Comparing risks with reference points: A stochastic dominance approach
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Dongmei Guo, Yi Hu, Shouyang Wang, Lin Zhao This paper develops a stochastic dominance rule for the...
View ArticleExponential utility maximization for an insurer with time-inconsistent...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Qian Zhao, Rongming Wang, Jiaqin Wei This paper studies the optimal...
View ArticleRisk reducers in convex order
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Junnan He, Qihe Tang, Huan Zhang Given a risk position X , a random addition Z is called a risk...
View ArticleMarket risk forecasting for high dimensional portfolios via factor copulas...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Mariana Bartels, Flavio A. Ziegelmann In this paper we propose forecasting market risk measures, such...
View ArticleInference pitfalls in Lee–Carter model for forecasting mortality
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Xuan Leng, Liang Peng Forecasting mortality is of importance in managing longevity risks for...
View ArticlePricing and hedging GLWB in the Heston and in the Black–Scholes with...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Ludovic Goudenège, Andrea Molent, Antonino Zanette Valuing Guaranteed Lifelong Withdrawal Benefit...
View ArticleDiscrete sums of geometric Brownian motions, annuities and Asian options
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Dan Pirjol, Lingjiong Zhu The discrete sum of geometric Brownian motions plays an important role in...
View ArticleMean–variance asset–liability management under constant elasticity of...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Miao Zhang, Ping Chen This paper investigates a mean–variance asset–liability management (ALM)...
View ArticleOptimally investing to reach a bequest goal
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Erhan Bayraktar, Virginia R. Young We determine the optimal strategy for investing in a Black–Scholes...
View ArticleOn multivariate discounted compound renewal sums with time-dependent claims...
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70 Author(s): Jae-Kyung Woo In this paper, we consider an insurance portfolio containing several types of policies...
View ArticleMove-based hedging of variable annuities: A semi-analytic approach
Publication date: Available online 16 August 2016 Source:Insurance: Mathematics and Economics Author(s): X. Sheldon Lin, Panpan Wu, Xiao Wang In this paper, we propose a semi-analytic algorithm for...
View ArticleOn a class of dependent Sparre Andersen risk models and a bailout application
Publication date: Available online 17 August 2016 Source:Insurance: Mathematics and Economics Author(s): F. Avram, A.L. Badescu, M.R. Pistorius, L. Rabehasaina In this paper a one-dimensional surplus...
View ArticleRisk aggregation in multivariate dependent Pareto distributions
Publication date: Available online 24 August 2016 Source:Insurance: Mathematics and Economics Author(s): José María Sarabia, Emilio Gómez-Déniz, Faustino Prieto, Vanesa Jordá In this paper we obtain...
View ArticleLongevity risk and retirement income tax efficiency: A location spending rate...
Publication date: Available online 24 August 2016 Source:Insurance: Mathematics and Economics Author(s): Huaxiong Huang, Moshe A. Milevsky In this paper we model and solve a retirement consumption...
View ArticleStochastic loss reserving with dependence: A flexible multivariate Tweedie...
Publication date: Available online 29 August 2016 Source:Insurance: Mathematics and Economics Author(s): Benjamin Avanzi, Greg Taylor, Phuong Anh Vu, Bernard Wong Stochastic loss reserving with...
View ArticleOptimal allocation of policy deductibles for exchangeable risks
Publication date: Available online 1 September 2016 Source:Insurance: Mathematics and Economics Author(s): Sirous Fathi Manesh, Baha-Eldin Khaledi, Jan Dhaene Let X 1 , … , X n be a set of n...
View ArticleMulti-period defined contribution pension funds investment management with...
Publication date: Available online 1 September 2016 Source:Insurance: Mathematics and Economics Author(s): Haixiang Yao, Ping Chen, Xun Li Using mean-variance criterion, we investigate a multi-period...
View ArticleCoherent modeling of male and female mortality using Lee–Carter in a complex...
Publication date: Available online 1 September 2016 Source:Insurance: Mathematics and Economics Author(s): Piet de Jong, Leonie Tickle, Jianhui Xu Forecasts of female and male mortality that are...
View ArticleEditorial Board
Publication date: September 2016 Source:Insurance: Mathematics and Economics, Volume 70
View ArticleCatastrophe equity put options with target variance
Publication date: Available online 5 September 2016 Source:Insurance: Mathematics and Economics Author(s): Xingchun Wang In this study, we consider a new class of catastrophe equity put options, whose...
View Article