Compound unimodal distributions for insurance losses
Publication date: Available online 31 October 2017 Source:Insurance: Mathematics and Economics Author(s): Antonio Punzo, Luca Bagnato, Antonello Maruotti The distribution of insurance losses has a...
View ArticleDiscounted penalty function at Parisian ruin for Lévy insurance risk process
Publication date: Available online 6 November 2017 Source:Insurance: Mathematics and Economics Author(s): R. Loeffen, Z. Palmowski, B.A. Surya In the setting of a Lévy insurance risk process, we...
View ArticleQuantitative assessment of common practice procedures in the fair evaluation...
Publication date: Available online 7 November 2017 Source:Insurance: Mathematics and Economics Author(s): Anna Maria Gambaro, Riccardo Casalini, Gianluca Fusai, Alessandro Ghilarducci This work...
View ArticleAn efficient algorithm for the valuation of a guaranteed annuity option with...
Publication date: Available online 8 November 2017 Source:Insurance: Mathematics and Economics Author(s): Yixing Zhao, Rogemar Mamon We introduce a pricing framework for a guaranteed annuity option...
View ArticleFrom Concentration Profiles to Concentration Maps. New tools for the study of...
Publication date: Available online 15 November 2017 Source:Insurance: Mathematics and Economics Author(s): Andrea Fontanari, Pasquale Cirillo, Cornelis W. Oosterlee We introduce a novel approach to...
View ArticleEditorial Board
Publication date: November 2017 Source:Insurance: Mathematics and Economics, Volume 77
View ArticleDependent risk models with Archimedean copulas: A computational strategy...
Publication date: Available online 21 November 2017 Source:Insurance: Mathematics and Economics Author(s): Hélène Cossette, Etienne Marceau, Itre Mtalai, Déry Veilleux In this paper, we investigate...
View ArticleDuality in ruin problems for ordered risk models
Publication date: Available online 21 November 2017 Source:Insurance: Mathematics and Economics Author(s): Pierre-Olivier Goffard, Claude Lefèvre On one hand, an ordered dual risk model is considered...
View ArticleAsset allocation for a DC pension fund under stochastic interest rates and...
Publication date: Available online 2 December 2017 Source:Insurance: Mathematics and Economics Author(s): Mei-Ling Tang, Son-Nan Chen, Gene C. Lai, Ting-Pin Wu This paper aims to propose referable...
View ArticleStochastic orders and co-risk measures under positive dependence
Publication date: Available online 2 December 2017 Source:Insurance: Mathematics and Economics Author(s): M.A. Sordo, A.J. Bello, A. Suárez-Llorens Conditional risk measures (or co-risk measures) and...
View ArticleDynamic derivative-based investment strategy for mean–variance...
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Danping Li, Yang Shen, Yan Zeng This paper considers the derivative-based optimal investment strategies...
View ArticleEarly default risk and surrender risk: Impacts on participating life...
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Chunli Cheng, Jing Li We study the risk-neutral valuation of participating life insurance policies with...
View ArticleNon-cooperative dynamic games for general insurance markets
Publication date: Available online 12 December 2017 Source:Insurance: Mathematics and Economics Author(s): Tim J. Boonen, Athanasios A. Pantelous, Renchao Wu In the insurance industry, the number of...
View ArticlePenalized bias reduction in extreme value estimation for censored Pareto-type...
Publication date: Available online 12 December 2017 Source:Insurance: Mathematics and Economics Author(s): J. Beirlant, G. Maribe, A. Verster The subject of tail estimation for randomly censored data...
View ArticleInsurance 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 ArticleApproximation of ruin probabilities via Erlangized scale mixtures
Publication date: Available online 20 December 2017 Source:Insurance: Mathematics and Economics Author(s): Oscar Peralta, Leonardo Rojas-Nandayapa, Wangyue Xie, Hui Yao In this paper, we extend an...
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 Article