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Inf-convolution and optimal allocations for mixed-VaRs
Author: Xia, Zichao; Zou, Zhenfeng; Hu, Taizhong
Journal: INSURANCE MATHEMATICS & ECONOMICS. 2023; Vol. 108, Issue , pp. 156-164. DOI: 10.1016/j.insmatheco.2022.12.001
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Optimal investment and consumption strategies for pooled annuity with partial information
Author: Xie, Lin; Chen, Lv; Qian, Linyi; Li, Danping; Yang, Zhixin
Journal: INSURANCE MATHEMATICS & ECONOMICS. 2023; Vol. 108, Issue , pp. 129-155. DOI: 10.1016/j.insmatheco.2022.11.005
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Optimal consumption and life insurance under shortfall aversion and a drawdown constraint
Author: Li, Xun; Yu, Xiang; Zhang, Qinyi
Journal: INSURANCE MATHEMATICS & ECONOMICS. 2023; Vol. 108, Issue , pp. 25-45. DOI: 10.1016/j.insmatheco.2022.11.001
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Portfolio choice with illiquid asset for a loss-averse pension fund investor
Author: Chen, Zheng; Li, Zhongfei; Zeng, Yan
Journal: INSURANCE MATHEMATICS & ECONOMICS. 2023; Vol. 108, Issue , pp. 60-83. DOI: 10.1016/j.insmatheco.2022.10.003
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Dependence modeling of frequency-severity of insurance claims using waiting time
Author: Gao, Guangyuan; Li, Jiahong
Journal: INSURANCE MATHEMATICS & ECONOMICS. 2023; Vol. 109, Issue , pp. 29-51. DOI: 10.1016/j.insmatheco.2022.12.006
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Robust retirement and life insurance with inflation risk and model ambiguity
Author: Park, Kyunghyun; Wong, Hoi Ying; Yan, Tingjin
Journal: INSURANCE MATHEMATICS & ECONOMICS. 2023; Vol. 110, Issue , pp. 1-30. DOI: 10.1016/j.insmatheco.2023.01.003
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Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
Author: Mi, Hui; Xu, Zuo Quan
Journal: INSURANCE MATHEMATICS & ECONOMICS. 2023; Vol. 110, Issue , pp. 82-105. DOI: 10.1016/j.insmatheco.2023.02.004
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Dynamic asset-liability management with frictions
Author: Yan, Tingjin; Han, Jinhui; Ma, Guiyuan; Siu, Chi Chung
Journal: INSURANCE MATHEMATICS & ECONOMICS. 2023; Vol. 111, Issue , pp. 57-83. DOI: 10.1016/j.insmatheco.2023.03.001
