On a bivariate copula with both upper and lower full-range tail dependence
Publication date: Available online 6 February 2017 Source:Insurance: Mathematics and Economics Author(s): Lei Hua Copula functions can be useful in accounting for various dependence patterns appearing...
View ArticleA unisex stochastic mortality model to comply with EU Gender Directive
Publication date: Available online 7 February 2017 Source:Insurance: Mathematics and Economics Author(s): An Chen, Elena Vigna EU Gender Directive ruled out discrimination against gender in charging...
View ArticleOn the effects of changing mortality patterns on investment, labour and...
Publication date: Available online 8 February 2017 Source:Insurance: Mathematics and Economics Author(s): Christian-Oliver Ewald, Aihua Zhang In this paper we extend the consumption-investment life...
View ArticleOptimal investment strategy for participating contracts
Publication date: Available online 8 February 2017 Source:Insurance: Mathematics and Economics Author(s): Hongcan Lin, David Saunders, Chengguo Weng Participating contracts are popular insurance...
View ArticleOn the distribution of cumulative Parisian ruin
Publication date: Available online 9 February 2017 Source:Insurance: Mathematics and Economics Author(s): Hélène Guérin, Jean-François Renaud We introduce the concept of cumulative Parisian ruin,...
View ArticleA limit distribution of credit portfolio losses with low default probabilities
Publication date: Available online 10 February 2017 Source:Insurance: Mathematics and Economics Author(s): Xiaojun Shi, Qihe Tang, Zhongyi Yuan This paper employs a multivariate extreme value theory...
View ArticleA note on the convexity of ruin probabilities
Publication date: Available online 14 February 2017 Source:Insurance: Mathematics and Economics Author(s): David Landriault, Bin Li, Sooie-Hoe Loke, Gordon E. Willmot, Di Xu Conditions for the...
View ArticleNonparametric estimation of the claim amount in the strong stability analysis...
Publication date: Available online 1 March 2017 Source:Insurance: Mathematics and Economics Author(s): A. Touazi, Z. Benouaret, D. Aissani, S. Adjabi This paper presents an extension of the strong...
View ArticleIntergenerational risk sharing in closing pension funds
Publication date: Available online 1 March 2017 Source:Insurance: Mathematics and Economics Author(s): Tim J. Boonen, Anja De Waegenaere We model intergenerational risk sharing in closing funded...
View ArticleOptimal investment and reinsurance for an insurer under Markov-modulated...
Publication date: Available online 1 March 2017 Source:Insurance: Mathematics and Economics Author(s): Lin Xu, Liming Zhang, Dingjun Yao This study examines optimal investment and reinsurance policies...
View ArticleOptimal dividend strategies with time-inconsistent preferences and...
Publication date: Available online 4 March 2017 Source:Insurance: Mathematics and Economics Author(s): Shumin Chen, Yan Zeng, Zhifeng Hao This paper considers the optimal dividend strategies for an...
View ArticleEstimating Gerber–Shiu functions from discretely observed Lévy driven surplus
Publication date: Available online 4 March 2017 Source:Insurance: Mathematics and Economics Author(s): Yasutaka Shimizu, Zhimin Zhang Consider an insurance surplus process driven by a Lévy...
View ArticleEquity-linked annuity pricing with cliquet-style guarantees in...
Publication date: Available online 6 March 2017 Source:Insurance: Mathematics and Economics Author(s): Zhenyu Cui, J. Lars Kirkby, Duy Nguyen In this paper, we develop a novel and efficient...
View ArticleContagion modeling between the financial and insurance markets with time...
Publication date: Available online 6 March 2017 Source:Insurance: Mathematics and Economics Author(s): Donatien Hainaut This study analyses the impact of contagion between financial and non-life...
View Articlerisk measures in a quantile regression credibility framework with Fama/French...
Publication date: Available online 7 March 2017 Source:Insurance: Mathematics and Economics Author(s): Georgios Pitselis In this paper we extend the idea of embedding the classical credibility model...
View ArticleBootstrap consistency and bias correction in the nonparametric estimation of...
Publication date: Available online 10 March 2017 Source:Insurance: Mathematics and Economics Author(s): Alexandra Lauer, Henryk Zähle We consider two nonparametric estimators for the risk measure of...
View ArticleEditorial Board
Publication date: March 2017 Source:Insurance: Mathematics and Economics, Volume 73
View ArticleMultiple risk factor dependence structures: Copulas and related properties
Publication date: Available online 21 March 2017 Source:Insurance: Mathematics and Economics Author(s): Jianxi Su, Edward Furman Copulas have become an important tool in the modern best practice...
View ArticleA new uncertain insurance model with variational lower limit
Publication date: Available online 29 March 2017 Source:Insurance: Mathematics and Economics Author(s): Yang Liu, Xingfang Zhang, Weimin Ma Uncertainty theory provides a new tool to deal with...
View ArticleOptimal periodic dividend and capital injection problem for spectrally...
Publication date: Available online 30 March 2017 Source:Insurance: Mathematics and Economics Author(s): Yongxia Zhao, Ping Chen, Hailiang Yang In this paper, we investigate an optimal periodic...
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