Portfolio optimization in a defined benefit pension plan where the risky...
Publication date: Available online 4 July 2018 Source:Insurance: Mathematics and Economics Author(s): Ricardo Josa-Fombellida, Paula López-Casado, Juan Pablo Rincón-Zapatero The paper studies the...
View ArticleBayesian ratemaking with common effects modeled by mixture of Polya tree...
Publication date: Available online 3 July 2018 Source:Insurance: Mathematics and Economics Author(s): Jianjun Zhang, Chunjuan Qiu, Xianyi Wu In classical models for Bayesian ratemaking, claims are...
View ArticleOptimal risk allocation in reinsurance networks
Publication date: Available online 30 June 2018 Source:Insurance: Mathematics and Economics Author(s): Nicole Bäuerle, Alexander Glauner In this paper we consider reinsurance or risk sharing from a...
View ArticleReinsurance versus securitization of catastrophe risk
Publication date: Available online 22 June 2018 Source:Insurance: Mathematics and Economics Author(s): Ajay Subramanian, Jinjing Wang We provide a novel explanation for the low volume of...
View ArticleContinuity inequalities for multidimensional renewal risk models
Publication date: Available online 21 June 2018 Source:Insurance: Mathematics and Economics Author(s): E. Gordienko, P. Vázquez-Ortega In this paper we study the continuity properties of the surplus...
View ArticleThe impact of negative interest rates on optimal capital injections
Publication date: Available online 20 June 2018 Source:Insurance: Mathematics and Economics Author(s): Julia Eisenberg, Paul Krühner In the present paper, we investigate the optimal capital injection...
View ArticleThe average risk sharing problem under risk measure and expected utility theory
Publication date: Available online 20 June 2018 Source:Insurance: Mathematics and Economics Author(s): Tiantian Mao, Jiuyun Hu, Haiyan Liu In this paper, we investigate an average risk sharing...
View ArticleAllowing for time and cross dependence assumptions between claim counts in...
Publication date: Available online 19 June 2018 Source:Insurance: Mathematics and Economics Author(s): Lluís Bermúdez, Montserrat Guillén, Dimitris Karlis For purposes of ratemaking, time dependence...
View ArticleOn fair reinsurance premiums; Capital injections in a perturbed risk model
Publication date: Available online 19 June 2018 Source:Insurance: Mathematics and Economics Author(s): Zied Ben Salah, José Garrido We consider a risk model where deficits after ruin are covered by a...
View ArticleNon-parametric inference of transition probabilities based on Aalen-Johansen...
Publication date: Available online 19 June 2018 Source:Insurance: Mathematics and Economics Author(s): Quentin Guibert, Frédéric Planchet Studying Long Term Care (LTC) insurance requires modeling the...
View ArticleBayesian nonparametric regression models for modeling and predicting...
Publication date: Available online 18 June 2018 Source:Insurance: Mathematics and Economics Author(s): Robert Richardson, Brian Hartman Standard regression models are often insufficient to describe...
View ArticleLLN-type approximations for large portfolio losses
Publication date: Available online 18 June 2018 Source:Insurance: Mathematics and Economics Author(s): Jing Liu, Jinyuan Zhu We are concerned with the loss from defaults of a large portfolio of...
View ArticlePre-commitment and equilibrium investment strategies for the DC pension plan...
Publication date: Available online 15 June 2018 Source:Insurance: Mathematics and Economics Author(s): Lihua Bian, Zhongfei Li, Haixiang Yao This paper studies an optimal investment problem for a...
View ArticleLong-term care models and dependence probability tables by acuity level: New...
Publication date: Available online 2 June 2018 Source:Insurance: Mathematics and Economics Author(s): Michel Fuino, Joël Wagner Due to the demographic changes and population aging occurring in many...
View ArticleBayesian credibility for GLMs
Publication date: Available online 17 May 2018 Source:Insurance: Mathematics and Economics Author(s): Oscar Alberto Quijano Xacur, José Garrido We revisit the classical credibility results of Jewell...
View ArticleEditorial Board
Publication date: May 2018 Source:Insurance: Mathematics and Economics, Volume 80
View ArticleIn memoriam Marc Goovaerts
Publication date: May 2018 Source:Insurance: Mathematics and Economics, Volume 80 Author(s): Rob Kaas, Roger Laeven, Sheldon Lin, Qihe Tang, Gordon Willmot, Hailiang Yang
View ArticleA multivariate tail covariance measure for elliptical distributions
Publication date: Available online 27 April 2018 Source:Insurance: Mathematics and Economics Author(s): Zinoviy Landsman, Udi Makov, Tomer Shushi This paper introduces a multivariate tail covariance...
View ArticleWhich eligible assets are compatible with comonotonic capital requirements?
Publication date: Available online 25 April 2018 Source:Insurance: Mathematics and Economics Author(s): Pablo Koch-Medina, Cosimo Munari, Gregor Svindland Within the context of capital adequacy, we...
View ArticleVIX-linked fees for GMWBs via explicit solution simulation methods
Publication date: Available online 21 April 2018 Source:Insurance: Mathematics and Economics Author(s): Michael A. Kouritzin, Anne MacKay In a market with stochastic volatility and jumps, we consider...
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