Insurance : mathematics and economics-Tomo 44 Número 3 - 2009

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Articles

Publication: Insurance : mathematics and economics

Number: Tomo 44 Número 3 - 2009

Type: Normal

Rights: InC

Title	Author	Pages
Delta-VaR and delta-TVaR for portfolios with mixture of elliptic distributios risk factors and DCC	Sadefo Kamdem, J.
A Jump diffusion model for option pricing under fuzzy environments	Xu, W.
Univariate and bivariate GPD methods for predicting exreme wind storm losses	Brodin, E.
A Capital allocation based on a solvency exchange option	Kim, J.H.T
A Claims persistence process and insurance	Vallois, P.
Optimal reinsurance with general risk measures	Balbás, A.
Bounds and approximations for sums of dependent log-elliptical random variables
Decomposition of a schur-constant model and its applications	Chi, Y.
Optimal allocation of policy limits and deductibles under distortion risk measures	Zhuang, W.
Global loss diversification in the insurances sector	Sheremet, O.
Optimal risk sharing with different reference probabilities	Acciaio, B.
Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance	Gerstner, T.
Minimizing the lifetime shortfall or shortfall at death	Bayraktar, E.
Long time behaviour of stochastic interest rate models	Zhao, J.
Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim ocurrence times
Optimal proportional reinsurance and investment with transaction costs : maximizing the terminal wealth	Zhang, X.L.
Optimal portfolios for DC pension plans under a CEV model	Gao, J.
Survival probability for a two-dimensional risk model	Dang, L.
Computing the mean and the variance of the cedent's share for largest claims reinsurance covers	Hess, C.
Adverse selection of advantageous selection? : risk and underwriting in china's health-insurance market	Gao, F.