Grouped multivariate and functional time series forecasting: An application...
Publication date: Available online 10 June 2017 Source:Insurance: Mathematics and Economics Author(s): Han Lin Shang, Steven Haberman Age-specific mortality rates are often disaggregated by different...
View ArticleThe fundamental theorem of mutual insurance
Publication date: Available online 13 June 2017 Source:Insurance: Mathematics and Economics Author(s): Peter Albrecht, Markus Huggenberger The essence of mutual insurance is the notion that...
View ArticleHierarchical Archimedean copulas through multivariate compound distributions
Publication date: Available online 19 June 2017 Source:Insurance: Mathematics and Economics Author(s): Hélène Cossette, Simon-Pierre Gadoury, Étienne Marceau, Itre Mtalai In this paper, we propose a...
View ArticleFair valuation of insurance liabilities: Merging actuarial judgement and...
Publication date: Available online 20 June 2017 Source:Insurance: Mathematics and Economics Author(s): Jan Dhaene, Ben Stassen, Karim Barigou, Daniël Linders, Ze Chen In this paper, we investigate the...
View ArticleAsset allocation under loss aversion and minimum performance constraint in a...
Publication date: July 2017 Source:Insurance: Mathematics and Economics, Volume 75 Author(s): Zheng Chen, Zhongfei Li, Yan Zeng, Jingyun Sun In this paper we investigate an optimal investment strategy...
View ArticleMultiple risk factor dependence structures: Distributional properties
Publication date: Available online 3 July 2017 Source:Insurance: Mathematics and Economics Author(s): Jianxi Su, Edward Furman We introduce a class of dependence structures that we call the Multiple...
View ArticleOn taxed spectrally negative Lévy processes with draw-down stopping
Publication date: Available online 5 July 2017 Source:Insurance: Mathematics and Economics Author(s): Florin Avram, Nhat Linh Vu, Xiaowen Zhou In this paper we consider a spectrally negative Lévy risk...
View ArticleDe Vylder approximation to the optimal retention for a combination of...
Publication date: Available online 6 July 2017 Source:Insurance: Mathematics and Economics Author(s): Xiang Hu, Baige Duan, Lianzeng Zhang This paper considers the optimal retention in a combination...
View ArticleHaezendonck-Goovaerts risk measure with a heavy tailed loss
Publication date: Available online 8 July 2017 Source:Insurance: Mathematics and Economics Author(s): Qing Liu, Liang Peng, Xing Wang Recently Haezendonck-Goovaerts (H-G) risk measure has received...
View ArticleEditorial Board
Publication date: July 2017 Source:Insurance: Mathematics and Economics, Volume 75
View ArticleEfficient randomized quasi-Monte Carlo methods for portfolio market risk
Publication date: Available online 19 July 2017 Source:Insurance: Mathematics and Economics Author(s): Halis Sak, İsmail Başoğlu We consider the problem of simulating loss probabilities and...
View ArticleLongevity-linked assets and pre-retirement consumption/portfolio decisions
Publication date: Available online 19 July 2017 Source:Insurance: Mathematics and Economics Author(s): Francesco Menoncin, Luca Regis We solve the consumption/investment problem of an agent facing a...
View ArticleEvaluation of credit value adjustment in K-forward
Publication date: Available online 20 July 2017 Source:Insurance: Mathematics and Economics Author(s): Xuemiao Hao, Chunli Liang, Linghua Wei We model and quantify counterparty credit risk for...
View ArticleValuation of variable annuities with Guaranteed Minimum Withdrawal Benefit...
Publication date: Available online 25 July 2017 Source:Insurance: Mathematics and Economics Author(s): Pavel V. Shevchenko, Xiaolin Luo This paper develops an efficient direct integration method for...
View ArticleModeling partial Greeks of variable annuities with dependence
Publication date: Available online 2 August 2017 Source:Insurance: Mathematics and Economics Author(s): Guojun Gan, Emiliano A. Valdez Dynamic hedging used to mitigate the financial risks associated...
View ArticleRobust Bayesian estimation and prediction of reserves in exponential model...
Publication date: Available online 2 August 2017 Source:Insurance: Mathematics and Economics Author(s): Agata Boratyńska The exponential families with quadratic variance function, conjugate families...
View ArticleJoint stochastic orders of high degrees and their applications in portfolio...
Publication date: Available online 3 August 2017 Source:Insurance: Mathematics and Economics Author(s): Wei Wei In this paper, we propose two new classes of joint stochastic orders, namely joint...
View ArticleUnit-linked life insurance policies: Optimal hedging in partially observable...
Publication date: Available online 7 August 2017 Source:Insurance: Mathematics and Economics Author(s): Claudia Ceci, Katia Colaneri, Alessandra Cretarola In this paper we investigate the hedging...
View ArticleOptimal insurance design in the presence of exclusion clauses
Publication date: Available online 8 August 2017 Source:Insurance: Mathematics and Economics Author(s): Yichun Chi, Fangda Liu The present work studies the design of an optimal insurance policy from...
View ArticleSolvency II reporting: How to interpret funds’ aggregate solvency capital...
Publication date: Available online 14 August 2017 Source:Insurance: Mathematics and Economics Author(s): Balázs Mezőfi, Andras Niedermayer, Daniel Niedermayer, Balázs Márton Süli Depending on the...
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