On the occupation times in a delayed Sparre Andersen risk model with...
Publication date: Available online 7 October 2016 Source:Insurance: Mathematics and Economics Author(s): Can Jin, Shuanming Li, Xueyuan Wu In this paper, we study the joint Laplace transform of the...
View ArticleExtremes for coherent risk measures
Publication date: Available online 8 October 2016 Source:Insurance: Mathematics and Economics Author(s): Alexandru V. Asimit, Jinzhu Li Various concepts appeared in the existing literature to evaluate...
View ArticleAsset allocation, sustainable withdrawal, longevity risk and non-exponential...
Publication date: Available online 12 October 2016 Source:Insurance: Mathematics and Economics Author(s): Łukasz Delong, An Chen The present paper studies an optimal withdrawal and investment problem...
View ArticleA factor model for joint default probabilities. pricing of CDS, index swaps...
Publication date: Available online 18 October 2016 Source:Insurance: Mathematics and Economics Author(s): Catalin Cantia, Radu Tunaru A factor model is proposed for the valuation of credit default...
View ArticleDemand for longevity securities under relative performance concerns:...
Publication date: Available online 21 October 2016 Source:Insurance: Mathematics and Economics Author(s): Kai Yin Kwok, Mei Choi Chiu, Hoi Ying Wong This paper investigates the impact of relative...
View ArticleEquilibrium investment strategy for DC pension plan with default risk and...
Publication date: Available online 22 October 2016 Source:Insurance: Mathematics and Economics Author(s): Danping Li, Ximin Rong, Hui Zhao, Bo Yi This paper considers an optimal investment problem for...
View ArticleOn optimal joint reflective and refractive dividend strategies in spectrally...
Publication date: Available online 25 October 2016 Source:Insurance: Mathematics and Economics Author(s): Benjamin Avanzi, José-Luis Pérez, Bernard Wong, Kazutoshi Yamazaki The expected present value...
View ArticleImpact of volatility clustering on equity indexed annuities
Publication date: Available online 26 October 2016 Source:Insurance: Mathematics and Economics Author(s): Donatien Hainaut This study analyses the impact of volatility clustering in stock markets on...
View ArticleCooperative investment in incomplete markets under financial fairness
Publication date: Available online 26 October 2016 Source:Insurance: Mathematics and Economics Author(s): Jaroslav Pazdera, Johannes M. Schumacher, Bas J.M. Werker Groups of agents, such as...
View ArticleValuation and risk assessment of participating life insurance in the presence...
Publication date: Available online 26 October 2016 Source:Insurance: Mathematics and Economics Author(s): Johanna Eckert, Nadine Gatzert, Michael Martin In participating life insurance, management...
View ArticlePreserving the Rothschild-Stiglitz type increase in risk with background...
Publication date: Available online 29 October 2016 Source:Insurance: Mathematics and Economics Author(s): Michel M. Denuit, Mhamed Mesfioui In order to generalize previous results by Li et al. (2016),...
View ArticleAnalytical valuation and hedging of variable annuity guaranteed lifetime...
Publication date: Available online 9 November 2016 Source:Insurance: Mathematics and Economics Author(s): Runhuan Feng, Xiaochen Jing Variable annuity is a retirement planning product that allows...
View ArticleExistence of optimal consumption strategies in markets with longevity risk
Publication date: Available online 14 November 2016 Source:Insurance: Mathematics and Economics Author(s): J. de Kort, M.H. Vellekoop Survival bonds are financial instruments with a payoff that...
View ArticleMulti-period risk sharing under financial fairness
Publication date: Available online 16 November 2016 Source:Insurance: Mathematics and Economics Author(s): Hailong Bao, Eduard H.M. Ponds, Johannes M. Schumacher We work with a multi-period system...
View ArticleMeasuring mortality heterogeneity with multi-state models and...
Publication date: Available online 16 November 2016 Source:Insurance: Mathematics and Economics Author(s): Alexandre Boumezoued, Nicole El Karoui, Stéphane Loisel In this paper, our aim is to measure...
View ArticleThe valuation of life contingencies: A symmetrical triangular fuzzy...
Publication date: Available online 16 November 2016 Source:Insurance: Mathematics and Economics Author(s): Jorge de Andrés-Sánchez, Laura González-Vila Puchades This paper extends the framework for...
View ArticleCapital allocation for portfolios with non-linear risk aggregation
Publication date: Available online 21 November 2016 Source:Insurance: Mathematics and Economics Author(s): Tim J. Boonen, Andreas Tsanakas, Mario V. Wüthrich Existing risk capital allocation methods,...
View ArticleIntensity-based framework for surrender modeling in life insurance
Publication date: Available online 22 November 2016 Source:Insurance: Mathematics and Economics Author(s): Vincenzo Russo, Rosella Giacometti, Frank J. Fabozzi In this paper, we propose an...
View ArticleModeling operational risk incorporating reputation risk: An integrated...
Publication date: Available online 25 November 2016 Source:Insurance: Mathematics and Economics Author(s): Christian Eckert, Nadine Gatzert It has been shown in the empirical literature that...
View ArticleRedistribution of longevity risk: The effect of heterogeneous mortality beliefs
Publication date: Available online 29 November 2016 Source:Insurance: Mathematics and Economics Author(s): Tim J. Boonen, Anja De Waegenaere, Henk Norde Existing literature regarding the natural hedge...
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