Insurance : mathematics and economics-Tomo 42 Número 3 - 2008

Details
Articles

Publication: Insurance : mathematics and economics

Number: Tomo 42 Número 3 - 2008

Type: Normal

Rights: InC

Title	Author	Pages
Stochastic orders of scalar products with applications	Hua, Lei
A Binomial model for valuing equity-linked policies embedding surrender options	Costabile, Massimo
An Extension of the Wang transform derived from Bühlmanns economic premium principle for insurance risk	Kijima, Masaaki
A Note on the Swiss Solvency Test risk measure	Filipovic, Damir
Using distortions of copulas to price synthetic CDOs	Crane, Glenis
Valuation of life insurance surrender and exchange options	Nordahl, Helge A.
Valuation of the interest rate guarantee embedded in defined contribution pension plans	Yang, Sharon S.
On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities	Coulibaly, Ibrahim
Continuous-time portfolio selection with liability: Meanvariance model and stochastic LQ approach	Xie, Shuxiang
Optimal dividend and issuance of equity policies in the presence of proportional costs	Løkka, Arne
The Periodic risk model with investment	Kötter, Mirko
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint	Bai, Lihua
Optimal financing and dividend control of the insurance company with proportional reinsurance policy	He, Lin
Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy	Yang, Hu
Optimal insurance under the insurers risk constraint	Zhou, Chunyang
Pension funds as institutions for intertemporal risk transfer	Baumann, Roger T.
Assessing the cost of capital for longevity risk	Olivieri, Annamaria
Tolerance intervals for quantiles of bivariate risks and risk measurement	Gebizlioglu, Omer L.
Characterizations of classes of risk measures by dispersive orders	Sordo, Miguel A.
Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies	Chen, An
Regret aversion and annuity risk in defined contribution pension plans
Longevity risk and the Grim Reapers toxic tail : the survivor fan charts	Blake, David
Static super-replicating strategies for a class of exotic options	Chen, X.
On the dual risk model with tax payments	Albrecher, Hansjörg
Pricing bivariate option under GARCH processes with time-varying copula	Zhang, J.
On the ruin time distribution for a Sparre Andersen process with exponential claim sizes	Borovkov, Konstantin A.
Analytic bounds and approximations for annuities and Asian options
Comparison results for exchangeable credit risk portfolios	Cousin, Areski
A Locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market	Vandaele, Nele
The Private value of public pensions	Petrichev, Konstantin
A Game theoretic approach to option valuation under Markovian regime-switching models	Siu, Tak Kuen
Stochastic optimal control of DC pension funds	Gao, Jianwei