Optimal strategies for pay-as-you-go pension finance: A sustainability framework
Publication date: July 2016 Source:Insurance: Mathematics and Economics, Volume 69 Author(s): Humberto Godínez-Olivares, María del Carmen Boado-Penas, Steven Haberman The aim of this paper is to...
View ArticleOptimal investment and risk control for an insurer under inside information
Publication date: July 2016 Source:Insurance: Mathematics and Economics, Volume 69 Author(s): Xingchun Peng, Wenyuan Wang This paper is devoted to the study of the optimal investment and risk control...
View ArticleTail dependence of the Gaussian copula revisited
Publication date: July 2016 Source:Insurance: Mathematics and Economics, Volume 69 Author(s): Edward Furman, Alexey Kuznetsov, Jianxi Su, Ričardas Zitikis Tail dependence refers to clustering of...
View ArticleNonparametric long term prediction of stock returns with generated bond yields
Publication date: July 2016 Source:Insurance: Mathematics and Economics, Volume 69 Author(s): Michael Scholz, Stefan Sperlich, Jens Perch Nielsen Recent empirical approaches in forecasting equity...
View ArticleA multivariate evolutionary credibility model for mortality improvement rates
Publication date: July 2016 Source:Insurance: Mathematics and Economics, Volume 69 Author(s): Edo Schinzinger, Michel M. Denuit, Marcus C. Christiansen The present paper proposes an evolutionary...
View ArticlePricing and hedging basket options with exact moment matching
Publication date: July 2016 Source:Insurance: Mathematics and Economics, Volume 69 Author(s): Arturo Leccadito, Tommaso Paletta, Radu Tunaru Theoretical models applied to option pricing should take...
View ArticleValuing inflation-linked death benefits under a stochastic volatility framework
Publication date: July 2016 Source:Insurance: Mathematics and Economics, Volume 69 Author(s): Zongxia Liang, Wenlong Sheng In this paper we construct a framework to price the inflation-linked...
View ArticleAsymptotic ruin probabilities for a multidimensional renewal risk model with...
Publication date: July 2016 Source:Insurance: Mathematics and Economics, Volume 69 Author(s): Dimitrios G. Konstantinides, Jinzhu Li This paper studies a continuous-time multidimensional risk model...
View ArticleA marked Cox model for the number of IBNR claims: Theory
Publication date: July 2016 Source:Insurance: Mathematics and Economics, Volume 69 Author(s): Andrei L. Badescu, X. Sheldon Lin, Dameng Tang Incurred but not reported (IBNR) loss reserving is an...
View ArticlePension scheme redesign and wealth redistribution between the members and...
Publication date: July 2016 Source:Insurance: Mathematics and Economics, Volume 69 Author(s): Emmanouil Platanakis, Charles Sutcliffe The redesign of defined benefit pension schemes usually results in...
View ArticleNonlinear reserving in life insurance: Aggregation and mean-field approximation
Publication date: July 2016 Source:Insurance: Mathematics and Economics, Volume 69 Author(s): Boualem Djehiche, Björn Löfdahl We suggest a unified approach to claims reserving for life insurance...
View ArticleEditorial Board
Publication date: July 2016 Source:Insurance: Mathematics and Economics, Volume 69
View ArticleA micro-level claim count model with overdispersion and reporting delays
Publication date: Available online 9 July 2016 Source:Insurance: Mathematics and Economics Author(s): Benjamin Avanzi, Bernard Wong, Xinda Yang The accurate estimation of outstanding liabilities of an...
View ArticleA family of premium principles based on mixtures of TVaRs
Publication date: Available online 30 July 2016 Source:Insurance: Mathematics and Economics Author(s): Miguel A. Sordo, Antonia Castaño-Martínez, Gema Pigueiras Risk-adjusted distributions are...
View ArticleSufficient conditions for ordering aggregate heterogeneous random claim amounts
Publication date: Available online 5 August 2016 Source:Insurance: Mathematics and Economics Author(s): Chen Li, Xiaohu Li This note has a revisit to stochastic comparison on aggregate claim amounts....
View ArticleInside the Solvency 2 Black Box: Net Asset Values and Solvency Capital...
Publication date: Available online 8 August 2016 Source:Insurance: Mathematics and Economics Author(s): Anthony Floryszczak, Olivier Le Courtois, Mohamed Majri The calculation of Net Asset Values and...
View ArticleModeling loss data using mixtures of distributions
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Tatjana Miljkovic, Bettina Grün In this paper, we propose an alternative approach for flexible...
View ArticleCredible risk measures with applications in actuarial sciences and finance
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Georgios Pitselis In this paper, we introduce a general framework for obtaining a new type of risk...
View ArticleHedging insurance books
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Peter Carr, Dilip B. Madan, Michael Melamed, Wim Schoutens Complex insurance risks typically have...
View ArticleOn the credibility of insurance claim frequency: Generalized count models and...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Kwadwo Asamoah We analyze the concept of credibility in claim frequency in two generalized count...
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