# 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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registered editor(s): Marc Goovaerts
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(Shamier, Wendy)**

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

**ISSN:**0167-6687

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### 2000, Volume 26, Issue 1

**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.

### 1999, Volume 24, Issue 3

**155-172 Explicit finite-time and infinite-time ruin probabilities in the continuous case***by*De Vylder, F. Etienne & Goovaerts, Marc J.**173-185 Stop-loss premiums under dependence***by*Albers, Willem**187-199 Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system***by*Chang, Shih-Chieh**201-217 Extremal generators and extremal distributions for the continuous s-convex stochastic orderings***by*Denuit, Michel & Vylder, Etienne De & Lefevre, Claude**219-227 Non-optimality of a linear combination of proportional and non-proportional reinsurance***by*Hurlimann, W.**229-247 A longitudinal data analysis interpretation of credibility models***by*Frees, Edward W. & Young, Virginia R. & Luo, Yu**249-271 Inequality extensions of Prabhu's formula in ruin theory***by*De Vylder, F. E. & Goovaerts, M. J.**273-280 A theorem on multi-period insurance contracts without commitment***by*Vazquez, Francisco J. & Watt, R.**281-290 Supermodular ordering and stochastic annuities***by*Goovaerts, M. J. & Dhaene, J.**291-300 Sequential credibility evaluation for symmetric location claim distributions***by*Landsman, Zinoviy & Makov, Udi E.**301-308 On the distributions of two classes of correlated aggregate claims***by*Ambagaspitiya, Rohana S.**309-321 On the distribution of the surplus of the D-E model prior to and at ruin***by*Zhang, Chunsheng & Wu, Rong**323-332 On dependence of risks and stop-loss premiums***by*Hu, Taizhong & Wu, Zhiqiang

### 1999, Volume 24, Issue 1-2

**3-14 From ruin theory to pricing reset guarantees and perpetual put options***by*Gerber, Hans U. & Shiu, Elias S. W.**15-21 Recursions for convolutions of discrete uniform distributions revisited***by*Sundt, Bjorn**23-29 Credibility evaluation for the exponential dispersion family***by*Landsman, Zinoviy & Makov, Udi E.**31-50 A class of bivariate stochastic orderings, with applications in actuarial sciences***by*Denuit, Michel & Lefevre, Claude & Mesfioui, M'hamed**51-65 A process with stochastic claim frequency and a linear dividend barrier***by*Siegl, Thomas & Tichy, Robert F.**67-81 Modelling different types of automobile insurance fraud behaviour in the Spanish market***by*Artis, Manuel & Ayuso, Mercedes & Guillen, Montserrat**83-94 The GARCH(1,1)-M model: results for the densities of the variance and the mean***by*De Schepper, Ann & Goovaerts, Marc J.**95-101 Decomposing catastrophic risk***by*Schlesinger, Harris**103-115 Solvency margins and equalization reserves***by*De Vylder, F. & Goovaerts, M.**117-138 The effect of the nature of the liabilities on the solvency and maturity payouts of a UK life office fund: a stochastic evaluation***by*Berketi, Alexandra K. & Macdonald, Angus S.**139-148 Fitting bivariate loss distributions with copulas***by*Klugman, Stuart A. & Parsa, Rahul**149-154 Martingales, scale functions and stochastic life annuities: a note***by*Milevsky, Moshe Arye

### 1998, Volume 23, Issue 3

**215-230 On the computation of aggregate claims distributions: some new approximations***by*Chaubey, Yogendra P. & Garrido, Jose & Trudeau, Sonia**231-250 Burr regression and portfolio segmentation***by*Beirlant, Jan & Goegebeur, Yuri & Verlaak, Robert & Vynckier, Petra**251-261 Loss development forecasting models: an econometrician's view***by*Kloek, T.**263-286 Pension schemes as options on pension fund assets: implications for pension fund management***by*Blake, David**287-295 Equation for survival probability in a finite time interval in case of non-zero real interest force***by*Pervozvansky, A. Jr.

### 1998, Volume 23, Issue 2

**111-117 A note on optimal parameter estimation under zero-excess assumptions***by*Goulet, Vincent**119-139 Bounds for stop-loss premium under restrictions on I-divergence***by*Xu, Lina & Bricker, Dennis L. & Kortanek, Kenneth O.**141-156 On the tradeoff between the law of large numbers and oligopoly in insurance***by*Powers, Michael R. & Shubik, Martin**157-172 The moments of ruin time in the classical risk model with discrete claim size distribution***by*Picard, Philippe & Lefevre, Claude**173-177 A minimax risk strategy for portfolio immunization***by*Barber, Joel R. & Copper, Mark L.**179-180 Erratum to: "A note on interest rate term structure estimation using tension splines" [Insurance: Mathematics and Economics 22 (1998) 139-143]***by*Barzanti, Luca & Corradi, Corrado

### 1998, Volume 23, Issue 1

**1-14 Families of update rules for non-additive measures: Applications in pricing risks***by*Young, Virginia R.**15-19 On the distribution of a sum of correlated aggregate claims***by*Ambagaspitiya, Rohana S.**21-31 Compound bivariate Lagrangian Poisson distributions***by*Ambagaspitiya, Rohana S.**33-43 Aging properties and bounds for ruin probabilities and stop-loss premiums***by*Cai, Jun & Garrido, Jose**45-58 Double barrier hitting time distributions with applications to exotic options***by*Sheldon Lin, X.**59-69 Prediction of claim numbers based on hazard rates***by*Spreeuw, Jaap & Goovaerts, Marc**71-83 Applications to risk theory of a Monte Carlo multiple integration method***by*Usabel, Miguel A.**85-90 Zero coupon bonds and affine term structures: reconsidering the one-factor model***by*Alvarez, Luis H. R.**91-110 Exact and approximate properties of the distribution of surplus before and after ruin***by*Willmot, Gordon E. & Sheldon Lin, X.

### 1998, Volume 22, Issue 3

**209-228 Stochastic cooperative games in insurance***by*Suijs, Jeroen & De Waegenaere, Anja & Borm, Peter**229-233 Optimal reinsurance and stop-loss order***by*Denuit, Michel & Vermandele, Catherine**235-242 Comonotonicity, correlation order and premium principles***by*Wang, Shaun & Dhaene, Jan**243-249 Pricing insurance contracts -- an economic viewpoint***by*Kliger, Doron & Levikson, Benny**251-262 Ruin probabilities for Erlang(2) risk processes***by*Dickson, David C. M. & Hipp, Christian**263-276 On the discounted penalty at ruin in a jump-diffusion and the perpetual put option***by*Gerber, Hans U. & Landry, Bruno**277-285 On distribution-free safe layer-additive pricing***by*Hurlimann, W.

### 1998, Volume 22, Issue 2

**123-138 Non-Poissonian claims' arrivals and calculation of the probability of ruin***by*Malinovskii, Vsevolod K.**139-143 A note on interest rate term structure estimation using tension splines***by*Barzanti, Luca & Corradi, Corrado**145-161 Ordering risks: Expected utility theory versus Yaari's dual theory of risk***by*Wang, Shaun S. & Young, Virginia R.**163-170 Closure properties of some partial orderings under mixing***by*Hesselager, Ole

### 1998, Volume 22, Issue 1

**1-1 The interplay between insurance, finance and control***by*Asmussen, Soren & Barndorff-Nielsen, Ole. E.**3-16 Ruin theory with compounding assets -- a survey***by*Paulsen, Jostein**17-23 Some system theoretic aspects of interest rate theory***by*Bjork, Tomas & Christensen, Bent Jesper & Gombani, Andrea**25-39 Concepts and methods for discrete and continuous time control under uncertainty***by*Runggaldier, Wolfgang J.**41-51 Optimal proportional reinsurance policies for diffusion models with transaction costs***by*Hojgaard, Bjarne & Taksar, Michael**53-64 On some filtering problems arising in mathematical finance***by*Brigo, Damiano & Hanzon, Bernard**65-73 An actuarial approach to option pricing under the physical measure and without market assumptions***by*Bladt, Mogens & Rydberg, Tina Hviid**75-91 On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance***by*Schal, Manfred**93-104 Ruin probabilities in perturbed risk models***by*Schlegel, Sabine**105-122 Optimal risk and dividend control for a company with a debt liability***by*Taksar, Michael I. & Zhou, Xun Yu

### 1997, Volume 21, Issue 3

**185-193 Stochastic time changes in catastrophe option pricing***by*Geman, Helyette & Yor, Marc**195-200 A note on Shiu's immunization results***by*Uberti, M.**201-218 Asset allocation with time variation in expected returns***by*Boyle, Phelim P. & Yang, Hailiang**219-223 Stop-loss order for portfolios of dependent risks***by*Muller, Alfred**225-244 IBNR reserves under stochastic interest rates***by*Goovaerts, Marc & De Schepper, Ann

### 1997, Volume 21, Issue 2

**95-95 Preface***by*Shiu, Elias S. W.**97-102 An old-age social security program for Bangladesh***by*Beekman, John A. & Kabir, Md. Humayun**103-111 Better late than never: The case of the rollover option***by*Bilodeau, Claire**113-127 Reserving for maturity guarantees: Two approaches***by*Boyle, Phelim P. & Hardy, Mary R.**129-137 The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin***by*Gerber, Hans U. & Shiu, Elias S. W.**139-152 The Istanbul option: Where the standard European option becomes Asian***by*Jacques, Michel**153-162 Hedging strategies using catastrophe insurance options***by*O'Brien, Thomas**163-172 Regression-quantile graduation of Australian life tables, 1946-1992***by*Portnoy, Esther**173-183 Axiomatic characterization of insurance prices***by*Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H.

### 1997, Volume 21, Issue 1

**1-16 The effect of interest on negative surplus***by*Dickson, David C. M. & Egidio dos Reis, Alfredo D.**17-24 Non-optimal prediction by the chain ladder method***by*Schmidt, Klaus D.**25-42 Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions***by*Willmot, Gordon E.**43-79 Stochastic pension fund modelling***by*Cairns, Andrew J. G. & Parker, Gary**81-89 Testing independence in bivariate distributions of claim frequencies and severities***by*Carriere, Jacques F.**91-92 Practical analysis of extreme values : J. Beirlant, J. Teugels and P. Vynckier, Leuven University Press, 1996***by*Klugman, Stuart

### 1997, Volume 20, Issue 3

**173-195 Unemployment insurance and mortgages***by*Gourieroux, C. & Scaillet, O.**197-213 Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences***by*Denuit, Michel & Lefevre, Claude**215-223 Optimal choice of dividend barriers for a risk process with stochastic return on investments***by*Paulsen, Jostein & Gjessing, Hakon K.**225-242 Reserving consecutive layers of inwards excess-of-loss reinsurance***by*Taylor, Greg**243-250 The present value of a stochastic perpetuity and the Gamma distribution***by*Milevsky, Moshe Arye

### 1997, Volume 20, Issue 2

**79-95 The variance of a truncated random variable and the riskiness of the underlying variables***by*Sercu, Piet**97-114 Stable Lévy motion approximation in collective risk theory***by*Furrer, Hansjorg & Michna, Zbigniew & Weron, Aleksander**115-135 Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme***by*Haberman, Steven & Lam, Yuk Patrick & Wong

### 1997, Volume 20, Issue 1

**1-15 Controlled diffusion models for optimal dividend pay-out***by*Asmussen, Soren & Taksar, Michael**17-21 Liquid asset allocation using "newsvendor" models with convex shortage costs***by*Gerchak, Yigal & Wang, Shaun**23-34 Computing compound distributions faster!***by*den Iseger, P. W. & Smith, M. A. J. & Dekker, R.**35-41 A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate***by*Vanneste, M. & Goovaerts, M. J. & De Schepper, A. & Dhaene, J.**43-58 The solution of Schmitter's simple problem: Numerical illustration***by*De Vylder, F. & Goovaerts, M. & Marceau, E.**59-78 The bi-atomic uniform minimal solution of Schmitter's problem***by*De Vylder, F. & Goovaerts, M. & Marceau, E.

### 1997, Volume 19, Issue 3

**187-235 Markov models and Thiele's integral equations for the prospective reserve***by*Milbrodt, Hartmut & Stracke, Andrea**237-241 Application of mixture models to approximation of age-at-death distribution***by*Jasiulewicz, Helena**243-253 On the dependency of risks in the individual life model***by*Dhaene, J. & Goovaerts, M. J.

### 1997, Volume 19, Issue 2

**85-94 The adjustment function in ruin estimates under interest force***by*Sundt, Bjorn & Teugels, Jozef L.**95-103 On the relationship between bounds on the tails of compound distributions***by*Willmot, Gordon E.**105-126 Dual modelling and select mortality***by*Renshaw, A. E. & Haberman, S.**127-139 Stochastic investment returns and contribution rate risk in a defined benefit pension scheme***by*Haberman, Steven

### 1996, Volume 19, Issue 1

**1-18 The numerical solution of the Schmitter problems: Theory***by*De Vylder, F. & Marceau, E.**19-30 Valuation of the early-exercise price for options using simulations and nonparametric regression***by*Carriere, Jacques F.**31-43 Claims reserving and generalised additive models***by*Verrall, Richard**45-53 Goodness of fit test statistics for the zeta family***by*Luong, Andrew & Doray, Louis G.**55-59 Deductible insurance and production: A comment***by*Gollier, Christian**61-80 Reinsurance and ruin***by*Dickson, David C. M. & Waters, Howard R.**81-83 Correction note to "On the preservation of some orderings of risks under convolution"***by*Pellerey, Franco

### 1996, Volume 18, Issue 3

**173-181 Aspects of prospective mean values in risk theory***by*Moller, Christian M.**183-218 Actuarial bridges to dynamic hedging and option pricing***by*Gerber, Hans U. & Shiu, Elias S. W.**219-219 Bounds on the tails of convolutions of compound distributions***by*Willmot, Gordon E. & Lin, Xiadong

### 1996, Volume 18, Issue 2

**89-107 Mixtures of tails in clustered automobile collision claims***by*Kalb, Guyonne R. J. & Kofman, Paul & Vorst, Ton C. F.**109-114 Ordering of risks under PH-transforms***by*Wang, Shaun**115-117 On the estimation of smooth forward rate curves from a finite number of observations: A comment***by*Corradi, Corrado**119-127 Some results about the expected ruin time in Markov-modulated risk models***by*Bauerle, Nicole

### 1996, Volume 18, Issue 1

**1-12 Taylor-series expansion for multivariate characteristics of classical risk processes***by*Frey, Andreas & Schmidt, Volker**13-27 On smoothness terms in multidimensional Whittaker graduation***by*Broffitt, James D.**29-33 Bounds on the tails of convolutions of compound distributions***by*Willmot, Gordon E. & Lin, Xiaodong**35-42 On probability distributions of present values in life insurance***by*Hesselager, Ole & Norberg, Ragnar**43-57 UMVUE of the IBNR reserve in a lognormal linear regression model***by*Doray, Louis G.**59-71 Stability of pension systems when gains/losses are amortized and rates of return are autoregressive***by*Gerrard, R. & Haberman, S.**73-79 Statistical tests of stochastic process models used in the financial theory of insurance companies***by*Brockett, Patrick L. & Witt, Robert C. & Golany, Boaz & Sipra, Naim & Xia, Xiaohua**81-85 The compound Poisson approximation for a portfolio of dependent risks***by*Goovaerts, M. J. & Dhaene, J.

### 1996, Volume 17, Issue 3

**203-214 Harmonic analysis of pension funding methods***by*Mandl, Petr & Mazurova, Lucie**215-222 Orderings of risks: A comparative study via stop-loss transforms***by*Muller, Alfred**223-224 A unification of some order relations***by*Hesselager, Ole

### 1995, Volume 17, Issue 2

**101-118 A theory of risk, return and solvency***by*Powers, Michael R.**119-123 Deductible insurance and production***by*Machnes, Yaffa**125-132 A reappraisal of the principle underlying the conventional actuarial estimator of qx***by*Puzey, Anthony S.**133-147 Optimal per claim deductibility in insurance with the possibility of risky investments***by*Paulsen, Jostein**149-161 Estimating the adjustment coefficient in an ARMA(p, q) risk model***by*Christ, Ralf & Steinebach, Josef**163-169 Long-term returns in stochastic interest rate models***by*Deelstra, G. & Delbaen, F.**171-180 Differential equations for moments of present values in life insurance***by*Norberg, Ragnar**181-192 A counting process approach to stochastic interest***by*Moller, Christian Max**193-201 Ordering claim size distributions and mixed Poisson probabilities***by*Kaas, R. & Hesselager, O.

### 1995, Volume 17, Issue 1

**1-17 On the graduations associated with a multiple state model for permanent health insurance***by*Renshaw, A. E. & Haberman, S.**19-34 Allocation of solvency cost in group annuities: Actuarial principles and cooperative game theory***by*Alegre, Antoni & Claramunt, M. Merce**35-41 On two-sided compound binomial distributions***by*Shaun, Wang**43-54 Insurance pricing and increased limits ratemaking by proportional hazards transforms***by*Shaun, Wang

### 1995, Volume 16, Issue 3

**211-224 A second order stochastic differential equation for the force of interest***by*Parker, Gary**225-253 Equity-linked life insurance: A model with stochastic interest rates***by*Aase Nielsen, J. & Sandmann, Klaus**255-260 Quadratic distance estimators for the zeta family***by*Doray, Louis G. & Luong, Andrew

### 1995, Volume 16, Issue 2

**107-127 A family of discrete distributions***by*Ambagaspitiya, R. S.**129-134 Order relations for some distributions***by*Hesselager, Ole**135-149 Cramer-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion***by*Schmidli, H.**151-159 Predictive stop-loss premiums and Student's t-distribution***by*Hurlimann, Werner

### 1995, Volume 16, Issue 1

**1-6 Loss robustness via Fisher-weighted squared-error loss function***by*Makov, Udi E.**7-22 Ruin estimates under interest force***by*Sundt, Bjorn & Teugels, Jozef L.**23-30 On the preservation of some orderings of risks under convolution***by*Pellerey, Franco**31-38 Recursions for the individual model***by*Dhaene, Jan & Vandebroek, Martina**39-62 Actuarial models for pricing disability benefits: Towards a unifying approach***by*Pitacco, Ermanno**63-68 Corporate spin-offs as a value enhancing technique when faced with legal liability***by*MacMinn, Richard D. & Brockett, Patrick L.**69-77 A stochastic population model for high demand CCRCs***by*Jones, Bruce L.**79-105 Explicit analytic ruin probabilities for bounded claims***by*De Vylder, F. & Marceau, E.

### 1994, Volume 15, Issue 2-3

**121-126 From perpetual strangles to Russian options***by*Gerber, Hans U. & Shiu, Elias S. W.**127-132 Some alternatives for the individual model***by*Kaas, R. & Gerber, H. U.**133-138 Which stochastic model is underlying the chain ladder method?***by*Mack, Thomas**139-149 Longest runs in coin tossing***by*Binswanger, K. & Embrechts, P.**151-162 Dynamic approaches to pension funding***by*Haberman, Steven & Sung, Joo-Ho