Issues with the Smith-Wilson method
Publication date: Available online 6 September 2016 Source:Insurance: Mathematics and Economics Author(s): Andreas Lagerås, Mathias Lindholm We analyse various features of the Smith-Wilson method used...
View ArticlePolynomial diffusion models for life insurance liabilities
Publication date: Available online 7 September 2016 Source:Insurance: Mathematics and Economics Author(s): Francesca Biagini, Yinglin Zhang In this paper we study the pricing and hedging problem of a...
View ArticleLoss data analysis: Analysis of the sample dependence in density...
Publication date: Available online 8 September 2016 Source:Insurance: Mathematics and Economics Author(s): Erika Gomes-Gonçalves, Henryk Gzyl, Silvia Mayoral The problem of determining probability...
View ArticleOn capital injections and dividends with tax in a classical risk model
Publication date: Available online 12 September 2016 Source:Insurance: Mathematics and Economics Author(s): Hanspeter Schmidli Consider the classical risk model with dividends and capital injections....
View ArticleA pair of optimal reinsurance-investment strategies in the two-sided exit...
Publication date: Available online 13 September 2016 Source:Insurance: Mathematics and Economics Author(s): David Landriault, Bin Li, Danping Li, Dongchen Li In this paper, we derive and study a pair...
View ArticleA note on the Log–Lindley distribution
Publication date: Available online 19 September 2016 Source:Insurance: Mathematics and Economics Author(s): P. Jodrá, M.D. Jiménez-Gamero The Log–Lindley distribution is a continuous probability model...
View ArticleUniform asymptotics for a multi-dimensional time-dependent risk model with...
Publication date: Available online 20 September 2016 Source:Insurance: Mathematics and Economics Author(s): Jinzhu Li This paper is devoted to asymptotic analysis for a multi-dimensional risk model...
View ArticleStochastic loss reserving with dependence: A flexible multivariate Tweedie...
Publication date: November 2016 Source:Insurance: Mathematics and Economics, Volume 71 Author(s): Benjamin Avanzi, Greg Taylor, Phuong Anh Vu, Bernard Wong Stochastic loss reserving with dependence...
View ArticleTail conditional moments for elliptical and log-elliptical distributions
Publication date: Available online 21 September 2016 Source:Insurance: Mathematics and Economics Author(s): Zinoviy Landsman, Udi Makov, Tomer Shushi In this paper we provide the tail conditional...
View ArticleOptimal mean-variance efficiency of a family with life insurance under...
Publication date: Available online 21 September 2016 Source:Insurance: Mathematics and Economics Author(s): Zongxia Liang, Xiaoyang Zhao We study an optimization problem of a family under...
View ArticleAccounting and actuarial smoothing of retirement payouts in participating...
Publication date: Available online 22 September 2016 Source:Insurance: Mathematics and Economics Author(s): Raimond Maurer, Olivia S. Mitchell, Ralph Rogalla, Ivonne Siegelin Life insurers use...
View ArticleLapse risk in life insurance: Correlation and contagion effects among...
Publication date: Available online 22 September 2016 Source:Insurance: Mathematics and Economics Author(s): Flavia Barsotti, Xavier Milhaud, Yahia Salhi The present paper proposes a new methodology to...
View ArticleCoherent modeling of male and female mortality using Lee–Carter in a complex...
Publication date: November 2016 Source:Insurance: Mathematics and Economics, Volume 71 Author(s): Piet de Jong, Leonie Tickle, Jianhui Xu Forecasts of female and male mortality that are conducted...
View ArticleThe role of the dependence between mortality and interest rates when pricing...
Publication date: Available online 28 September 2016 Source:Insurance: Mathematics and Economics Author(s): Griselda Deelstra, Martino Grasselli, Christopher Van Weverberg In this paper we investigate...
View ArticleRisk aggregation in multivariate dependent Pareto distributions
Publication date: November 2016 Source:Insurance: Mathematics and Economics, Volume 71 Author(s): José María Sarabia, Emilio Gómez-Déniz, Faustino Prieto, Vanesa Jordá In this paper we obtain closed...
View ArticleBayesian multinomial latent variable modeling for fraud and abuse detection...
Publication date: Available online 30 September 2016 Source:Insurance: Mathematics and Economics Author(s): Andreas Bayerstadler, Linda van Dijk, Fabian Winter Healthcare fraud and abuse are a serious...
View ArticleTail asymptotics of generalized deflated risks with insurance applications
Publication date: Available online 30 September 2016 Source:Insurance: Mathematics and Economics Author(s): Chengxiu Ling, Zuoxiang Peng Let X and S ∈ ( 0 , 1 ) be two independent risk variables. This...
View ArticleConstrained investment-reinsurance optimization with regime switching under...
Publication date: Available online 30 September 2016 Source:Insurance: Mathematics and Economics Author(s): Lv Chen, Linyi Qian, Yang Shen, Wei Wang This paper studies optimal investment and...
View ArticleOptimal reinsurance under dynamic VaR constraint
Publication date: Available online 30 September 2016 Source:Insurance: Mathematics and Economics Author(s): Nan Zhang, Zhuo Jin, Shuanming Li, Ping Chen This paper deals with the optimal reinsurance...
View ArticleFrom regulatory life tables to stochastic mortality projections: The...
Publication date: Available online 5 October 2016 Source:Insurance: Mathematics and Economics Author(s): Michel Denuit, Julien Trufin Often in actuarial practice, mortality projections are obtained by...
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