Mean–variance target-based optimisation for defined contribution pension...
Publication date: Available online 18 August 2017 Source:Insurance: Mathematics and Economics Author(s): Francesco Menoncin, Elena Vigna We solve a mean–variance optimisation problem in the...
View ArticleOn the optimality of periodic barrier strategies for a spectrally positive...
Publication date: Available online 18 August 2017 Source:Insurance: Mathematics and Economics Author(s): José-Luis Pérez, Kazutoshi Yamazaki We study the optimal dividend problem in the dual model...
View ArticleWanting robustness in insurance: A model of catastrophe risk pricing and its...
Publication date: Available online 30 August 2017 Source:Insurance: Mathematics and Economics Author(s): Wenge Zhu Motivated by the fact that a lack of information about natural disasters may lead...
View ArticleModelling censored losses using splicing: A global fit strategy with mixed...
Publication date: Available online 31 August 2017 Source:Insurance: Mathematics and Economics Author(s): Tom Reynkens, Roel Verbelen, Jan Beirlant, Katrien Antonio In risk analysis, a global fit that...
View ArticleRemarks on composite Bernstein copula and its application to credit risk...
Publication date: Available online 31 August 2017 Source:Insurance: Mathematics and Economics Author(s): Nan Guo, Fang Wang, Jingping Yang The composite Bernstein copula (CBC) (Yang et al., 2015) is a...
View ArticlePareto-optimal reinsurance arrangements under general model settings
Publication date: Available online 31 August 2017 Source:Insurance: Mathematics and Economics Author(s): Jun Cai, Haiyan Liu, Ruodu Wang In this paper, we study Pareto optimality of reinsurance...
View ArticleIME’s Editorial Board
Publication date: Available online 31 August 2017 Source:Insurance: Mathematics and Economics Author(s): Rob Kaas, Roger Laeven, Sheldon Lin, Qihe Tang, Gordon Willmot, Hailiang Yang As of 2018, IME...
View ArticleA general approach to full-range tail dependence copulas
Publication date: Available online 1 September 2017 Source:Insurance: Mathematics and Economics Author(s): Jianxi Su, Lei Hua Full-range tail dependence copulas have recently been proved very useful...
View ArticleTime-consistent mean-variance asset–liability management with random...
Publication date: Available online 2 September 2017 Source:Insurance: Mathematics and Economics Author(s): Jiaqin Wei, Tianxiao Wang In this paper, we aim to find a time-consistent open-loop...
View ArticleA class of random field memory models for mortality forecasting
Publication date: Available online 5 September 2017 Source:Insurance: Mathematics and Economics Author(s): P. Doukhan, D. Pommeret, J. Rynkiewicz, Y. Salhi This article proposes a parsimonious...
View ArticleEditorial Board
Publication date: September 2017 Source:Insurance: Mathematics and Economics, Volume 76
View ArticleIndifference pricing of a life insurance portfolio with risky asset driven by...
Publication date: Available online 17 September 2017 Source:Insurance: Mathematics and Economics Author(s): Xiaoqing Liang, Yi Lu In this paper, we investigate the pricing problem for a portfolio of...
View ArticleOptimal insurance design with a bonus
Publication date: Available online 17 September 2017 Source:Insurance: Mathematics and Economics Author(s): Yongwu Li, Zuo Quan Xu This paper investigates an insurance design problem, in which a bonus...
View ArticleSome comparison results for finite-time ruin probabilities in the classical...
Publication date: Available online 21 September 2017 Source:Insurance: Mathematics and Economics Author(s): Claude Lefèvre, Julien Trufin, Pierre Zuyderhoff This paper aims at showing how an ordering...
View ArticlePurchasing casualty insurance to avoid lifetime ruin
Publication date: Available online 21 September 2017 Source:Insurance: Mathematics and Economics Author(s): Virginia R. Young We determine the optimal strategies for purchasing deductible insurance...
View ArticleInterplay of subexponential and dependent insurance and financial risks
Publication date: November 2017 Source:Insurance: Mathematics and Economics, Volume 77 Author(s): Yiqing Chen We are interested in the ruin probability of an insurer who makes risky investments and...
View ArticleThe effect of longevity drift and investment volatility on income sufficiency...
Publication date: Available online 28 September 2017 Source:Insurance: Mathematics and Economics Author(s): Les Mayhew, David Smith, Douglas Wright In 2014 the Government announced radical proposals...
View ArticleValuation of longevity-linked life annuities
Publication date: Available online 28 September 2017 Source:Insurance: Mathematics and Economics Author(s): Jorge Miguel Bravo, Najat El Mekkaoui de Freitas In this paper we show that the fair value...
View ArticleIdentifiability, cointegration and the gravity model
Publication date: Available online 28 September 2017 Source:Insurance: Mathematics and Economics Author(s): Andrew Hunt, David Blake The gravity model of Dowd et al. (2011) was introduced in order to...
View ArticleValuation of variable long-term care Annuities with Guaranteed Lifetime...
Publication date: Available online 28 September 2017 Source:Insurance: Mathematics and Economics Author(s): Ming-hua Hsieh, Jennifer L. Wang, Yu-Fen Chiu, Yen-Chih Chen This paper proposes a new...
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