On 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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