期刊： INSURANCE MATHEMATICS & ECONOMICS, 2021; 98 ()
In this paper, we compute the Bowley solution of a one-period, mean-variance Stackelberg game in insurance, in which a buyer and a seller of insurance......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2021; 98 ()
Reverse mortgages have been an important financial tool for cash poor seniors to release home equity. In the United States, most reverse mortgages are......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2021; 99 ()
Longevity securitization enables insurers to manage longevity or mortality risk in the life market. Recent empirical studies identify long-range depen......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2021; 100 ()
When allocating a given total capital among main business lines and their sub-business lines, a decision maker will face both capital shortfall risk a......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2021; 99 ()
In this paper, we study the finite-time ruin probability in the risk model driven by a Levy subordinator, by incorporating the popular Fourier-cosine ......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2021; 98 ()
A general class of fair dynamic valuations, which are model-consistent (mark-to-model), market-consistent (mark-to-market) and time-consistent, was in......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2021; 100 ()
This paper investigates a time-consistent investment strategy under the mean-variance criterion for an investor who accumulates retirement savings thr......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2021; 98 ()
Many existing mortality models follow the framework of classical factor models, such as the Lee-Carter model and its variants. Latent common factors i......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2021; 97 ()
Consider a renewal risk model in which claim sizes and interarrival times correspondingly form a sequence of independent, identically distributed, and......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2021; 96 ()
This paper develops a hybrid deep learning approach to find optimal reinsurance, investment, and dividend strategies for an insurance company in a com......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2021; 96 ()
This paper investigates a class of non-zero-sum stochastic differential investment and reinsurance games between two insurance companies. We allow bot......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2021; 96 ()
This paper studies a robust optimal investment-reinsurance problem for an insurer who possesses inside information on the financial market and the ins......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2021; 96 ()
While abundant empirical studies support the long-range dependence (LRD) of mortality rates, the corresponding impact on mortality securities is large......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2020; 93 ()
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the re......
期刊： INSURANCE MATHEMATICS & ECONOMICS, 2020; 93 ()
Expected utility theory with a smooth utility function predicts that, when allocating wealth between a risky and a riskless asset, investors allocate ......
