Insurance: Mathematics and Economics

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Insurance: Mathematics and Economics is an international journal that intends to strengthen communication between individuals and groups who produce and apply research results in insurance and finance, aiming to integrate the currently fragmented research in both fields. The journal feels a particular obligation to facilitate closer cooperation between those who carry out research on the one side and practicing actuaries who are interested in the implementation of the results on the other. To this purpose, Insurance: Mathematics and Economics publishes high quality papers of international interest, concerned with either the theory of insurance mathematics and economics or the inventive application of it. Papers that combine several of these aspects are particularly welcome.

The subject matter of the journal includes the theory, models and computational methods of life insurance (including pensions systems, social insurance, and health insurance), of non-life insurance, of reinsurance and other risk-sharing arrangements, as well as of risk management. Of special interest are also its interactions with financial modeling. It also includes innovative insurance applications of results from other fields, such as probability and statistics, computer science and numerical analysis, economics, operations research and management science.

Financial Planning Articles

2010

  • Wei-Guo Zhang, Xi-Li Zhang, Wei-Jun Xu, 2010, "A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments", Insurance: Mathematics and Economics, 2010- Volume 46 p. 493
  • P. Date, R. Mamon, L. Jalen, I. C. Wang, 2010, "A linear algebraic method for pricing temporary life annuities and insurance policies", Insurance: Mathematics and Economics, 2010- Volume 47 p. 98
  • Emiliano A. Valdez, John Piggott, Liang Wang, 2010, "Demand and adverse selection in a pooled annuity fund", Insurance: Mathematics and Economics, 2010- Volume 39 p. 251
  • Dr. Gaobo Pang, Mark Warshawsky, 2010, "Optimizing the equity-bond-annuity portfolio in retirement, The impact of uncertain health expenses", Insurance: Mathematics and Economics, 2010- Volume 46 p. 198
  • Guan Gong, Anthony Webb, 2010, "Evaluating the Advanced Life Deferred Annuity - An annuity people might actually buy", Insurance: Mathematics and Economics, 2010- Volume 46 p. 210
  • Jianwei Gao, 2010, "An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts", Insurance: Mathematics and Economics, 2010- Volume 46 p. 511
  • Sharon S. Yang, Jack C. Yue, Hong-Chih Huang, 2010, "Modeling longevity risks using a principal component approach, A comparison with existing stochastic mortality models", Insurance: Mathematics and Economics, 2010- Volume 46 p. 254
  • Ralph Stevens, Anja De Waegenaere, Bertrand Melenberg, 2010, "Longevity risk in pension annuities with exchange options, The effect of product design", Insurance: Mathematics and Economics, 2010- Volume 46 p. 222
  • Samuel H. Cox, Yijia Lin, Hal Pedersen, 2010, "Mortality risk modeling, Applications to insurance securitization", Insurance: Mathematics and Economics, 2010- Volume 46 p. 242
  • Daniel Bauer, Matthias Börger, Jochen Russ, 2010, "On the pricing of longevity-linked securities", Insurance: Mathematics and Economics, 2010- Volume 46 p. 139
  • Enrico Biffis, David Blake, 2010, "Securitizing and tranching longevity exposures", Insurance: Mathematics and Economics, 2010- Volume 46 p. 186
  • Hua Chen, J David Cummins, 2010, "Longevity bond premiums, The extreme value approach and risk cubic pricing", Insurance: Mathematics and Economics, 2010- Volume 46 p. 150
  • Atsuyuki Kogure, Yoshiyuki Kurachi, 2010, "A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions", Insurance: Mathematics and Economics, 2010- Volume 46 p. 162
  • Samuel Wills, Michael Sherris, 2010, "Securitization, structuring and pricing of longevity risk", Insurance: Mathematics and Economics, 2010- Volume 46 p. 173
  • Tzuling Lin, Larry Y. Tzeng, 2010, "An additive stochastic model of mortality rates, An application to longevity risk in reserve evaluation", Insurance: Mathematics and Economics, 2010- Volume 46 p. 423

2009

  • Yumin Wang, 2009, "Quantile hedging for guaranteed minimum death benefits", Insurance: Mathematics and Economics, 2009- Volume 45 p. 449
  • Jianwei Gao, 2009, "Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model", Insurance: Mathematics and Economics, 2009- Volume 45 p. 9
  • Kristen S. Moore, 2009, "Optimal surrender strategies for equity-indexed annuity investors", Insurance: Mathematics and Economics, 2009- Volume 44 p. 1
  • Steven Haberman, Arthur Renshaw, 2009, "On age-period-cohort parametric mortality rate projections", Insurance: Mathematics and Economics, 2009- Volume 45 p. 255
  • Richard Plat, 2009, "Stochastic portfolio specific mortality and the quantification of mortality basis risk", Insurance: Mathematics and Economics, 2009- Volume 45 p. 123

2008

  • Z Chen, K. Vetzal, P. A. Forsyth, 2008, "The effect of modelling parameters on the value of GMWB guarantees", Insurance: Mathematics and Economics, 2008- Volume 43 p. 165
  • Konstantin Petrichev, Susan Thorp, 2008, "The private value of public pensions", Insurance: Mathematics and Economics, 2008- Volume 42 p. 1138
  • Chunyang Zhou, Chongfeng Wu, 2008, "Optimal insurance under the insurer's risk constraint", Insurance: Mathematics and Economics, 2008- Volume 42 p. 992
  • Jérôme Barbarin, 2008, "Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios", Insurance: Mathematics and Economics, 2008- Volume 43 p. 41
  • Marcus C. Christiansen, 2008, "A sensitivity analysis of typical life insurance contracts with respect to the technical basis", Insurance: Mathematics and Economics, 2008- Volume 42 p. 787
  • Erik Brodin, Holger Rootzén, 2009, "Univariate and bivariate GPD methods for predicting extreme wind storm losses", Insurance: Mathematics and Economics, 2009- Volume 44 p. 345
  • Wolfram J. Horneff, Raimond H. Maurer, Olivia S. Mitchell, Ivica Dus, 2008, "Following the rules, Integrating asset allocation and annuitization in retirement portfolios", Insurance: Mathematics and Economics, 2008- Volume 42 p. 398
  • Lukasz Delong, Russell Gerrard, Steven Haberman, 2008, "Mean-variance optimization problems for an accumulation phase in a defined benefit plan", Insurance: Mathematics and Economics, 2008- Volume 42 p. 107
  • Steven Vanduffel, Zhaoning Shang, Luc Henrard, Jan Dhaene, 2008, "Analytic bounds and approximations for annuities and Asian options", Insurance: Mathematics and Economics, 2008- Volume 42 p. 1109
  • Rik G. P. Frehen, Roy P. M. M. Hoevenaars, Franz C. Palm, Peter C. Schotman, 2008, "Regret aversion and annuity risk in defined contribution pension plans", Insurance: Mathematics and Economics, 2008- Volume 42 p. 1050
  • Rachel J Huang, Jeffrey T. Tsai, Larry Y. Tzeng, 2008, "Government-provided annuities under insolvency risk", Insurance: Mathematics and Economics, 2008- Volume 43 p. 377
  • Gudrun Hoermann, Jochen Russ, 2008, "Enhanced annuities and the impact of individual underwriting on an insurer's profit situation", Insurance: Mathematics and Economics, 2008- Volume 43 p. 150
  • Phelim Boyle, Weidong Tian, 2008, "The design of equity-indexed annuities", Insurance: Mathematics and Economics, 2008- Volume 43 p. 303
  • Michael Ludkovski, Virginia R. Young, 2008, "Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates", Insurance: Mathematics and Economics, 2008- Volume 42 p. 14
  • Michel Denuit, 2008, "Comonotonic approximations to quantiles of life annuity conditional expected present value", Insurance: Mathematics and Economics, 2008- Volume 42 p. 831
  • Michael Z. Stamos, 2008, "Optimal consumption and portfolio choice for pooled annuity funds", Insurance: Mathematics and Economics, 2008- Volume 43 p. 56
  • Norbert Hári, Anja De Waegenaere, Bertrand Melenberg, Theo E. Nijman, 2008, "Longevity risk in portfolios of pension annuities", Insurance: Mathematics and Economics, 2008- Volume 42 p. 505
  • David Blake, Kevin Dowd, Andrew J. G. Cairns, 2008, "Longevity risk and the Grim Reaper's toxic tail, The survivor fan charts", Insurance: Mathematics and Economics, 2008- Volume 42 p. 1062
  • A. E. Renshaw, Steven Haberman, 2008, "On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling", Insurance: Mathematics and Economics, 2008- Volume 42 p. 797
  • Annamaria Olivieri, Ermanno Pitacco, 2008, "Assessing the cost of capital for longevity risk", Insurance: Mathematics and Economics, 2008- Volume 42 p. 1013
  • Patrice Gaillardetz, 2008, "Valuation of life insurance products under stochastic interest rates", Insurance: Mathematics and Economics, 2008- Volume 42 p. 212

2007

  • Aparna Gupta, Zhisheng Li, 2007, "Integrating optimal annuity planning with consumption-investment selections in retirement planning", Insurance: Mathematics and Economics, 2007- Volume 41 p. 96
  • Dr. Moshe A. Milevsky, Virginia R. Young, 2007, "The timing of annuitization, Investment dominance and mortality risk", Insurance: Mathematics and Economics, 2007- Volume 40 p. 135
  • Erhan Bayraktar, Virginia R. Young, 2007, "Minimizing the probability of lifetime ruin under borrowing constraints", Insurance: Mathematics and Economics, 2007- Volume 41 p. 196

2006

  • Hyuk-Sung Kwon, Bruce L. Jones, 2006, "The impact of the determinants of mortality on life Insurance, and annuities", Insurance: Mathematics and Economics, 2006- Volume 38 p. 271

2004

  • Ermanno Pitacco, 2004, "Survival models in a dynamic context, a survey", Insurance: Mathematics and Economics, 2004- Volume 35 p. 279


External Links

http://www.elsevier.com/wps/find/journaldescription.cws_home/505554/description#description