Pazdera, Jaroslav; Schumacher, Johannes M.; Werker, Bas J. M. Cooperative investment in incomplete markets under financial fairness. (English) Zbl 1371.91163 Insur. Math. Econ. 71, 394-406 (2016). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{J. Pazdera} et al., Insur. Math. Econ. 71, 394--406 (2016; Zbl 1371.91163) Full Text: DOI
Eckert, Johanna; Gatzert, Nadine; Martin, Michael Valuation and risk assessment of participating life insurance in the presence of credit risk. (English) Zbl 1371.91086 Insur. Math. Econ. 71, 382-393 (2016). MSC: 91B30 91G20 91G40 60H30 PDFBibTeX XMLCite \textit{J. Eckert} et al., Insur. Math. Econ. 71, 382--393 (2016; Zbl 1371.91086) Full Text: DOI
Hainaut, Donatien Impact of volatility clustering on equity indexed annuities. (English) Zbl 1371.91090 Insur. Math. Econ. 71, 367-381 (2016). MSC: 91B30 62P05 60G55 60J75 PDFBibTeX XMLCite \textit{D. Hainaut}, Insur. Math. Econ. 71, 367--381 (2016; Zbl 1371.91090) Full Text: DOI
Kwok, Kai Yin; Chiu, Mei Choi; Wong, Hoi Ying Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration. (English) Zbl 1371.91096 Insur. Math. Econ. 71, 353-366 (2016). MSC: 91B30 91G10 91A15 PDFBibTeX XMLCite \textit{K. Y. Kwok} et al., Insur. Math. Econ. 71, 353--366 (2016; Zbl 1371.91096) Full Text: DOI
Delong, Łukasz; Chen, An Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting. (English) Zbl 1371.91154 Insur. Math. Econ. 71, 342-352 (2016). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{Ł. Delong} and \textit{A. Chen}, Insur. Math. Econ. 71, 342--352 (2016; Zbl 1371.91154) Full Text: DOI
Asimit, Alexandru V.; Li, Jinzhu Extremes for coherent risk measures. (English) Zbl 1371.91075 Insur. Math. Econ. 71, 332-341 (2016). MSC: 91B30 62P05 60G70 62G32 PDFBibTeX XMLCite \textit{A. V. Asimit} and \textit{J. Li}, Insur. Math. Econ. 71, 332--341 (2016; Zbl 1371.91075) Full Text: DOI Link
Barsotti, Flavia; Milhaud, Xavier; Salhi, Yahia Lapse risk in life insurance: correlation and contagion effects among policyholders’ behaviors. (English) Zbl 1371.91079 Insur. Math. Econ. 71, 317-331 (2016). MSC: 91B30 62P05 60G55 PDFBibTeX XMLCite \textit{F. Barsotti} et al., Insur. Math. Econ. 71, 317--331 (2016; Zbl 1371.91079) Full Text: DOI HAL
Jin, Can; Li, Shuanming; Wu, Xueyuan On the occupation times in a delayed Sparre Andersen risk model with exponential claims. (English) Zbl 1371.91094 Insur. Math. Econ. 71, 304-316 (2016). MSC: 91B30 62P05 60G51 60K10 PDFBibTeX XMLCite \textit{C. Jin} et al., Insur. Math. Econ. 71, 304--316 (2016; Zbl 1371.91094) Full Text: DOI Link
Denuit, Michel; Trufin, Julien From regulatory life tables to stochastic mortality projections: the exponential decline model. (English) Zbl 1371.91085 Insur. Math. Econ. 71, 295-303 (2016). MSC: 91B30 62P05 91D20 PDFBibTeX XMLCite \textit{M. Denuit} and \textit{J. Trufin}, Insur. Math. Econ. 71, 295--303 (2016; Zbl 1371.91085) Full Text: DOI Link
Landriault, David; Li, Bin; Li, Danping; Li, Dongchen A pair of optimal reinsurance-investment strategies in the two-sided exit framework. (English) Zbl 1371.91097 Insur. Math. Econ. 71, 284-294 (2016). MSC: 91B30 93E20 91G10 PDFBibTeX XMLCite \textit{D. Landriault} et al., Insur. Math. Econ. 71, 284--294 (2016; Zbl 1371.91097) Full Text: DOI
Maurer, Raimond; Mitchell, Olivia S.; Rogalla, Ralph; Siegelin, Ivonne Accounting and actuarial smoothing of retirement payouts in participating life annuities. (English) Zbl 1371.91105 Insur. Math. Econ. 71, 268-283 (2016). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{R. Maurer} et al., Insur. Math. Econ. 71, 268--283 (2016; Zbl 1371.91105) Full Text: DOI
Chen, Lv; Qian, Linyi; Shen, Yang; Wang, Wei Constrained investment-reinsurance optimization with regime switching under variance premium principle. (English) Zbl 1371.91083 Insur. Math. Econ. 71, 253-267 (2016). MSC: 91B30 93E20 91G10 PDFBibTeX XMLCite \textit{L. Chen} et al., Insur. Math. Econ. 71, 253--267 (2016; Zbl 1371.91083) Full Text: DOI
Bayerstadler, Andreas; van Dijk, Linda; Winter, Fabian Bayesian multinomial latent variable modeling for fraud and abuse detection in health insurance. (English) Zbl 1373.62510 Insur. Math. Econ. 71, 244-252 (2016). MSC: 62P05 62J12 91B30 PDFBibTeX XMLCite \textit{A. Bayerstadler} et al., Insur. Math. Econ. 71, 244--252 (2016; Zbl 1373.62510) Full Text: DOI
Zhang, Nan; Jin, Zhuo; Li, Shuanming; Chen, Ping Optimal reinsurance under dynamic VaR constraint. (English) Zbl 1371.91112 Insur. Math. Econ. 71, 232-243 (2016). MSC: 91B30 93E20 91G70 PDFBibTeX XMLCite \textit{N. Zhang} et al., Insur. Math. Econ. 71, 232--243 (2016; Zbl 1371.91112) Full Text: DOI Link
Ling, Chengxiu; Peng, Zuoxiang Tail asymptotics of generalized deflated risks with insurance applications. (English) Zbl 1371.91102 Insur. Math. Econ. 71, 220-231 (2016). MSC: 91B30 62G32 60G70 PDFBibTeX XMLCite \textit{C. Ling} and \textit{Z. Peng}, Insur. Math. Econ. 71, 220--231 (2016; Zbl 1371.91102) Full Text: DOI
Deelstra, Griselda; Grasselli, Martino; Van Weverberg, Christopher The role of the dependence between mortality and interest rates when pricing guaranteed annuity options. (English) Zbl 1371.91084 Insur. Math. Econ. 71, 205-219 (2016). MSC: 91B30 91G20 91G30 PDFBibTeX XMLCite \textit{G. Deelstra} et al., Insur. Math. Econ. 71, 205--219 (2016; Zbl 1371.91084) Full Text: DOI
Li, Jinzhu Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return. (English) Zbl 1371.91100 Insur. Math. Econ. 71, 195-204 (2016). MSC: 91B30 62P05 62E10 62G32 PDFBibTeX XMLCite \textit{J. Li}, Insur. Math. Econ. 71, 195--204 (2016; Zbl 1371.91100) Full Text: DOI
Jodrá, P.; Jiménez-Gamero, M. D. A note on the log-Lindley distribution. (English) Zbl 1371.60039 Insur. Math. Econ. 71, 189-194 (2016). MSC: 60E05 62F12 90B05 PDFBibTeX XMLCite \textit{P. Jodrá} and \textit{M. D. Jiménez-Gamero}, Insur. Math. Econ. 71, 189--194 (2016; Zbl 1371.60039) Full Text: DOI
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer Tail conditional moments for elliptical and log-elliptical distributions. (English) Zbl 1371.60041 Insur. Math. Econ. 71, 179-188 (2016). MSC: 60E05 91B30 62P05 PDFBibTeX XMLCite \textit{Z. Landsman} et al., Insur. Math. Econ. 71, 179--188 (2016; Zbl 1371.60041) Full Text: DOI
Liang, Zongxia; Zhao, Xiaoyang Optimal mean-variance efficiency of a family with life insurance under inflation risk. (English) Zbl 1371.91158 Insur. Math. Econ. 71, 164-178 (2016). MSC: 91G10 91B30 93E20 PDFBibTeX XMLCite \textit{Z. Liang} and \textit{X. Zhao}, Insur. Math. Econ. 71, 164--178 (2016; Zbl 1371.91158) Full Text: DOI
Sarabia, José María; Gómez-Déniz, Emilio; Prieto, Faustino; Jordá, Vanesa Risk aggregation in multivariate dependent Pareto distributions. (English) Zbl 1371.91107 Insur. Math. Econ. 71, 154-163 (2016). MSC: 91B30 62P05 60E05 62E15 PDFBibTeX XMLCite \textit{J. M. Sarabia} et al., Insur. Math. Econ. 71, 154--163 (2016; Zbl 1371.91107) Full Text: DOI arXiv
Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia Loss data analysis: analysis of the sample dependence in density reconstruction by maxentropic methods. (English) Zbl 1373.62516 Insur. Math. Econ. 71, 145-153 (2016). MSC: 62P05 62G07 91B30 PDFBibTeX XMLCite \textit{E. Gomes-Gonçalves} et al., Insur. Math. Econ. 71, 145--153 (2016; Zbl 1373.62516) Full Text: DOI Link
Schmidli, Hanspeter On capital injections and dividends with tax in a classical risk model. (English) Zbl 1371.91108 Insur. Math. Econ. 71, 138-144 (2016). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{H. Schmidli}, Insur. Math. Econ. 71, 138--144 (2016; Zbl 1371.91108) Full Text: DOI
de Jong, Piet; Tickle, Leonie; Xu, Jianhui Coherent modeling of male and female mortality using Lee-Carter in a complex number framework. (English) Zbl 1371.91114 Insur. Math. Econ. 71, 130-137 (2016). MSC: 91B30 91D20 62P05 PDFBibTeX XMLCite \textit{P. de Jong} et al., Insur. Math. Econ. 71, 130--137 (2016; Zbl 1371.91114) Full Text: DOI
Biagini, Francesca; Zhang, Yinglin Polynomial diffusion models for life insurance liabilities. (English) Zbl 1371.91081 Insur. Math. Econ. 71, 114-129 (2016). MSC: 91B30 91G20 60G44 PDFBibTeX XMLCite \textit{F. Biagini} and \textit{Y. Zhang}, Insur. Math. Econ. 71, 114--129 (2016; Zbl 1371.91081) Full Text: DOI arXiv
Yao, Haixiang; Chen, Ping; Li, Xun Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. (English) Zbl 1371.91171 Insur. Math. Econ. 71, 103-113 (2016). MSC: 91G10 91B30 93E20 PDFBibTeX XMLCite \textit{H. Yao} et al., Insur. Math. Econ. 71, 103--113 (2016; Zbl 1371.91171) Full Text: DOI Link
Lagerås, Andreas; Lindholm, Mathias Issues with the Smith-Wilson method. (English) Zbl 1371.91201 Insur. Math. Econ. 71, 93-102 (2016). MSC: 91G99 60G15 91G30 PDFBibTeX XMLCite \textit{A. Lagerås} and \textit{M. Lindholm}, Insur. Math. Econ. 71, 93--102 (2016; Zbl 1371.91201) Full Text: DOI arXiv
Manesh, Sirous Fathi; Khaledi, Baha-Eldin; Dhaene, Jan Optimal allocation of policy deductibles for exchangeable risks. (English) Zbl 1371.91104 Insur. Math. Econ. 71, 87-92 (2016). MSC: 91B30 62P05 60E15 PDFBibTeX XMLCite \textit{S. F. Manesh} et al., Insur. Math. Econ. 71, 87--92 (2016; Zbl 1371.91104) Full Text: DOI
Wang, Xingchun Catastrophe equity put options with target variance. (English) Zbl 1371.91184 Insur. Math. Econ. 71, 79-86 (2016). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{X. Wang}, Insur. Math. Econ. 71, 79--86 (2016; Zbl 1371.91184) Full Text: DOI
Avanzi, Benjamin; Taylor, Greg; Vu, Phuong Anh; Wong, Bernard Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach. (English) Zbl 1371.91076 Insur. Math. Econ. 71, 63-78 (2016). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{B. Avanzi} et al., Insur. Math. Econ. 71, 63--78 (2016; Zbl 1371.91076) Full Text: DOI Link
Huang, Huaxiong; Milevsky, Moshe A. Longevity risk and retirement income tax efficiency: a location spending rate puzzle. (English) Zbl 1371.91093 Insur. Math. Econ. 71, 50-62 (2016). MSC: 91B30 91G10 91B42 PDFBibTeX XMLCite \textit{H. Huang} and \textit{M. A. Milevsky}, Insur. Math. Econ. 71, 50--62 (2016; Zbl 1371.91093) Full Text: DOI
Lin, X. Sheldon; Wu, Panpan; Wang, Xiao Move-based hedging of variable annuities: a semi-analytic approach. (English) Zbl 1371.91179 Insur. Math. Econ. 71, 40-49 (2016). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{X. S. Lin} et al., Insur. Math. Econ. 71, 40--49 (2016; Zbl 1371.91179) Full Text: DOI
Avram, F.; Badescu, A. L.; Pistorius, M. R.; Rabehasaina, L. On a class of dependent Sparre Andersen risk models and a bailout application. (English) Zbl 1371.91078 Insur. Math. Econ. 71, 27-39 (2016). MSC: 91B30 60K30 60G51 60J75 PDFBibTeX XMLCite \textit{F. Avram} et al., Insur. Math. Econ. 71, 27--39 (2016; Zbl 1371.91078) Full Text: DOI Link
Floryszczak, Anthony; Le Courtois, Olivier; Majri, Mohamed Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach. (English) Zbl 1371.91088 Insur. Math. Econ. 71, 15-26 (2016). MSC: 91B30 62P05 91G60 PDFBibTeX XMLCite \textit{A. Floryszczak} et al., Insur. Math. Econ. 71, 15--26 (2016; Zbl 1371.91088) Full Text: DOI
Avanzi, Benjamin; Wong, Bernard; Yang, Xinda A micro-level claim count model with overdispersion and reporting delays. (English) Zbl 1371.91077 Insur. Math. Econ. 71, 1-14 (2016). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{B. Avanzi} et al., Insur. Math. Econ. 71, 1--14 (2016; Zbl 1371.91077) Full Text: DOI Link