Pricing 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 ArticleThe choice of trigger in an insurance linked security: The mortality risk case
Publication date: Available online 4 October 2017 Source:Insurance: Mathematics and Economics Author(s): Richard MacMinn, Andreas Richter In 2003, Swiss Re introduced a mortality-based security...
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 ArticleUnisex pricing of German participating life annuities—Boon or bane for...
Publication date: Available online 4 October 2017 Source:Insurance: Mathematics and Economics Author(s): Sandy Bruszas, Barbara Kaschützke, Raimond Maurer, Ivonne Siegelin This paper explores how 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 ArticleModeling trend processes in parametric mortality models
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Matthias Börger, Johannes Schupp Parametric mortality models like those of Lee and Carter (1992),...
View ArticleIdentifiability, cointegration and the gravity model
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Andrew Hunt, David Blake The gravity model of Dowd et al. (2011) was introduced in order to achieve...
View ArticleMortality models and longevity risk for small populations
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Hsin-Chung Wang, Ching-Syang Jack Yue, Chen-Tai Chong Prolonging life expectancy and improving...
View ArticleThe double-gap life expectancy forecasting model
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Marius D. Pascariu, Vladimir Canudas-Romo, James W. Vaupel Life expectancy is highly correlated over...
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