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Content
February 2010, Volume 46, Issue 1
December 2009, Volume 45, Issue 3
- 315-324 Estimating value at risk of portfolio by conditional copula-GARCH method
by Huang, Jen-Jsung & Lee, Kuo-Jung & Liang, Hueimei & Lin, Wei-Fu
- 325-332 Correlation order, merging and diversification
by Dhaene, Jan & Denuit, Michel & Vanduffel, Steven
- 333-336 Comparative higher-degree Ross risk aversion
by Li, Jingyuan
- 337-347 Esscher transforms and consumption-based models
by Badescu, Alex & Elliott, Robert J. & Siu, Tak Kuen
- 348-361 TVaR-based capital allocation with copulas
by Bargès, Mathieu & Cossette, Hélène & Marceau, Étienne
- 362-373 On ruin probability and aggregate claim representations for Pareto claim size distributions
by Albrecher, Hansjörg & Kortschak, Dominik
- 374-381 Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
by Loisel, Stéphane & Mazza, Christian & Rullière, Didier
- 382-392 A perturbed risk model with dependence between premium rates and claim sizes
by Zhou, Ming & Cai, Jun
- 393-404 On stochastic mortality modeling
by Plat, Richard
- 405-409 Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
by Yuan, Haili & Hu, Yijun
- 410-423 Dynamic mortality factor model with conditional heteroskedasticity
by Gao, Quansheng & Hu, Chengjun
- 424-435 Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
by Brazauskas, Vytaras & Kleefeld, Andreas
- 436-448 Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
by van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David
- 449-458 Quantile hedging for guaranteed minimum death benefits
by Wang, Yumin
- 459-465 Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
by Song, Yongsheng & Yan, Jia-An
- 466-469 Comparing tail variabilities of risks by means of the excess wealth order
by Sordo, Miguel A.
- 470-484 Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims
by Chadjiconstantinidis, Stathis & Papaioannou, Apostolos D.
October 2009, Volume 45, Issue 2
- 157-162 Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
by Cao, Yusong & Wan, Nianqing
- 163-172 Insurance claims modulated by a hidden Brownian marked point process
by Elliott, Robert J. & Chen, Zhiping & Duan, Qihong
- 173-179 Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application
by D'Amico, Guglielmo & Guillen, Montserrat & Manca, Raimondo
- 180-187 Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework
by Corradini, M. & Gheno, A.
- 188-194 Approximate basket options valuation for a jump-diffusion model
by Xu, Guoping & Zheng, Harry
- 195-202 On barrier strategy dividends with Parisian implementation delay for classical surplus processes
by Dassios, Angelos & Wu, Shanle
- 203-208 The one-year non-life insurance risk
by Ohlsson, Esbjörn & Lauzeningks, Jan
- 209-223 Estimating copula densities, using model selection techniques
by Kallenberg, Wilbert C.M.
- 224-229 On cross-risk vulnerability
by Malevergne, Y. & Rey, B.
- 230-235 Urban public pension, replacement rates and population growth rate in China
by Yang, Zaigui
- 236-241 Neural networks approach for determining total claim amounts in insurance
by Dalkilic, Turkan Erbay & Tank, Fatih & Kula, Kamile Sanli
- 242-246 The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure
by Renaud, Jean-François
- 247-254 The net Bayes premium with dependence between the risk profiles
by Hernández-Bastida, A. & Fernández-Sánchez, M.P. & Gómez-Déniz, E.
- 255-270 On age-period-cohort parametric mortality rate projections
by Haberman, Steven & Renshaw, Arthur
- 271-277 Loss reserving using loss aversion functions
by Choo, Weihao & de Jong, Piet
- 278-285 Explaining functional principal component analysis to actuarial science with an example on vehicle insurance
by Segovia-Gonzalez, M.M. & Guerrero, F.M. & Herranz, P.
- 286-295 Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
by Costabile, Massimo & Gaudenzi, Marcellino & Massabò, Ivar & Zanette, Antonino
- 296-304 Using quantile regression for rate-making
by Kudryavtsev, Andrey A.
- 305-314 On the total operating costs up to default in a renewal risk model
by Feng, Runhuan
August 2009, Volume 45, Issue 1
- 1-8 Semiparametric model for prediction of individual claim loss reserving
by Zhao, Xiao Bing & Zhou, Xian & Wang, Jing Long
- 9-18 Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
by Gao, Jianwei
- 19-24 A Markov-modulated model for stocks paying discrete dividends
by Sakkas, E. & Le, H.
- 25-34 Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints
by Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph
- 35-40 Upper comonotonicity
by Cheung, Ka Chun
- 41-48 An optimal dividends problem with transaction costs for spectrally negative Lévy processes
by Loeffen, R.L.
- 49-58 Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
by Necir, Abdelhakim & Meraghni, Djamel
- 59-64 A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts
by Cerqueti, Roy & Foschi, Rachele & Spizzichino, Fabio
- 65-73 The valuation of contingent capital with catastrophe risks
by Lin, Shih-Kuei & Chang, Chia-Chien & Powers, Michael R.
- 74-80 Sample path large and moderate deviations for risk model with delayed claims
by Gao, Fuqing & Yan, Jun
- 81-88 Optimal investment and reinsurance of an insurer with model uncertainty
by Zhang, Xin & Siu, Tak Kuen
- 89-93 Applications of conditional comonotonicity to some optimization problems
by Cheung, Ka Chun
- 94-112 What is the impact of stock market contagion on an investor's portfolio choice?
by Branger, Nicole & Kraft, Holger & Meinerding, Christoph
- 113-122 Minimum standards for investment performance: A new perspective on non-life insurer solvency
by Eling, Martin & Gatzert, Nadine & Schmeiser, Hato
- 123-132 Stochastic portfolio specific mortality and the quantification of mortality basis risk
by Plat, Richard
- 133-138 Ruin probability in the presence of interest earnings and tax payments
by Wei, Li
- 139-147 A class of multivariate copulas with bivariate Frechet marginal copulas
by Yang, Jingping & Qi, Yongcheng & Wang, Ruodu
- 148-155 Continuous-time mean-variance portfolio selection with liability and regime switching
by Xie, Shuxiang
June 2009, Volume 44, Issue 3
- 325-336 [Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
by Sadefo Kamdem, J.
- 337-344 A jump-diffusion model for option pricing under fuzzy environments
by Xu, Weidong & Wu, Chongfeng & Xu, Weijun & Li, Hongyi
- 345-356 Univariate and bivariate GPD methods for predicting extreme wind storm losses
by Brodin, Erik & Rootzén, Holger
- 357-366 A capital allocation based on a solvency exchange option
by Kim, Joseph H.T. & Hardy, Mary R.
- 367-373 A claims persistence process and insurance
by Vallois, Pierre & Tapiero, Charles S.
- 374-384 Optimal reinsurance with general risk measures
by Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio
- 385-397 Bounds and approximations for sums of dependent log-elliptical random variables
by Valdez, Emiliano A. & Dhaene, Jan & Maj, Mateusz & Vanduffel, Steven
- 398-408 Decomposition of a Schur-constant model and its applications
by Chi, Yichun & Yang, Jingping & Qi, Yongcheng
- 409-414 Optimal allocation of policy limits and deductibles under distortion risk measures
by Zhuang, Weiwei & Chen, Zijin & Hu, Taizhong
- 415-425 Global loss diversification in the insurance sector
by Sheremet, Oleg & Lucas, André
- 426-433 Optimal risk sharing with different reference probabilities
by Acciaio, Beatrice & Svindland, Gregor
- 434-446 Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
by Gerstner, Thomas & Griebel, Michael & Holtz, Markus
- 447-458 Minimizing the lifetime shortfall or shortfall at death
by Bayraktar, Erhan & Young, Virginia R.
- 459-463 Long time behaviour of stochastic interest rate models
by Zhao, Juan
- 464-472 Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
by Ambagaspitiya, Rohana S.
- 473-478 Optimal proportional reinsurance and investment with transaction costs, I: Maximizing the terminal wealth
by Zhang, Xin-Li & Zhang, Ke-Cun & Yu, Xing-Jiang
- 479-490 Optimal portfolios for DC pension plans under a CEV model
by Gao, Jianwei
- 491-496 Survival probability for a two-dimensional risk model
by Dang, Lanfen & Zhu, Ning & Zhang, Haiming
- 497-504 Computing the mean and the variance of the cedent's share for largest claims reinsurance covers
by Hess, Christian
- 505-510 Adverse selection or advantageous selection? Risk and underwriting in China's health-insurance market
by Gao, Feng & Powers, Michael R. & Wang, Jun
April 2009, Volume 44, Issue 2
- 143-145 Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance
by Genest, Christian & Gerber, Hans U. & Goovaerts, Marc J. & Laeven, Roger J.A.
- 146-158 Worst VaR scenarios with given marginals and measures of association
by Kaas, Rob & Laeven, Roger J.A. & Nelsen, Roger B.
- 159-163 Worst VaR scenarios: A remark
by Laeven, Roger J.A.
- 164-169 Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness
by Embrechts, Paul & Neslehová, Johanna & Wüthrich, Mario V.
- 170-181 Estimating copula densities through wavelets
by Genest, Christian & Masiello, Esterina & Tribouley, Karine
- 182-198 Pair-copula constructions of multiple dependence
by Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik
- 199-213 Goodness-of-fit tests for copulas: A review and a power study
by Genest, Christian & Rémillard, Bruno & Beaudoin, David
- 214-228 Multivariate probit models for conditional claim-types
by Young, Gary & Valdez, Emiliano A. & Kohn, Robert
- 229-244 Modelling dynamic portfolio risk using risk drivers of elliptical processes
by Schmidt, Rafael & Schmieder, Christian
- 245-259 On the discrete-time compound renewal risk model with dependence
by Marceau, Etienne
- 261-263 Editorial
by Kaas, Rob & Loos, Jeroen & Gerber, Hans & Goovaerts, Marc & Shiu, Elias
- 267-267 Editorial
by Goovaerts, Marc & Kaas, Rob & Shiu, Elias
- 268-277 To split or not to split: Capital allocation with convex risk measures
by Tsanakas, Andreas
- 278-286 Further improved recursions for a class of compound Poisson distributions
by Chadjiconstantinidis, Stathis & Pitselis, Georgios
- 287-295 Pricing perpetual American catastrophe put options: A penalty function approach
by Lin, X. Sheldon & Wang, Tao
- 296-303 The Markovian regime-switching risk model with a threshold dividend strategy
by Lu, Yi & Li, Shuanming
- 304-306 The tax identity in risk theory -- a simple proof and an extension
by Albrecher, Hansjörg & Borst, Sem & Boxma, Onno & Resing, Jacques
- 307-314 Fuzzy random variables
by Shapiro, Arnold F.
- 315-324 On a dual model with a dividend threshold
by Ng, Andrew C.Y.
February 2009, Volume 44, Issue 1
- 1-18 Optimal surrender strategies for equity-indexed annuity investors
by Moore, Kristen S.
- 19-25 The credibility premiums for models with dependence induced by common effects
by Wen, Limin & Wu, Xianyi & Zhou, Xian
- 26-34 Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
by Azcue, Pablo & Muler, Nora
- 35-47 Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
by Laurence, Peter & Wang, Tai-Ho
- 48-58 Securitization of motor insurance loss rate risks
by Bae, Taehan & Kim, Changki & Kulperger, Reginald J.
- 59-69 Analytical valuation of catastrophe equity options with negative exponential jumps
by Chang, Lung-fu & Hung, Mao-wei
- 70-77 A new aspect of a risk process and its statistical inference
by Shimizu, Yasutaka
- 78-87 Valuation and hedging of participating life-insurance policies under management discretion
by Kleinow, Torsten
- 88-94 Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
by He, Lin & Liang, Zongxia
- 95-102 Closed-form valuations of basket options using a multivariate normal inverse Gaussian model
by Wu, Yang-Che & Liao, Szu-Lang & Shyu, So-De
- 103-123 A parameterized approach to modeling and forecasting mortality
by Hatzopoulos, P. & Haberman, S.
- 124-134 Analytical approximations for prices of swap rate dependent embedded options in insurance products
by Plat, Richard & Pelsser, Antoon
- 135-141 A priori ratemaking using bivariate Poisson regression models
by Bermúdez i Morata, Lluís
December 2008, Volume 43, Issue 3
- 279-279 Preface
by Tan, Ken Seng & Willmot, Gordon
- 281-294 Dynamic asset liability management with tolerance for limited shortfalls
by Detemple, Jérôme & Rindisbacher, Marcel
- 295-302 Pricing currency options under two-factor Markov-modulated stochastic volatility models
by Siu, Tak Kuen & Yang, Hailiang & Lau, John W.
- 303-315 The design of equity-indexed annuities
by Boyle, Phelim & Tian, Weidong
- 316-326 Simulation of jump diffusions and the pricing of options
by DiCesare, Joe & Mcleish, Don
- 327-338 Computation of optimal portfolios using simulation-based dimension reduction
by Boyle, Phelim & Imai, Junichi & Tan, Ken Seng
- 339-349 Estimation and evaluation of the term structure of credit default swaps: An empirical study
by Chen, Ren-Raw & Cheng, Xiaolin & Liu, Bo
- 350-367 A model of R&D valuation and the design of research incentives
by Hsu, Jason C. & Schwartz, Eduardo S.
- 368-376 Claims reserving: A correlated Bayesian model
by de Alba, Enrique & Nieto-Barajas, Luis E.
- 377-385 Government-provided annuities under insolvency risk
by Huang, Rachel J. & Tsai, Jeffrey T. & Tzeng, Larry Y.
- 386-393 Skewed bivariate models and nonparametric estimation for the CTE risk measure
by Bolance, Catalina & Guillen, Montserrat & Pelican, Elena & Vernic, Raluca
- 394-402 Applications of a multi-state risk factor/mortality model in life insurance
by Kwon, Hyuk-Sung & Jones, Bruce L.
- 403-406 Characterization of comonotonicity using convex order
by Cheung, Ka Chun
- 407-411 Dependence and the asymptotic behavior of large claims reinsurance
by Asimit, Alexandru V. & Jones, Bruce L.
- 412-421 Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
by Biard, Romain & Lefèvre, Claude & Loisel, Stéphane
- 422-430 Pricing catastrophe options in discrete operational time
by Chang, Carolyn W. & Chang, Jack S.K. & Lu, WeiLi
- 431-436 Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
by Jiang, Jun & Tang, Qihe
- 437-443 Determination of risk pricing measures from market prices of risk
by Gzyl, Henryk & Mayoral, Silvia
- 444-455 On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
by Cossette, Hélène & Marceau, Etienne & Marri, Fouad
- 456-465 Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model
by Chen, Ping & Yang, Hailiang & Yin, George
- 466-473 Joint modelling of the total amount and the number of claims by conditionals
by Sarabia, José María & Guillén, Montserrat
- 474-479 Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
by He, Lin & Hou, Ping & Liang, Zongxia
October 2008, Volume 43, Issue 2
- 197-202 Tail bounds for the distribution of the deficit in the renewal risk model
by Psarrakos, Georgios
- 203-208 Edgeworth expansion for an estimator of the adjustment coefficient
by Brito, Margarida & Freitas, Ana Cristina Moreira
- 209-213 On the link between credibility and frequency premium
by Bolancé, Catalina & Guillén, Montserrat & Pinquet, Jean
- 214-222 Pricing of catastrophe insurance options written on a loss index with reestimation
by Biagini, Francesca & Bregman, Yuliya & Meyer-Brandis, Thilo
- 223-226 Asset proportions in optimal portfolios with dependent default risks
by Chen, Zijin & Hu, Taizhong
- 227-233 Optimal dividends with incomplete information in the dual model
by Gerber, Hans U. & Smith, Nathaniel
- 234-244 Modelling stochastic mortality for dependent lives
by Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena
- 245-254 Bayesian modelling of financial guarantee insurance
by Puustelli, Anne & Koskinen, Lasse & Luoma, Arto
- 255-262 Actuarial comparisons for aggregate claims with randomly right-truncated claims
by Escudero, Laureano F. & Ortega, Eva-María
- 263-269 Weighted risk capital allocations
by Furman, Edward & Zitikis, Ricardas
- 270-278 Optimal dividend strategies in a Cramér-Lundberg model with capital injections
by Kulenko, Natalie & Schmidli, Hanspeter
August 2008, Volume 43, Issue 1
- 1-14 The impact of illiquidity on the asset management of insurance companies
by Berry-Stölzle, Thomas R.
- 15-28 Optimal investment and life insurance strategies under minimum and maximum constraints
by Nielsen, Peter Holm & Steffensen, Mogens
- 29-40 Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
by Zaglauer, Katharina & Bauer, Daniel
- 41-55 Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
by Barbarin, Jérôme
- 56-68 Optimal consumption and portfolio choice for pooled annuity funds
by Stamos, Michael Z.
- 69-84 GARCH option pricing: A semiparametric approach
by Badescu, Alexandru M. & Kulperger, Reg J.
- 85-92 Tails of random sums of a heavy-tailed number of light-tailed terms
by Robert, Christian Y. & Segers, Johan
- 93-98 Worst allocations of policy limits and deductibles
by Hua, Lei & Cheung, Ka Chun
- 99-107 On option pricing under a completely random measure via a generalized Esscher transform
by Lau, John W. & Siu, Tak Kuen
- 108-115 Threshold control of mutual insurance with limited commitment
by Yan, Jia & Liu, John J. & Li, Kevin X.
- 116-120 A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
by Hao, Xuemiao & Tang, Qihe
- 121-133 Fitting mixed-effects models when data are left truncated
by Paulsen, Jostein & Lunde, Astrid & Skaug, Hans Julius
- 134-149 Optimal dividend strategies for a risk process under force of interest
by Albrecher, Hansjörg & Thonhauser, Stefan
- 150-157 Enhanced annuities and the impact of individual underwriting on an insurer's profit situation
by Hoermann, Gudrun & Ruß, Jochen
- 158-164 Tail asymptotic results for elliptical distributions
by Hashorva, Enkelejd
- 165-173 The effect of modelling parameters on the value of GMWB guarantees
by Chen, Z. & Vetzal, K. & Forsyth, P.A.
- 174-184 Quadratic stochastic intensity and prospective mortality tables
by Gourieroux, C. & Monfort, A.
- 185-196 Optimal reinsurance under VaR and CTE risk measures
by Cai, Jun & Tan, Ken Seng & Weng, Chengguo & Zhang, Yi
June 2008, Volume 42, Issue 3
- 865-872 Stochastic orders of scalar products with applications
by Hua, Lei & Cheung, Ka Chun
- 873-886 A binomial model for valuing equity-linked policies embedding surrender options
by Costabile, Massimo & Massabó, Ivar & Russo, Emilio
- 887-896 An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
by Kijima, Masaaki & Muromachi, Yukio
- 897-902 A note on the Swiss Solvency Test risk measure
by Filipovic, Damir & Vogelpoth, Nicolas
- 903-908 Using distortions of copulas to price synthetic CDOs
by Crane, Glenis & van der Hoek, John
- 909-919 Valuation of life insurance surrender and exchange options
by Nordahl, Helge A.
- 920-934 Valuation of the interest rate guarantee embedded in defined contribution pension plans
by Yang, Sharon S. & Yueh, Meng-Lan & Tang, Chun-Hua
- 935-942 On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities
by Coulibaly, Ibrahim & Lefèvre, Claude
- 943-953 Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach
by Xie, Shuxiang & Li, Zhongfei & Wang, Shouyang
- 954-961 Optimal dividend and issuance of equity policies in the presence of proportional costs
by Løkka, Arne & Zervos, Mihail
- 962-967 The periodic risk model with investment
by Kötter, Mirko & Bäuerle, Nicole
- 968-975 Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
by Bai, Lihua & Guo, Junyi
- 976-983 Optimal financing and dividend control of the insurance company with proportional reinsurance policy
by He, Lin & Liang, Zongxia
- 984-991 Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
by Yang, Hu & Zhang, Zhimin
- 992-999 Optimal insurance under the insurer's risk constraint
by Zhou, Chunyang & Wu, Chongfeng
- 1000-1012 Pension funds as institutions for intertemporal risk transfer
by Baumann, Roger T. & Müller, Heinz H.
- 1013-1021 Assessing the cost of capital for longevity risk
by Olivieri, Annamaria & Pitacco, Ermanno
- 1022-1027 Tolerance intervals for quantiles of bivariate risks and risk measurement
by Gebizlioglu, Omer L. & Yagci, Banu
- 1028-1034 Characterizations of classes of risk measures by dispersive orders
by Sordo, Miguel A.
- 1035-1049 Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies
by Chen, An
- 1050-1061 Regret aversion and annuity risk in defined contribution pension plans
by Frehen, Rik G.P. & Hoevenaars, Roy P.M.M. & Palm, Franz C. & Schotman, Peter C.
- 1062-1066 Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
by Blake, David & Dowd, Kevin & Cairns, Andrew J.G.
- 1067-1085 Static super-replicating strategies for a class of exotic options
by Chen, X. & Deelstra, G. & Dhaene, J. & Vanmaele, M.
- 1086-1094 On the dual risk model with tax payments
by Albrecher, Hansjörg & Badescu, Andrei & Landriault, David
- 1095-1103 Pricing bivariate option under GARCH processes with time-varying copula
by Zhang, J. & Guégan, D.
- 1104-1108 On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
by Borovkov, Konstantin A. & Dickson, David C.M.
- 1109-1117 Analytic bounds and approximations for annuities and Asian options
by Vanduffel, Steven & Shang, Zhaoning & Henrard, Luc & Dhaene, Jan & Valdez, Emiliano A.
- 1118-1127 Comparison results for exchangeable credit risk portfolios
by Cousin, Areski & Laurent, Jean-Paul
- 1128-1137 A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
by Vandaele, Nele & Vanmaele, Michèle
- 1138-1145 The private value of public pensions
by Petrichev, Konstantin & Thorp, Susan
- 1146-1158 A game theoretic approach to option valuation under Markovian regime-switching models
by Siu, Tak Kuen
- 1159-1164 Stochastic optimal control of DC pension funds
by Gao, Jianwei
April 2008, Volume 42, Issue 2
- 469-472 An application of Kendall distributions and alternative dependence measures: SPX vs. VIX
by Fountain, Robert L. & Herman Jr., John R. & Rustvold, D. Leif
- 473-483 On the construction of copulas and quasi-copulas with given diagonal sections
by Nelsen, Roger B. & Quesada-Molina, José Juan & Rodriguez-Lallena, José Antonio & Úbeda-Flores, Manuel
- 484-491 Error bounds in approximations of random sums using gamma-type operators
by Sangüesa, C.
- 492-504 Estimating the term structure of mortality
by Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E.
- 505-519 Longevity risk in portfolios of pension annuities
by Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E.
- 520-528 Risk measurement in the presence of background risk
by Tsanakas, Andreas