Asset allocation strategies in the presence of liability constraints
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Areski Cousin, Ying Jiao, Christian Y. Robert, Olivier David Zerbib The performance of portfolio...
View ArticleLong-term behavior of stochastic interest rate models with Markov switching
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Zhenzhong Zhang, Jinying Tong, Liangjian Hu In this paper, we consider the long time behavior of...
View ArticleIt’s all in the hidden states: A longevity hedging strategy with an explicit...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Yanxin Liu, Johnny Siu-Hang Li In this paper, we propose the generalized state-space hedging method...
View ArticlePricing and hedging of guaranteed minimum benefits under regime-switching and...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Katja Ignatieva, Andrew Song, Jonathan Ziveyi This paper presents a novel framework for pricing and...
View ArticleModelling lifetime dependence for older ages using a multivariate Pareto...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Daniel H. Alai, Zinoviy Landsman, Michael Sherris The main driver of longevity risk is uncertainty in...
View ArticleOptimal capital injection and dividend distribution for growth restricted...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Jinxia Zhu, Hailiang Yang We consider the optimal capital injection and dividend control problem for...
View ArticleOptimal mean–variance investment and reinsurance problems for the risk model...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Junna Bi, Zhibin Liang, Fangjun Xu In this paper, we study the optimal investment–reinsurance...
View ArticleA stochastic Nash equilibrium portfolio game between two DC pension funds
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Guohui Guan, Zongxia Liang In this paper, we study the stochastic Nash equilibrium portfolio game...
View ArticleOptimal mix between pay-as-you-go and funding for DC pension schemes in an...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): J. Alonso-García, P. Devolder Public pension systems are usually pay-as-you-go financed, that is,...
View ArticleMultivariate tail conditional expectation for elliptical distributions
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Zinoviy Landsman, Udi Makov, Tomer Shushi In this paper we introduce a novel type of a multivariate...
View ArticleGeneralized linear models for dependent frequency and severity of insurance...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): J. Garrido, C. Genest, J. Schulz Traditionally, claim counts and amounts are assumed to be...
View ArticleThe role of a representative reinsurer in optimal reinsurance
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Tim J. Boonen, Ken Seng Tan, Sheng Chao Zhuang In this paper, we consider a one-period optimal...
View ArticleRobust optimal risk sharing and risk premia in expanding pools
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Thomas Knispel, Roger J.A. Laeven, Gregor Svindland We consider the problem of optimal risk sharing...
View ArticleA neural network approach to efficient valuation of large portfolios of...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Seyed Amir Hejazi, Kenneth R. Jackson Managing and hedging the risks associated with Variable Annuity...
View ArticleBorch’s theorem, equal margins, and efficient allocation
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Sjur Didrik Flåm The economic concept of margin guides or justifies the sharing of risks and...
View ArticleValuing guaranteed equity-linked contracts under piecewise constant forces of...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Xiaoqing Liang, Cary Chi-Liang Tsai, Yi Lu The work of this paper is motivated by the study in Gerber...
View ArticlePreserving the Rothschild–Stiglitz type of increasing risk with background risk
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Xu Guo, Jingyuan Li, Dongri Liu, Jianli Wang Background risk refers to a risk that is exogenous and...
View ArticleEstimating the distortion parameter of the proportional hazards premium for...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Brahim Brahimi, Jihane Abdelli Estimating the distorted parameter in the case of non negative...
View ArticleLifetime ruin under ambiguous hazard rate
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Virginia R. Young, Yuchong Zhang We determine the optimal robust investment strategy of an individual...
View ArticleBivariate credibility bonus–malus premiums distinguishing between two types...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): E. Gómez-Déniz We propose a modification of the bonus–malus system of tarification that is commonly...
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