Insurance loss coverage and demand elasticities
Publication date: Available online 13 December 2017 Source:Insurance: Mathematics and Economics Author(s): MingJie Hao, Angus S. Macdonald, Pradip Tapadar, R. Guy Thomas Restrictions on insurance risk...
View ArticleDistortion measures and homogeneous financial derivatives
Publication date: Available online 15 December 2017 Source:Insurance: Mathematics and Economics Author(s): John A. Major This paper extends the evaluation and allocation of distortion risk measures to...
View ArticleAn IBNR-RBNS insurance risk model with marked Poisson arrivals
Publication date: Available online 21 December 2017 Source:Insurance: Mathematics and Economics Author(s): Soohan Ahn, Andrei L. Badescu, Eric C.K. Cheung, Jeong-Rae Kim Inspired by the claim...
View ArticleExpected utility of the drawdown-based regime-switching risk model with...
Publication date: Available online 21 December 2017 Source:Insurance: Mathematics and Economics Author(s): David Landriault, Bin Li, Shu Li In this paper, we model an entity’s surplus process X using...
View ArticleRuin probability via Quantum Mechanics Approach
Publication date: Available online 24 December 2017 Source:Insurance: Mathematics and Economics Author(s): Muhsin Tamturk, Sergey Utev The finite time ruin probability in the classical surplus process...
View ArticlePricing insurance drawdown-type contracts with underlying Lévy assets
Publication date: Available online 26 December 2017 Source:Insurance: Mathematics and Economics Author(s): Zbigniew Palmowski, Joanna Tumilewicz In this paper we consider some insurance policies...
View ArticleWeighted risk capital allocations in the presence of systematic risk
Publication date: Available online 28 December 2017 Source:Insurance: Mathematics and Economics Author(s): Edward Furman, Alexey Kuznetsov, Ričardas Zitikis Determining aggregate risk capital is a...
View ArticleA time of ruin constrained optimal dividend problem for spectrally one-sided...
Publication date: Available online 1 January 2018 Source:Insurance: Mathematics and Economics Author(s): Camilo Hernández, Mauricio Junca, Harold Moreno-Franco We introduce a longevity feature to the...
View ArticleOptimal surrender of guaranteed minimum maturity benefits under stochastic...
Publication date: Available online 4 January 2018 Source:Insurance: Mathematics and Economics Author(s): Boda Kang, Jonathan Ziveyi In this paper we analyse how the policyholder surrender behaviour is...
View ArticleUsing fuzzy logic to interpret dependent risks
Publication date: Available online 10 January 2018 Source:Insurance: Mathematics and Economics Author(s): Sibel Acik Kemaloglu, Arnold F. Shapiro, Fatih Tank, Aysen Apaydin One reason why an...
View ArticleLife insurance settlement and the monopolistic insurance market
Publication date: Available online 10 January 2018 Source:Insurance: Mathematics and Economics Author(s): Jimin Hong, S. Hun Seog We analyze the effects of life insurance settlement on insurance...
View ArticleAn approximation method for risk aggregations and capital allocation rules...
Publication date: Available online 10 January 2018 Source:Insurance: Mathematics and Economics Author(s): Ming Zhou, Jan Dhaene, Jing Yao This paper proposes the use of convex lower bounds as...
View ArticleStochastic distortion and its transformed copula
Publication date: Available online 16 January 2018 Source:Insurance: Mathematics and Economics Author(s): Feng Lin, Liang Peng, Jiehua Xie, Jingping Yang Motivated by wide applications of distortion...
View ArticleOptimal investment management for a defined contribution pension fund under...
Publication date: Available online 1 February 2018 Source:Insurance: Mathematics and Economics Author(s): Ling Zhang, Hao Zhang, Haixiang Yao This paper investigates an optimal multi-period investment...
View ArticleOptimal investment under VaR-Regulation and Minimum Insurance
Publication date: Available online 1 February 2018 Source:Insurance: Mathematics and Economics Author(s): An Chen, Thai Nguyen, Mitja Stadje We look at an optimal investment problem of a financial...
View ArticleDe-risking strategy: Longevity spread buy-in
Publication date: March 2018 Source:Insurance: Mathematics and Economics, Volume 79 Author(s): Valeria D’Amato, Emilia Di Lorenzo, Steven Haberman, Pretty Sagoo, Marilena Sibillo The paper proposes a...
View ArticleRobust evaluation of SCR for participating life insurances under Solvency II
Publication date: March 2018 Source:Insurance: Mathematics and Economics, Volume 79 Author(s): Donatien Hainaut, Pierre Devolder, Antoon Pelsser This article proposes a robust framework to evaluate...
View ArticleOn the evaluation of some multivariate compound distributions with Sarmanov’s...
Publication date: Available online 2 February 2018 Source:Insurance: Mathematics and Economics Author(s): Raluca Vernic In this paper, we consider Sarmanov’s multivariate discrete distribution as...
View ArticleAnnuitization and asset allocation under exponential utility
Publication date: March 2018 Source:Insurance: Mathematics and Economics, Volume 79 Author(s): Xiaoqing Liang, Virginia R. Young We find the optimal investment, consumption, and annuitization...
View ArticleOptimal investment strategies and intergenerational risk sharing for target...
Publication date: Available online 27 February 2018 Source:Insurance: Mathematics and Economics Author(s): Suxin Wang, Yi Lu, Barbara Sanders In this paper, we consider a stochastic model for a target...
View ArticleOn optimal periodic dividend strategies for Lévy risk processes
Publication date: Available online 1 March 2018 Source:Insurance: Mathematics and Economics Author(s): Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki, Kouji Yano In this paper, we revisit the optimal...
View ArticleOptimal insurance design under background risk with dependence
Publication date: Available online 4 March 2018 Source:Insurance: Mathematics and Economics Author(s): ZhiYi Lu, ShengWang Meng, LePing Liu, ZiQi Han In this paper, we revisit the problem of optimal...
View ArticleBanach Contraction Principle and ruin probabilities in regime-switching models
Publication date: Available online 4 March 2018 Source:Insurance: Mathematics and Economics Author(s): Lesław Gajek, Marcin Rudź We apply Banach Contraction Principle to approximate a vector Ψ of ruin...
View ArticleEditorial Board
Publication date: March 2018 Source:Insurance: Mathematics and Economics, Volume 79
View ArticleIn memoriam Marc Goovaerts
Publication date: Available online 10 March 2018 Source:Insurance: Mathematics and Economics Author(s): Rob Kaas, Roger Laeven, Sheldon Lin, Qihe Tang, Gordon Willmot, Hailiang Yang
View ArticleClaims reserving in the presence of excess-of-loss reinsurance using micro...
Publication date: Available online 12 March 2018 Source:Insurance: Mathematics and Economics Author(s): Carolin Margraf, Valandis Elpidorou, Richard Verrall This paper addresses a new problem in the...
View ArticleRobust optimal investment strategy for an AAM of DC pension plans with...
Publication date: Available online 15 March 2018 Source:Insurance: Mathematics and Economics Author(s): Pei Wang, Zhongfei Li In this paper, we investigate a robust optimal investment problem for an...
View ArticleOptimal robust reinsurance-investment strategies for insurers with mean...
Publication date: Available online 17 March 2018 Source:Insurance: Mathematics and Economics Author(s): Ailing Gu, Frederi G. Viens, Haixiang Yao This paper considers how to optimize reinsurance and...
View ArticleLarge deviations for risk measures in finite mixture models
Publication date: Available online 21 March 2018 Source:Insurance: Mathematics and Economics Author(s): Valeria Bignozzi, Claudio Macci, Lea Petrella Due to their heterogeneity, insurance risks can be...
View ArticleSolvency II, or how to sweep the downside risk under the carpet
Publication date: Available online 14 April 2018 Source:Insurance: Mathematics and Economics Author(s): Stefan Weber Under Solvency II the computation of capital requirements is based on value at risk...
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...
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 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 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 ArticleEditorial Board
Publication date: May 2018 Source:Insurance: Mathematics and Economics, Volume 80
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 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 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 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 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 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 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 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 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 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 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 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 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 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 ArticlePortfolio 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...
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