Gao, Jianwei Optimal portfolios for DC pension plans under a CEV model. (English) Zbl 1162.91411 Insur. Math. Econ. 44, No. 3, 479-490 (2009). MSC: 91B30 91B28 93E99 PDFBibTeX XMLCite \textit{J. Gao}, Insur. Math. Econ. 44, No. 3, 479--490 (2009; Zbl 1162.91411) Full Text: DOI
Zhao, Juan Long time behaviour of stochastic interest rate models. (English) Zbl 1162.91391 Insur. Math. Econ. 44, No. 3, 459-463 (2009). MSC: 91B28 60H30 60J75 PDFBibTeX XMLCite \textit{J. Zhao}, Insur. Math. Econ. 44, No. 3, 459--463 (2009; Zbl 1162.91391) Full Text: DOI
Bayraktar, Erhan; Young, Virginia R. Minimizing the lifetime shortfall or shortfall at death. (English) Zbl 1162.91397 Insur. Math. Econ. 44, No. 3, 447-458 (2009). MSC: 91B30 91B28 93E20 PDFBibTeX XMLCite \textit{E. Bayraktar} and \textit{V. R. Young}, Insur. Math. Econ. 44, No. 3, 447--458 (2009; Zbl 1162.91397) Full Text: DOI arXiv
Valdez, Emiliano A.; Dhaene, Jan; Maj, Mateusz; Vanduffel, Steven Bounds and approximations for sums of dependent log-elliptical random variables. (English) Zbl 1162.91440 Insur. Math. Econ. 44, No. 3, 385-397 (2009). MSC: 91B30 91B28 62P05 PDFBibTeX XMLCite \textit{E. A. Valdez} et al., Insur. Math. Econ. 44, No. 3, 385--397 (2009; Zbl 1162.91440) Full Text: DOI Link
Balbás, Alejandro; Balbás, Beatriz; Heras, Antonio Optimal reinsurance with general risk measures. (English) Zbl 1162.91394 Insur. Math. Econ. 44, No. 3, 374-384 (2009). MSC: 91B30 91B28 90C48 PDFBibTeX XMLCite \textit{A. Balbás} et al., Insur. Math. Econ. 44, No. 3, 374--384 (2009; Zbl 1162.91394) Full Text: DOI Link
Kim, Joseph H. T.; Hardy, Mary R. A capital allocation based on a solvency exchange option. (English) Zbl 1162.91380 Insur. Math. Econ. 44, No. 3, 357-366 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{J. H. T. Kim} and \textit{M. R. Hardy}, Insur. Math. Econ. 44, No. 3, 357--366 (2009; Zbl 1162.91380) Full Text: DOI
Lu, Yi; Li, Shuanming The Markovian regime-switching risk model with a threshold dividend strategy. (English) Zbl 1163.91438 Insur. Math. Econ. 44, No. 2, 296-303 (2009). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{Y. Lu} and \textit{S. Li}, Insur. Math. Econ. 44, No. 2, 296--303 (2009; Zbl 1163.91438) Full Text: DOI
Lin, X. Sheldon; Wang, Tao Pricing perpetual American catastrophe put options: A penalty function approach. (English) Zbl 1163.91412 Insur. Math. Econ. 44, No. 2, 287-295 (2009). MSC: 91B28 60H30 60J70 PDFBibTeX XMLCite \textit{X. S. Lin} and \textit{T. Wang}, Insur. Math. Econ. 44, No. 2, 287--295 (2009; Zbl 1163.91412) Full Text: DOI
Tsanakas, Andreas To split or not to split: Capital allocation with convex risk measures. (English) Zbl 1165.91423 Insur. Math. Econ. 44, No. 2, 268-277 (2009). MSC: 91B30 91B28 91B32 PDFBibTeX XMLCite \textit{A. Tsanakas}, Insur. Math. Econ. 44, No. 2, 268--277 (2009; Zbl 1165.91423) Full Text: DOI Link
Aas, Kjersti; Czado, Claudia; Frigessi, Arnoldo; Bakken, Henrik Pair-copula constructions of multiple dependence. (English) Zbl 1165.60009 Insur. Math. Econ. 44, No. 2, 182-198 (2009). Reviewer: Pavel Stoynov (Sofia) MSC: 60E05 91B28 91B30 PDFBibTeX XMLCite \textit{K. Aas} et al., Insur. Math. Econ. 44, No. 2, 182--198 (2009; Zbl 1165.60009) Full Text: DOI Link
Plat, Richard; Pelsser, Antoon Analytical approximations for prices of swap rate dependent embedded options in insurance products. (English) Zbl 1156.91401 Insur. Math. Econ. 44, No. 1, 124-134 (2009). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{R. Plat} and \textit{A. Pelsser}, Insur. Math. Econ. 44, No. 1, 124--134 (2009; Zbl 1156.91401) Full Text: DOI
Chang, Lung-Fu; Hung, Mao-Wei Analytical valuation of catastrophe equity options with negative exponential jumps. (English) Zbl 1156.91363 Insur. Math. Econ. 44, No. 1, 59-69 (2009). MSC: 91B28 91B30 60H30 PDFBibTeX XMLCite \textit{L.-F. Chang} and \textit{M.-W. Hung}, Insur. Math. Econ. 44, No. 1, 59--69 (2009; Zbl 1156.91363) Full Text: DOI
Laurence, Peter; Wang, Tai-Ho Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios. (English) Zbl 1155.91387 Insur. Math. Econ. 44, No. 1, 35-47 (2009). MSC: 91B28 90C05 PDFBibTeX XMLCite \textit{P. Laurence} and \textit{T.-H. Wang}, Insur. Math. Econ. 44, No. 1, 35--47 (2009; Zbl 1155.91387) Full Text: DOI
Azcue, Pablo; Muler, Nora Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints. (English) Zbl 1156.91391 Insur. Math. Econ. 44, No. 1, 26-34 (2009). MSC: 91B30 91B28 60G40 PDFBibTeX XMLCite \textit{P. Azcue} and \textit{N. Muler}, Insur. Math. Econ. 44, No. 1, 26--34 (2009; Zbl 1156.91391) Full Text: DOI
Moore, Kristen S. Optimal surrender strategies for equity-indexed annuity investors. (English) Zbl 1156.91379 Insur. Math. Econ. 44, No. 1, 1-18 (2009). MSC: 91B28 60G40 60H30 91B30 PDFBibTeX XMLCite \textit{K. S. Moore}, Insur. Math. Econ. 44, No. 1, 1--18 (2009; Zbl 1156.91379) Full Text: DOI
Zhou, Qing; Wu, Weixing; Wang, Zengwu Cooperative hedging with a higher interest rate for borrowing. (English) Zbl 1152.91562 Insur. Math. Econ. 42, No. 2, 609-616 (2008). MSC: 91B28 91A12 60H30 PDFBibTeX XMLCite \textit{Q. Zhou} et al., Insur. Math. Econ. 42, No. 2, 609--616 (2008; Zbl 1152.91562) Full Text: DOI
Klüppelberg, Claudia; Kostadinova, Radostina Integrated insurance risk models with exponential Lévy investment. (English) Zbl 1152.60325 Insur. Math. Econ. 42, No. 2, 560-577 (2008). MSC: 60G51 62P05 91B28 91B30 PDFBibTeX XMLCite \textit{C. Klüppelberg} and \textit{R. Kostadinova}, Insur. Math. Econ. 42, No. 2, 560--577 (2008; Zbl 1152.60325) Full Text: DOI
Tsanakas, Andreas Risk measurement in the presence of background risk. (English) Zbl 1152.91607 Insur. Math. Econ. 42, No. 2, 520-528 (2008). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{A. Tsanakas}, Insur. Math. Econ. 42, No. 2, 520--528 (2008; Zbl 1152.91607) Full Text: DOI Link
He, Lin; Hou, Ping; Liang, Zongxia Optimal control of the insurance company with proportional reinsurance policy under solvency constraints. (English) Zbl 1160.91020 Insur. Math. Econ. 43, No. 3, 474-479 (2008). Reviewer: Anna Jaskiewicz (Wrocław) MSC: 91B30 93E20 91B28 65K10 60H05 60H10 PDFBibTeX XMLCite \textit{L. He} et al., Insur. Math. Econ. 43, No. 3, 474--479 (2008; Zbl 1160.91020) Full Text: DOI
Huang, Rachel J.; Tsai, Jeffrey T.; Tzeng, Larry Y. Government-provided annuities under insolvency risk. (English) Zbl 1152.91588 Insur. Math. Econ. 43, No. 3, 377-385 (2008). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{R. J. Huang} et al., Insur. Math. Econ. 43, No. 3, 377--385 (2008; Zbl 1152.91588) Full Text: DOI Link
de Alba, Enrique; Nieto-Barajas, Luis E. Claims reserving: A correlated Bayesian model. (English) Zbl 1152.91719 Insur. Math. Econ. 43, No. 3, 368-376 (2008). MSC: 91B82 91B28 PDFBibTeX XMLCite \textit{E. de Alba} and \textit{L. E. Nieto-Barajas}, Insur. Math. Econ. 43, No. 3, 368--376 (2008; Zbl 1152.91719) Full Text: DOI
Hsu, Jason C.; Schwartz, Eduardo S. A model of R&D valuation and the design of research incentives. (English) Zbl 1152.91688 Insur. Math. Econ. 43, No. 3, 350-367 (2008). MSC: 91B74 91B38 92D30 91B28 PDFBibTeX XMLCite \textit{J. C. Hsu} and \textit{E. S. Schwartz}, Insur. Math. Econ. 43, No. 3, 350--367 (2008; Zbl 1152.91688) Full Text: DOI Link
DiCesare, Joe; Mcleish, Don Simulation of jump diffusions and the pricing of options. (English) Zbl 1152.91503 Insur. Math. Econ. 43, No. 3, 316-326 (2008). MSC: 91B28 60J65 PDFBibTeX XMLCite \textit{J. DiCesare} and \textit{D. Mcleish}, Insur. Math. Econ. 43, No. 3, 316--326 (2008; Zbl 1152.91503) Full Text: DOI
Boyle, Phelim; Tian, Weidong The design of equity-indexed annuities. (English) Zbl 1152.91484 Insur. Math. Econ. 43, No. 3, 303-315 (2008). MSC: 91B28 PDFBibTeX XMLCite \textit{P. Boyle} and \textit{W. Tian}, Insur. Math. Econ. 43, No. 3, 303--315 (2008; Zbl 1152.91484) Full Text: DOI
Neuenschwander, Daniel Retrieval of Black-Scholes and generalized Erlang models by perturbed observations at a fixed time. (English) Zbl 1141.91538 Insur. Math. Econ. 42, No. 1, 453-458 (2008). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{D. Neuenschwander}, Insur. Math. Econ. 42, No. 1, 453--458 (2008; Zbl 1141.91538) Full Text: DOI
Niu, Liqun Some stability results of optimal investment in a simple Lévy market. (English) Zbl 1141.91463 Insur. Math. Econ. 42, No. 1, 445-452 (2008). MSC: 91B28 PDFBibTeX XMLCite \textit{L. Niu}, Insur. Math. Econ. 42, No. 1, 445--452 (2008; Zbl 1141.91463) Full Text: DOI
Luo, Shangzhen; Taksar, Michael; Tsoi, Allanus On reinsurance and investment for large insurance portfolios. (English) Zbl 1141.91532 Insur. Math. Econ. 42, No. 1, 434-444 (2008). MSC: 91B30 91B28 60G40 PDFBibTeX XMLCite \textit{S. Luo} et al., Insur. Math. Econ. 42, No. 1, 434--444 (2008; Zbl 1141.91532) Full Text: DOI
Kassberger, Stefan; Kiesel, Rüdiger; Liebmann, Thomas Fair valuation of insurance contracts under Lévy process specifications. (English) Zbl 1141.91519 Insur. Math. Econ. 42, No. 1, 419-433 (2008). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{S. Kassberger} et al., Insur. Math. Econ. 42, No. 1, 419--433 (2008; Zbl 1141.91519) Full Text: DOI
Barone, Luca Bruno de Finetti and the case of the critical line’s last segment. (English) Zbl 1141.91416 Insur. Math. Econ. 42, No. 1, 359-377 (2008). MSC: 91B28 PDFBibTeX XMLCite \textit{L. Barone}, Insur. Math. Econ. 42, No. 1, 359--377 (2008; Zbl 1141.91416) Full Text: DOI
Menoncin, Francesco The role of longevity bonds in optimal portfolios. (English) Zbl 1141.91537 Insur. Math. Econ. 42, No. 1, 343-358 (2008). MSC: 91B30 91B28 90C39 PDFBibTeX XMLCite \textit{F. Menoncin}, Insur. Math. Econ. 42, No. 1, 343--358 (2008; Zbl 1141.91537) Full Text: DOI
Consiglio, Andrea; De Giovanni, Domenico Evaluation of insurance products with guarantee in incomplete markets. (English) Zbl 1141.91495 Insur. Math. Econ. 42, No. 1, 332-342 (2008). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{A. Consiglio} and \textit{D. De Giovanni}, Insur. Math. Econ. 42, No. 1, 332--342 (2008; Zbl 1141.91495) Full Text: DOI Link
Zhu, Jinxia; Yang, Hailiang Ruin theory for a Markov regime-switching model under a threshold dividend strategy. (English) Zbl 1141.91558 Insur. Math. Econ. 42, No. 1, 311-318 (2008). MSC: 91B30 91B28 60G40 PDFBibTeX XMLCite \textit{J. Zhu} and \textit{H. Yang}, Insur. Math. Econ. 42, No. 1, 311--318 (2008; Zbl 1141.91558) Full Text: DOI
Jumarie, Guy Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations. (English) Zbl 1141.91455 Insur. Math. Econ. 42, No. 1, 271-287 (2008). MSC: 91B28 91B62 PDFBibTeX XMLCite \textit{G. Jumarie}, Insur. Math. Econ. 42, No. 1, 271--287 (2008; Zbl 1141.91455) Full Text: DOI
Brückner, Karsten Quantifying the error of convex order bounds for truncated first moments. (English) Zbl 1147.60011 Insur. Math. Econ. 42, No. 1, 261-270 (2008). MSC: 60E15 91B28 PDFBibTeX XMLCite \textit{K. Brückner}, Insur. Math. Econ. 42, No. 1, 261--270 (2008; Zbl 1147.60011) Full Text: DOI
Boyle, Phelim; Potapchik, Alexander Prices and sensitivities of Asian options: A survey. (English) Zbl 1141.91421 Insur. Math. Econ. 42, No. 1, 189-211 (2008). MSC: 91B28 PDFBibTeX XMLCite \textit{P. Boyle} and \textit{A. Potapchik}, Insur. Math. Econ. 42, No. 1, 189--211 (2008; Zbl 1141.91421) Full Text: DOI
Brokate, M.; Klüppelberg, C.; Kostadinova, R.; Maller, R.; Seydel, R. C. On the distribution tail of an integrated risk model: A numerical approach. (English) Zbl 1141.91423 Insur. Math. Econ. 42, No. 1, 101-106 (2008). MSC: 91B28 91B30 45K05 65M06 60G51 PDFBibTeX XMLCite \textit{M. Brokate} et al., Insur. Math. Econ. 42, No. 1, 101--106 (2008; Zbl 1141.91423) Full Text: DOI
Zhang, Ming-Heng Modelling total tail dependence along diagonals. (English) Zbl 1142.62097 Insur. Math. Econ. 42, No. 1, 73-80 (2008). MSC: 62P05 62G32 91B28 62H20 62P20 PDFBibTeX XMLCite \textit{M.-H. Zhang}, Insur. Math. Econ. 42, No. 1, 73--80 (2008; Zbl 1142.62097) Full Text: DOI
de Jong, Frank Pension fund investments and the valuation of liabilities under conditional indexation. (English) Zbl 1141.91559 Insur. Math. Econ. 42, No. 1, 1-13 (2008). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{F. de Jong}, Insur. Math. Econ. 42, No. 1, 1--13 (2008; Zbl 1141.91559) Full Text: DOI
Hoermann, Gudrun; Ruß, Jochen Enhanced annuities and the impact of individual underwriting on an insurer’s profit situation. (English) Zbl 1140.91420 Insur. Math. Econ. 43, No. 1, 150-157 (2008). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{G. Hoermann} and \textit{J. Ruß}, Insur. Math. Econ. 43, No. 1, 150--157 (2008; Zbl 1140.91420) Full Text: DOI
Albrecher, Hansjörg; Thonhauser, Stefan Optimal dividend strategies for a risk process under force of interest. (English) Zbl 1140.91371 Insur. Math. Econ. 43, No. 1, 134-149 (2008). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{S. Thonhauser}, Insur. Math. Econ. 43, No. 1, 134--149 (2008; Zbl 1140.91371) Full Text: DOI
Hua, Lei; Cheung, Ka Chun Worst allocations of policy limits and deductibles. (English) Zbl 1140.91421 Insur. Math. Econ. 43, No. 1, 93-98 (2008). MSC: 91B30 91B32 91B28 PDFBibTeX XMLCite \textit{L. Hua} and \textit{K. C. Cheung}, Insur. Math. Econ. 43, No. 1, 93--98 (2008; Zbl 1140.91421) Full Text: DOI
Stamos, Michael Z. Optimal consumption and portfolio choice for pooled annuity funds. (English) Zbl 1140.91411 Insur. Math. Econ. 43, No. 1, 56-68 (2008). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{M. Z. Stamos}, Insur. Math. Econ. 43, No. 1, 56--68 (2008; Zbl 1140.91411) Full Text: DOI
Barbarin, Jérôme Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios. (English) Zbl 1140.91377 Insur. Math. Econ. 43, No. 1, 41-55 (2008). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{J. Barbarin}, Insur. Math. Econ. 43, No. 1, 41--55 (2008; Zbl 1140.91377) Full Text: DOI
Nielsen, Peter Holm; Steffensen, Mogens Optimal investment and life insurance strategies under minimum and maximum constraints. (English) Zbl 1140.91425 Insur. Math. Econ. 43, No. 1, 15-28 (2008). MSC: 91B30 49L20 91B28 93E20 PDFBibTeX XMLCite \textit{P. H. Nielsen} and \textit{M. Steffensen}, Insur. Math. Econ. 43, No. 1, 15--28 (2008; Zbl 1140.91425) Full Text: DOI
Siu, Tak Kuen A game theoretic approach to option valuation under Markovian regime-switching models. (English) Zbl 1141.91344 Insur. Math. Econ. 42, No. 3, 1146-1158 (2008). MSC: 91B28 60J75 91A23 91C15 PDFBibTeX XMLCite \textit{T. K. Siu}, Insur. Math. Econ. 42, No. 3, 1146--1158 (2008; Zbl 1141.91344) Full Text: DOI
Zhang, J.; Guégan, D. Pricing bivariate option under GARCH processes with time-varying copula. (English) Zbl 1141.91478 Insur. Math. Econ. 42, No. 3, 1095-1103 (2008). MSC: 91B28 91B24 PDFBibTeX XMLCite \textit{J. Zhang} and \textit{D. Guégan}, Insur. Math. Econ. 42, No. 3, 1095--1103 (2008; Zbl 1141.91478) Full Text: DOI
Baumann, Roger T.; Müller, Heinz H. Pension funds as institutions for intertemporal risk transfer. (English) Zbl 1141.91483 Insur. Math. Econ. 42, No. 3, 1000-1012 (2008). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{R. T. Baumann} and \textit{H. H. Müller}, Insur. Math. Econ. 42, No. 3, 1000--1012 (2008; Zbl 1141.91483) Full Text: DOI Link
He, Lin; Liang, Zongxia Optimal financing and dividend control of the insurance company with proportional reinsurance policy. (English) Zbl 1141.91445 Insur. Math. Econ. 42, No. 3, 976-983 (2008). MSC: 91B28 91B16 60H05 60H10 PDFBibTeX XMLCite \textit{L. He} and \textit{Z. Liang}, Insur. Math. Econ. 42, No. 3, 976--983 (2008; Zbl 1141.91445) Full Text: DOI
Kötter, Mirko; Bäuerle, Nicole The periodic risk model with investment. (English) Zbl 1141.91522 Insur. Math. Econ. 42, No. 3, 962-967 (2008). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{M. Kötter} and \textit{N. Bäuerle}, Insur. Math. Econ. 42, No. 3, 962--967 (2008; Zbl 1141.91522) Full Text: DOI
Crane, Glenis; van der Hoek, John Using distortions of copulas to price synthetic CDOs. (English) Zbl 1141.91500 Insur. Math. Econ. 42, No. 3, 903-908 (2008). MSC: 91B30 91B24 91B28 PDFBibTeX XMLCite \textit{G. Crane} and \textit{J. van der Hoek}, Insur. Math. Econ. 42, No. 3, 903--908 (2008; Zbl 1141.91500) Full Text: DOI
Kijima, Masaaki; Wong, Tony Pricing of Ratchet equity-indexed annuities under stochastic interest rates. (English) Zbl 1141.91457 Insur. Math. Econ. 41, No. 3, 317-338 (2007). MSC: 91B28 91B82 PDFBibTeX XMLCite \textit{M. Kijima} and \textit{T. Wong}, Insur. Math. Econ. 41, No. 3, 317--338 (2007; Zbl 1141.91457) Full Text: DOI
Annaert, Jan; Deelstra, Griselda; Heyman, Dries; Vanmaele, Michèle Risk management of a bond portfolio using options. (English) Zbl 1141.91414 Insur. Math. Econ. 41, No. 3, 299-316 (2007). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{J. Annaert} et al., Insur. Math. Econ. 41, No. 3, 299--316 (2007; Zbl 1141.91414) Full Text: DOI
Taksar, Michael; Hunderup, Christine Loft The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance. (English) Zbl 1141.91467 Insur. Math. Econ. 40, No. 2, 311-321 (2007). MSC: 91B28 91B30 93E20 PDFBibTeX XMLCite \textit{M. Taksar} and \textit{C. L. Hunderup}, Insur. Math. Econ. 40, No. 2, 311--321 (2007; Zbl 1141.91467) Full Text: DOI
Hainaut, Donatien; Devolder, Pierre Management of a pension fund under mortality and financial risks. (English) Zbl 1119.91053 Insur. Math. Econ. 41, No. 1, 134-155 (2007). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{D. Hainaut} and \textit{P. Devolder}, Insur. Math. Econ. 41, No. 1, 134--155 (2007; Zbl 1119.91053) Full Text: DOI
Gupta, Aparna; Li, Zhisheng Integrating optimal annuity planning with consumption-investment selections in retirement planning. (English) Zbl 1119.91052 Insur. Math. Econ. 41, No. 1, 96-110 (2007). MSC: 91B30 91B42 91B28 PDFBibTeX XMLCite \textit{A. Gupta} and \textit{Z. Li}, Insur. Math. Econ. 41, No. 1, 96--110 (2007; Zbl 1119.91052) Full Text: DOI
Date, P.; Mamon, R.; Wang, I. C. Valuation of cash flows under random rates of interest: a linear algebraic approach. (English) Zbl 1119.91043 Insur. Math. Econ. 41, No. 1, 84-95 (2007). MSC: 91B28 91B70 PDFBibTeX XMLCite \textit{P. Date} et al., Insur. Math. Econ. 41, No. 1, 84--95 (2007; Zbl 1119.91043) Full Text: DOI
Muermann, Alexander; Mitchell, Olivia S.; Volkman, Jacqueline M. Regret, portfolio choice, and guarantees in defined contribution schemes. (English) Zbl 1098.91075 Insur. Math. Econ. 39, No. 2, 219-229 (2006). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{A. Muermann} et al., Insur. Math. Econ. 39, No. 2, 219--229 (2006; Zbl 1098.91075) Full Text: DOI Link
Espinosa, Fernando; Vives, Josep A volatility-varying and jump-diffusion Merton type model of interest rate risk. (English) Zbl 1112.91033 Insur. Math. Econ. 38, No. 1, 157-166 (2006). MSC: 91B28 91B84 60H30 60H05 PDFBibTeX XMLCite \textit{F. Espinosa} and \textit{J. Vives}, Insur. Math. Econ. 38, No. 1, 157--166 (2006; Zbl 1112.91033) Full Text: DOI
Norberg, Ragnar Dynamic Greeks. (English) Zbl 1147.91329 Insur. Math. Econ. 39, No. 1, 123-133 (2006). MSC: 91B28 60H10 60H30 PDFBibTeX XMLCite \textit{R. Norberg}, Insur. Math. Econ. 39, No. 1, 123--133 (2006; Zbl 1147.91329) Full Text: DOI
Phélippé-Guinvarc’h, Martial V.; Cordier, Jean E. A private management strategy for the crop yield insurer: a theoretical approach and tests. (English) Zbl 1147.91345 Insur. Math. Econ. 39, No. 1, 35-46 (2006). MSC: 91B30 91B40 91B28 PDFBibTeX XMLCite \textit{M. V. Phélippé-Guinvarc'h} and \textit{J. E. Cordier}, Insur. Math. Econ. 39, No. 1, 35--46 (2006; Zbl 1147.91345) Full Text: DOI HAL
Vellekoop, M. H.; Vd Kamp, A. A.; Post, B. A. Pricing and hedging guaranteed returns on mix funds. (English) Zbl 1168.91403 Insur. Math. Econ. 38, No. 3, 585-598 (2006). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{M. H. Vellekoop} et al., Insur. Math. Econ. 38, No. 3, 585--598 (2006; Zbl 1168.91403) Full Text: DOI Link
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David Mortality-dependent financial risk measures. (English) Zbl 1168.91411 Insur. Math. Econ. 38, No. 3, 427-440 (2006). MSC: 91B30 91B82 91B28 62P05 PDFBibTeX XMLCite \textit{K. Dowd} et al., Insur. Math. Econ. 38, No. 3, 427--440 (2006; Zbl 1168.91411) Full Text: DOI
Coleman, Thomas F.; Li, Yuying; Patron, Maria-Cristina Hedging guarantees in variable annuities under both equity and interest rate risks. (English) Zbl 1128.91020 Insur. Math. Econ. 38, No. 2, 215-228 (2006). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{T. F. Coleman} et al., Insur. Math. Econ. 38, No. 2, 215--228 (2006; Zbl 1128.91020) Full Text: DOI
Thomson, Robert J. The pricing of liabilities in an incomplete market using dynamic mean-variance hedging. (English) Zbl 1120.62094 Insur. Math. Econ. 36, No. 3, 441-455 (2005). MSC: 62P05 91B28 PDFBibTeX XMLCite \textit{R. J. Thomson}, Insur. Math. Econ. 36, No. 3, 441--455 (2005; Zbl 1120.62094) Full Text: DOI
Cheung, Ka Chun; Yang, Hailiang Optimal stopping behavior of equity-linked investment products with regime switching. (English) Zbl 1129.60065 Insur. Math. Econ. 37, No. 3, 599-614 (2005). MSC: 60J20 60J10 60G40 91B28 PDFBibTeX XMLCite \textit{K. C. Cheung} and \textit{H. Yang}, Insur. Math. Econ. 37, No. 3, 599--614 (2005; Zbl 1129.60065) Full Text: DOI
Jumarie, Guy Merton’s model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence. (English) Zbl 1104.91034 Insur. Math. Econ. 37, No. 3, 585-598 (2005). Reviewer: Antonis Papapantoleon (Freiburg) MSC: 91B28 60H40 49J45 93E20 PDFBibTeX XMLCite \textit{G. Jumarie}, Insur. Math. Econ. 37, No. 3, 585--598 (2005; Zbl 1104.91034) Full Text: DOI
Barbarin, Jérome; Devolder, Pierre Risk measure and fair valuation of an investment guarantee in life insurance. (English) Zbl 1125.91061 Insur. Math. Econ. 37, No. 2, 297-323 (2005). MSC: 91B30 91B28 60H10 60H30 PDFBibTeX XMLCite \textit{J. Barbarin} and \textit{P. Devolder}, Insur. Math. Econ. 37, No. 2, 297--323 (2005; Zbl 1125.91061) Full Text: DOI
Hoedemakers, Tom; Darkiewicz, Grzegorz; Goovaerts, Marc Approximations for life annuity contracts in a stochastic financial environment. (English) Zbl 1125.91064 Insur. Math. Econ. 37, No. 2, 239-269 (2005). MSC: 91B30 91B28 62P05 PDFBibTeX XMLCite \textit{T. Hoedemakers} et al., Insur. Math. Econ. 37, No. 2, 239--269 (2005; Zbl 1125.91064) Full Text: DOI
Shen, Weixi; Xu, Huiping The valuation of unit-linked policies with or without surrender options. (English) Zbl 1110.91016 Insur. Math. Econ. 36, No. 1, 79-92 (2005). MSC: 91B28 35R35 PDFBibTeX XMLCite \textit{W. Shen} and \textit{H. Xu}, Insur. Math. Econ. 36, No. 1, 79--92 (2005; Zbl 1110.91016) Full Text: DOI
Ramsay, Colin M. Pricing optional group term insurance: a new approach using reservation prices. (English) Zbl 1111.91024 Insur. Math. Econ. 36, No. 1, 37-55 (2005). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{C. M. Ramsay}, Insur. Math. Econ. 36, No. 1, 37--55 (2005; Zbl 1111.91024) Full Text: DOI
Schmidli, Hanspeter On optimal investment and subexponential claims. (English) Zbl 1110.91019 Insur. Math. Econ. 36, No. 1, 25-35 (2005). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{H. Schmidli}, Insur. Math. Econ. 36, No. 1, 25--35 (2005; Zbl 1110.91019) Full Text: DOI
Korn, Ralf Worst-case scenario investment for insurers. (English) Zbl 1111.91017 Insur. Math. Econ. 36, No. 1, 1-11 (2005). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{R. Korn}, Insur. Math. Econ. 36, No. 1, 1--11 (2005; Zbl 1111.91017) Full Text: DOI
Chu, Chi Chiu; Kwok, Yue Kuen Reset and withdrawal rights in dynamic fund protection. (English) Zbl 1136.91421 Insur. Math. Econ. 34, No. 2, 273-295 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{C. C. Chu} and \textit{Y. K. Kwok}, Insur. Math. Econ. 34, No. 2, 273--295 (2004; Zbl 1136.91421) Full Text: DOI
Iwaki, Hideki; Yumae, Shoji An efficient frontier for participating policies in a continuous-time economy. (English) Zbl 1122.91331 Insur. Math. Econ. 35, No. 3, 611-625 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{H. Iwaki} and \textit{S. Yumae}, Insur. Math. Econ. 35, No. 3, 611--625 (2004; Zbl 1122.91331) Full Text: DOI
Schrager, David F.; Pelsser, Antoon A. J. Pricing rate of return guarantees in regular premium unit linked insurance. (English) Zbl 1103.91049 Insur. Math. Econ. 35, No. 2, 369-398 (2004). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{D. F. Schrager} and \textit{A. A. J. Pelsser}, Insur. Math. Econ. 35, No. 2, 369--398 (2004; Zbl 1103.91049) Full Text: DOI
Vanmaele, Michèle; Deelstra, Griselda; Liinev, Jan Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables. (English) Zbl 1056.91037 Insur. Math. Econ. 35, No. 2, 343-367 (2004). MSC: 91B28 60E15 60J65 PDFBibTeX XMLCite \textit{M. Vanmaele} et al., Insur. Math. Econ. 35, No. 2, 343--367 (2004; Zbl 1056.91037) Full Text: DOI Link
Battauz, A.; Pratelli, M. Optimal stopping and American options with discrete dividends and exogenous risk. (English) Zbl 1079.91020 Insur. Math. Econ. 35, No. 2, 255-265 (2004). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{A. Battauz} and \textit{M. Pratelli}, Insur. Math. Econ. 35, No. 2, 255--265 (2004; Zbl 1079.91020) Full Text: DOI
Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R. The hurdle-race problem. (English) Zbl 1103.91353 Insur. Math. Econ. 33, No. 2, 405-413 (2003). MSC: 91B28 91B82 PDFBibTeX XMLCite \textit{S. Vanduffel} et al., Insur. Math. Econ. 33, No. 2, 405--413 (2003; Zbl 1103.91353) Full Text: DOI
Chen, Cho-Jieh; Panjer, Harry Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process. (English) Zbl 1103.91356 Insur. Math. Econ. 33, No. 2, 357-380 (2003). MSC: 91B30 91B28 60J75 PDFBibTeX XMLCite \textit{C.-J. Chen} and \textit{H. Panjer}, Insur. Math. Econ. 33, No. 2, 357--380 (2003; Zbl 1103.91356) Full Text: DOI
Lee, Hangsuck Pricing equity-indexed annuities with path-dependent options. (English) Zbl 1103.91368 Insur. Math. Econ. 33, No. 3, 677-690 (2003). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{H. Lee}, Insur. Math. Econ. 33, No. 3, 677--690 (2003; Zbl 1103.91368) Full Text: DOI
Lindset, Snorre Pricing of multi-period rate of return guarantees. (English) Zbl 1103.91351 Insur. Math. Econ. 33, No. 3, 629-644 (2003). MSC: 91B28 PDFBibTeX XMLCite \textit{S. Lindset}, Insur. Math. Econ. 33, No. 3, 629--644 (2003; Zbl 1103.91351) Full Text: DOI
Tanskanen, Antti Juho; Lukkarinen, Jani Fair valuation of path-dependent participating life insurance contracts. (English) Zbl 1103.91373 Insur. Math. Econ. 33, No. 3, 595-609 (2003). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{A. J. Tanskanen} and \textit{J. Lukkarinen}, Insur. Math. Econ. 33, No. 3, 595--609 (2003; Zbl 1103.91373) Full Text: DOI
Moore, Kristen S.; Young, Virginia R. Pricing equity-linked pure endowments via the principle of equivalent utility. (English) Zbl 1103.91370 Insur. Math. Econ. 33, No. 3, 497-516 (2003). MSC: 91B30 49L20 60H30 91B28 PDFBibTeX XMLCite \textit{K. S. Moore} and \textit{V. R. Young}, Insur. Math. Econ. 33, No. 3, 497--516 (2003; Zbl 1103.91370) Full Text: DOI
Jaschke, Stefan A note on the inhomogeneous linear stochastic differential equation. (English) Zbl 1081.60050 Insur. Math. Econ. 32, No. 3, 461-464 (2003). MSC: 60H20 91B28 91B30 PDFBibTeX XMLCite \textit{S. Jaschke}, Insur. Math. Econ. 32, No. 3, 461--464 (2003; Zbl 1081.60050) Full Text: DOI
Burnecki, Krzysztof; Marciniuk, Agnieszka; Weron, Aleksander Annuities under random rates of interest – revisited. (English) Zbl 1081.91013 Insur. Math. Econ. 32, No. 3, 457-460 (2003). MSC: 91B28 91B30 62P05 PDFBibTeX XMLCite \textit{K. Burnecki} et al., Insur. Math. Econ. 32, No. 3, 457--460 (2003; Zbl 1081.91013) Full Text: DOI
Willmot, Gordon E.; Dickson, David C. M. The Gerber-Shiu discounted penalty function in the stationary renewal risk model. (English) Zbl 1072.91027 Insur. Math. Econ. 32, No. 3, 403-411 (2003). Reviewer: Silvia Curteanu (Iaşi) MSC: 91B30 60K05 91B28 PDFBibTeX XMLCite \textit{G. E. Willmot} and \textit{D. C. M. Dickson}, Insur. Math. Econ. 32, No. 3, 403--411 (2003; Zbl 1072.91027) Full Text: DOI
De Waegenaere, Anja; Kast, Robert; Lapied, Andre Choquet pricing and equilibrium. (English) Zbl 1055.91045 Insur. Math. Econ. 32, No. 3, 359-370 (2003). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{A. De Waegenaere} et al., Insur. Math. Econ. 32, No. 3, 359--370 (2003; Zbl 1055.91045) Full Text: DOI
Møller, Thomas Indifference pricing of insurance contracts in a product space model: Applications. (English) Zbl 1024.62044 Insur. Math. Econ. 32, No. 2, 295-315 (2003). MSC: 62P05 91B30 91B28 PDFBibTeX XMLCite \textit{T. Møller}, Insur. Math. Econ. 32, No. 2, 295--315 (2003; Zbl 1024.62044) Full Text: DOI
Jouini, Elyès; Napp, Clotilde Comonotonic processes. (English) Zbl 1028.60089 Insur. Math. Econ. 32, No. 2, 255-265 (2003). MSC: 60J99 91B28 PDFBibTeX XMLCite \textit{E. Jouini} and \textit{C. Napp}, Insur. Math. Econ. 32, No. 2, 255--265 (2003; Zbl 1028.60089) Full Text: DOI
Perry, David; Stadje, Wolfgang; Yosef, Rami Annuities with controlled random interest rates. (English) Zbl 1074.91019 Insur. Math. Econ. 32, No. 2, 245-253 (2003). MSC: 91B28 60J70 PDFBibTeX XMLCite \textit{D. Perry} et al., Insur. Math. Econ. 32, No. 2, 245--253 (2003; Zbl 1074.91019) Full Text: DOI
Chang, S. C.; Tzeng, Larry Y.; Miao, Jerry C. Y. Pension funding incorporating downside risks. (English) Zbl 1074.91547 Insur. Math. Econ. 32, No. 2, 217-228 (2003). MSC: 91B30 91B28 93C95 PDFBibTeX XMLCite \textit{S. C. Chang} et al., Insur. Math. Econ. 32, No. 2, 217--228 (2003; Zbl 1074.91547) Full Text: DOI
Fischer, Tom Risk capital allocation by coherent risk measures based on one-sided moments. (English) Zbl 1055.91048 Insur. Math. Econ. 32, No. 1, 135-146 (2003). MSC: 91B30 91A80 91B28 91B32 PDFBibTeX XMLCite \textit{T. Fischer}, Insur. Math. Econ. 32, No. 1, 135--146 (2003; Zbl 1055.91048) Full Text: DOI
Cai, Jun; Dickson, David C. M. Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest. (English) Zbl 1074.91028 Insur. Math. Econ. 32, No. 1, 61-71 (2003). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 91B28 91B70 PDFBibTeX XMLCite \textit{J. Cai} and \textit{D. C. M. Dickson}, Insur. Math. Econ. 32, No. 1, 61--71 (2003; Zbl 1074.91028) Full Text: DOI
De Gooijer, Jan G.; Vidiella-i-Anguera, Antoni Nonlinear stochastic inflation modelling using SEASETARs. (English) Zbl 1055.91022 Insur. Math. Econ. 32, No. 1, 3-18 (2003). MSC: 91B28 91B84 PDFBibTeX XMLCite \textit{J. G. De Gooijer} and \textit{A. Vidiella-i-Anguera}, Insur. Math. Econ. 32, No. 1, 3--18 (2003; Zbl 1055.91022) Full Text: DOI
Schoutens, Wim; Studer, Michael Short-term risk management using stochastic Taylor expansions under Lévy models. (English) Zbl 1028.60084 Insur. Math. Econ. 33, No. 1, 173-188 (2003). MSC: 60J70 91B28 PDFBibTeX XMLCite \textit{W. Schoutens} and \textit{M. Studer}, Insur. Math. Econ. 33, No. 1, 173--188 (2003; Zbl 1028.60084) Full Text: DOI
Yang, Hailiang Ruin theory in a financial corporation model with credit risk. (English) Zbl 1055.91059 Insur. Math. Econ. 33, No. 1, 135-145 (2003). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{H. Yang}, Insur. Math. Econ. 33, No. 1, 135--145 (2003; Zbl 1055.91059) Full Text: DOI
Becherer, Dirk Rational hedging and valuation of integrated risks under constant absolute risk aversion. (English) Zbl 1072.91025 Insur. Math. Econ. 33, No. 1, 1-28 (2003). Reviewer: Horst Behncke (Osnabrück) MSC: 91B30 91B16 91B28 PDFBibTeX XMLCite \textit{D. Becherer}, Insur. Math. Econ. 33, No. 1, 1--28 (2003; Zbl 1072.91025) Full Text: DOI
Hürlimann, Werner On immunization, stop-loss order and the maximum Shiu measure. (English) Zbl 1074.91016 Insur. Math. Econ. 31, No. 3, 315-325 (2002). MSC: 91B28 PDFBibTeX XMLCite \textit{W. Hürlimann}, Insur. Math. Econ. 31, No. 3, 315--325 (2002; Zbl 1074.91016) Full Text: DOI
Menoncin, Francesco Optimal portfolio and background risk: an exact and an approximated solution. (English) Zbl 1055.91054 Insur. Math. Econ. 31, No. 2, 249-265 (2002). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{F. Menoncin}, Insur. Math. Econ. 31, No. 2, 249--265 (2002; Zbl 1055.91054) Full Text: DOI
Kühn, Christoph Pricing contingent claims in incomplete markets when the holder can choose among different payoffs. (English) Zbl 1070.91503 Insur. Math. Econ. 31, No. 2, 215-233 (2002). MSC: 91B28 91B30 91B16 60G40 PDFBibTeX XMLCite \textit{C. Kühn}, Insur. Math. Econ. 31, No. 2, 215--233 (2002; Zbl 1070.91503) Full Text: DOI