Volume 24, Issue 2

Search all Methodology and Computing in Applied Probability articles

June 2022

Advances in Actuarial Science and Quantitative Finance

Issue Editors:

Runhuan Feng,
José E. Figueroa-López,
Junyi Guo,
Claude Lefèvre

33 articles in this issue

Editorial for special issue on advances in Actuarial Science and quantitative finance
Runhuan Feng
José E. Figueroa-López
Claude Lefèvre
EditorialNotes 05 June 2022 Pages: 475 - 479
On the Discounted Penalty Function in a Perturbed Erlang Renewal Risk Model With Dependence
Franck Adékambi
Essodina Takouda
OriginalPaper 26 February 2022 Pages: 481 - 513
On The Randomized Schmitter Problem
Hansjörg Albrecher
José Carlos Araujo-Acuna
OriginalPaper Open access 08 November 2021 Pages: 515 - 535
Ruin and Dividend Measures in the Renewal Dual Risk Model
Renata G. Alcoforado
Agnieszka I. Bergel
Eugenio V. Rodríguez-Martínez
OriginalPaper 06 July 2021 Pages: 537 - 569
Statistical Inference for Partially Observed Markov-Modulated Diffusion Risk Model
F. Baltazar-Larios
Luz Judith R. Esparza
OriginalPaper 09 February 2022 Pages: 571 - 593
Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red
Julien Callant
Julien Trufin
Pierre Zuyderhoff
OriginalPaper 07 January 2022 Pages: 595 - 611
Bond Prices Under Information Asymmetry and a Short Rate with Instantaneous Feedback
Prakash Chakraborty
Kiseop Lee
OriginalPaper 08 February 2022 Pages: 613 - 634
Portfolio Selection and Risk Control for an Insurer With Uncertain Time Horizon and Partial Information in an Anticipating Environment
Fenge Chen
Bing Li
Xingchun Peng
OriginalPaper 26 February 2022 Pages: 635 - 659
Deep Learning for Constrained Utility Maximisation
Ashley Davey
Harry Zheng
OriginalPaper Open access 26 November 2021 Pages: 661 - 692
Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses
Michel Denuit
Christian Y. Robert
OriginalPaper 06 July 2021 Pages: 693 - 711
Estimation of Tempered Stable Lévy Models of Infinite Variation
José E. Figueroa-López
Ruoting Gong
Yuchen Han
OriginalPaper 16 March 2022 Pages: 713 - 747
Perpetual American Double Lookback Options on Drawdowns and Drawups with Floating Strikes
Pavel V. Gapeev
OriginalPaper Open access 17 May 2022 Pages: 749 - 788
Optimal Double Stopping Problems for Maxima and Minima of Geometric Brownian Motions
Pavel V. Gapeev
Peter M. Kort
Jacco J. J. Thijssen
OriginalPaper Open access 14 May 2022 Pages: 789 - 813
Analysis of IBNR Liabilities with Interevent Times Depending on Claim Counts
Daniel J. Geiger
Akim Adekpedjou
OriginalPaper 22 June 2022 Pages: 815 - 829
A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy
Wentao Hu
Cuixia Chen
Ze Chen
OriginalPaper 22 March 2022 Pages: 831 - 874
General Draw-Down Times for Refracted Spectrally Negative Lévy Processes
Xuan Huang
Jieming Zhou
OriginalPaper 19 February 2022 Pages: 875 - 891
A Numerical Method for Hedging Bermudan Options under Model Uncertainty
Junichi Imai
OriginalPaper 22 November 2021 Pages: 893 - 916
Dynamic Bivariate Mortality Modelling
Ying Jiao
Yahia Salhi
Shihua Wang
OriginalPaper 01 April 2022 Pages: 917 - 938
On the Risk of Ruin in a SIS Type Epidemic
Claude Lefèvre
Matthieu Simon
OriginalPaper 08 January 2022 Pages: 939 - 961
Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model
Charles Guy Njike Leunga
Donatien Hainaut
OriginalPaper 09 February 2022 Pages: 963 - 990
Inference for the Lee-Carter Model With An AR(2) Process
Deyuan Li
Chen Ling
Liang Peng
OriginalPaper 18 October 2021 Pages: 991 - 1019
Portfolio Optimization With a Guaranteed Minimum Maturity Benefit and Risk-Adjusted Fees
Anne MacKay
Adriana Ocejo
OriginalPaper 23 March 2022 Pages: 1021 - 1049
Bounds on Multivariate Kendall’s Tau and Spearman’s Rho for Zero-Inflated Continuous Variables and their Application to Insurance
Mhamed Mesfioui
Julien Trufin
OriginalPaper 26 May 2021 Pages: 1051 - 1059
On a Markovian Game Model for Competitive Insurance Pricing
Claire Mouminoux
Christophe Dutang
Hansjoerg Albrecher
OriginalPaper 29 October 2021 Pages: 1061 - 1091
Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling
Khouzeima Moutanabbir
Hassan Abdelrahman
OriginalPaper 11 June 2021 Pages: 1093 - 1118
Manage Pension Deficit with Heterogeneous Insurance
De-Lei Sheng
Linfeng Shi
Yanping Zhao
OriginalPaper 02 May 2022 Pages: 1119 - 1141
On Accelerating Monte Carlo Integration Using Orthogonal Projections
Huei-Wen Teng
Ming-Hsuan Kang
OriginalPaper 04 October 2021 Pages: 1143 - 1168
Optimal Mean-Variance Investment-Reinsurance Strategy for a Dependent Risk Model with Ornstein-Uhlenbeck Process
Yingxu Tian
Zhongyang Sun
Junyi Guo
OriginalPaper 16 October 2021 Pages: 1169 - 1191
Fraction-Degree Reference Dependent Stochastic Dominance
Jianping Yang
Chaoqun Zhao
Shuguang Han
OriginalPaper 02 March 2022 Pages: 1193 - 1219
Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model
Yang Yang
Xinzhi Wang
Shaoying Chen
OriginalPaper 30 April 2021 Pages: 1221 - 1236
Hitting Time Problems of Sticky Brownian Motion and Their Applications in Optimal Stopping and Bond Pricing
Haoyan Zhang
Yingxu Tian
OriginalPaper 07 January 2022 Pages: 1237 - 1251
Optimal DC Pension Management Under Inflation Risk With Jump Diffusion Price Index and Cost of Living Process
Xiaoyi Zhang
OriginalPaper 08 March 2022 Pages: 1253 - 1270
Robust Optimal Investment Problem with Delay under Heston’s Model
Ying Zhao
Hui Mi
Lixia Xu
OriginalPaper 08 October 2021 Pages: 1271 - 1296

Volume 24, Issue 2

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