| Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility |
14 |
| Compound unimodal distributions for insurance losses |
13 |
| On generalized log-Moyal distribution: A new heavy tailed size distribution |
9 |
| Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing |
8 |
| Minimizing the probability of ruin: Optimal per-loss reinsurance |
8 |
| Copula approaches for modeling cross-sectional dependence of data breach losses |
7 |
| Optimal investment strategies and intergenerational risk sharing for target benefit pension plans |
6 |
| On optimal periodic dividend strategies for Levy risk processes |
6 |
| Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework |
5 |
| Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance |
5 |
| Solvency II, or how to sweep the downside risk under the carpet |
5 |
| Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers |
5 |
| Optimal consumption and investment with insurer default risk |
5 |
| Risk-adjusted Bowley reinsurance under distorted probabilities |
5 |
| Modern tontine with bequest: Innovation in pooled annuity products |
5 |
| Optimal investment of DC pension plan under short-selling constraints and portfolio insurance |
4 |
| Cause-of-death mortality: What can be learned from population dynamics? |
4 |
| Identifiability, cointegration and the gravity model |
4 |
| The double-gap life expectancy forecasting model |
4 |
| Does hunger for bonuses drive the dependence between claim frequency and severity ? |
4 |
| Time-consistent mean-variance portfolio optimization: A numerical impulse control approach |
4 |
| Discounted penalty function at Parisian ruin for Levy insurance risk process |
4 |
| On a family of risk measures based on largest claims |
4 |
| The collective reserving model |
4 |
| Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets |
4 |
| Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility |
4 |
| On the existence of a representative reinsurer under heterogeneous beliefs |
4 |
| A multivariate tail covariance measure for elliptical distributions |
4 |
| Reinsurance versus securitization of catastrophe risk |
4 |
| Optimal investment under VaR-Regulation and Minimum Insurance |
4 |
| Optimal insurance under rank-dependent expected utility |
3 |
| A dependent frequency-severity approach to modeling longitudinal insurance claims |
3 |
| Option pricing under regime-switching models: Novel approaches removing path-dependence |
3 |
| To borrow or insure? Long term care costs and the impact of housing |
3 |
| Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee |
3 |
| Banach Contraction Principle and ruin probabilities in regime-switching models |
3 |
| Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion |
3 |
| Fair valuation of insurance liability cash-flow streams in continuous time: Theory |
3 |
| The long-term behavior of number of near-maximum insurance claims |
3 |
| Life insurance settlement and the monopolistic insurance market |
3 |
| Long-term care models and dependence probability tables by acuity level: New empirical evidence from Switzerland |
3 |
| Robust non-zero-sum investment and reinsurance game with default risk |
3 |
| Budget-constrained optimal insurance with belief heterogeneity |
3 |
| A comparative study of pricing approaches for longevity instruments |
3 |
| Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates |
3 |
| A time of ruin constrained optimal dividend problem for spectrally one-sided Levy processes |
3 |
| De-risking strategy: Longevity spread buy-in |
3 |
| On existence and uniqueness of the principle of equivalent utility under Cumulative Prospect Theory |
3 |
| Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions |
3 |
| Dividends: From refracting to ratcheting |
3 |
