Insurance : mathematics and economics-Volumen 53 Número 3 - noviembre 2013

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Artículos

Publicación: Insurance : mathematics and economics

Número: Volumen 53 Número 3 - noviembre 2013

Tipo: Normal

Derechos: InC

Título	Autor	Páginas
The Value of interest rate guarantees in participating life insurance contracts : Status quo and alternative product design
Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston	Zhao, Hui
Optimal dividends and ALM under unhedgeable risk	Pelsser, Antoon
A Bivariate shot noise self-exciting process for insurance	Jang, Ji-Wook
Optimal capital allocation based on the Tail Mean-Variance Model	Xu, Maochao
Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims	Zhu, Lingjiong
Insurance demand and welfare-maximizing risk capital-Some hints for the regulator in the case of exponential preferences and exponential claims	Burren, Daniel
A Gamma kernel density estimation for insurance loss data	Jeon, Yongho
On the Mortality-longevity risk hedging with mortality immunization	Lin, Tzu-Ting	p. 580-596
Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee	Costabile, Massimo
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Valuing equity-linked death benefits in jump diffusion models	Gerber, Hans U.
A New immunization inequality for random streams of assets, liabilities and interest rates	Gajek, Leslaw
Survival probabilities in bivariate risk models, with application to reinsurance	Castañer, Anna
Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework	He, Lin
Pricing variable annuity guarantees in a local volatility framework	Deelstra, Griselda	p.650-663
Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting	Bai, Lihua
Stochastic pareto-optimal reinsurance policies	Zeng, Xudong
Pension saving schemes with return smoothing mechanism	Goecke, Oskar
Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution	Rassoul, Abdelaziz
Fuzzy portfolio optimization model under real constraints	Liu, Yong-Jun
Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach	Alavi Fard, Farzad
Conditional copula simulation for systemic risk stress testing	Brechmann, Eike C.
Optimal reinsurance strategies in regime-switching jump diffusion models : stochastic differential game formulation and numerical methods	Jin, Zhuo
Generalized Makeham's formula and economic profitability	Magni, Carlo Alberto
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model	Shen, Yang
Optimal dividend problem with a terminal value for spectrally positive Lévy processes	Yin, Chuancun
On an asymptotic rule A+B-u for ultimate ruin probabilities under dependence by mixing	Dutang, C.
Modeling dependencies in claims reserving with GEE	Hudecová, Sárka
Application of data clustering and machine learning in variable annuity valuation	Gan, Guojun
Valuation and risk assessment of disability insurance using a discrete time trivariate Markov renewal reward process	Maegebier, Alexander
Insurance bargaining under ambiguity	Huang, Rachel J.
Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates	Puccetti, Giovanni
Total loss estimation using copula-based regression models
Stochastic modeling and fair valuation of drawdown insurance	Zhang, Hongzhong
Markowitz's mean-variance defined contribution pension fund management under inflation : a continuous-time model	Yao, Haixiang
Modeling future lifetime as a fuzzy random variable	Shapiro, Arnold F.
Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers	Chen, Ping
General lower bounds on convex functionals of aggregate sums	Cheung, Ka Chun
Multivariate patchwork copulas : a unified approach with applications to partial comonotonicity	Durante, Fabrizio
Dividend problems in the dual risk model	Afonso, Lourdes B.