期刊： SCANDINAVIAN ACTUARIAL JOURNAL, ; ()
The Bowley solution refers to the optimal pricing density for the reinsurer and optimal ceded loss for the insurer when there is a monopolistic reinsu......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, ; ()
The Haezendonck-Goovaerts (H-G) risk measure, proposed by Haezendonck & Goovaerts [(1982). A new premium calculation principle based on Orlicz nor......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, ; ()
Risk assessment on a stochastic basis has become prevalent in financial reporting due to increasingly sophisticated regulatory requirements. Many appl......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, ; ()
Although the ruin probability in a renewal insurance risk model with credit interest may be viewed as a classical research problem, exact solutions ar......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, 2020; 2020 (9)
Hedging techniques have been widely adopted in market-consistent or fair valuation approach required by recent solvency regulations, to take into acco......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, 2020; 2020 (10)
In this paper, we determine the optimal reinsurance strategy to minimize the probability of drawdown, namely, the probability that the insurer's surpl......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, 2020; 2020 (7)
Multi-country risk management of longevity risk provides new opportunities to hedge mortality and interest rate risks in guaranteed lifetime income st......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, 2020; 2020 (8)
This paper investigates time-consistent reinsurance(excess-of-loss, proportional) and investment strategies for an ambiguity averse insurer(abbr. AAI)......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, 2020; 2020 (8)
A discrete-time risk model with a mathematically tractable dependence structure between interclaim times and claim sizes is considered in the presence......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, 0; ()
This paper considers an optimal asset-liability management (ALM) problem for an insurer under the mean-variance criterion. It is assumed that the valu......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, 2019; (2)
We investigate the predictive power of covariates extracted from telematics car driving data using the speed-acceleration heatmaps of Gao, G. & Wu......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, 0; ()
Continuous-time mortality models, based on affine processes, provide many advantages over discrete-time models, especially for financial applications,......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, 2019; (1)
Reinsurance is available for a reinsurance premium that is determined according to a convex premium principle H. The first insurer selects the reinsur......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, 2019; (1)
In this paper, the compound Poisson risk model is considered. Inspired by Albrecher, Cheung, & Thonhauser. [(2011b). Randomized observation period......
期刊： SCANDINAVIAN ACTUARIAL JOURNAL, 2019; 2019 (9)
Reinsurance is a versatile risk management strategy commonly employed by insurers to optimize their risk profile. In this paper, we study an optimal r......
