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Content
2024, Volume 119, Issue C
- 1-16 A buy-hold-sell pension saving strategy
by Khemka, Gaurav & Steffensen, Mogens & Warren, Geoffrey J.
- 17-31 A life insurance model with asymmetric time preferences
by Alderborn, Joakim
- 32-47 Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach
by Mourdoukoutas, Fotios & Boonen, Tim J. & Koo, Bonsoo & Pantelous, Athanasios A.
- 48-63 Value-enhancing modeling of surrenders and lapses
by Huang, Hsiao-Tzu & Hwang, Yawen & Chan, Linus Fang-Shu & Tsai, Chenghsien Jason
- 64-92 Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation
by Jiang, Haoran & Zhang, Zhehao & Zhu, Xiaojun
- 93-105 Blended insurance scheme: A synergistic conventional-index insurance mixture
by Zhang, Jinggong
- 106-118 On the effects of public subsidies for severe and mild dependency on long-term care insurance
by Courbage, Christophe & Oros, Cornel
- 119-129 Spatial copula-based modeling of claim frequency and claim size in third-party car insurance: A Poisson-mixed approach for predictive analysis
by Tadayon, Vahid & Ghanbarzadeh, Mitra
- 130-145 Multinomial backtesting of distortion risk measures
by Bettels, Sören & Kim, Sojung & Weber, Stefan
- 146-156 Uniqueness of equilibrium with survival probability heterogeneity and endogenous annuity price
by Lau, Sau-Him Paul & Ying, Yinan & Zhang, Qilin
- 157-178 A unified theory of decentralized insurance
by Feng, Runhuan & Liu, Ming & Zhang, Ning
- 179-193 Valuation of guaranteed lifelong withdrawal benefit with the long-term care option
by Yang, Yang & Chen, Shaoying & Cui, Zhenyu & Zhang, Zhimin
- 194-209 Optimal insurance design under asymmetric Nash bargaining
by Chi, Yichun & Hu, Tao & Zhao, Zhengtang & Zheng, Jiakun
- 210-225 Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models
by Mata López, Dante & Noba, Kei & Pérez, José-Luis & Yamazaki, Kazutoshi
- 226-237 A two-layer stochastic game approach to reinsurance contracting and competition
by Liang, Zongxia & Xia, Yi & Zou, Bin
- 238-250 Egalitarian pooling and sharing of longevity risk a.k.a. can an administrator help skin the tontine cat?
by Dhaene, Jan & Milevsky, Moshe A.
- 251-260 Bivariate Tail Conditional Co-Expectation for elliptical distributions
by Cerqueti, Roy & Palestini, Arsen
- 261-267 A new characterization of second-order stochastic dominance
by Guan, Yuanying & Huang, Muqiao & Wang, Ruodu
- 268-297 Pension funds with longevity risk: an optimal portfolio insurance approach
by Di Giacinto, Marina & Mancinelli, Daniele & Marino, Mario & Oliva, Immacolata
2024, Volume 118, Issue C
- 1-24 Optimal insurance with mean-deviation measures
by Boonen, Tim J. & Han, Xia
- 25-43 Effective experience rating for large insurance portfolios via surrogate modeling
by Calcetero Vanegas, Sebastián & Badescu, Andrei L. & Lin, X. Sheldon
- 44-58 An excursion theoretic approach to Parisian ruin problem
by Li, Bo & Zhou, Xiaowen
- 59-71 Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet
by Harcourt, Darcy & Daglish, Toby & Ulm, Eric R.
- 72-94 Benefit volatility-targeting strategies in lifetime pension pools
by Bégin, Jean-François & Sanders, Barbara
- 95-103 Comparing and quantifying tail dependence
by Siburg, Karl Friedrich & Strothmann, Christopher & Weiß, Gregor
- 104-122 Stochastic orders and distortion risk contribution ratio measures
by Zhang, Yiying
- 123-128 Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments
by Denuit, Michel & Trufin, Julien
- 129-141 Are reference measures of law-invariant functionals unique?
by Liebrich, Felix-Benedikt
- 142-156 Probabilistic approach to risk processes with level-dependent premium rate
by Denisov, Denis & Gotthardt, Niklas & Korshunov, Dmitry & Wachtel, Vitali
- 157-174 Correlation aversion and bivariate stochastic dominance with respect to reference functions
by Li, Jingyuan & Wang, Jianli & Zhou, Lin
- 175-194 Precautionary risk-reduction and saving decisions: Two sides of the same coin?
by Peter, Richard & Hofmann, Annette
- 195-222 Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity
by Wang, Tao & Chen, Zhiping
2024, Volume 117, Issue C
- 1-15 Optimal investment-disinvestment choices in health-dependent variable annuity
by D'Amico, Guglielmo & Singh, Shakti & Selvamuthu, Dharmaraja
- 16-44 Optimal control under uncertainty: Application to the issue of CAT bonds
by Baradel, Nicolas
- 45-66 A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data
by Li, Zhengxiao & Wang, Fei & Zhao, Zhengtang
- 67-98 Robust asset-liability management games for n players under multivariate stochastic covariance models
by Wang, Ning & Zhang, Yumo
- 99-113 An analysis of precautionary behavior in retirement decision making with an application to pension system reform
by Magnani, Marco
- 114-129 On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
by Chen, An & Stadje, Mitja & Zhang, Fangyuan
- 130-139 Testing for auto-calibration with Lorenz and Concentration curves
by Denuit, Michel & Huyghe, Julie & Trufin, Julien & Verdebout, Thomas
- 140-153 Law-invariant return and star-shaped risk measures
by Laeven, Roger J.A. & Rosazza Gianin, Emanuela & Zullino, Marco
- 154-169 Coping with longevity via hedging: Fair dynamic valuation of variable annuities
by Chen, Ze & Feng, Runhuan & Li, Hong & Yang, Tianyu
- 170-181 Star-shaped acceptability indexes
by Righi, Marcelo Brutti
- 182-195 Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm
by Bae, Taehan & Miljkovic, Tatjana
2024, Volume 116, Issue C
- 1-26 A Hawkes model with CARMA(p,q) intensity
by Mercuri, Lorenzo & Perchiazzo, Andrea & Rroji, Edit
- 27-43 Scenario selection with LASSO regression for the valuation of variable annuity portfolios
by Nguyen, Hang & Sherris, Michael & Villegas, Andrés M. & Ziveyi, Jonathan
- 44-50 Inter-order relations between equivalence for Lp-quantiles of the Student's t distribution
by Bignozzi, Valeria & Merlo, Luca & Petrella, Lea
- 51-73 Random distortion risk measures
by Zang, Xin & Jiang, Fan & Xia, Chenxi & Yang, Jingping
- 74-94 Can price collars increase insurance loss coverage?
by Chatterjee, Indradeb & Hao, MingJie & Tapadar, Pradip & Thomas, R. Guy
- 95-113 A Dirichlet process mixture regression model for the analysis of competing risk events
by Ungolo, Francesco & van den Heuvel, Edwin R.
- 114-133 Quantile mortality modelling of multiple populations via neural networks
by Corsaro, Stefania & Marino, Zelda & Scognamiglio, Salvatore
- 134-147 Risk quantization by magnitude and propensity
by Faugeras, Olivier P. & Pagès, Gilles
- 148-164 Optimal payout strategies when Bruno de Finetti meets model uncertainty
by Feng, Yang & Siu, Tak Kuen & Zhu, Jinxia
- 165-188 Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools
by Kabuche, Doreen & Sherris, Michael & Villegas, Andrés M. & Ziveyi, Jonathan
- 189-201 Stackelberg equilibria with multiple policyholders
by Ghossoub, Mario & Zhu, Michael B.
- 202-217 A mean field game approach to optimal investment and risk control for competitive insurers
by Bo, Lijun & Wang, Shihua & Zhou, Chao
- 218-234 Tail mean-variance portfolio selection with estimation risk
by Huang, Zhenzhen & Wei, Pengyu & Weng, Chengguo
- 235-248 Worst-case risk with unspecified risk preferences
by Liu, Haiyan
2024, Volume 115, Issue C
- 1-12 Adjusted higher-order expected shortfall
by Zou, Zhenfeng & Hu, Taizhong
- 13-21 Tweedie multivariate semi-parametric credibility with the exchangeable correlation
by Jeong, Himchan
- 22-35 Probability equivalent level for CoVaR and VaR
by Ortega-Jiménez, Patricia & Pellerey, Franco & Sordo, Miguel A. & Suárez-Llorens, Alfonso
- 36-61 Bowley solution under the reinsurer's default risk
by Chen, Yanhong & Cheung, Ka Chun & Zhang, Yiying
- 62-82 Variance insurance contracts
by Chi, Yichun & Zhou, Xun Yu & Zhuang, Sheng Chao
- 83-121 Bootstrap consistency for the Mack bootstrap
by Steinmetz, Julia & Jentsch, Carsten
- 122-131 Pricing guaranteed annuity options in a linear-rational Wishart mortality model
by Da Fonseca, José
- 132-150 Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
by Huang, Zhenzhen & Kwok, Yue Kuen & Xu, Ziqing
- 151-168 Moral hazard in loss reduction and state-dependent utility
by Seog, S. Hun & Hong, Jimin
2024, Volume 114, Issue C
- 1-14 Risk-neutral valuation of GLWB riders in variable annuities
by Bacinello, Anna Rita & Maggistro, Rosario & Zoccolan, Ivan
- 15-28 Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
by Günther, Sascha & Hieber, Peter
- 29-42 Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm
by Gao, Guangyuan
- 43-55 Asymptotic results on tail moment for light-tailed risks
by Wang, Bingjie & Li, Jinzhu
- 56-78 Stressing dynamic loss models
by Kroell, Emma & Pesenti, Silvana M. & Jaimungal, Sebastian
- 79-107 Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
by Yang, Yang & Wang, Guojing & Yao, Jing
- 108-131 Bayesian CART models for insurance claims frequency
by Zhang, Yaojun & Ji, Lanpeng & Aivaliotis, Georgios & Taylor, Charles
- 132-155 A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment
by Kizaki, Keisuke & Saito, Taiga & Takahashi, Akihiko
- 156-175 Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates
by Zhao, Chaoyi & Jia, Zijian & Wu, Lan
- 176-191 Optimal annuitization and asset allocation under linear habit formation
by Guan, Guohui & Liang, Zongxia & Ma, Xingjian
- 192-211 Optimal investment in defined contribution pension schemes with forward utility preferences
by Ng, Kenneth Tsz Hin & Chong, Wing Fung
- 212-222 A family of variability measures based on the cumulative residual entropy and distortion functions
by Psarrakos, Georgios & Toomaj, Abdolsaeed & Vliora, Polyxeni
- 223-241 On the factors determining the health profiles and care needs of institutionalized elders
by Shemendyuk, Aleksandr & Wagner, Joël
- 242-251 Longevity hedge effectiveness using socioeconomic indices
by Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai
2023, Volume 113, Issue C
- 1-23 Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach
by Qiu, Ming & Jin, Zhuo & Li, Shuanming
- 1-23 Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach
by Qiu, Ming & Jin, Zhuo & Li, Shuanming
- 24-49 Equilibria and efficiency in a reinsurance market
by Zhu, Michael B. & Ghossoub, Mario & Boonen, Tim J.
- 24-49 Equilibria and efficiency in a reinsurance market
by Zhu, Michael B. & Ghossoub, Mario & Boonen, Tim J.
- 50-69 Aggregate Markov models in life insurance: Properties and valuation
by Ahmad, Jamaal & Bladt, Mogens & Furrer, Christian
- 50-69 Aggregate Markov models in life insurance: Properties and valuation
by Ahmad, Jamaal & Bladt, Mogens & Furrer, Christian
- 70-95 Optimal investment, consumption and life insurance purchase with learning about return predictability
by Peng, Xingchun & Li, Baihui
- 70-95 Optimal investment, consumption and life insurance purchase with learning about return predictability
by Peng, Xingchun & Li, Baihui
- 96-121 Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach
by Li, Johnny Siu-Hang & Liu, Yanxin & Chan, Wai-Sum
- 96-121 Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach
by Li, Johnny Siu-Hang & Liu, Yanxin & Chan, Wai-Sum
- 122-139 Joint life care annuities to help retired couples to finance the cost of long-term care
by Ventura-Marco, Manuel & Vidal-Meliá, Carlos & Pérez-Salamero González, Juan Manuel
- 122-139 Joint life care annuities to help retired couples to finance the cost of long-term care
by Ventura-Marco, Manuel & Vidal-Meliá, Carlos & Pérez-Salamero González, Juan Manuel
- 140-160 Intergenerational sharing of unhedgeable inflation risk
by Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & van Wijnbergen, Sweder J.G.
- 140-160 Intergenerational sharing of unhedgeable inflation risk
by Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & van Wijnbergen, Sweder J.G.
- 161-184 Intergenerational actuarial fairness when longevity increases: Amending the retirement age
by Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward
- 161-184 Intergenerational actuarial fairness when longevity increases: Amending the retirement age
by Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward
- 185-197 Diversification quotients based on VaR and ES
by Han, Xia & Lin, Liyuan & Wang, Ruodu
- 185-197 Diversification quotients based on VaR and ES
by Han, Xia & Lin, Liyuan & Wang, Ruodu
- 199-214 Multi-constrained optimal reinsurance model from the duality perspectives
by Cheung, Ka Chun & He, Wanting & Wang, He
- 199-214 Multi-constrained optimal reinsurance model from the duality perspectives
by Cheung, Ka Chun & He, Wanting & Wang, He
- 215-232 Bivariate distribution regression with application to insurance data
by Wang, Yunyun & Oka, Tatsushi & Zhu, Dan
- 215-232 Bivariate distribution regression with application to insurance data
by Wang, Yunyun & Oka, Tatsushi & Zhu, Dan
- 233-250 European option pricing with market frictions, regime switches and model uncertainty
by Siu, Tak Kuen
- 233-250 European option pricing with market frictions, regime switches and model uncertainty
by Siu, Tak Kuen
- 251-273 Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
by Wang, Ning & Zhang, Yumo
- 251-273 Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
by Wang, Ning & Zhang, Yumo
- 274-292 Optimal risk management with reinsurance and its counterparty risk hedging
by Chi, Yichun & Hu, Tao & Huang, Yuxia
- 274-292 Optimal risk management with reinsurance and its counterparty risk hedging
by Chi, Yichun & Hu, Tao & Huang, Yuxia
- 293-309 Two-phase selection of representative contracts for valuation of large variable annuity portfolios
by Jiang, Ruihong & Saunders, David & Weng, Chengguo
- 293-309 Two-phase selection of representative contracts for valuation of large variable annuity portfolios
by Jiang, Ruihong & Saunders, David & Weng, Chengguo
- 310-325 Diagnostic tests before modeling longitudinal actuarial data
by Li, Yinhuan & Fung, Tsz Chai & Peng, Liang & Qian, Linyi
- 310-325 Diagnostic tests before modeling longitudinal actuarial data
by Li, Yinhuan & Fung, Tsz Chai & Peng, Liang & Qian, Linyi
2023, Volume 112, Issue C
- 1-22 The Cramér-Lundberg model with a fluctuating number of clients
by Braunsteins, Peter & Mandjes, Michel
- 23-32 Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
by Denuit, Michel & Robert, Christian Y.
- 33-47 Multiple per-claim reinsurance based on maximizing the Lundberg exponent
by Meng, Hui & Wei, Li & Zhou, Ming
- 48-58 Optimal retirement savings over the life cycle: A deterministic analysis in closed form
by Fischer, Marcel & Jensen, Bjarne Astrup & Koch, Marlene
- 59-79 Optimal insurance design under mean-variance preference with narrow framing
by Liang, Xiaoqing & Jiang, Wenjun & Zhang, Yiying
- 80-96 Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin
by Liang, Xiaoqing & Young, Virginia R.
- 97-109 A note on portfolios of averages of lognormal variables
by Boyle, Phelim & Jiang, Ruihong
- 120-141 Asymptotics for a time-dependent by-claim model with dependent subexponential claims
by Yuan, Meng & Lu, Dawei
- 142-167 Valuation of general GMWB annuities in a low interest rate environment
by Fontana, Claudio & Rotondi, Francesco
2023, Volume 111, Issue C
- 1-22 Robust claim frequency modeling through phase-type mixture-of-experts regression
by Bladt, Martin & Yslas, Jorge
- 23-40 Comparing utility derivative premia under additive and multiplicative risks
by Heinzel, Christoph
- 41-56 Multiple-prior valuation of cash flows subject to capital requirements
by Engsner, Hampus & Lindskog, Filip & Thøgersen, Julie
- 57-83 Dynamic asset-liability management with frictions
by Yan, Tingjin & Han, Jinhui & Ma, Guiyuan & Siu, Chi Chung
- 84-101 Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
by Cheung, Eric C.K. & Zhu, Wei
- 102-120 Risk aggregation with FGM copulas
by Blier-Wong, Christopher & Cossette, Hélène & Marceau, Etienne
- 121-141 Insuring longevity risk and long-term care: Bequest, housing and liquidity
by Xu, Mengyi & Alonso-García, Jennifer & Sherris, Michael & Shao, Adam W.
- 142-162 Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
by Chen, Yu & Ma, Mengyuan & Sun, Hongfang
- 163-172 Assessing the difference between integrated quantiles and integrated cumulative distribution functions
by Wei, Yunran & Zitikis, Ričardas
- 173-192 Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
by Mao, Tiantian & Stupfler, Gilles & Yang, Fan
- 193-213 Cause-of-death mortality forecasting using adaptive penalized tensor decompositions
by Zhang, Xuanming & Huang, Fei & Hui, Francis K.C. & Haberman, Steven
- 214-229 Actuarial fairness and social welfare in mixed-cohort tontines
by Chen, An & Rach, Manuel
- 230-241 On potential information asymmetries in long-term care insurance: A simulation study using data from Switzerland
by Ugarte Montero, Andrey & Wagner, Joël
- 242-256 Parametric expectile regression and its application for premium calculation
by Gao, Suhao & Yu, Zhen
- 257-278 On the area in the red of Lévy risk processes and related quantities
by Lkabous, Mohamed Amine & Wang, Zijia
- 279-287 Pairwise counter-monotonicity
by Lauzier, Jean-Gabriel & Lin, Liyuan & Wang, Ruodu
2023, Volume 110, Issue C
- 1-30 Robust retirement and life insurance with inflation risk and model ambiguity
by Park, Kyunghyun & Wong, Hoi Ying & Yan, Tingjin
- 31-52 Optimal entry decision of unemployment insurance under partial information
by Xing, Jie & Ma, Jingtang & Yang, Wensheng
- 53-71 Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach
by Lautier, Jackson P. & Pozdnyakov, Vladimir & Yan, Jun
- 72-81 Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
by Nguyen, Duy Phat & Borovkov, Konstantin
- 82-105 Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
by Mi, Hui & Xu, Zuo Quan
- 106-124 Empirical tail risk management with model-based annealing random search
by Fan, Qi & Tan, Ken Seng & Zhang, Jinggong
2023, Volume 109, Issue C
- 1-28 The Gerber-Shiu discounted penalty function: A review from practical perspectives
by He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi
- 29-51 Dependence modeling of frequency-severity of insurance claims using waiting time
by Gao, Guangyuan & Li, Jiahong
- 52-68 Managing reputational risk in the decumulation phase of a pension fund
by Boado-Penas, M. Carmen & Brinker, Leonie V. & Eisenberg, Julia & Korn, Ralf
- 69-93 Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions
by Liu, Wenyue & Cadenillas, Abel
- 94-112 Deep quantile and deep composite triplet regression
by Fissler, Tobias & Merz, Michael & Wüthrich, Mario V.
2023, Volume 108, Issue C
- 1-24 Two-stage nested simulation of tail risk measurement: A likelihood ratio approach
by Dang, Ou & Feng, Mingbin & Hardy, Mary R.
- 25-45 Optimal consumption and life insurance under shortfall aversion and a drawdown constraint
by Li, Xun & Yu, Xiang & Zhang, Qinyi
- 46-59 From risk reduction to risk elimination by conditional mean risk sharing of independent losses
by Denuit, Michel & Robert, Christian Y.
- 60-83 Portfolio choice with illiquid asset for a loss-averse pension fund investor
by Chen, Zheng & Li, Zhongfei & Zeng, Yan
- 84-106 Pricing extreme mortality risk in the wake of the COVID-19 pandemic
by Li, Han & Liu, Haibo & Tang, Qihe & Yuan, Zhongyi
- 107-128 Probability equivalent level of Value at Risk and higher-order Expected Shortfalls
by Barczy, Mátyás & K. Nedényi, Fanni & Sütő, László
- 129-155 Optimal investment and consumption strategies for pooled annuity with partial information
by Xie, Lin & Chen, Lv & Qian, Linyi & Li, Danping & Yang, Zhixin
- 156-164 Inf-convolution and optimal allocations for mixed-VaRs
by Xia, Zichao & Zou, Zhenfeng & Hu, Taizhong
- 165-176 A new stochastic dominance criterion for dependent random variables with applications
by Belzunce, Félix & Martínez-Riquelme, Carolina
- 177-189 Nonparametric density estimation and risk quantification from tabulated sample moments
by Lambert, Philippe
2022, Volume 107, Issue C
- 1-21 Copula-based inference for bivariate survival data with left truncation and dependent censoring
by Deresa, N.W. & Van Keilegom, I. & Antonio, K.
- 22-37 Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
by Hanbali, Hamza & Dhaene, Jan & Linders, Daniël
- 38-56 Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
by Li, Jinzhu
- 57-67 BERT-based NLP techniques for classification and severity modeling in basic warranty data study
by Xu, Shuzhe & Zhang, Chuanlong & Hong, Don
- 68-87 Mortality modeling and regression with matrix distributions
by Albrecher, Hansjörg & Bladt, Martin & Bladt, Mogens & Yslas, Jorge
- 88-101 Cyber-contagion model with network structure applied to insurance
by Hillairet, Caroline & Lopez, Olivier & d'Oultremont, Louise & Spoorenberg, Brieuc
- 102-122 Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
by Goegebeur, Yuri & Guillou, Armelle & Pedersen, Tine & Qin, Jing
- 123-139 Basis risk management and randomly scaled uncertainty
by Mercè Claramunt, M. & Lefèvre, Claude & Loisel, Stéphane & Montesinos, Pierre
- 140-160 The Parisian and ultimate drawdowns of Lévy insurance models
by Li, Shu & Zhou, Xiaowen
- 161-179 Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns
by Gao, Lisa & Shi, Peng
- 180-198 Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models
by Fung, Tsz Chai
- 199-222 Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants
by Gribkova, N.V. & Su, J. & Zitikis, R.
- 223-268 Asymptotic theory for Mack's model
by Steinmetz, Julia & Jentsch, Carsten
- 269-287 Multivariate claim processes with rough intensities: Properties and estimation
by Hainaut, Donatien
- 288-306 Extension of as-if-Markov modeling to scaled payments
by Christiansen, Marcus C. & Furrer, Christian
- 307-325 Pareto-optimal reinsurance under individual risk constraints
by Ghossoub, Mario & Jiang, Wenjun & Ren, Jiandong
- 326-348 Irreversible reinsurance: A singular control approach
by Yan, Tingjin & Park, Kyunghyun & Wong, Hoi Ying
- 349-360 Ratemaking territories and adverse selection for flood insurance
by Boudreault, Mathieu & Ojeda, Angelica
- 361-378 Bilateral risk sharing in a comonotone market with rank-dependent utilities
by Boonen, Tim J. & Jiang, Wenjun
- 379-392 Frequency-severity experience rating based on latent Markovian risk profiles
by Verschuren, Robert Matthijs
- 393-417 Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk
by Liu, Haiyan & Mao, Tiantian
2022, Volume 106, Issue C
- 1-12 Earthquake parametric insurance with Bayesian spatial quantile regression
by Pai, Jeffrey & Li, Yunxian & Yang, Aijun & Li, Chenxu
- 13-32 Imbalanced learning for insurance using modified loss functions in tree-based models
by Hu, Changyue & Quan, Zhiyu & Chong, Wing Fung
- 33-45 Frequency and severity estimation of cyber attacks using spatial clustering analysis
by Ma, Boyuan & Chu, Tingjin & Jin, Zhuo
- 46-68 Dynamic optimal adjustment policies of hybrid pension plans
by He, Lin & Liang, Zongxia & Wang, Sheng
- 69-89 Care-dependent tontines
by Chen, An & Chen, Yusha & Xu, Xian
- 90-114 Cyber risk frequency, severity and insurance viability
by Malavasi, Matteo & Peters, Gareth W. & Shevchenko, Pavel V. & Trück, Stefan & Jang, Jiwook & Sofronov, Georgy
- 115-127 Actuarial intelligence in auto insurance: Claim frequency modeling with driving behavior features and improved boosted trees
by Meng, Shengwang & Gao, Yaqian & Huang, Yifan
- 128-145 Stackelberg differential game for insurance under model ambiguity
by Cao, Jingyi & Li, Dongchen & Young, Virginia R. & Zou, Bin
- 146-172 Optimal dividends under Markov-modulated bankruptcy level
by Ferrari, Giorgio & Schuhmann, Patrick & Zhu, Shihao
- 173-192 Avoiding zero probability events when computing Value at Risk contributions
by Koike, Takaaki & Saporito, Yuri & Targino, Rodrigo
- 193-217 Robust equilibrium strategies in a defined benefit pension plan game
by Guan, Guohui & Hu, Jiaqi & Liang, Zongxia
- 218-238 Stochastic mortality dynamics driven by mixed fractional Brownian motion
by Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping
- 239-253 Multi-population modelling and forecasting life-table death counts
by Shang, Han Lin & Haberman, Steven & Xu, Ruofan
- 254-269 Combining multi-asset and intrinsic risk measures
by Laudagé, Christian & Sass, Jörn & Wenzel, Jörg
- 270-284 Parametric measures of variability induced by risk measures
by Bellini, Fabio & Fadina, Tolulope & Wang, Ruodu & Wei, Yunran
- 285-301 Green nested simulation via likelihood ratio: Applications to longevity risk management
by Feng, Ben Mingbin & Li, Johnny Siu-Hang & Zhou, Kenneth Q.
- 302-325 Asymptotic analysis of portfolio diversification
by Cui, Hengxin & Tan, Ken Seng & Yang, Fan & Zhou, Chen
- 326-340 Model mortality rates using property and casualty insurance reserving methods
by Tsai, Cary Chi-Liang & Kim, Seyeon
- 341-363 Modeling pandemic mortality risk and its application to mortality-linked security pricing
by Chen, Fen-Ying & Yang, Sharon S. & Huang, Hong-Chih
- 364-389 Multivariate matrix-exponential affine mixtures and their applications in risk theory
by Cheung, Eric C.K. & Peralta, Oscar & Woo, Jae-Kyung
2022, Volume 105, Issue C
Printed from https://ideas.repec.org/s/eee/insuma.html
