Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment. (English) Zbl 07804023 Insur. Math. Econ. 114, 132-155 (2024). MSC: 91G05 PDFBibTeX XMLCite \textit{K. Kizaki} et al., Insur. Math. Econ. 114, 132--155 (2024; Zbl 07804023) Full Text: DOI
Yang, Yang; Wang, Guojing; Yao, Jing Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks. (English) Zbl 07804021 Insur. Math. Econ. 114, 79-107 (2024). MSC: 91G05 91A15 91A80 PDFBibTeX XMLCite \textit{Y. Yang} et al., Insur. Math. Econ. 114, 79--107 (2024; Zbl 07804021) Full Text: DOI
Wang, Ning; Zhang, Yumo Robust optimal asset-liability management with mispricing and stochastic factor market dynamics. (English) Zbl 07804011 Insur. Math. Econ. 113, 251-273 (2023). MSC: 91G05 60H30 PDFBibTeX XMLCite \textit{N. Wang} and \textit{Y. Zhang}, Insur. Math. Econ. 113, 251--273 (2023; Zbl 07804011) Full Text: DOI
Cheung, Ka Chun; He, Wanting; Wang, He Multi-constrained optimal reinsurance model from the duality perspectives. (English) Zbl 07804008 Insur. Math. Econ. 113, 199-214 (2023). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{K. C. Cheung} et al., Insur. Math. Econ. 113, 199--214 (2023; Zbl 07804008) Full Text: DOI
Yuan, Meng; Lu, Dawei Asymptotics for a time-dependent by-claim model with dependent subexponential claims. (English) Zbl 1522.62096 Insur. Math. Econ. 112, 120-141 (2023). MSC: 62P05 62E20 91B05 PDFBibTeX XMLCite \textit{M. Yuan} and \textit{D. Lu}, Insur. Math. Econ. 112, 120--141 (2023; Zbl 1522.62096) Full Text: DOI
Meng, Hui; Wei, Li; Zhou, Ming Multiple per-claim reinsurance based on maximizing the Lundberg exponent. (English) Zbl 07749727 Insur. Math. Econ. 112, 33-47 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDFBibTeX XMLCite \textit{H. Meng} et al., Insur. Math. Econ. 112, 33--47 (2023; Zbl 07749727) Full Text: DOI
Lauzier, Jean-Gabriel; Lin, Liyuan; Wang, Ruodu Pairwise counter-monotonicity. (English) Zbl 1520.91336 Insur. Math. Econ. 111, 279-287 (2023). MSC: 91G05 PDFBibTeX XMLCite \textit{J.-G. Lauzier} et al., Insur. Math. Econ. 111, 279--287 (2023; Zbl 1520.91336) Full Text: DOI arXiv
Lkabous, Mohamed Amine; Wang, Zijia On the area in the red of Lévy risk processes and related quantities. (English) Zbl 1520.91340 Insur. Math. Econ. 111, 257-278 (2023). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{M. A. Lkabous} and \textit{Z. Wang}, Insur. Math. Econ. 111, 257--278 (2023; Zbl 1520.91340) Full Text: DOI
Cheung, Eric C. K.; Zhu, Wei Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims. (English) Zbl 1520.91319 Insur. Math. Econ. 111, 84-101 (2023). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{E. C. K. Cheung} and \textit{W. Zhu}, Insur. Math. Econ. 111, 84--101 (2023; Zbl 1520.91319) Full Text: DOI
Yan, Tingjin; Han, Jinhui; Ma, Guiyuan; Siu, Chi Chung Dynamic asset-liability management with frictions. (English) Zbl 1520.91359 Insur. Math. Econ. 111, 57-83 (2023). MSC: 91G05 PDFBibTeX XMLCite \textit{T. Yan} et al., Insur. Math. Econ. 111, 57--83 (2023; Zbl 1520.91359) Full Text: DOI
Nguyen, Duy Phat; Borovkov, Konstantin Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes. (English) Zbl 1519.91219 Insur. Math. Econ. 110, 72-81 (2023). Reviewer: Tamás Mátrai (Edinburgh) MSC: 91G05 44A10 60G40 60G51 PDFBibTeX XMLCite \textit{D. P. Nguyen} and \textit{K. Borovkov}, Insur. Math. Econ. 110, 72--81 (2023; Zbl 1519.91219) Full Text: DOI arXiv
He, Yue; Kawai, Reiichiro; Shimizu, Yasutaka; Yamazaki, Kazutoshi The Gerber-Shiu discounted penalty function: a review from practical perspectives. (English) Zbl 1508.91474 Insur. Math. Econ. 109, 1-28 (2023). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{Y. He} et al., Insur. Math. Econ. 109, 1--28 (2023; Zbl 1508.91474) Full Text: DOI arXiv
Fung, Tsz Chai Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models. (English) Zbl 1514.91170 Insur. Math. Econ. 107, 180-198 (2022). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 62P05 62G32 PDFBibTeX XMLCite \textit{T. C. Fung}, Insur. Math. Econ. 107, 180--198 (2022; Zbl 1514.91170) Full Text: DOI arXiv
Hanbali, Hamza; Dhaene, Jan; Linders, Daniël Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables. (English) Zbl 1508.91473 Insur. Math. Econ. 107, 22-37 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDFBibTeX XMLCite \textit{H. Hanbali} et al., Insur. Math. Econ. 107, 22--37 (2022; Zbl 1508.91473) Full Text: DOI
Cheung, Eric C. K.; Peralta, Oscar; Woo, Jae-Kyung Multivariate matrix-exponential affine mixtures and their applications in risk theory. (English) Zbl 1498.91354 Insur. Math. Econ. 106, 364-389 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{E. C. K. Cheung} et al., Insur. Math. Econ. 106, 364--389 (2022; Zbl 1498.91354) Full Text: DOI arXiv
Guan, Guohui; Hu, Jiaqi; Liang, Zongxia Robust equilibrium strategies in a defined benefit pension plan game. (English) Zbl 1498.91358 Insur. Math. Econ. 106, 193-217 (2022). MSC: 91G05 91A15 91A80 PDFBibTeX XMLCite \textit{G. Guan} et al., Insur. Math. Econ. 106, 193--217 (2022; Zbl 1498.91358) Full Text: DOI arXiv
Ferrari, Giorgio; Schuhmann, Patrick; Zhu, Shihao Optimal dividends under Markov-modulated bankruptcy level. (English) Zbl 1503.91088 Insur. Math. Econ. 106, 146-172 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{G. Ferrari} et al., Insur. Math. Econ. 106, 146--172 (2022; Zbl 1503.91088) Full Text: DOI arXiv
Ma, Boyuan; Chu, Tingjin; Jin, Zhuo Frequency and severity estimation of cyber attacks using spatial clustering analysis. (English) Zbl 1498.91107 Insur. Math. Econ. 106, 33-45 (2022). MSC: 91B05 62H30 PDFBibTeX XMLCite \textit{B. Ma} et al., Insur. Math. Econ. 106, 33--45 (2022; Zbl 1498.91107) Full Text: DOI
Feng, Runhuan; Li, Peng Sample recycling method – a new approach to efficient nested Monte Carlo simulations. (English) Zbl 1492.91423 Insur. Math. Econ. 105, 336-359 (2022). MSC: 91G60 91G05 PDFBibTeX XMLCite \textit{R. Feng} and \textit{P. Li}, Insur. Math. Econ. 105, 336--359 (2022; Zbl 1492.91423) Full Text: DOI arXiv
Albrecher, Hansjörg; Finger, Dina; Goffard, Pierre-O. Blockchain mining in pools: analyzing the trade-off between profitability and ruin. (English) Zbl 1492.91269 Insur. Math. Econ. 105, 313-335 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 105, 313--335 (2022; Zbl 1492.91269) Full Text: DOI arXiv
Landsman, Zinoviy; Shushi, Tomer The location of a minimum variance squared distance functional. (English) Zbl 1492.91433 Insur. Math. Econ. 105, 64-78 (2022). MSC: 91G70 91G05 PDFBibTeX XMLCite \textit{Z. Landsman} and \textit{T. Shushi}, Insur. Math. Econ. 105, 64--78 (2022; Zbl 1492.91433) Full Text: DOI
Escobar-Anel, Marcos; Havrylenko, Yevhen; Kschonnek, Michel; Zagst, Rudi Decrease of capital guarantees in life insurance products: can reinsurance stop it? (English) Zbl 1492.91287 Insur. Math. Econ. 105, 14-40 (2022). MSC: 91G05 91G10 91G70 PDFBibTeX XMLCite \textit{M. Escobar-Anel} et al., Insur. Math. Econ. 105, 14--40 (2022; Zbl 1492.91287) Full Text: DOI arXiv
Crevecoeur, Jonas; Robben, Jens; Antonio, Katrien A hierarchical reserving model for reported non-life insurance claims. (English) Zbl 1492.91284 Insur. Math. Econ. 104, 158-184 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDFBibTeX XMLCite \textit{J. Crevecoeur} et al., Insur. Math. Econ. 104, 158--184 (2022; Zbl 1492.91284) Full Text: DOI arXiv
Wang, Wenyuan; Xie, Jiayi; Zhang, Zhimin Estimating the time value of ruin in a Lévy risk model under low-frequency observation. (English) Zbl 1490.91178 Insur. Math. Econ. 104, 133-157 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{W. Wang} et al., Insur. Math. Econ. 104, 133--157 (2022; Zbl 1490.91178) Full Text: DOI
Albrecher, Hansjörg; Cheung, Eric C. K.; Liu, Haibo; Woo, Jae-Kyung A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. (English) Zbl 1484.91366 Insur. Math. Econ. 103, 96-118 (2022). MSC: 91G05 45K05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 103, 96--118 (2022; Zbl 1484.91366) Full Text: DOI
Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel; Heras, Antonio Risk transference constraints in optimal reinsurance. (English) Zbl 1484.91370 Insur. Math. Econ. 103, 27-40 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{A. Balbás} et al., Insur. Math. Econ. 103, 27--40 (2022; Zbl 1484.91370) Full Text: DOI
Huang, Yiming; Mamon, Rogemar; Xiong, Heng Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. (English) Zbl 1484.91387 Insur. Math. Econ. 103, 1-26 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{Y. Huang} et al., Insur. Math. Econ. 103, 1--26 (2022; Zbl 1484.91387) Full Text: DOI
Chen, Yuyu; Lin, Liyuan; Wang, Ruodu Risk aggregation under dependence uncertainty and an order constraint. (English) Zbl 1484.91378 Insur. Math. Econ. 102, 169-187 (2022). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{Y. Chen} et al., Insur. Math. Econ. 102, 169--187 (2022; Zbl 1484.91378) Full Text: DOI arXiv
Vernic, Raluca; Bolancé, Catalina; Alemany, Ramon Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims. (English) Zbl 1484.91410 Insur. Math. Econ. 102, 111-125 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{R. Vernic} et al., Insur. Math. Econ. 102, 111--125 (2022; Zbl 1484.91410) Full Text: DOI
Tzougas, George; Pignatelli di Cerchiara, Alice The multivariate mixed negative binomial regression model with an application to insurance a posteriori ratemaking. (English) Zbl 1475.91319 Insur. Math. Econ. 101, 602-625 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{G. Tzougas} and \textit{A. Pignatelli di Cerchiara}, Insur. Math. Econ. 101, 602--625 (2021; Zbl 1475.91319) Full Text: DOI
Da, Gaofeng; Xu, Maochao; Zhao, Peng Multivariate dependence among cyber risks based on \(L\)-hop propagation. (English) Zbl 1475.91056 Insur. Math. Econ. 101, 525-546 (2021). MSC: 91B05 68M25 PDFBibTeX XMLCite \textit{G. Da} et al., Insur. Math. Econ. 101, 525--546 (2021; Zbl 1475.91056) Full Text: DOI
Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V. Gamma mixture density networks and their application to modelling insurance claim amounts. (English) Zbl 1475.91294 Insur. Math. Econ. 101, 240-261 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{Ł. Delong} et al., Insur. Math. Econ. 101, 240--261 (2021; Zbl 1475.91294) Full Text: DOI
Brinker, Leonie Violetta; Eisenberg, Julia Dividend optimisation: a behaviouristic approach. (English) Zbl 1478.91162 Insur. Math. Econ. 101, 202-224 (2021). MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{L. V. Brinker} and \textit{J. Eisenberg}, Insur. Math. Econ. 101, 202--224 (2021; Zbl 1478.91162) Full Text: DOI
Boonen, Tim J.; Ghossoub, Mario Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs. (English) Zbl 1475.91285 Insur. Math. Econ. 101, 23-37 (2021). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{T. J. Boonen} and \textit{M. Ghossoub}, Insur. Math. Econ. 101, 23--37 (2021; Zbl 1475.91285) Full Text: DOI
Kirkby, J. Lars; Nguyen, Duy Equity-linked guaranteed minimum death benefits with dollar cost averaging. (English) Zbl 1471.91465 Insur. Math. Econ. 100, 408-428 (2021). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{J. L. Kirkby} and \textit{D. Nguyen}, Insur. Math. Econ. 100, 408--428 (2021; Zbl 1471.91465) Full Text: DOI
Wang, Pei; Shen, Yang; Zhang, Ling; Kang, Yuxin Equilibrium investment strategy for a DC pension plan with learning about stock return predictability. (English) Zbl 1471.91486 Insur. Math. Econ. 100, 384-407 (2021). MSC: 91G05 91A80 PDFBibTeX XMLCite \textit{P. Wang} et al., Insur. Math. Econ. 100, 384--407 (2021; Zbl 1471.91486) Full Text: DOI
Cai, Jun; Wang, Ying Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. (English) Zbl 1471.91451 Insur. Math. Econ. 100, 329-349 (2021). MSC: 91G05 91B32 PDFBibTeX XMLCite \textit{J. Cai} and \textit{Y. Wang}, Insur. Math. Econ. 100, 329--349 (2021; Zbl 1471.91451) Full Text: DOI
Feng, Yang; Zhu, Jinxia; Siu, Tak Kuen Optimal risk exposure and dividend payout policies under model uncertainty. (English) Zbl 1471.91458 Insur. Math. Econ. 100, 1-29 (2021). MSC: 91G05 49L12 PDFBibTeX XMLCite \textit{Y. Feng} et al., Insur. Math. Econ. 100, 1--29 (2021; Zbl 1471.91458) Full Text: DOI
Blake, David (ed.); Cairns, Andrew J. G. (ed.) Longevity risk and capital markets: the 2019–20 update. (English) Zbl 07368206 Insur. Math. Econ. 99, 395-439 (2021). MSC: 00B25 92D25 PDFBibTeX XMLCite \textit{D. Blake} (ed.) and \textit{A. J. G. Cairns} (ed.), Insur. Math. Econ. 99, 395--439 (2021; Zbl 07368206) Full Text: DOI
Lee, Wing Yan; Li, Xiaolong; Liu, Fangda; Shi, Yifan; Yam, Sheung Chi Phillip A Fourier-cosine method for finite-time ruin probabilities. (English) Zbl 1467.91144 Insur. Math. Econ. 99, 256-267 (2021). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{W. Y. Lee} et al., Insur. Math. Econ. 99, 256--267 (2021; Zbl 1467.91144) Full Text: DOI
Koch-Medina, Pablo; Moreno-Bromberg, Santiago; Ravanelli, Claudia; Šikić, Mario Revisiting optimal investment strategies of value-maximizing insurance firms. (English) Zbl 1467.91207 Insur. Math. Econ. 99, 131-151 (2021). MSC: 91G50 91G05 PDFBibTeX XMLCite \textit{P. Koch-Medina} et al., Insur. Math. Econ. 99, 131--151 (2021; Zbl 1467.91207) Full Text: DOI
Wang, Zijia; Landriault, David; Li, Shu An insurance risk process with a generalized income process: a solvency analysis. (English) Zbl 1466.91272 Insur. Math. Econ. 98, 133-146 (2021). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{Z. Wang} et al., Insur. Math. Econ. 98, 133--146 (2021; Zbl 1466.91272) Full Text: DOI
Hainaut, Donatien A fractional multi-states model for insurance. (English) Zbl 1466.91260 Insur. Math. Econ. 98, 120-132 (2021). MSC: 91G05 60J28 60K15 PDFBibTeX XMLCite \textit{D. Hainaut}, Insur. Math. Econ. 98, 120--132 (2021; Zbl 1466.91260) Full Text: DOI Link
Zhang, Yuxin; Brockett, Patrick Modeling stochastic mortality for joint lives through subordinators. (English) Zbl 1452.91285 Insur. Math. Econ. 95, 166-172 (2020). MSC: 91G05 91D20 60J70 PDFBibTeX XMLCite \textit{Y. Zhang} and \textit{P. Brockett}, Insur. Math. Econ. 95, 166--172 (2020; Zbl 1452.91285) Full Text: DOI
Chen, Lv; Shen, Yang; Su, Jianxi A continuous-time theory of reinsurance chains. (English) Zbl 1452.91266 Insur. Math. Econ. 95, 129-146 (2020). MSC: 91G05 91A65 91A80 91G45 PDFBibTeX XMLCite \textit{L. Chen} et al., Insur. Math. Econ. 95, 129--146 (2020; Zbl 1452.91266) Full Text: DOI
Xie, Jiayi; Zhang, Zhimin Statistical estimation for some dividend problems under the compound Poisson risk model. (English) Zbl 1452.91284 Insur. Math. Econ. 95, 101-115 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{J. Xie} and \textit{Z. Zhang}, Insur. Math. Econ. 95, 101--115 (2020; Zbl 1452.91284) Full Text: DOI
Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven Range value-at-risk bounds for unimodal distributions under partial information. (English) Zbl 1452.91330 Insur. Math. Econ. 94, 9-24 (2020); corrigendum and addendum ibid. 112, 110-119 (2023). MSC: 91G70 PDFBibTeX XMLCite \textit{C. Bernard} et al., Insur. Math. Econ. 94, 9--24 (2020; Zbl 1452.91330) Full Text: DOI
Pitselis, Georgios Multi-stage nested classification credibility quantile regression model. (English) Zbl 1446.91071 Insur. Math. Econ. 92, 162-176 (2020). MSC: 91G05 62P05 62G08 PDFBibTeX XMLCite \textit{G. Pitselis}, Insur. Math. Econ. 92, 162--176 (2020; Zbl 1446.91071) Full Text: DOI
Chaoubi, Ihsan; Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Etienne On sums of two counter-monotonic risks. (English) Zbl 1445.91050 Insur. Math. Econ. 92, 47-60 (2020). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{I. Chaoubi} et al., Insur. Math. Econ. 92, 47--60 (2020; Zbl 1445.91050) Full Text: DOI
Landriault, David; Li, Bin; Lkabous, Mohamed Amine On occupation times in the red of Lévy risk models. (English) Zbl 1445.91053 Insur. Math. Econ. 92, 17-26 (2020). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{D. Landriault} et al., Insur. Math. Econ. 92, 17--26 (2020; Zbl 1445.91053) Full Text: DOI arXiv
Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey On log-normal convolutions: an analytical-numerical method with applications to economic capital determination. (English) Zbl 1431.91327 Insur. Math. Econ. 90, 120-134 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{E. Furman} et al., Insur. Math. Econ. 90, 120--134 (2020; Zbl 1431.91327) Full Text: DOI
Zhang, Pengcheng; Calderin, Enrique; Li, Shuanming; Wu, Xueyuan On the type I multivariate zero-truncated hurdle model with applications in health insurance. (English) Zbl 1431.91348 Insur. Math. Econ. 90, 35-45 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{P. Zhang} et al., Insur. Math. Econ. 90, 35--45 (2020; Zbl 1431.91348) Full Text: DOI Link
Landriault, David; Li, Bin; Shi, Tianxiang; Xu, Di On the distribution of classic and some exotic ruin times. (English) Zbl 1427.91235 Insur. Math. Econ. 89, 38-45 (2019). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{D. Landriault} et al., Insur. Math. Econ. 89, 38--45 (2019; Zbl 1427.91235) Full Text: DOI
Kaakaï, Sarah; Labit Hardy, Héloïse; Arnold, Séverine; El Karoui, Nicole How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach. (English) Zbl 1427.91234 Insur. Math. Econ. 89, 16-37 (2019). MSC: 91G05 91D20 PDFBibTeX XMLCite \textit{S. Kaakaï} et al., Insur. Math. Econ. 89, 16--37 (2019; Zbl 1427.91234) Full Text: DOI HAL
Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre Option pricing under regime-switching models: novel approaches removing path-dependence. (English) Zbl 1410.91448 Insur. Math. Econ. 87, 130-142 (2019). MSC: 91G20 60G44 60J20 PDFBibTeX XMLCite \textit{F. Godin} et al., Insur. Math. Econ. 87, 130--142 (2019; Zbl 1410.91448) Full Text: DOI Link
Asmussen, Søren; Christensen, Bent Jesper; Thøgersen, Julie Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market. (English) Zbl 1410.91255 Insur. Math. Econ. 87, 92-100 (2019). MSC: 91B30 91A15 60J75 PDFBibTeX XMLCite \textit{S. Asmussen} et al., Insur. Math. Econ. 87, 92--100 (2019; Zbl 1410.91255) Full Text: DOI
Psarrakos, Georgios; Sordo, Miguel A. On a family of risk measures based on proportional hazards models and tail probabilities. (English) Zbl 1411.91309 Insur. Math. Econ. 86, 232-240 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{G. Psarrakos} and \textit{M. A. Sordo}, Insur. Math. Econ. 86, 232--240 (2019; Zbl 1411.91309) Full Text: DOI
Chen, Shumin; Liu, Yanchu; Weng, Chengguo Dynamic risk-sharing game and reinsurance contract design. (English) Zbl 1411.91270 Insur. Math. Econ. 86, 216-231 (2019). MSC: 91B30 91A15 93E20 PDFBibTeX XMLCite \textit{S. Chen} et al., Insur. Math. Econ. 86, 216--231 (2019; Zbl 1411.91270) Full Text: DOI
Rüschendorf, L. Analysis of risk bounds in partially specified additive factor models. (English) Zbl 1411.91313 Insur. Math. Econ. 86, 115-121 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{L. Rüschendorf}, Insur. Math. Econ. 86, 115--121 (2019; Zbl 1411.91313) Full Text: DOI
Castaño-Martínez, Antonia; Pigueiras, Gema; Sordo, Mangel A. On a family of risk measures based on largest claims. (English) Zbl 1411.91268 Insur. Math. Econ. 86, 92-97 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{A. Castaño-Martínez} et al., Insur. Math. Econ. 86, 92--97 (2019; Zbl 1411.91268) Full Text: DOI
Lux, Thibaut; Papapantoleon, Antonis Model-free bounds on value-at-risk using extreme value information and statistical distances. (English) Zbl 1411.91305 Insur. Math. Econ. 86, 73-83 (2019). MSC: 91B30 62P05 62H05 60E05 PDFBibTeX XMLCite \textit{T. Lux} and \textit{A. Papapantoleon}, Insur. Math. Econ. 86, 73--83 (2019; Zbl 1411.91305) Full Text: DOI arXiv
Jiang, Zhengjun Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching. (English) Zbl 1411.91289 Insur. Math. Econ. 86, 1-7 (2019). MSC: 91B30 93E20 60J75 PDFBibTeX XMLCite \textit{Z. Jiang}, Insur. Math. Econ. 86, 1--7 (2019; Zbl 1411.91289) Full Text: DOI
Feng, Runhuan; Yi, Bingji Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits. (English) Zbl 1419.91360 Insur. Math. Econ. 85, 60-73 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{R. Feng} and \textit{B. Yi}, Insur. Math. Econ. 85, 60--73 (2019; Zbl 1419.91360) Full Text: DOI
Czarna, Irmina; Pérez, José-Luis; Yamazaki, Kazutoshi Optimality of multi-refraction control strategies in the dual model. (English) Zbl 1417.91265 Insur. Math. Econ. 83, 148-160 (2018). MSC: 91B30 60G51 90C46 PDFBibTeX XMLCite \textit{I. Czarna} et al., Insur. Math. Econ. 83, 148--160 (2018; Zbl 1417.91265) Full Text: DOI arXiv
Guan, Guohui; Liang, Zongxia; Feng, Jian Time-consistent proportional reinsurance and investment strategies under ambiguous environment. (English) Zbl 1417.91269 Insur. Math. Econ. 83, 122-133 (2018). MSC: 91B30 91G10 PDFBibTeX XMLCite \textit{G. Guan} et al., Insur. Math. Econ. 83, 122--133 (2018; Zbl 1417.91269) Full Text: DOI
Boxma, Onno; Frostig, Esther The dual risk model with dividends taken at arrival. (English) Zbl 1417.91263 Insur. Math. Econ. 83, 83-92 (2018). MSC: 91B30 44A10 PDFBibTeX XMLCite \textit{O. Boxma} and \textit{E. Frostig}, Insur. Math. Econ. 83, 83--92 (2018; Zbl 1417.91263) Full Text: DOI Link
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin Dividends: from refracting to ratcheting. (English) Zbl 1417.91260 Insur. Math. Econ. 83, 47-58 (2018). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 83, 47--58 (2018; Zbl 1417.91260) Full Text: DOI
Van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. Time-consistent mean-variance portfolio optimization: a numerical impulse control approach. (English) Zbl 1417.91558 Insur. Math. Econ. 83, 9-28 (2018). MSC: 91G60 91B30 91G10 93E20 65M99 PDFBibTeX XMLCite \textit{P. M. Van Staden} et al., Insur. Math. Econ. 83, 9--28 (2018; Zbl 1417.91558) Full Text: DOI
Cornilly, D.; Rüschendorf, L.; Vanduffel, Steven Upper bounds for strictly concave distortion risk measures on moment spaces. (English) Zbl 1416.91167 Insur. Math. Econ. 82, 141-151 (2018). MSC: 91B30 91G70 62P05 PDFBibTeX XMLCite \textit{D. Cornilly} et al., Insur. Math. Econ. 82, 141--151 (2018; Zbl 1416.91167) Full Text: DOI
Liu, Jing LLN-type approximations for large portfolio losses. (English) Zbl 1416.91206 Insur. Math. Econ. 81, 71-77 (2018). MSC: 91B30 91G10 62P05 PDFBibTeX XMLCite \textit{J. Liu}, Insur. Math. Econ. 81, 71--77 (2018; Zbl 1416.91206) Full Text: DOI
Noba, Kei; Pérez, José-Luis; Yamazaki, Kazutoshi; Yano, Kouji On optimal periodic dividend strategies for Lévy risk processes. (English) Zbl 1402.91211 Insur. Math. Econ. 80, 29-44 (2018). MSC: 91B30 60G51 93E20 PDFBibTeX XMLCite \textit{K. Noba} et al., Insur. Math. Econ. 80, 29--44 (2018; Zbl 1402.91211) Full Text: DOI arXiv
Zhou, Ming; Dhaene, Jan; Yao, Jing An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. (English) Zbl 1401.91218 Insur. Math. Econ. 79, 92-100 (2018). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{M. Zhou} et al., Insur. Math. Econ. 79, 92--100 (2018; Zbl 1401.91218) Full Text: DOI
Boumezoued, Alexandre; Hardy, Héloïse Labit; El Karoui, Nicole; Arnold, Séverine Cause-of-death mortality: what can be learned from population dynamics? (English) Zbl 1400.91242 Insur. Math. Econ. 78, 301-315 (2018). MSC: 91B30 60J80 91D20 PDFBibTeX XMLCite \textit{A. Boumezoued} et al., Insur. Math. Econ. 78, 301--315 (2018; Zbl 1400.91242) Full Text: DOI HAL
Blake, David (ed.); El Karoui, Nicole (ed.); Loisel, Stéphane (ed.); MacMinn, Richard (ed.) Longevity risk and capital markets: the 2015–16 update. (English) Zbl 1384.00062 Insur. Math. Econ. 78, 157-173 (2018). MSC: 00B15 00B25 91-06 91B30 PDFBibTeX XMLCite \textit{D. Blake} (ed.) et al., Insur. Math. Econ. 78, 157--173 (2018; Zbl 1384.00062) Full Text: DOI
Li, Danping; Shen, Yang; Zeng, Yan Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility. (English) Zbl 1398.91339 Insur. Math. Econ. 78, 72-86 (2018). MSC: 91B30 60H10 91G20 PDFBibTeX XMLCite \textit{D. Li} et al., Insur. Math. Econ. 78, 72--86 (2018; Zbl 1398.91339) Full Text: DOI
Zhao, Yixing; Mamon, Rogemar An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. (English) Zbl 1398.91359 Insur. Math. Econ. 78, 1-12 (2018). MSC: 91B30 91G20 PDFBibTeX XMLCite \textit{Y. Zhao} and \textit{R. Mamon}, Insur. Math. Econ. 78, 1--12 (2018; Zbl 1398.91359) Full Text: DOI
Hua, Lei On a bivariate copula with both upper and lower full-range tail dependence. (English) Zbl 1397.62181 Insur. Math. Econ. 73, 94-104 (2017). MSC: 62H05 62G32 62P05 PDFBibTeX XMLCite \textit{L. Hua}, Insur. Math. Econ. 73, 94--104 (2017; Zbl 1397.62181) Full Text: DOI
Pérez, José-Luis; Yamazaki, Kazutoshi On the optimality of periodic barrier strategies for a spectrally positive Lévy process. (English) Zbl 1422.91372 Insur. Math. Econ. 77, 1-13 (2017). MSC: 91B30 60G51 93E20 PDFBibTeX XMLCite \textit{J.-L. Pérez} and \textit{K. Yamazaki}, Insur. Math. Econ. 77, 1--13 (2017; Zbl 1422.91372) Full Text: DOI arXiv
Shevchenko, Pavel V.; Luo, Xiaolin Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate. (English) Zbl 1395.91503 Insur. Math. Econ. 76, 104-117 (2017). MSC: 91G60 91G20 91B30 93E20 60H10 PDFBibTeX XMLCite \textit{P. V. Shevchenko} and \textit{X. Luo}, Insur. Math. Econ. 76, 104--117 (2017; Zbl 1395.91503) Full Text: DOI arXiv
Hu, Xiang; Duan, Baige; Zhang, Lianzeng De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information. (English) Zbl 1395.91253 Insur. Math. Econ. 76, 48-55 (2017). MSC: 91B30 62P05 62E17 PDFBibTeX XMLCite \textit{X. Hu} et al., Insur. Math. Econ. 76, 48--55 (2017; Zbl 1395.91253) Full Text: DOI
Dhaene, Jan; Stassen, Ben; Barigou, Karim; Linders, Daniël; Chen, Ze Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency. (English) Zbl 1395.91249 Insur. Math. Econ. 76, 14-27 (2017). MSC: 91B30 91G20 PDFBibTeX XMLCite \textit{J. Dhaene} et al., Insur. Math. Econ. 76, 14--27 (2017; Zbl 1395.91249) Full Text: DOI
Lkabous, Mohamed Amine; Czarna, Irmina; Renaud, Jean-François Parisian ruin for a refracted Lévy process. (English) Zbl 1394.60046 Insur. Math. Econ. 74, 153-163 (2017). MSC: 60G51 91B30 PDFBibTeX XMLCite \textit{M. A. Lkabous} et al., Insur. Math. Econ. 74, 153--163 (2017; Zbl 1394.60046) Full Text: DOI arXiv
Zhao, Yongxia; Chen, Ping; Yang, Hailiang Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. (English) Zbl 1394.91243 Insur. Math. Econ. 74, 135-146 (2017). MSC: 91B30 60G51 93E20 PDFBibTeX XMLCite \textit{Y. Zhao} et al., Insur. Math. Econ. 74, 135--146 (2017; Zbl 1394.91243) Full Text: DOI Link
Shimizu, Yasutaka; Zhang, Zhimin Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus. (English) Zbl 1394.62147 Insur. Math. Econ. 74, 84-98 (2017). MSC: 62P05 60G51 62M05 62G20 91B30 PDFBibTeX XMLCite \textit{Y. Shimizu} and \textit{Z. Zhang}, Insur. Math. Econ. 74, 84--98 (2017; Zbl 1394.62147) Full Text: DOI
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. (English) Zbl 1394.91206 Insur. Math. Econ. 74, 46-62 (2017). MSC: 91B30 91G20 91G60 PDFBibTeX XMLCite \textit{Z. Cui} et al., Insur. Math. Econ. 74, 46--62 (2017; Zbl 1394.91206) Full Text: DOI
Xu, Lin; Zhang, Liming; Yao, Dingjun Optimal investment and reinsurance for an insurer under Markov-modulated financial market. (English) Zbl 1394.91238 Insur. Math. Econ. 74, 7-19 (2017). MSC: 91B30 91G10 93E20 PDFBibTeX XMLCite \textit{L. Xu} et al., Insur. Math. Econ. 74, 7--19 (2017; Zbl 1394.91238) Full Text: DOI
Landriault, David; Li, Bin; Loke, Sooie-Hoe; Willmot, Gordon E.; Xu, Di A note on the convexity of ruin probabilities. (English) Zbl 1394.91221 Insur. Math. Econ. 74, 1-6 (2017). MSC: 91B30 60K10 93E20 PDFBibTeX XMLCite \textit{D. Landriault} et al., Insur. Math. Econ. 74, 1--6 (2017; Zbl 1394.91221) Full Text: DOI
Avanzi, Benjamin; Pérez, José-Luis; Wong, Bernard; Yamazaki, Kazutoshi On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models. (English) Zbl 1394.91185 Insur. Math. Econ. 72, 148-162 (2017). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{B. Avanzi} et al., Insur. Math. Econ. 72, 148--162 (2017; Zbl 1394.91185) Full Text: DOI arXiv
Hieber, Peter Cliquet-style return guarantees in a regime switching Lévy model. (English) Zbl 1394.91219 Insur. Math. Econ. 72, 138-147 (2017). MSC: 91B30 60G51 91G20 PDFBibTeX XMLCite \textit{P. Hieber}, Insur. Math. Econ. 72, 138--147 (2017; Zbl 1394.91219) Full Text: DOI
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
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
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
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
Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael Modelling lifetime dependence for older ages using a multivariate Pareto distribution. (English) Zbl 1371.91074 Insur. Math. Econ. 70, 272-285 (2016). MSC: 91B30 62P05 91D20 PDFBibTeX XMLCite \textit{D. H. Alai} et al., Insur. Math. Econ. 70, 272--285 (2016; Zbl 1371.91074) Full Text: DOI Link
Siu, Tak Kuen A self-exciting threshold jump-diffusion model for option valuation. (English) Zbl 1369.91185 Insur. Math. Econ. 69, 168-193 (2016). MSC: 91G20 60J75 62M10 PDFBibTeX XMLCite \textit{T. K. Siu}, Insur. Math. Econ. 69, 168--193 (2016; Zbl 1369.91185) Full Text: DOI
Leccadito, Arturo; Paletta, Tommaso; Tunaru, Radu Pricing and hedging basket options with exact moment matching. (English) Zbl 1369.91183 Insur. Math. Econ. 69, 59-69 (2016). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{A. Leccadito} et al., Insur. Math. Econ. 69, 59--69 (2016; Zbl 1369.91183) Full Text: DOI arXiv Link
Mousa, A. S.; Pinheiro, D.; Pinto, A. A. Optimal life-insurance selection and purchase within a market of several life-insurance providers. (English) Zbl 1348.62242 Insur. Math. Econ. 67, 133-141 (2016). MSC: 62P05 91B30 93E20 91G10 PDFBibTeX XMLCite \textit{A. S. Mousa} et al., Insur. Math. Econ. 67, 133--141 (2016; Zbl 1348.62242) Full Text: DOI Link
Ignatieva, Katja; Landsman, Zinoviy Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions. (English) Zbl 1348.91293 Insur. Math. Econ. 65, 172-186 (2015). MSC: 91G70 60E05 62P05 91B30 PDFBibTeX XMLCite \textit{K. Ignatieva} and \textit{Z. Landsman}, Insur. Math. Econ. 65, 172--186 (2015; Zbl 1348.91293) Full Text: DOI
Hu, Xiang; Yang, Hailiang; Zhang, Lianzeng Optimal retention for a stop-loss reinsurance with incomplete information. (English) Zbl 1348.91149 Insur. Math. Econ. 65, 15-21 (2015). MSC: 91B30 62P05 60E15 PDFBibTeX XMLCite \textit{X. Hu} et al., Insur. Math. Econ. 65, 15--21 (2015; Zbl 1348.91149) Full Text: DOI Link