Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR...
Publication date: Available online 30 November 2016 Source:Insurance: Mathematics and Economics Author(s): Haoze Sun, Chengguo Weng, Yi Zhang In this paper, the Conditional Value-at-Risk (CVaR) is...
View ArticleCliquet-style return guarantees in a regime switching Lévy model
Publication date: Available online 30 November 2016 Source:Insurance: Mathematics and Economics Author(s): Peter Hieber This article considers the valuation of equity-linked life insurance contracts...
View ArticleEfficient option risk measurement with reduced model risk
Publication date: Available online 1 December 2016 Source:Insurance: Mathematics and Economics Author(s): Sovan Mitra Options require risk measurement that is also computationally efficient as it is...
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Publication date: November 2016 Source:Insurance: Mathematics and Economics, Volume 71
View ArticleOptimal consumption-investment strategy under the Vasicek model: HARA utility...
Publication date: Available online 8 December 2016 Source:Insurance: Mathematics and Economics Author(s): Hao Chang, Kai Chang This paper studies the optimal consumption-investment strategy with...
View ArticleOptimal reinsurance and investment strategies for insurers with mispricing...
Publication date: Available online 13 December 2016 Source:Insurance: Mathematics and Economics Author(s): Ailing Gu, Frederi G. Viens, Bo Yi We discuss optimal proportional reinsurance-investment...
View ArticleInsurance valuation: A computable multi-period cost-of-capital approach
Publication date: Available online 14 December 2016 Source:Insurance: Mathematics and Economics Author(s): Hampus Engsner, Mathias Lindholm, Filip Lindskog We present an approach to market-consistent...
View ArticleOn compound sums under dependence
Publication date: Available online 15 December 2016 Source:Insurance: Mathematics and Economics Author(s): Serkan Eryilmaz In this paper, we study the compound random variable S = ∑ t = 1 N Y t when...
View ArticleOn optimal joint reflective and refractive dividend strategies in spectrally...
Publication date: January 2017 Source:Insurance: Mathematics and Economics, Volume 72 Author(s): Benjamin Avanzi, José-Luis Pérez, Bernard Wong, Kazutoshi Yamazaki The expected present value of...
View ArticleOn optimal dividends with exponential and linear penalty payments
Publication date: Available online 16 December 2016 Source:Insurance: Mathematics and Economics Author(s): Matthias Vierkötter, Hanspeter Schmidli We study the optimal dividend problem where the...
View ArticleComplete discounted cash flow valuation
Publication date: Available online 21 December 2016 Source:Insurance: Mathematics and Economics Author(s): Lesław Gajek, Łukasz Kuciński This paper concerns discounted cash flow valuation of a...
View ArticleFull Bayesian analysis of claims reserving uncertainty
Publication date: Available online 5 January 2017 Source:Insurance: Mathematics and Economics Author(s): Gareth W. Peters, Rodrigo S. Targino, Mario V. Wüthrich We revisit the gamma-gamma Bayesian...
View ArticleRisk aggregation in Solvency II through recursive log-normals
Publication date: Available online 5 January 2017 Source:Insurance: Mathematics and Economics Author(s): Erik Bølviken, Montserrat Guillen It is argued that the accuracy of risk aggregation in...
View ArticleA note on risky targets and effort
Publication date: Available online 10 January 2017 Source:Insurance: Mathematics and Economics Author(s): Kit Pong Wong This note examines the effort choice problem of a decision maker (DM) who has to...
View ArticleOrdering optimal deductible allocations for stochastic arrangement increasing...
Publication date: Available online 11 January 2017 Source:Insurance: Mathematics and Economics Author(s): Chen Li, Xiaohu Li The insurer usually solicits the insured through granting a certain amount...
View ArticleOptimal consumption, portfolio, and life insurance policies under interest...
Publication date: Available online 17 January 2017 Source:Insurance: Mathematics and Economics Author(s): Nan-Wei Han, Mao-Wei Hung This paper solves the optimal life insurance, consumption, and...
View ArticleIncorporating model uncertainty into optimal insurance contract design
Publication date: Available online 19 January 2017 Source:Insurance: Mathematics and Economics Author(s): Georg Ch. Pflug, Anna Timonina-Farkas, Stefan Hochrainer-Stigler In stochastic optimization...
View ArticleEditorial Board
Publication date: January 2017 Source:Insurance: Mathematics and Economics, Volume 72
View ArticleOptimal dividend payout model with risk sensitive preferences
Publication date: Available online 31 January 2017 Source:Insurance: Mathematics and Economics Author(s): Nicole Bäuerle, Anna Jaśkiewicz We consider a discrete-time dividend payout problem with risk...
View ArticleA revisit to ruin probabilities in the presence of heavy-tailed insurance and...
Publication date: Available online 4 February 2017 Source:Insurance: Mathematics and Economics Author(s): Yiqing Chen, Zhongyi Yuan Recently, Sun and Wei (2014) studied the finite-time ruin...
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