Guan, Guohui; Liang, Zongxia; Ma, Xingjian Optimal annuitization and asset allocation under linear habit formation. (English) Zbl 07804025 Insur. Math. Econ. 114, 176-191 (2024). MSC: 91G05 PDFBibTeX XMLCite \textit{G. Guan} et al., Insur. Math. Econ. 114, 176--191 (2024; Zbl 07804025) Full Text: DOI
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
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
Engsner, Hampus; Lindskog, Filip; Thøgersen, Julie Multiple-prior valuation of cash flows subject to capital requirements. (English) Zbl 1520.91325 Insur. Math. Econ. 111, 41-56 (2023). MSC: 91G05 60G40 PDFBibTeX XMLCite \textit{H. Engsner} et al., Insur. Math. Econ. 111, 41--56 (2023; Zbl 1520.91325) Full Text: DOI arXiv
Park, Kyunghyun; Wong, Hoi Ying; Yan, Tingjin Robust retirement and life insurance with inflation risk and model ambiguity. (English) Zbl 1517.91193 Insur. Math. Econ. 110, 1-30 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 90C17 PDFBibTeX XMLCite \textit{K. Park} et al., Insur. Math. Econ. 110, 1--30 (2023; Zbl 1517.91193) Full Text: DOI
Boonen, Tim J.; Jiang, Wenjun Bilateral risk sharing in a comonotone market with rank-dependent utilities. (English) Zbl 1507.91167 Insur. Math. Econ. 107, 361-378 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{T. J. Boonen} and \textit{W. Jiang}, Insur. Math. Econ. 107, 361--378 (2022; Zbl 1507.91167) Full Text: DOI
Laudagé, Christian; S. Sass, Jörn; W. Wenzel, Jörg Combining multi-asset and intrinsic risk measures. (English) Zbl 1498.91362 Insur. Math. Econ. 106, 254-269 (2022). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{C. Laudagé} et al., Insur. Math. Econ. 106, 254--269 (2022; Zbl 1498.91362) Full Text: DOI
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
Chi, Yichun; Zheng, Jiakun; Zhuang, Shengchao S-shaped narrow framing, skewness and the demand for insurance. (English) Zbl 1492.91280 Insur. Math. Econ. 105, 279-292 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{Y. Chi} et al., Insur. Math. Econ. 105, 279--292 (2022; Zbl 1492.91280) Full Text: DOI
Mildenhall, Stephen J. Similar risks have similar prices: a useful and exact quantification. (English) Zbl 1492.91434 Insur. Math. Econ. 105, 203-210 (2022). MSC: 91G70 91G05 PDFBibTeX XMLCite \textit{S. J. Mildenhall}, Insur. Math. Econ. 105, 203--210 (2022; Zbl 1492.91434) Full Text: DOI
Chen, Shengzhong; Gao, Niushan; Leung, Denny H.; Li, Lei Automatic Fatou property of law-invariant risk measures. (English) Zbl 1492.91279 Insur. Math. Econ. 105, 41-53 (2022). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{S. Chen} et al., Insur. Math. Econ. 105, 41--53 (2022; Zbl 1492.91279) Full Text: DOI arXiv
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
Mohammed, Nawaf; Furman, Edward; Su, Jianxi Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. (English) Zbl 1475.91313 Insur. Math. Econ. 101, 425-436 (2021). MSC: 91G05 91B32 91G70 PDFBibTeX XMLCite \textit{N. Mohammed} et al., Insur. Math. Econ. 101, 425--436 (2021; Zbl 1475.91313) Full Text: DOI arXiv
Canna, Gabriele; Centrone, Francesca; Rosazza Gianin, Emanuela Haezendonck-Goovaerts capital allocation rules. (English) Zbl 1475.91288 Insur. Math. Econ. 101, 173-185 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{G. Canna} et al., Insur. Math. Econ. 101, 173--185 (2021; Zbl 1475.91288) Full Text: DOI
Bosserhoff, Frank; Stadje, Mitja Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting. (English) Zbl 1479.91306 Insur. Math. Econ. 100, 130-146 (2021). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 91G10 45K05 49L12 PDFBibTeX XMLCite \textit{F. Bosserhoff} and \textit{M. Stadje}, Insur. Math. Econ. 100, 130--146 (2021; Zbl 1479.91306) Full Text: DOI arXiv
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
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor Law-invariant functionals that collapse to the mean. (English) Zbl 1466.91250 Insur. Math. Econ. 98, 83-91 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{F. Bellini} et al., Insur. Math. Econ. 98, 83--91 (2021; Zbl 1466.91250) Full Text: DOI arXiv
Li, Danping; Young, Virginia R. Bowley solution of a mean-variance game in insurance. (English) Zbl 1466.91264 Insur. Math. Econ. 98, 35-43 (2021). MSC: 91G05 91A65 91A05 91A80 PDFBibTeX XMLCite \textit{D. Li} and \textit{V. R. Young}, Insur. Math. Econ. 98, 35--43 (2021; Zbl 1466.91264) Full Text: DOI
Jiang, Wenjun; Hong, Hanping; Ren, Jiandong Pareto-optimal reinsurance policies with maximal synergy. (English) Zbl 1460.91225 Insur. Math. Econ. 96, 185-198 (2021). MSC: 91G05 91B16 91B26 PDFBibTeX XMLCite \textit{W. Jiang} et al., Insur. Math. Econ. 96, 185--198 (2021; Zbl 1460.91225) Full Text: DOI
Peng, Xingchun; Chen, Fenge; Wang, Wenyuan Robust optimal investment and reinsurance for an insurer with inside information. (English) Zbl 1460.91236 Insur. Math. Econ. 96, 15-30 (2021). Reviewer: George Stoica (Saint John) MSC: 91G05 PDFBibTeX XMLCite \textit{X. Peng} et al., Insur. Math. Econ. 96, 15--30 (2021; Zbl 1460.91236) Full Text: DOI
Righi, Marcelo Brutti; Müller, Fernanda Maria; Moresco, Marlon Ruoso On a robust risk measurement approach for capital determination errors minimization. (English) Zbl 1452.91076 Insur. Math. Econ. 95, 199-211 (2020). MSC: 91B05 PDFBibTeX XMLCite \textit{M. B. Righi} et al., Insur. Math. Econ. 95, 199--211 (2020; Zbl 1452.91076) Full Text: DOI arXiv
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
Asimit, Alexandru V.; Cheung, Ka Chun; Chong, Wing Fung; Hu, Junlei Pareto-optimal insurance contracts with premium budget and minimum charge constraints. (English) Zbl 1452.91257 Insur. Math. Econ. 95, 17-27 (2020). MSC: 91G05 91B41 PDFBibTeX XMLCite \textit{A. V. Asimit} et al., Insur. Math. Econ. 95, 17--27 (2020; Zbl 1452.91257) Full Text: DOI Link
Zhou, Zhou; Jin, Zhuo Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time. (English) Zbl 1452.91286 Insur. Math. Econ. 94, 100-108 (2020). MSC: 91G05 91A80 PDFBibTeX XMLCite \textit{Z. Zhou} and \textit{Z. Jin}, Insur. Math. Econ. 94, 100--108 (2020; Zbl 1452.91286) Full Text: DOI
Gao, Niushan; Munari, Cosimo; Xanthos, Foivos Stability properties of Haezendonck-Goovaerts premium principles. (English) Zbl 1452.91270 Insur. Math. Econ. 94, 94-99 (2020). MSC: 91G05 91G80 46E30 PDFBibTeX XMLCite \textit{N. Gao} et al., Insur. Math. Econ. 94, 94--99 (2020; Zbl 1452.91270) Full Text: DOI arXiv
Bensalem, Sarah; Santibáñez, Nicolás Hernández; Kazi-Tani, Nabil Prevention efforts, insurance demand and price incentives under coherent risk measures. (English) Zbl 1448.91253 Insur. Math. Econ. 93, 369-386 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 91A65 91B43 PDFBibTeX XMLCite \textit{S. Bensalem} et al., Insur. Math. Econ. 93, 369--386 (2020; Zbl 1448.91253) Full Text: DOI HAL
Fahrenwaldt, Matthias A.; Sun, Chaofan Expected utility approximation and portfolio optimisation. (English) Zbl 1446.91076 Insur. Math. Econ. 93, 301-314 (2020). MSC: 91G10 91B16 49J55 PDFBibTeX XMLCite \textit{M. A. Fahrenwaldt} and \textit{C. Sun}, Insur. Math. Econ. 93, 301--314 (2020; Zbl 1446.91076) Full Text: DOI
Wang, Ruodu; Wei, Yunran Characterizing optimal allocations in quantile-based risk sharing. (English) Zbl 1446.91074 Insur. Math. Econ. 93, 288-300 (2020). MSC: 91G05 PDFBibTeX XMLCite \textit{R. Wang} and \textit{Y. Wei}, Insur. Math. Econ. 93, 288--300 (2020; Zbl 1446.91074) Full Text: DOI
Wang, Jianli; Liu, Liqun; Neilson, William S. The participation puzzle with reference-dependent expected utility preferences. (English) Zbl 1447.91165 Insur. Math. Econ. 93, 278-287 (2020). MSC: 91G10 91B16 91B08 PDFBibTeX XMLCite \textit{J. Wang} et al., Insur. Math. Econ. 93, 278--287 (2020; Zbl 1447.91165) Full Text: DOI
Anthropelos, Michail; Boonen, Tim J. Nash equilibria in optimal reinsurance bargaining. (English) Zbl 1446.91054 Insur. Math. Econ. 93, 196-205 (2020). MSC: 91G05 91A80 91B26 PDFBibTeX XMLCite \textit{M. Anthropelos} and \textit{T. J. Boonen}, Insur. Math. Econ. 93, 196--205 (2020; Zbl 1446.91054) Full Text: DOI arXiv
Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu Convex risk functionals: representation and applications. (English) Zbl 1431.91340 Insur. Math. Econ. 90, 66-79 (2020). MSC: 91G05 PDFBibTeX XMLCite \textit{F. Liu} et al., Insur. Math. Econ. 90, 66--79 (2020; Zbl 1431.91340) Full Text: DOI
Guzzetti, Marco Approximating the time-weighted return: the case of flows at unknown time. (English) Zbl 1431.91332 Insur. Math. Econ. 90, 25-34 (2020). MSC: 91G05 91G10 PDFBibTeX XMLCite \textit{M. Guzzetti}, Insur. Math. Econ. 90, 25--34 (2020; Zbl 1431.91332) Full Text: DOI
Hou, Yanxi; Wang, Xing Nonparametric inference for distortion risk measures on tail regions. (English) Zbl 1427.91300 Insur. Math. Econ. 89, 92-110 (2019). MSC: 91G70 62P05 62G32 PDFBibTeX XMLCite \textit{Y. Hou} and \textit{X. Wang}, Insur. Math. Econ. 89, 92--110 (2019; Zbl 1427.91300) Full Text: DOI
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying Risk-adjusted bowley reinsurance under distorted probabilities. (English) Zbl 1411.91272 Insur. Math. Econ. 86, 64-72 (2019). MSC: 91B30 91A65 PDFBibTeX XMLCite \textit{K. C. Cheung} et al., Insur. Math. Econ. 86, 64--72 (2019; Zbl 1411.91272) Full Text: DOI
Arai, Takuji; Asano, Takao; Nishide, Katsumasa Optimal initial capital induced by the optimized certainty equivalent. (English) Zbl 1419.91347 Insur. Math. Econ. 85, 115-125 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{T. Arai} et al., Insur. Math. Econ. 85, 115--125 (2019; Zbl 1419.91347) Full Text: DOI Link
Wang, Hao; Wang, Rongming; Wei, Jiaqin Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers. (English) Zbl 1419.91385 Insur. Math. Econ. 85, 104-114 (2019). MSC: 91B30 91G30 PDFBibTeX XMLCite \textit{H. Wang} et al., Insur. Math. Econ. 85, 104--114 (2019; Zbl 1419.91385) 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
Dong, Yinghui; Zheng, Harry Optimal investment of DC pension plan under short-selling constraints and portfolio insurance. (English) Zbl 1419.91357 Insur. Math. Econ. 85, 47-59 (2019). MSC: 91B30 91G10 49N90 PDFBibTeX XMLCite \textit{Y. Dong} and \textit{H. Zheng}, Insur. Math. Econ. 85, 47--59 (2019; Zbl 1419.91357) Full Text: DOI Link
Mao, Tiantian; Hu, Jiuyun; Liu, Haiyan The average risk sharing problem under risk measure and expected utility theory. (English) Zbl 1417.91279 Insur. Math. Econ. 83, 170-179 (2018). MSC: 91B30 91B16 PDFBibTeX XMLCite \textit{T. Mao} et al., Insur. Math. Econ. 83, 170--179 (2018; Zbl 1417.91279) 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
Bellini, Fabio; Bignozzi, Valeria; Puccetti, Giovanni Conditional expectiles, time consistency and mixture convexity properties. (English) Zbl 1416.91156 Insur. Math. Econ. 82, 117-123 (2018). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{F. Bellini} et al., Insur. Math. Econ. 82, 117--123 (2018; Zbl 1416.91156) Full Text: DOI
Kong, Dezhou; Liu, Lishan; Wu, Yonghong Optimal reinsurance under risk and uncertainty on Orlicz hearts. (English) Zbl 1416.91196 Insur. Math. Econ. 81, 108-116 (2018). MSC: 91B30 90C48 90C46 PDFBibTeX XMLCite \textit{D. Kong} et al., Insur. Math. Econ. 81, 108--116 (2018; Zbl 1416.91196) Full Text: DOI
Fontanari, Andrea; Cirillo, Pasquale; Oosterlee, Cornelis W. From concentration profiles to concentration maps. New tools for the study of loss distributions. (English) Zbl 1398.91326 Insur. Math. Econ. 78, 13-29 (2018). MSC: 91B30 62P05 91B82 PDFBibTeX XMLCite \textit{A. Fontanari} et al., Insur. Math. Econ. 78, 13--29 (2018; Zbl 1398.91326) Full Text: DOI Link
Liebrich, Felix-Benedikt; Svindland, Gregor Model spaces for risk measures. (English) Zbl 1422.91782 Insur. Math. Econ. 77, 150-165 (2017). MSC: 91G70 91B30 PDFBibTeX XMLCite \textit{F.-B. Liebrich} and \textit{G. Svindland}, Insur. Math. Econ. 77, 150--165 (2017; Zbl 1422.91782) Full Text: DOI arXiv
Wei, Jiaqin; Wang, Tianxiao Time-consistent mean-variance asset-liability management with random coefficients. (English) Zbl 1397.91564 Insur. Math. Econ. 77, 84-96 (2017). MSC: 91G10 60H10 60J65 91G30 PDFBibTeX XMLCite \textit{J. Wei} and \textit{T. Wang}, Insur. Math. Econ. 77, 84--96 (2017; Zbl 1397.91564) Full Text: DOI
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra Unit-linked life insurance policies: optimal hedging in partially observable market models. (English) Zbl 1395.91247 Insur. Math. Econ. 76, 149-163 (2017). MSC: 91B30 60G35 60G48 91G20 PDFBibTeX XMLCite \textit{C. Ceci} et al., Insur. Math. Econ. 76, 149--163 (2017; Zbl 1395.91247) Full Text: DOI arXiv
Feng, Runhuan; Jing, Xiaochen Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits. (English) Zbl 1394.91215 Insur. Math. Econ. 72, 36-48 (2017). MSC: 91B30 91G60 PDFBibTeX XMLCite \textit{R. Feng} and \textit{X. Jing}, Insur. Math. Econ. 72, 36--48 (2017; Zbl 1394.91215) 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
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
Carr, Peter; Madan, Dilip B.; Melamed, Michael; Schoutens, Wim Hedging insurance books. (English) Zbl 1371.91175 Insur. Math. Econ. 70, 364-372 (2016). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{P. Carr} et al., Insur. Math. Econ. 70, 364--372 (2016; Zbl 1371.91175) Full Text: DOI
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao The role of a representative reinsurer in optimal reinsurance. (English) Zbl 1371.91082 Insur. Math. Econ. 70, 196-204 (2016). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{T. J. Boonen} et al., Insur. Math. Econ. 70, 196--204 (2016; Zbl 1371.91082) Full Text: DOI
Flåm, Sjur Didrik Borch’s theorem, equal margins, and efficient allocation. (English) Zbl 1371.91087 Insur. Math. Econ. 70, 162-168 (2016). MSC: 91B30 91A12 PDFBibTeX XMLCite \textit{S. D. Flåm}, Insur. Math. Econ. 70, 162--168 (2016; Zbl 1371.91087) Full Text: DOI
Zhao, Qian; Wang, Rongming; Wei, Jiaqin Exponential utility maximization for an insurer with time-inconsistent preferences. (English) Zbl 1371.91174 Insur. Math. Econ. 70, 89-104 (2016). MSC: 91G10 91B30 93E20 PDFBibTeX XMLCite \textit{Q. Zhao} et al., Insur. Math. Econ. 70, 89--104 (2016; Zbl 1371.91174) Full Text: DOI
Guan, Guohui; Liang, Zongxia Optimal management of DC pension plan under loss aversion and value-at-risk constraints. (English) Zbl 1369.91197 Insur. Math. Econ. 69, 224-237 (2016). MSC: 91G70 91G10 93E20 PDFBibTeX XMLCite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 69, 224--237 (2016; Zbl 1369.91197) Full Text: DOI
Feng, Runhuan; Shimizu, Yasutaka Applications of central limit theorems for equity-linked insurance. (English) Zbl 1369.91082 Insur. Math. Econ. 69, 138-148 (2016). MSC: 91B30 60F05 60H30 PDFBibTeX XMLCite \textit{R. Feng} and \textit{Y. Shimizu}, Insur. Math. Econ. 69, 138--148 (2016; Zbl 1369.91082) Full Text: DOI
Peng, Xingchun; Wang, Wenyuan Optimal investment and risk control for an insurer under inside information. (English) Zbl 1369.91166 Insur. Math. Econ. 69, 104-116 (2016). MSC: 91G10 91B30 60H30 PDFBibTeX XMLCite \textit{X. Peng} and \textit{W. Wang}, Insur. Math. Econ. 69, 104--116 (2016; Zbl 1369.91166) Full Text: DOI
Alia, Ishak; Chighoub, Farid; Sohail, Ayesha A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers. (English) Zbl 1369.91074 Insur. Math. Econ. 68, 212-223 (2016). MSC: 91B30 93E20 91G10 60H30 PDFBibTeX XMLCite \textit{I. Alia} et al., Insur. Math. Econ. 68, 212--223 (2016; Zbl 1369.91074) Full Text: DOI
Belles-Sampera, Jaume; Guillen, Montserrat; Santolino, Miguel What attitudes to risk underlie distortion risk measure choices? (English) Zbl 1369.91076 Insur. Math. Econ. 68, 101-109 (2016). MSC: 91B30 28E10 62P05 PDFBibTeX XMLCite \textit{J. Belles-Sampera} et al., Insur. Math. Econ. 68, 101--109 (2016; Zbl 1369.91076) Full Text: DOI Link
Feng, Runhuan; Huang, Huaxiong Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation. (English) Zbl 1348.91144 Insur. Math. Econ. 67, 54-64 (2016). MSC: 91B30 91G20 60H30 91G60 PDFBibTeX XMLCite \textit{R. Feng} and \textit{H. Huang}, Insur. Math. Econ. 67, 54--64 (2016; Zbl 1348.91144) Full Text: DOI
Asimit, Alexandru V.; Badescu, Alexandru M.; Haberman, Steven; Kim, Eun-Seok Efficient risk allocation within a non-life insurance group under Solvency II regime. (English) Zbl 1348.91126 Insur. Math. Econ. 66, 69-76 (2016). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{A. V. Asimit} et al., Insur. Math. Econ. 66, 69--76 (2016; Zbl 1348.91126) Full Text: DOI
Asimit, Alexandru V.; Chi, Yichun; Hu, Junlei Optimal non-life reinsurance under Solvency II regime. (English) Zbl 1348.91127 Insur. Math. Econ. 65, 227-237 (2015). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{A. V. Asimit} et al., Insur. Math. Econ. 65, 227--237 (2015; Zbl 1348.91127) Full Text: DOI Link
Li, Yongwu; Qiao, Han; Wang, Shouyang; Zhang, Ling Time-consistent investment strategy under partial information. (English) Zbl 1348.91257 Insur. Math. Econ. 65, 187-197 (2015). MSC: 91G10 93E20 91B30 60H30 91A80 PDFBibTeX XMLCite \textit{Y. Li} et al., Insur. Math. Econ. 65, 187--197 (2015; Zbl 1348.91257) Full Text: DOI
Liang, Zongxia; Song, Min Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information. (English) Zbl 1348.91168 Insur. Math. Econ. 65, 66-76 (2015). MSC: 91B30 91G10 93E20 PDFBibTeX XMLCite \textit{Z. Liang} and \textit{M. Song}, Insur. Math. Econ. 65, 66--76 (2015; Zbl 1348.91168) Full Text: DOI
Chen, Xu; Yang, Xiang-qun Optimal consumption and investment problem with random horizon in a BMAP model. (English) Zbl 1314.91192 Insur. Math. Econ. 61, 197-205 (2015). MSC: 91G10 60K20 90C40 PDFBibTeX XMLCite \textit{X. Chen} and \textit{X.-q. Yang}, Insur. Math. Econ. 61, 197--205 (2015; Zbl 1314.91192) Full Text: DOI
Jensen, N. R.; Steffensen, M. Personal finance and life insurance under separation of risk aversion and elasticity of substitution. (English) Zbl 1320.91080 Insur. Math. Econ. 62, 28-41 (2015). Reviewer: Pavel Stoynov (Sofia) MSC: 91B30 91G10 PDFBibTeX XMLCite \textit{N. R. Jensen} and \textit{M. Steffensen}, Insur. Math. Econ. 62, 28--41 (2015; Zbl 1320.91080) Full Text: DOI
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (English) Zbl 1308.91077 Insur. Math. Econ. 60, 47-60 (2015). MSC: 91B30 60J25 60G35 60G55 PDFBibTeX XMLCite \textit{C. Ceci} et al., Insur. Math. Econ. 60, 47--60 (2015; Zbl 1308.91077) Full Text: DOI arXiv
Guo, Wenjing Optimal portfolio choice for an insurer with loss aversion. (English) Zbl 1304.91194 Insur. Math. Econ. 58, 217-222 (2014). MSC: 91G10 91B30 60G51 PDFBibTeX XMLCite \textit{W. Guo}, Insur. Math. Econ. 58, 217--222 (2014; Zbl 1304.91194) Full Text: DOI
Zhao, Qian; Wei, Jiaqin; Wang, Rongming On dividend strategies with non-exponential discounting. (English) Zbl 1304.91140 Insur. Math. Econ. 58, 1-13 (2014). MSC: 91B30 60H30 60J60 93C95 PDFBibTeX XMLCite \textit{Q. Zhao} et al., Insur. Math. Econ. 58, 1--13 (2014; Zbl 1304.91140) Full Text: DOI arXiv
de-Paz, Albert; Marín-Solano, Jesús; Navas, Jorge; Roch, Oriol Consumption, investment and life insurance strategies with heterogeneous discounting. (English) Zbl 1291.91140 Insur. Math. Econ. 54, 66-75 (2014). MSC: 91B30 90C39 PDFBibTeX XMLCite \textit{A. de-Paz} et al., Insur. Math. Econ. 54, 66--75 (2014; Zbl 1291.91140) Full Text: DOI Link
Pichler, Alois The natural Banach space for version independent risk measures. (English) Zbl 1304.91129 Insur. Math. Econ. 53, No. 2, 405-415 (2013). MSC: 91B30 90C15 60B05 60E15 62P05 PDFBibTeX XMLCite \textit{A. Pichler}, Insur. Math. Econ. 53, No. 2, 405--415 (2013; Zbl 1304.91129) Full Text: DOI arXiv
Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun Optimal reinsurance in the presence of counterparty default risk. (English) Zbl 1290.91074 Insur. Math. Econ. 53, No. 3, 690-697 (2013). MSC: 91B30 PDFBibTeX XMLCite \textit{A. V. Asimit} et al., Insur. Math. Econ. 53, No. 3, 690--697 (2013; Zbl 1290.91074) Full Text: DOI Link
Wei, Jiaqin; Wong, K. C.; Yam, S. C. P.; Yung, S. P. Markowitz’s mean-variance asset-liability management with regime switching: a time-consistent approach. (English) Zbl 1284.91533 Insur. Math. Econ. 53, No. 1, 281-291 (2013). MSC: 91G10 60H30 60J28 91B30 PDFBibTeX XMLCite \textit{J. Wei} et al., Insur. Math. Econ. 53, No. 1, 281--291 (2013; Zbl 1284.91533) Full Text: DOI
Asimit, Alexandru V.; Badescu, Alexandru M.; Verdonck, Tim Optimal risk transfer under quantile-based risk measurers. (English) Zbl 1284.91199 Insur. Math. Econ. 53, No. 1, 252-265 (2013). MSC: 91B30 PDFBibTeX XMLCite \textit{A. V. Asimit} et al., Insur. Math. Econ. 53, No. 1, 252--265 (2013; Zbl 1284.91199) Full Text: DOI Link
Li, Yongwu; Li, Zhongfei Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion. (English) Zbl 1284.91249 Insur. Math. Econ. 53, No. 1, 86-97 (2013). MSC: 91B30 91G10 60J60 PDFBibTeX XMLCite \textit{Y. Li} and \textit{Z. Li}, Insur. Math. Econ. 53, No. 1, 86--97 (2013; Zbl 1284.91249) Full Text: DOI
Zeng, Yan; Li, Zhongfei; Lai, Yongzeng Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps. (English) Zbl 1284.91282 Insur. Math. Econ. 52, No. 3, 498-507 (2013). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{Y. Zeng} et al., Insur. Math. Econ. 52, No. 3, 498--507 (2013; Zbl 1284.91282) Full Text: DOI
Madan, Dilip B.; Schoutens, Wim Systemic risk tradeoffs and option prices. (English) Zbl 1284.91552 Insur. Math. Econ. 52, No. 2, 222-230 (2013). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{W. Schoutens}, Insur. Math. Econ. 52, No. 2, 222--230 (2013; Zbl 1284.91552) Full Text: DOI
Chen, Zhi-ping; Li, Gang; Guo, Ju-e Optimal investment policy in the time consistent mean-variance formulation. (English) Zbl 1284.91514 Insur. Math. Econ. 52, No. 2, 145-156 (2013). MSC: 91G10 91B30 91B70 90C39 PDFBibTeX XMLCite \textit{Z.-p. Chen} et al., Insur. Math. Econ. 52, No. 2, 145--156 (2013; Zbl 1284.91514) Full Text: DOI
Bellini, Fabio; Rosazza Gianin, Emanuela Haezendonck-Goovaerts risk measures and Orlicz quantiles. (English) Zbl 1284.91205 Insur. Math. Econ. 51, No. 1, 107-114 (2012). MSC: 91B30 62P05 46E30 PDFBibTeX XMLCite \textit{F. Bellini} and \textit{E. Rosazza Gianin}, Insur. Math. Econ. 51, No. 1, 107--114 (2012; Zbl 1284.91205) Full Text: DOI
De Franco, Carmine; Tankov, Peter Portfolio insurance under a risk-measure constraint. (English) Zbl 1228.91061 Insur. Math. Econ. 49, No. 3, 361-370 (2011). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{C. De Franco} and \textit{P. Tankov}, Insur. Math. Econ. 49, No. 3, 361--370 (2011; Zbl 1228.91061) Full Text: DOI arXiv
Stadje, Mitja Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach. (English) Zbl 1231.91240 Insur. Math. Econ. 47, No. 3, 391-404 (2010). MSC: 91B30 91B70 60F25 60H10 PDFBibTeX XMLCite \textit{M. Stadje}, Insur. Math. Econ. 47, No. 3, 391--404 (2010; Zbl 1231.91240) Full Text: DOI Link