minimum guarantees : A corrigendum***by*Bacinello, Anna Rita & Ortu, Fulvio

### 1993, Volume 13, Issue 2

**99-99 Editorial: Disability risk in the EC***by*Goovaerts, M. J. & Kaas, R.**101-116 Disability insurance in The Netherlands***by*Gregorius, F. K.**117-122 Summary of talk on 'Work of the CMI PHI Sub-Committee'***by*Hertzman, Eugene**123-130 Permanent health insurance: Overviews and market conditions in the UK***by*Mackay, Graham**131-140 The actuarial treatment of the disability risk in Germany, Austria and Switzerland***by*Segerer, Gunther

### 1993, Volume 13, Issue 1

**1-5 Bonus-malus system or partial coverage to oppose moral hazard problems?***by*Vandebroek, Martina**7-14 A state space formulation of Whittaker graduation, with extensions***by*Verrall, R. J.**15-22 Annuity distributions : A new class of compound Poisson distributions***by*Ramsay, Colin M.**23-34 From planar Brownian windings to Asian options***by*Yor, Marc**35-37 On Berry-Esseen results for the compound Poisson distribution***by*Michel, R.**39-44 Remarks on the Swiss premium principle on positive risks***by*Beyer, Dirk & Riedel, Manfred**45-56 Pension funding with time delays and autoregressive rates of investment return***by*Haberman, Steven**57-62 Asymptotic estimates for the probability of ruin in a Poisson model with diffusion***by*Veraverbeke, Noel**63-74 On the application of Thiele's differential equation in life insurance***by*Linnemann, Per**75-81 A semi-parametric estimator of a risk distribution***by*Carriere, Jacques**83-97 Extensions of Ohlin's lemma with applications to optimal reinsurance structures***by*Hesselager, Ole

### 1993, Volume 12, Issue 3

**225-244 Optimal claim behaviour for vehicle damage insurances***by*Dellaert, N. P. & Frenk, J. B. G. & van Rijsoort, L. P.**245-257 Pricing equity-linked life insurance with endogenous minimum guarantees***by*Bacinello, Anna Rita & Ortu, Fulvio**259-264 Asymptotic ordering of risks and ruin probabilities***by*Kluppelberg, Claudia**265-286 A Bayesian analysis of a simultaneous equations model for insurance rate-making***by*Scollnik, David P. M.**287-295 Empirical probability generating function : An overview***by*Nakamura, Miguel & Perez-Abreu, Victor**297-299 Using expected loss ratios in reserving***by*Gogol, Daniel

### 1993, Volume 12, Issue 2

**113-126 Moving weighted average graduation using kernel estimation***by*Gavin, John & Haberman, Steven & Verrall, Richard**127-132 Some remarks on actuarial payment functions***by*Milbrodt, Hartmut**133-142 Ruin probabilities in the compound binomial model***by*Willmot, Gordon E.**143-154 On the distribution of the claim causing ruin***by*Dickson, David C. M.**155-165 Fitting a parametric distribution for large claims in case of censored or partitioned data***by*Weba, Michael

### 1993, Volume 12, Issue 1

**1-1 Editorial***by*Kuys, P. H. M.**3-8 Nonparametric tests for mixed Poisson distributions***by*Carriere, Jacques**9-22 The probability of ruin for the Inverse Gaussian and related processes***by*Dufresne, F. & Gerber, H. U.**23-38 How long is the surplus below zero?***by*Egidio dos Reis, Alfredo**39-45 The transformed rejection method for generating Poisson random variables***by*Hormann, W.**47-56 The impact of government social security payments on the annuity market***by*Simon Power & Townley, Peter G. C.**57-60 Asymmetries and household insurance : A note***by*Eisenhauer, Joseph G.**61-61 Ordering of risks : Angela van Heerwaarden, (Thesis publishers, Amsterdam, 1992) pp. 159, fl.37,50/US $21,-, ISBN 90.5170.122.5***by*Goovaerts, M. J.

### 1992, Volume 11, Issue 4

**247-247 Editorial***by*Delbaen, F.**249-257 A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time***by*Schachermayer, W.**259-269 Estimation of the yield curve and the forward rate curve starting from a finite number of observations***by*Delbaen, F. & Lorimier, Sabine**271-281 Interest randomness in annuities certain***by*De Schepper, A. & De Vylder, F. & Goovaerts, M. & Kaas, R.**283-290 Some further results on annuities certain with random interest***by*De Schepper, A. & Goovaerts, M.**291-294 The Laplace transform of annuities certain with exponential time distribution***by*De Schepper, A. & Goovaerts, M. & Delbaen, F.**295-299 Remarks on the methodology introduced by Goovaerts et al***by*Deelstra, G. & Delbaen, F.**301-310 A stochastic interest model with an application to insurance***by*Dietz, Hans M.**311-314 Numerical evaluation of the Wilkie inflation model***by*Hurlimann, Werner

### 1992, Volume 11, Issue 3

**167-171 Optimal parameter estimation under zero excess assumptions in the Buhlmann--Straub model***by*De Vylder, F. & Goovaerts, M.**173-177 Immunization of investments with partially negative cash-flows***by*Salinelli, Ernesto**179-189 Pension funding with time delays : A stochastic approach***by*Haberman, Steven**191-207 On the distribution of the surplus prior to ruin***by*Dickson, David C. M.**209-222 State space modeling of non-standard actuarial time series***by*Carlin, Bradley P.**223-235 Finding the optimal allocation to a health-care reimbursement account***by*Nunnikhoven, Thomas S.**237-245 Portfolio selection by mutual insurance companies and optimal participating insurance policies***by*Gollier, Christian & Wibaut, Serge

### 1992, Volume 11, Issue 2

**81-82 Editorial***by*de Vylder, F. & Goovaerts, M. J. & Kaas, R.**83-86 The actuary***by*Buhlmann, H.**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