Characterization of acceptance sets for co-monotone risk measures
Publication date: Available online 30 March 2017 Source:Insurance: Mathematics and Economics Author(s): Marc Oliver Rieger We present a geometric characterization of acceptance sets for monotone,...
View ArticleA state dependent reinsurance model
Publication date: Available online 31 March 2017 Source:Insurance: Mathematics and Economics Author(s): Onno Boxma, Esther Frostig, David Perry, Rami Yosef We consider the surplus of an insurance...
View ArticleParisian ruin for a refracted Lévy process
Publication date: Available online 4 April 2017 Source:Insurance: Mathematics and Economics Author(s): Mohamed Amine Lkabous, Irmina Czarna, Jean-François Renaud In this paper, we investigate Parisian...
View ArticleSustainability of participation in collective pension schemes: An option...
Publication date: Available online 13 April 2017 Source:Insurance: Mathematics and Economics Author(s): Damiaan H.J. Chen, Roel M.W.J. Beetsma, Dirk W.G.A. Broeders, Antoon A.J. Pelsser This paper...
View ArticleOn some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and...
Publication date: Available online 13 April 2017 Source:Insurance: Mathematics and Economics Author(s): Gildas Ratovomirija, Maissa Tamraz, Raluca Vernic Following some recent works on risk...
View ArticleOptimal hedging with basis risk under mean-variance criterion
Publication date: Available online 17 April 2017 Source:Insurance: Mathematics and Economics Author(s): Jingong Zhang, Ken Seng Tan, Chengguo Weng Basis risk occurs naturally in a number of financial...
View ArticleAnalysis of survivorship life insurance portfolios with stochastic rates of...
Publication date: Available online 24 April 2017 Source:Insurance: Mathematics and Economics Author(s): Li Chen, Luyao Lin, Yi Lu, Gary Parker A general portfolio of survivorship life insurance...
View ArticleOptimal consumption, investment and housing with means-tested public pension...
Publication date: Available online 25 April 2017 Source:Insurance: Mathematics and Economics Author(s): Johan G. Andréasson, Pavel V. Shevchenko, Alex Novikov In this paper, we develop an expected...
View ArticleFive different distributions for the Lee–Carter model of mortality...
Publication date: Available online 26 April 2017 Source:Insurance: Mathematics and Economics Author(s): César Neves, Cristiano Fernandes, Henrique Hoeltgebaum This paper extends the well-known...
View ArticleMulti-year non-life insurance risk of dependent lines of business in the...
Publication date: Available online 3 May 2017 Source:Insurance: Mathematics and Economics Author(s): Lukas Hahn We derive analytical estimators of non-life insurance risk in multi-year view for the...
View ArticleA reinsurance and investment game between two insurance companies with the...
Publication date: Available online 5 May 2017 Source:Insurance: Mathematics and Economics Author(s): Ming Yan, Fanyi Peng, Shuhua Zhang The work studies a reinsurance and investment game between two...
View ArticleEditorial Board
Publication date: May 2017 Source:Insurance: Mathematics and Economics, Volume 74
View ArticleThe joint mortality of couples in continuous time
Publication date: Available online 18 May 2017 Source:Insurance: Mathematics and Economics Author(s): P. Jevtić, T.R. Hurd This paper introduces a probabilistic framework for the joint survivorship of...
View ArticleOptimality of excess-loss reinsurance under a mean–variance criterion
Publication date: Available online 18 May 2017 Source:Insurance: Mathematics and Economics Author(s): Danping Li, Dongchen Li, Virginia R. Young In this paper, we study an insurer’s...
View ArticleIdentifiability issues of age-period and age-period-cohort models of the...
Publication date: Available online 19 May 2017 Source:Insurance: Mathematics and Economics Author(s): Eric Beutner, Simon Reese, Jean-Pierre Urbain The predominant way of modelling mortality rates is...
View ArticleFuzzy logic modifications of the Analytic Hierarchy Process
Publication date: Available online 24 May 2017 Source:Insurance: Mathematics and Economics Author(s): Arnold F. Shapiro, Marie-Claire Koissi The Analytic Hierarchy Process (AHP) is a measurement...
View ArticleTail subadditivity of distortion risk measures and multivariate tail...
Publication date: Available online 25 May 2017 Source:Insurance: Mathematics and Economics Author(s): Jun Cai, Ying Wang, Tiantian Mao In this paper, we extend the concept of tail subadditivity...
View ArticleConfidence sets and confidence bands for a beta distribution with...
Publication date: Available online 26 May 2017 Source:Insurance: Mathematics and Economics Author(s): Seksan Kiatsupaibul, Anthony J. Hayter, Sarunya Somsong Incorporating statistical multiple...
View ArticleData breaches: Goodness of fit, pricing, and risk measurement
Publication date: Available online 26 May 2017 Source:Insurance: Mathematics and Economics Author(s): Martin Eling, Nicola Loperfido Some research on cyber risk has been conducted in the field of...
View ArticleCharacterization of between-group inequality of longevity in European Union...
Publication date: Available online 7 June 2017 Source:Insurance: Mathematics and Economics Author(s): A. Debón, L. Chaves, S. Haberman, F. Villa Comparisons of differential survival by country are...
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