Publication date: September 2023
Source: Insurance: Mathematics and Economics, Volume 112
Author(s): Meng Yuan, Dawei Lu
Category Archives: Insurance: Mathematics and Economics
Valuation of general GMWB annuities in a low interest rate environment
Publication date: September 2023
Source: Insurance: Mathematics and Economics, Volume 112
Author(s): Claudio Fontana, Francesco Rotondi
Two-phase selection of representative contracts for valuation of large variable annuity portfolios
Publication date: Available online 14 September 2023
Source: Insurance: Mathematics and Economics
Author(s): Ruihong Jiang, David Saunders, Chengguo Weng
Optimal risk management with reinsurance and its counterparty risk hedging
Publication date: Available online 19 September 2023
Source: Insurance: Mathematics and Economics
Author(s): Yichun Chi, Tao Hu, Yuxia Huang
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
Publication date: November 2023
Source: Insurance: Mathematics and Economics, Volume 113
Author(s): Ning Wang, Yumo Zhang
Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach
Publication date: November 2023
Source: Insurance: Mathematics and Economics, Volume 113
Author(s): Ming Qiu, Zhuo Jin, Shuanming Li
Equilibria and efficiency in a reinsurance market
Publication date: November 2023
Source: Insurance: Mathematics and Economics, Volume 113
Author(s): Michael B. Zhu, Mario Ghossoub, Tim J. Boonen
Aggregate Markov models in life insurance: Properties and valuation
Publication date: November 2023
Source: Insurance: Mathematics and Economics, Volume 113
Author(s): Jamaal Ahmad, Mogens Bladt, Christian Furrer
Optimal investment, consumption and life insurance purchase with learning about return predictability
Publication date: November 2023
Source: Insurance: Mathematics and Economics, Volume 113
Author(s): Xingchun Peng, Baihui Li
Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach
Publication date: November 2023
Source: Insurance: Mathematics and Economics, Volume 113
Author(s): Johnny Siu-Hang Li, Yanxin Liu, Wai-Sum Chan