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ASTIN Bulletin

The Journal of the International Actuarial Association

Documents Indexed: 581 Publications (since 1998)
References Indexed: 512 Publications with 12,711 References.
all top 5

Authors

16 Denuit, Michel M.
16 Wüthrich, Mario Valentin
11 Hürlimann, Werner
11 Yang, Hailiang
9 Bühlmann, Hans
9 Tan, Ken Seng
9 Taylor, Greg
8 Chi, Yichun
8 Haberman, Steven
8 Walhin, Jean-François
7 Avanzi, Benjamin
7 Hardy, Mary R.
7 Lin, X. Sheldon
7 Nielsen, Jens Perch
6 Boonen, Tim J.
6 Furman, Edward
6 Gómez-Déniz, Emilio
6 Landsman, Zinoviy M.
6 Macdonald, Angus S.
6 Mack, Thomas
6 Sherris, Michael
6 Tang, Qihe
6 Venter, Gary G.
6 Wong, Bernard
5 Albrecher, Hansjörg
5 Chen, An
5 Cheung, Ka Chun
5 Christiansen, Marcus Christian
5 Devolder, Pierre
5 Dickson, David C. M.
5 Gisler, Alois
5 Guillen, Montserrat
5 Paris, Jose F.
5 Steffensen, Mogens
5 Verrall, Richard J.
5 Waters, Howard R.
5 Willmot, Gordon E.
4 Aase, Knut Kristian
4 Antonio, Katrien
4 Avram, Florin
4 Badescu, Andrei L.
4 Boucher, Jean-Philippe
4 Cai, Jun
4 Chan, Jennifer So Kuen
4 Cossette, Hélène
4 De Lourdes Centeno, Maria
4 Delong, Łukasz
4 Dhaene, Jan
4 Donnelly, Catherine
4 Egídio dos Reis, Alfredo D.
4 Embrechts, Paul
4 Kałuszka, Marek
4 Lemaire, Jean-Jacques
4 Pinquet, Jean
4 Riegel, Ulrich
4 Tsanakas, Andreas
4 Usábel, Miguel A.
4 Vernic, Raluca
4 Young, Virginia R.
4 Zitikis, Ričardas
3 Afonso, Lourdes B.
3 Bauer, Daniel J.
3 Beirlant, Jan
3 Blake, David
3 Brazauskas, Vytaras
3 Cairns, Andrew J. G.
3 Cheung, Eric C. K.
3 Choy, S. T. Boris
3 de Jong, Piet
3 Deelstra, Griselda
3 Desjardins, Denise
3 Dionne, Georges
3 Drekic, Steve
3 Frangos, Nikos E.
3 Gerber, Hans U.
3 Hainaut, Donatien
3 Hieber, Peter
3 Hofert, Marius
3 Hössjer, Ola G.
3 Joshi, Mark S.
3 Kling, Alexander
3 Li, Johnny Siu-Hang
3 Li, Shuanming
3 Marceau, Étienne
3 Maurer, Raimond H.
3 Meng, Shengwang
3 Merz, Michael
3 Moriconi, Franco
3 Ohlsson, Esbjörn
3 Pantelous, Athanasios A.
3 Peters, Gareth William
3 Ruß, Jochen
3 Sarabia, José María
3 Schmidt, Klaus D.
3 Tapadar, Pradip
3 Thérond, Pierre-E.
3 Wang, Ruodu
3 Woo, Jae-Kyung
3 Wu, Xianyi
3 Yam, Sheung Chi Phillip
...and 623 more Authors

Publications by Year

Citations contained in zbMATH Open

457 Publications have been cited 4,371 times in 2,742 Documents Cited by Year
A primer on copulas for count data. Zbl 1274.62398
Genest, Christian; Nešlehová, Johanna
112
2007
Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
104
2006
Some optimal dividends problems. Zbl 1097.91040
Dickson, David C. M.; Waters, Howard R.
97
2004
Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures. Zbl 1162.91402
Cai, Jun; Tan, Ken Seng
92
2007
A universal pricing framework for guaranteed minimum benefits in variable annuities. Zbl 1274.91399
Bauer, Daniel; Kling, Alexander; Russ, Jochen
89
2008
Optimal reinsurance under VaR and CVaR risk measures a simplified approach. Zbl 1239.91078
Chi, Yichun; Tan, Ken Seng
61
2011
Common Poisson shock models: applications to insurance and credit risk modelling. Zbl 1087.91030
Lindskog, Filip; McNeil, Alexander J.
61
2003
Optimal reinsurance revisited - a geometric approach. Zbl 1230.91070
Cheung, Ka Chun
59
2010
Risk-minimizing hedging strategies for unit-linked life insurance contracts. Zbl 1168.91417
Møller, Thomas
57
1998
Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time. Zbl 1018.91028
Cairns, Andrew
56
2000
Randomized onservation periods for the compound Poisson risk model: dividends. Zbl 1239.91072
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan
55
2011
Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028
Asmussen, Soren; Avram, Florin; Usabel, Miguel
54
2002
Modelling and comparing dependencies in multivariable risk portfolios. Zbl 1137.91484
Bäuerle, N.; Müller, A.
54
1998
A universal framework for pricing financial and insurance risks. Zbl 1090.91555
Wang, Shaun S.
53
2002
Fitting Tweedie’s compound Poisson model to insurance claims data: dispersion modelling. Zbl 1094.91514
Smyth, Gordon K.; Jørgensen, Bent
51
2002
Optimal dividends in the dual model with diffusion. Zbl 1274.91463
Avanzi, Benjamin; Gerber, Hans U.
49
2008
Tail variance premium with applications for elliptical portfolio of risks. Zbl 1162.91373
Furman, Edward; Landsman, Zinoviy
45
2006
A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374
Gerber, Hans U.; Lin, X.; Yang, Hailiang
45
2006
Fair pricing of life insurance participating policies with a minimum interest rate guaranteed. Zbl 1098.91537
Bacinello, Anna Rita
44
2001
Modelling adult mortuality in small populations the saint model. Zbl 1239.91128
Søren, Fiig Jarner; Kryger, Ebsen Masotti
41
2011
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
38
2013
The density of the time to ruin in the classical Poisson risk model. Zbl 1097.62113
Dickson, David C. M.; Willmot, Gordon E.
35
2005
Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113
Li, Johnny Siu-Hang; Hardy, Mary; Tan, Ken Seng
34
2009
Optimal dynamic XL reinsurance. Zbl 1059.93135
Hipp, Christian; Vogt, Michael
33
2003
On the tail behaviour of sums of dependent risks. Zbl 1162.91395
Barbe, Philippe; Fougères, Anne-Laure; Genest, Christian
33
2006
Tail conditional expectations for exponential dispersion models. Zbl 1099.62122
Landsman, Zinoviy; Valdez, Emiliano A.
32
2005
Guaranteed annuity options. Zbl 1098.91527
Boyle, Phelim; Hardy, Mary
31
2003
Prediction of outstanding liabilities II model variations and extensions. Zbl 1162.91428
Norberg, R.
31
1999
Maxima of sums of heavy-tailed random variables. Zbl 1098.60505
Ng, K. W.; Tang, Q. H.; Yang, Hailiang
30
2002
Optimal dividends and capital injections in the dual model with diffusion. Zbl 1242.91089
Avanzi, Benjamin; Shen, Jonathan; Wong, Bernard
29
2011
On Esscher transforms in discrete finance models. Zbl 1162.91367
Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N.
29
1998
The quantitative modeling of operational risk: between \(g\)- and -\(h\) and EVT. Zbl 1154.62077
Degen, Matthias; Embrechts, Paul; Lambrigger, Dominik D.
27
2007
A simple geometric proof that comonotonic risks have the convex-largest sum. Zbl 1061.62511
Kaas, R.; Dhaene, J.; Vyncke, D.; Goovaerts, M. J.; Denuit, M.
27
2002
Design of optimal bonus-malus systems with a frequency and a severity component on an individual basis in automobile insurance. Zbl 1035.62108
Frangos, Nicholas E.; Vrontos, Spyridon D.
27
2001
The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. Zbl 1230.91181
Donnelly, Catherine; Embrechts, Paul
27
2010
Key q-duration: a framework for hedging longevity risk. Zbl 1277.91089
Li, Johnny Siu-Hang; Luo, Ancheng
26
2012
Reinsurance arrangements minimizing the risk-adjusted value of an insurer’s liability. Zbl 1277.91077
Chi, Yichun
26
2012
Phase-type approximations to finite-time ruin probabilities in the Sparre Andersen and stationary renewal risk models. Zbl 1123.62078
Stanford, D. A.; Avram, F.; Badescu, A. L.; Breuer, L.; da Silva Soares, A.; Latouche, G.
24
2005
Model uncertainty in claims reserving within Tweedie’s compound Poisson models. Zbl 1203.91114
Peters, Gareth W.; Shevchenko, Pavel V.; Wüthrich, Mario V.
24
2009
Optimal reinsurance from the perspectives of both an insurer and a reinsurer. Zbl 1390.91167
Cai, Jun; Lemieux, Christiane; Liu, Fangda
24
2016
Modeling dependent risks with multivariate Erlang mixtures. Zbl 1277.62255
Lee, Simon C. K.; Lin, X. Sheldon
23
2012
On the maximisation of the adjustment coefficient under proportional reinsurance. Zbl 1095.91033
Hald, Morten; Schmidli, Hanspeter
23
2004
The decompositions of the discounted penalty functions and dividends-penalty identity in a Markov-modulated risk model. Zbl 1169.91390
Li, Shuanming; Lu, Yi
23
2008
On the distribution of the surplus prior to and at ruin. Zbl 1129.62425
Schmidli, Hanspeter
23
1999
Favorable estimators for fitting Pareto models: a study using goodness-of-fit measures with actual data. Zbl 1058.62030
Brazauskas, Vytaras; Serfling, Robert
22
2003
Risk measures and efficient use of capital. Zbl 1203.91110
Artzner, Philippe; Delbaen, Freddy; Koch-Medina, Pablo
22
2009
On the calculation of the solvency capital requirement based on nested simulations. Zbl 1277.91074
Bauer, Daniel; Reuss, Andreas; Singer, Daniela
21
2012
From ruin to bankruptcy for compound Poisson surplus processes. Zbl 1283.91084
Albrecher, Hansjörg; Lautscham, Volkmar
21
2013
Individual loss reserving with the multivariate skew normal framework. Zbl 1284.91263
Pigeon, Mathieu; Antonio, Katrien; Denuit, Michel
21
2013
Option pricing in a jump-diffusion model with regime-switching. Zbl 1180.91298
Yuen, Fei Lung; Yang, Hailiang
21
2009
On the density and moments of the time of ruin with exponential claims. Zbl 1062.60007
Drekic, Steve; Willmot, Gordon E.
21
2003
The mean square error of prediction in the chain ladder reserving method (Mack and Murphy revisited). Zbl 1162.91400
Buchwalder, Markus; Bühlmann, Hans; Merz, Michael; Wütrich, Mario V.
21
2006
A review on phase-type distributions and their use in risk theory. Zbl 1123.62013
Bladt, Mogens
20
2005
Maximizing dividends without bankruptcy. Zbl 1162.91375
Gerber, Hans U.; Shiu, Elias S. W.; Smith, Nathaniel
20
2006
Double chain ladder. Zbl 1277.91092
Martínez Miranda, Dolores María; Nielsen, Jens Perch; Verrall, Richard
19
2012
Stochastic mortality: the impact on target capital. Zbl 1179.91108
Olivieri, Annamaria; Pitacco, Ermanno
19
2009
Prediction of RBNS and IBNR claims using claim amounts and claim counts. Zbl 1235.91109
Verrall, Richard; Nielsen, Jens Perch; Jessen, Anders Hedegaard
19
2010
On stop-loss order and the distortion pricing principle. Zbl 1168.91414
Hürlimann, Werner
19
1998
Optimal reinsurance for variance related premium calculation principles. Zbl 1230.91073
Guerra, Manuel; de Lourdes Centeno, Maria
19
2010
Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm. Zbl 1390.62227
Verbelen, Roel; Gong, Lan; Antonio, Katrien; Badescu, Andrei; Lin, Sheldon
19
2015
A unified approach to generate risk measures. Zbl 1098.91539
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe
18
2003
The Markov chain market. Zbl 1098.91531
Norberg, Ragnar
18
2003
Designing optimal bonus-malus systems from different types of claims. Zbl 1162.91430
Pinquet, Jean
18
1998
Credibility for the chain ladder reserving method. Zbl 1274.91486
Gisler, Alois; Wüthrich, Mario V.
18
2008
On some properties of a class of multivariate Erlang mixtures with insurance applications. Zbl 1390.62092
Willmot, Gordon E.; Woo, Jae-Kyung
18
2015
A Neyman-Pearson perspective on optimal reinsurance with constraints. Zbl 1390.91199
Lo, Ambrose
18
2017
Analysis of the expected shortfall of aggregate dependent risks. Zbl 1101.62092
Alink, Stan; Löwe, Matthias; Wütherich, Mario V.
17
2005
Equilibrium pricing transforms: new results using Bühlmann’s 1980 economic model. Zbl 1098.91551
Wang, Shaun S.
17
2003
Asymptotic value-at-risk estimates for sums of dependent random variables. Zbl 1098.62570
Wüthrich, Mario V.
17
2003
Analytic solution for return of premium and rollup guaranteed minimum death benefit options under some simple mortality laws. Zbl 1256.91035
Ulm, Eric R.
17
2008
Economic capital allocations for non-negative portfolios of dependent risks. Zbl 1274.91379
Furman, Edward; Landsman, Zinoviy
17
2008
Optimal risk control for the excess of loss reinsurance policies. Zbl 1230.91079
Meng, Hui; Zhang, Xin
17
2010
On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer. Zbl 1390.91170
Chen, Lv; Shen, Yang
17
2018
Pricing general insurance using optimal control theory. Zbl 1155.91401
Emms, Paul; Haberman, Steven
16
2005
Allowance for the age of claims in bonus-malus systems. Zbl 1098.91544
Pinquet, Jean; Cuillén, Montserrat; Bolancé, Catalina
16
2001
Dependence in dynamic claim frequency credibility models. Zbl 1098.62567
Purcaru, Oana; Denuit, Michel
16
2003
An individual claims reserving model. Zbl 1162.91421
Larsen, Christian Roholte
16
2007
Largest claims reinsurance premiums under possible claims dependence. Zbl 1162.91420
Kremer, Erhard
16
1998
A comparative study of two-population models for the assessment of basis risk in longevity hedges. Zbl 1390.91215
Villegas, Andrés M.; Haberman, Steven; Kaishev, Vladimir K.; Millossovich, Pietro
16
2017
The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor. Zbl 1277.62256
Mack, Th.
15
1999
Ruin probabilities and deficit for the renewal risk model with phase-type interarrival times. Zbl 1274.91244
Avram, F.; Usábel, M.
15
2004
Claims reserving using Tweedie’s compound Poisson model. Zbl 1095.91042
Wüthrich, Mario V.
15
2003
Risk exchange with distorted probabilities. Zbl 1162.91439
Tsanakas, Andreas; Christofides, Nico
15
2006
Market consistent pricing of insurance products. Zbl 1256.91018
Malamud, Semyon; Trubowitz, Eugene; Wüthrich, Mario V.
15
2008
Actuarial fairness and solidarity in pooled annuity funds. Zbl 1390.91177
Donnelly, Catherine
15
2015
Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang
15
2015
Pricing in reinsurance bargaining with comonotonic additive utility functions. Zbl 1390.91164
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao
15
2016
The prediction error of the chain ladder method applied to correlated run-off triangles. Zbl 1274.62689
Braun, Christian
14
2004
Analytical bounds for two value-at-risk functionals. Zbl 1094.91032
Hürlimann, Werner
14
2002
Optimal pricing of a heterogeneous portfolio for a given risk level. Zbl 1162.91390
Zaks, Yaniv; Frostig, Esther; Levikson, Benny
14
2006
A multivariate extension of equilibrum pricing transforms the multivariate Esscher and Wang transforms for pricing financial and insurance risks. Zbl 1162.91418
Kijima, Masaaki
14
2006
Dividend moments in the dual risk model exact and approximate approaches. Zbl 1256.91026
Cheung, Eric C. K.; Drekic, Steve
14
2008
Optimal consumption and insurance: a continuous-time Markov chain approach. Zbl 1169.91329
Kraft, Holger; Steffensen, Mogens
14
2008
On the risk-neutral valuation of life insurance contracts with numerical methods in view. Zbl 1230.91066
Bauer, Daniel; Bergmann, Daniela; Kiesel, Rüdiger
14
2010
Modeling and generating dependent risk processes for IRM and DFA. Zbl 1159.91410
Pfeifer, Dietmar; Nešlehová, Johana
13
2004
New goodness-of-fit tests for Pareto distributions. Zbl 1178.62051
Rizzo, Maria L.
13
2009
An extension of Panjer’s recursion. Zbl 1098.91540
Hess, Klaus Th.; Liewald, Anett; Schmidt, Klaus D.
13
2002
On the analysis of the truncated generalized Poisson distribution using a Bayesian method. Zbl 1168.60311
Scollnik, D. P. M.
13
1998
On the applicability of the Wang transform for pricing financial risks. Zbl 1169.91343
Pelsser, Antoon
13
2008
Computation of compound distribution. II: Discretization errors and Richardson extrapolation. Zbl 1106.62347
Grübel, Rudolf; Hermesmeier, Renate
13
2000
On the optimal combination of annuities and tontines. Zbl 1431.91320
Chen, An; Rach, Manuel; Sehner, Thorsten
4
2020
Poisson models with dynamic random effects and nonnegative credibilities per period. Zbl 1447.91145
Pinquet, Jean
4
2020
Multivariate long-memory cohort mortality models. Zbl 1431.91346
Yan, Hongxuan; Peters, Gareth W.; Chan, Jennifer S. K.
3
2020
A new inference strategy for general population mortality tables. Zbl 1444.91190
Boumezoued, Alexandre; Hoffmann, Marc; Jeunesse, Paulien
3
2020
A neural network boosted double overdispersed Poisson claims reserving model. Zbl 1431.91328
Gabrielli, Andrea
2
2020
Bilateral risk sharing with heterogeneous beliefs and exposure constraints. Zbl 1431.91094
Boonen, Tim J.; Ghossoub, Mario
2
2020
Large-loss behavior of conditional mean risk sharing. Zbl 1454.91178
Denuit, Michel; Robert, Christian Y.
2
2020
Forecasting multiple functional time series in a group structure: an application to mortality. Zbl 1447.91148
Shang, Han Lin; Haberman, Steven
2
2020
An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion. Zbl 1447.91149
Tzougas, George; Karlis, Dimitris
2
2020
The effect of the assumed interest rate and smoothing on variable annuities. Zbl 1431.91316
Balter, Anne G.; Werker, Bas J. M.
1
2020
Natural hedges with immunization strategies of mortality and interest rates. Zbl 1431.91339
Lin, Tzuling; Tsai, Cary Chi-liang
1
2020
Reaching a bequest goal with life insurance: ambiguity about the risky asset’s drift and mortality’s hazard rate. Zbl 1431.91338
Liang, Xiaoqing; Young, Virginia R.
1
2020
Multivariate geometric tail- and range-value-at-risk. Zbl 1431.91441
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina
1
2020
Wavelet-based feature extraction for mortality projection. Zbl 1454.91190
Hainaut, Donatien; Denuit, Michel
1
2020
Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method. Zbl 1454.91177
Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; Hieber, Peter
1
2020
Testing for random effects in compound risk models via Bregman divergence. Zbl 1454.91194
Jeong, Himchan
1
2020
Distortion riskmetrics on general spaces. Zbl 1454.91208
Wang, Qiuqi; Wang, Ruodu; Wei, Yunran
1
2020
An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. Zbl 1454.91189
Gweon, Hyukjun; Li, Shu; Mamon, Rogemar
1
2020
Risk measures derived from a regulator’s perspective on the regulatory capital requirements for insurers. Zbl 1454.91169
Cai, Jun; Mao, Tiantian
1
2020
Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach. Zbl 1447.91129
Cheng, Xiang; Jin, Zhuo; Yang, Hailiang
1
2020
A generalised property exposure rating framework that incorporates scale-independent losses and maximum possible loss uncertainty. Zbl 1447.91144
Parodi, Pietro
1
2020
Tonuity: a novel individual-oriented retirement plan. Zbl 1419.91352
Chen, An; Hieber, Peter; Klein, Jakob K.
9
2019
Fair valuation of insurance liability cash-flow streams in continuous time: applications. Zbl 1410.91262
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
8
2019
Modelling socio-economic differences in mortality using a new affluence index. Zbl 1427.91201
Cairns, Andrew J. G.; Kallestrup-Lamb, Malene; Rosenskjold, Carsten; Blake, David; Dowd, Kevin
6
2019
On the optimality of a straight deductible under belief heterogeneity. Zbl 1419.91353
Chi, Yichun
6
2019
A class of mixture of experts models for general insurance: application to correlated claim frequencies. Zbl 1427.91227
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
5
2019
Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines. Zbl 1427.91225
Denuit, Michel
4
2019
Dynamic principal component regression: application to age-specific mortality forecasting. Zbl 1427.91241
Shang, Han Lin
3
2019
A marked Cox model for the number of IBNR claims: estimation and application. Zbl 1427.91218
Badescu, Andrei L.; Chen, Tianle; Lin, X. Sheldon; Tang, Dameng
3
2019
A tree-based algorithm adapted to microlevel reserving and long development claims. Zbl 1427.91238
Lopez, Olivier; Milhaud, Xavier; Thérond, Pierre-E.
3
2019
Modelling mortality dependence with regime-switching copulas. Zbl 1458.91187
Rui, Zhou
3
2019
Ordering properties of extreme claim amounts from heterogeneous portfolios. Zbl 1410.91296
Zhang, Yiying; Cai, Xiong; Zhao, Peng
3
2019
Analyzing mortality bond indexes via hierarchical forecast reconciliation. Zbl 1427.91236
Li, Han; Tang, Qihe
2
2019
Personal non-life insurance decisions and the welfare loss from flat deductibles. Zbl 1419.91384
Steffensen, Mogens; Thøgersen, Julie
2
2019
New results on the distribution of discounted compound Poisson sums. Zbl 1419.91389
Zhang, Zhehao
2
2019
Bias-corrected inference for a modified Lee-Carter mortality model. Zbl 1410.91277
Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang
2
2019
Modelling zero-inflated count data with a special case of the generalised Poisson distribution. Zbl 1427.91220
Calderín-Ojeda, Enrique; Gómez-Déniz, Emilio; Barranco-Chamorro, Inmaculada
1
2019
Calendar year effect modeling for claims reserving in HGLM. Zbl 1427.91230
Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano
1
2019
The reserve uncertainties in the chain ladder model of Mack revisited. Zbl 1427.91231
Gisler, Alois
1
2019
Deriving robust Bayesian premiums under bands of prior distributions with applications. Zbl 1415.62081
Sánchez-Sánchez, M.; Sordo, M. A.; Suárez-Llorens, A.; Gómez-Déniz, E.
1
2019
Property graphs – a statistical model for fire and explosion losses based on graph theory. Zbl 1410.91281
Parodi, Pietro; Watson, Peter
1
2019
Joint life insurance pricing using extended Marshall-Olkin models. Zbl 1410.91267
Gobbi, Fabio; Kolev, Nikolai; Mulinacci, Sabrina
1
2019
CAT bond pricing under a product probability measure with pot risk characterization. Zbl 1410.91288
Tang, Qihe; Yuan, Zhongyi
1
2019
On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer. Zbl 1390.91170
Chen, Lv; Shen, Yang
17
2018
Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171
Chen, Shumin; Yang, Hailiang; Zeng, Yan
9
2018
On heterogeneity in the individual model with both dependent claim occurrences and severities. Zbl 1390.91219
Zhang, Yiying; Li, Xiaohu; Cheung, Ka Chun
8
2018
On the compound Poisson risk model with periodic capital injections. Zbl 1390.91220
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
8
2018
Aggregation of dependent risks in mixtures of exponential distributions and extensions. Zbl 1404.62116
Sarabia, José María; Gómez-Déniz, Emilio; Prieto, Faustino; Jordá, Vanesa
6
2018
A neural-network analyzer for mortality forecast. Zbl 1390.91186
Hainaut, Donatien
6
2018
Local hedging of variable annuities in the presence of basis risk. Zbl 1390.91213
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, Emmanuel
6
2018
Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality. Zbl 1390.91190
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan
6
2018
Pricing of cyber insurance contracts in a network model. Zbl 1416.91175
Fahrenwaldt, Matthias A.; Weber, Stefan; Weske, Kerstin
4
2018
Gaussian process models for mortality rates and improvement factors. Zbl 1403.62193
Ludkovski, Mike; Risk, Jimmy; Zail, Howard
4
2018
Modelling insurance losses using contaminated generalised beta type-II distribution. Zbl 1390.62204
Chan, J. S. K.; Choy, S. T. B.; Makov, U. E.; Landsman, Z.
4
2018
Implementing individual savings decisions for retirement with bounds on wealth. Zbl 1390.91178
Donnelly, Catherine; Guillen, Montserrat; Nielsen, Jens Perch; Pérez-Marín, Ana Maria
4
2018
Dynamic hedging of longevity risk: the effect of trading frequency. Zbl 1390.91194
Li, Hong
4
2018
Linear versus nonlinear allocation rules in risk sharing under financial fairness. Zbl 1416.91220
Schumacher, Johannes M.
3
2018
Optimum insurance contracts with background risk and higher-order risk attitudes. Zbl 1416.91165
Chi, Yichun; Wei, Wei
3
2018
Systemic risk: an asymptotic evaluation. Zbl 1390.91157
Asimit, Alexandru V.; Li, Jinzhu
3
2018
Robust and efficient fitting of severity models and the method of winsorized moments. Zbl 1390.62230
Zhao, Qian; Brazauskas, Vytaras; Ghorai, Jugal
3
2018
Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling. Zbl 1390.62222
Stupfler, Gilles; Yang, Fan
3
2018
Multivariate modelling of household claim frequencies in motor third-party liability insurance. Zbl 1416.91214
Pechon, Florian; Trufin, Julien; Denuit, Michel
2
2018
Smoothing Poisson common factor model for projecting mortality jointly for both sexes. Zbl 1390.91204
Pitt, David; Li, Jackie; Lim, Tian Kang
2
2018
Age-specific adjustment of graduated mortality. Zbl 1390.62220
Salhi, Yahia; Thérond, Pierre-E.
2
2018
Natural hedging in long-term care insurance. Zbl 1390.91192
Levantesi, Susanna; Menzietti, Massimiliano
2
2018
Modelling and estimating individual and firm effects with count panel data. Zbl 1404.62101
Angers, Jean-François; Desjardins, Denise; Dionne, Georges; Guertin, François
1
2018
Common shock models for claim arrays. Zbl 1416.91150
Avanzi, Benjamin; Taylor, Greg; Wong, Bernard
1
2018
An extreme-value theory approximation scheme in reinsurance and insurance-linked securities. Zbl 1416.91151
Aviv, Rom
1
2018
Dynamic hedging strategies for cash balance pension plans. Zbl 1416.91230
Zhu, Xiaobai; Hardy, Mary R.; Saunders, David
1
2018
On the distribution of the excedents of funds with assets and liabilities in presence of solvency and recovery requirements. Zbl 1390.91158
Avanzi, Benjamin; Brandt Henriksen, Lars Frederik; Wong, Bernard
1
2018
Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach. Zbl 1390.91222
Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa; Wang, Chou-Wen
1
2018
A mixture model for payments and payment numbers in claims reserving. Zbl 1390.91184
Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano
1
2018
Stochastic claims reserving via a Bayesian spline model with random loss ratio effects. Zbl 1390.62206
Gao, Guangyuan; Meng, Shengwang
1
2018
Parsimonious parameterization of age-period-cohort models by Bayesian shrinkage. Zbl 1390.62226
Venter, Gary; Şahin, Şule
1
2018
A Neyman-Pearson perspective on optimal reinsurance with constraints. Zbl 1390.91199
Lo, Ambrose
18
2017
A comparative study of two-population models for the assessment of basis risk in longevity hedges. Zbl 1390.91215
Villegas, Andrés M.; Haberman, Steven; Kaishev, Vladimir K.; Millossovich, Pietro
16
2017
Coherent forecasting of mortality rates: a sparse vector-autoregression approach. Zbl 1390.62215
Li, Hong; Lu, Yang
10
2017
The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk. Zbl 1390.91198
Liu, Yanxin; Li, Johnny Siu-Hang
9
2017
Refraction-reflection strategies in the dual model. Zbl 1390.91203
Pérez, José-Luis; Yamazaki, Kazutoshi
9
2017
A form of multivariate Pareto distribution with applications to financial risk measurement. Zbl 1390.62095
Su, Jianxi; Furman, Edward
9
2017
Collective risk models with dependence uncertainty. Zbl 1390.91196
Liu, Haiyan; Wang, Ruodu
7
2017
Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model. Zbl 1390.91183
Furman, Edward; Zitikis, Ričardas
7
2017
Approximating the density of the time to ruin via Fourier-cosine series expansion. Zbl 1390.91326
Zhang, Zhimin
5
2017
Potential games with aggregation in non-cooperative general insurance markets. Zbl 1390.91216
Wu, Renchao; Pantelous, Athanasios A.
4
2017
Continuous-time semi-Markov inference of biometric laws associated with a long-term care insurance portfolio. Zbl 1390.91160
Biessy, Guillaume
3
2017
Modelling mortality for pension schemes. Zbl 1390.91189
Hunt, Andrew; Blake, David
3
2017
Longevity risk management and shareholder value for a life annuity business. Zbl 1390.91161
Blackburn, Craig; Hanewald, Katja; Olivieri, Annamaria; Sherris, Michael
2
2017
Risk sharing with expected and dual utilities. Zbl 1390.91163
Boonen, Tim J.
2
2017
A Bayesian joint model for population and portfolio-specific mortality. Zbl 1390.91223
van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel
2
2017
Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation. Zbl 1390.91176
Dhaene, Jan; Godecharle, Els; Antonio, Katrien; Denuit, Michel; Hanbali, Hamza
2
2017
Broken-heart, common life, heterogeneity: analyzing the spousal mortality dependence. Zbl 1390.62216
Lu, Yang
2
2017
The full tails gamma distribution applied to model extreme values. Zbl 1390.62084
del Castillo, Joan; Daoudi, Jalila; Serra, Isabel
2
2017
Existence and uniqueness of chain ladder solutions. Zbl 1390.62224
Taylor, Greg
1
2017
Model selection and averaging of health costs in episode treatment groups. Zbl 1390.62210
Huang, Shujuan; Hartman, Brian; Brazauskas, Vytaras
1
2017
Optimal financing and dividend distribution with transaction costs in the case of restricted dividend rates. Zbl 1390.91221
Zhu, Jinxia
1
2017
Risk redistribution games with dual utilities. Zbl 1390.91162
Boonen, Tim J.
1
2017
Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities for large portfolios in motor insurance. Zbl 1390.62201
Afonso, Lourdes B.; Cardoso, Rui M. R.; Egídio dos Reis, Alfredo D.; Guerreiro, Gracinda Rita
1
2017
Testing for a unit root in Lee-Carter mortality model. Zbl 1390.62214
Leng, Xuan; Peng, Liang
1
2017
Optimal reinsurance from the perspectives of both an insurer and a reinsurer. Zbl 1390.91167
Cai, Jun; Lemieux, Christiane; Liu, Fangda
24
2016
Pricing in reinsurance bargaining with comonotonic additive utility functions. Zbl 1390.91164
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao
15
2016
...and 357 more Documents
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Cited by 2,743 Authors

44 Yang, Hailiang
41 Denuit, Michel M.
40 Wüthrich, Mario Valentin
34 Siu, Tak Kuen
33 Cheung, Ka Chun
29 Dhaene, Jan
27 Tan, Ken Seng
27 Tang, Qihe
26 Li, Shuanming
25 Cheung, Eric C. K.
25 Zhang, Zhimin
24 Albrecher, Hansjörg
24 Haberman, Steven
24 Landsman, Zinoviy M.
24 Yuen, Kam Chuen
22 Landriault, David
21 Blake, David
21 Furman, Edward
20 Jin, Zhuo
20 Lin, X. Sheldon
20 Yamazaki, Kazutoshi
19 Boonen, Tim J.
19 Chi, Yichun
19 Li, Johnny Siu-Hang
19 Willmot, Gordon E.
18 Marceau, Étienne
18 Nielsen, Jens Perch
18 Weng, Chengguo
17 Asimit, Alexandru V.
17 Badescu, Andrei L.
17 Cairns, Andrew J. G.
17 Frostig, Esther
17 Genest, Christian
17 Guo, Junyi
17 Valdez, Emiliano A.
17 Zitikis, Ričardas
16 Cossette, Hélène
16 Hürlimann, Werner
16 Pantelous, Athanasios A.
16 Steffensen, Mogens
16 Wang, Rongming
15 Cai, Jun
15 Chen, An
15 Embrechts, Paul
15 Guillen, Montserrat
15 Liang, Zhibin
15 Pérez Garmendia, Jose Luis
15 Tsai, Cary Chi-Liang
15 Vernic, Raluca
15 Wong, Bernard
15 Yin, Chuancun
15 Young, Virginia R.
14 Dong, Yinghui
14 Gómez-Déniz, Emilio
14 Goovaerts, Marc J.
14 Karlis, Dimitris
14 Schmidli, Hanspeter
14 Wang, Guojing
13 Ahn, Jae Youn
13 Avanzi, Benjamin
13 Avram, Florin
13 Dickson, David C. M.
13 Feng, Runhuan
13 Ren, Jiandong
13 Taylor, Greg
13 Yam, Sheung Chi Phillip
12 Devolder, Pierre
12 Loisel, Stéphane
12 Shen, Yang
12 Woo, Jae-Kyung
11 Antonio, Katrien
11 Durante, Fabrizio
11 Gerber, Hans U.
11 Kaas, Rob
11 Kałuszka, Marek
11 Kim, Joseph Hyun Tae
11 Lefèvre, Claude
11 Li, Jackie Ji
11 Lu, Yi
11 Mao, Tiantian
11 Palmowski, Zbigniew
11 Qian, Linyi
11 Zhou, Xian
11 Zhou, Xiaowen
10 Christiansen, Marcus Christian
10 Drekic, Steve
10 Egídio dos Reis, Alfredo D.
10 Hardy, Mary R.
10 Hu, Taizhong
10 Nešlehová, Johanna G.
10 Šiaulys, Jonas
10 Verrall, Richard J.
10 Wang, Ruodu
10 Wu, Xianyi
10 Yang, Jingping
10 Zhou, Ming
9 Assa, Hirbod
9 Bäuerle, Nicole
9 Calderín Ojeda, Enrique
9 Chan, Jennifer So Kuen
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Cited in 219 Journals

815 Insurance Mathematics & Economics
252 ASTIN Bulletin
213 Scandinavian Actuarial Journal
138 North American Actuarial Journal
84 European Actuarial Journal
75 Journal of Computational and Applied Mathematics
43 Journal of Multivariate Analysis
42 Methodology and Computing in Applied Probability
40 Statistics & Probability Letters
36 Communications in Statistics. Theory and Methods
34 Journal of Applied Probability
32 European Journal of Operational Research
28 Quantitative Finance
28 Stochastic Models
27 Journal of Industrial and Management Optimization
22 Applied Mathematics and Computation
19 Advances in Applied Probability
19 Stochastic Analysis and Applications
19 Journal of Statistical Computation and Simulation
19 Mathematical Problems in Engineering
18 Annals of Operations Research
18 Extremes
17 Finance and Stochastics
17 International Journal of Theoretical and Applied Finance
16 Computational Statistics and Data Analysis
15 Lithuanian Mathematical Journal
15 Acta Mathematicae Applicatae Sinica. English Series
15 Dependence Modeling
14 Journal of Statistical Planning and Inference
13 Journal of Economic Dynamics & Control
11 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
11 Stochastic Processes and their Applications
11 Mathematical Methods of Operations Research
11 Applied Stochastic Models in Business and Industry
11 Decisions in Economics and Finance
10 Discrete Dynamics in Nature and Society
10 Probability in the Engineering and Informational Sciences
10 Journal of Systems Science and Complexity
10 Frontiers of Mathematics in China
10 Modern Stochastics. Theory and Applications
9 Journal of Mathematical Analysis and Applications
9 Journal of Optimization Theory and Applications
9 Applied Mathematics. Series B (English Edition)
9 Applied Mathematical Finance
9 Bernoulli
9 Mathematical Finance
9 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
8 Moscow University Mathematics Bulletin
8 Fuzzy Sets and Systems
8 Journal of Applied Statistics
8 Mathematics and Financial Economics
8 SIAM Journal on Financial Mathematics
7 Communications in Statistics. Simulation and Computation
7 Abstract and Applied Analysis
7 Asia-Pacific Financial Markets
7 Journal of the Korean Statistical Society
7 Journal of Probability and Statistics
6 Metrika
6 Automation and Remote Control
6 The ANZIAM Journal
6 Annals of Finance
5 Journal of the Franklin Institute
5 Applied Mathematics and Optimization
5 Journal of Mathematical Economics
5 Mathematics of Operations Research
5 SIAM Journal on Control and Optimization
5 International Journal of Approximate Reasoning
5 The Annals of Applied Probability
5 Computational Statistics
5 Test
5 Statistical Papers
5 Journal of Applied Mathematics and Computing
5 Science China. Mathematics
5 Statistics and Computing
5 Statistics & Risk Modeling
4 Annals of the Institute of Statistical Mathematics
4 Journal of the American Statistical Association
4 Mathematics and Computers in Simulation
4 Metron
4 Operations Research Letters
4 Statistics
4 Journal of Mathematical Sciences (New York)
4 Journal of Inequalities and Applications
4 Acta Mathematica Sinica. English Series
4 AStA. Advances in Statistical Analysis
4 The Annals of Applied Statistics
3 The Canadian Journal of Statistics
3 Theory of Probability and its Applications
3 Statistica
3 Queueing Systems
3 Mathematical Methods of Statistics
3 Lifetime Data Analysis
3 European Journal of Control
3 Journal of Applied Mathematics
3 Review of Derivatives Research
3 Computational Management Science
3 Statistical Methodology
3 Journal of Statistical Theory and Practice
3 Electronic Journal of Statistics
3 Journal of Statistical Distributions and Applications
...and 119 more Journals
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Cited in 37 Fields

2,236 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,200 Statistics (62-XX)
860 Probability theory and stochastic processes (60-XX)
202 Systems theory; control (93-XX)
107 Numerical analysis (65-XX)
107 Operations research, mathematical programming (90-XX)
66 Calculus of variations and optimal control; optimization (49-XX)
27 Computer science (68-XX)
19 Integral transforms, operational calculus (44-XX)
18 Partial differential equations (35-XX)
18 Integral equations (45-XX)
17 Biology and other natural sciences (92-XX)
10 Functional analysis (46-XX)
7 General and overarching topics; collections (00-XX)
6 Real functions (26-XX)
6 Operator theory (47-XX)
5 Linear and multilinear algebra; matrix theory (15-XX)
5 Approximations and expansions (41-XX)
4 Measure and integration (28-XX)
4 Geophysics (86-XX)
3 History and biography (01-XX)
3 Combinatorics (05-XX)
3 Special functions (33-XX)
2 Field theory and polynomials (12-XX)
2 Ordinary differential equations (34-XX)
2 Global analysis, analysis on manifolds (58-XX)
2 Information and communication theory, circuits (94-XX)
1 Mathematical logic and foundations (03-XX)
1 Order, lattices, ordered algebraic structures (06-XX)
1 Number theory (11-XX)
1 Dynamical systems and ergodic theory (37-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1 Convex and discrete geometry (52-XX)
1 General topology (54-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Statistical mechanics, structure of matter (82-XX)
1 Mathematics education (97-XX)

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