Optimal 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...
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