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North American Actuarial Journal

The Official Journal of the Society of Actuaries

Short Title: N. Am. Actuar. J.
Publisher: Taylor & Francis (Routledge)
ISSN: 1092-0277; 2325-0453/e
Online: http://www.tandfonline.com/loi/uaaj20
Comments: Indexed cover-to-cover
Documents Indexed: 651 Publications (since 1997)
References Indexed: 586 Publications with 16,661 References.
all top 5

Authors

18 Gerber, Hans U.
15 Shiu, Elias S. W.
14 Tan, Ken Seng
14 Young, Virginia R.
13 Blake, David
11 Brown, Robert L.
10 Hardy, Mary R.
10 Li, Johnny Siu-Hang
9 Frees, Edward W.
8 Boyle, Phelim P.
8 Haberman, Steven
8 Hickman, James C.
8 Rosenberg, Marjorie A.
8 Sherris, Michael
7 Cairns, Andrew J. G.
7 Tsai, Cary Chi-Liang
7 Valdez, Emiliano A.
7 Yang, Hailiang
6 Cox, Samuel H. jun.
6 Jones, Bruce L.
6 Macdonald, Angus S.
6 Yang, Charles C.
5 Carriere, Jacques F.
5 Denuit, Michel M.
5 Gan, Guojun
5 Goovaerts, Marc J.
5 Heacox, Linda
5 Hunt, Andrew
5 MacMinn, Richard D.
5 Porth, Lysa
5 Ramsay, Colin M.
5 Tang, Qihe
5 Weng, Chengguo
4 Bauer, Daniel J.
4 Bernard, Carole
4 Gold, Jeremy
4 Gutterman, Sam
4 Kolkiewicz, Adam W.
4 Lin, X. Sheldon
4 Lin, Yijia
4 Milevsky, Moshe Arye
4 Oguledo, Victor I.
4 Vanduffel, Steven
4 Yue, Jack C.
4 Zhu, Nan
4 Zhu, Wenjun
3 Arnold-Gaille, Séverine
3 Bolnick, Howard J.
3 Boyd, Milton S.
3 Brazauskas, Vytaras
3 Brockett, Patrick L.
3 Chan, Beda S. C.
3 Chan, Wai-Sum
3 Derrig, Richard A.
3 Dhaene, Jan
3 Dowd, Kevin
3 Erhardt, Robert J.
3 Feng, Runhuan
3 Hartman, Brian M.
3 Hong, Liang
3 Hua, Lei
3 Hürlimann, Werner
3 Hwang, Ya-Wen
3 Kaas, Rob
3 Kamiya, Shinichi
3 Kim, Joseph Hyun Tae
3 Landsman, Zinoviy M.
3 Lemaire, Jean-Jacques
3 Li, Jackie Ji
3 Lin, Tzuling
3 Longley-Cook, Alastair G.
3 Mayhew, Les
3 Neves, César
3 Pafumi, Gérard
3 Peng, Liang
3 Pokorski, Robert J.
3 Promislov, S. David
3 Schmeiser, Hato
3 Scollnik, David P. M.
3 Tian, Ruilin
3 Tong, Howell
3 Ulm, Eric R.
3 Verrall, Richard J.
3 Wang, Jennifer L.
3 Wüthrich, Mario Valentin
3 Yao, Yong
3 Yuan, Zhongyi
3 Zhou, Rui
2 Ahn, Jae Youn
2 Alai, Daniel H.
2 Albrecher, Hansjörg
2 Andersen, Stacy L.
2 Asimit, Alexandru V.
2 Assa, Hirbod
2 Babbel, David F.
2 Baione, Fabio
2 Basu, Sanjib
2 Bayraktar, Erhan
2 Beekman, John A.
2 Bergeron-Boucher, Marie-Pier
...and 718 more Authors

Publications by Year

Citations contained in zbMATH Open

375 Publications have been cited 3,793 times in 2,546 Documents Cited by Year
On the time value of ruin. With discussion and a reply by the authors. Zbl 1081.60550
Gerber, Hans U.; Shiu, Elias S. W.
350
1998
Understanding relationships using copulas. Zbl 1081.62564
Frees, Edward W.; Valdez, Emiliano A.
227
1998
Optimal dividends: analysis with Brownian motion. Zbl 1085.62122
Gerber, Hans U.; Shiu, Elias S. W.
132
2004
Minimizing the probability of ruin when claims follow Brownian motion with drift. Zbl 1141.91543
Promislow, S. David; Young, Virginia R.
117
2005
A regime-switching model of long-term stock returns. Zbl 1083.62530
Hardy, Mary R.
117
2001
Tail conditional expectations for elliptical distributions. Zbl 1084.62512
Landsman, Zinoviy M.; Valdez, Emiliano A.
105
2003
The time value of ruin in a Sparre Andersen model. With discussion and a reply by the authors. Zbl 1085.62508
Gerber, Hans U.; Shiu, Elias S. W.
105
2005
Measuring basis risk involved in longevity hedges. Zbl 1228.91042
Li, Johnny Siu-Hang; Hardy, Mary R.
84
2011
Application of coherent risk measures to capital requirements in insurance. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). Zbl 1082.91525
Artzner, Philippe
79
1999
The Lee-Carter method for forecasting mortality, with various extensions and applications. Zbl 1083.62535
Lee, Ronald
63
2000
A gravity model of mortality rates for two related populations. Zbl 1228.91032
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Khalaf-Allah, Marwa
55
2011
Optimal investment for an insurer to minimize its probability of ruin. Zbl 1085.60511
Liu, Chi Sang; Yang, Hailiang
49
2004
Valuing equity-indexed annuities. With discussion by G. Thomas Mitchell and Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.62545
Tiong, Serena
46
2000
Extreme value theory as a risk management tool. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). Zbl 1082.91530
Embrechts, Paul; Resnick, Sidney I.; Samorodnitsky, Gennady
45
1999
Economic capital allocation derived from risk measures. Zbl 1084.91515
Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob
42
2003
Empirical estimation of risk measures and related quantities. Zbl 1084.62537
Jones, Bruce L.; Zitikis, Ričardas
42
2003
Optimal investment strategy to minimize the probability of lifetime ruin. Zbl 1085.60514
Young, Virginia R.
38
2004
Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process. Zbl 1084.60544
Cheng, Yebin; Tang, Qihe
36
2003
Self-annuitization and ruin in retirement. With discussion. Zbl 1083.60515
Milevsky, Moshe Arye; Robinson, Chris
33
2000
Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530
Lin, X. Sheldon; Tan, Ken Seng
31
2003
Optimal reinsurance and investment for a jump diffusion risk process under the CEV model. Zbl 1291.91121
Lin, Xiang; Li, Yanfang
31
2011
Utility functions: from risk theory to finance. With discussion and a reply by the authors. Zbl 1081.91511
Gerber, Hans U.; Pafumi, Gérard
29
1998
On a classical risk model with a constant dividend barrier. Zbl 1215.60051
Zhou, Xiaowen
28
2005
An actuarial index of the right-tail risk. Zbl 1081.62570
Wang, Shaun
28
1998
On a class of renewal risk processes. With discussion and a reply by the author. Zbl 1081.60549
Dickson, David C. M.
28
1998
Mortality regimes and pricing. Zbl 1228.91043
Milidonis, Andreas; Lin, Yijia; Cox, Samuel H.
26
2011
Pricing guaranteed life insurance participating policies with annual premiums and surrender option. Zbl 1084.62519
Bacinello, Anna Rita
26
2003
Catastrophe risk bonds. Zbl 1083.91534
Cox, Samuel H.; Pedersen, Hal W.
25
2000
Hedging equity-linked life insurance contracts. Zbl 1083.91546
Møller, Thomas
25
2001
On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England. Zbl 1412.91057
Villegas, Andrés M.; Haberman, Steven
25
2014
Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038
Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan
24
2005
Projecting mortality trends: recent developments in the United Kingdom and the United States. Zbl 1085.62517
Wong-Fupuy, Carlos; Haberman, Steven
24
2004
On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
23
2004
Robust and efficient estimation of the tail index of a single-parameter Pareto distribution. Zbl 1083.62505
Brazauskas, Vytaras; Serfling, Robert
23
2000
Geometric Brownian motion models for assets and liabilities: from pension funding to optimal dividends. With discussion by X. Sheldon Lin, Marc Decamps and Marc Goovaerts and a reply by the authors. Zbl 1084.91517
Gerber, Hans U.; Shiu, Elias S. W.
22
2003
Asymptotic analysis of multivariate tail conditional expectations. Zbl 1291.60108
Zhu, Li; Li, Haijun
22
2012
Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method. Zbl 1219.91145
Yuen, Fei Lung; Yang, Hailiang
21
2010
Actuarial modeling with MCMC and BUGS. With a discussion by David Spiegelhalter. Zbl 1083.62543
Scollnik, David P. M.
21
2001
Stochastic analysis of the interaction between investment and insurance risks. With discussion and a reply by the author. Zbl 1080.91530
Parker, Gary
21
1997
A Bayesian log-normal model for multivariate loss reserving. Zbl 1291.91126
Shi, Peng; Basu, Sanjib; Meyers, Glenn G.
21
2012
Pricing lookback options and dynamic guarantees. With discussion by Griselda Deelstra. Zbl 1084.91507
Gerber, Hans U.; Shiu, Elias S. W.
20
2003
Equity-indexed life insurance: pricing and reserving using the principle of equivalent utility. Zbl 1084.91521
Young, Virginia R.
20
2003
Pricing perpetual options for jump processes. With discussion by X. Sheldon Lin and Xiaolan Zhang and a reply by the authors. Zbl 1081.91528
Gerber, Hans U.; Shiu, Elias S. W.
20
1998
Modeling with Weibull-Pareto models. Zbl 1291.62186
Scollnik, David P. M.; Sun, Chenchen
20
2012
Credibility using copulas. Zbl 1085.62121
Frees, Edward W.; Wang, Ping
19
2005
Pricing dynamic investment fund protection (With discussion by Terence Chan, François-Serge Lhabitant and Svein-Arne Persson and a reply by the authors). Zbl 1083.91516
Gerber, Hans U.; Pafumi, Gérard
19
2000
A Bayesian generalized linear model for the Bornhuetter-Ferguson method of claims reserving. Zbl 1085.62516
Verrall, R. J.
18
2004
Bayesian modelling of outstanding liabilities incorporating claim count uncertainty. Zbl 1084.62544
Ntzoufras, Ioannis; Dellaportas, Petros
17
2002
Pricing perpetual fund protection with withdrawal option (With discussion and a reply by the authors). Zbl 1084.60512
Gerber, Hans U.; Shiu, Elias S. W.
17
2003
Pension fund dynamics and gains/losses due to random rates of investment return. Zbl 1082.62543
Owadally, M. Iqbal; Haberman, Steven
17
1999
A general procedure for constructing mortality models. Zbl 1412.91045
Hunt, Andrew; Blake, David
17
2014
Modeling surrender and lapse rates with economic variables. Zbl 1215.91067
Kim, Changki
16
2005
Generalized Pareto fit to the society of actuaries’ large claims database. Zbl 1084.62108
Cebrián, Ana C.; Denuit, Michel; Lambert, Philippe
16
2003
Note on the tail behavior of random walk maxima with heavy tails and negative drift. Zbl 1084.60515
Kaas, Rob; Tang, Qihe
16
2003
“Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60545
Gerber, Hans U.; Shiu, Elias S. W.
16
2003
Bayesian estimation of outstanding claim reserves. Zbl 1084.62554
de Alba, Enrique
15
2002
Efficient and robust fitting of lognormal distributions. Zbl 1084.62511
Serfling, Robert
15
2002
Distortion risk measures and economic capital. Zbl 1085.91526
Hürlimann, Werner
15
2004
Variance of the CTE estimator. Zbl 1085.62511
Manistre, B. John; Hancock, Geoffrey H.
15
2005
Dynamic fund protection. With a discussion by Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.60513
Imai, Junichi; Boyle, Phelim P.
15
2001
The CBD mortality indexes: modeling and applications. Zbl 1412.91037
Chan, Wai-Sum; Li, Johnny Siu-Hang; Li, Jackie
15
2014
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
14
2010
“Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60546
Gerber, Hans U.; Shiu, Elias S. W.
14
2003
Bayesian risk measures for derivatives via random Esscher transform. Zbl 1083.62544
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
14
2001
Semi-static hedging for GMWB in variable annuities. Zbl 1291.91205
Kolkiewicz, Adam; Liu, Yan
14
2012
The iterated CTE: a dynamic risk measure. Zbl 1085.91524
Hardy, Mary R.; Wirch, Julia L.
13
2004
Case studies using panel data models. Zbl 1083.91538
Frees, Edward W.; Young, Virginia R.; Luo, Yu
13
2001
Modeling period effects in multi-population mortality models: applications to Solvency II. Zbl 1412.91060
Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng
13
2014
Optimal annuitization policies: analysis of the options. Zbl 1083.91522
Milevsky, Moshe Arye
12
2001
Principal applications of Bayesian methods in actuarial science: a perspective. Zbl 1083.62538
Makov, Udi E.
12
2001
Statistical independence and fractional age assumptions. With discussion and a reply by the author. Zbl 1080.62549
Willmot, Gordon E.
12
1997
Fuzzy financial pricing of property-liability insurance. With discussion by David Appel and Lawrence A. Berger, Krzysztof M. Ostaszewski and Oakley E. Van Slyke and a reply by the authors. Zbl 1080.62542
Cummins, J. David; Derrig, Richard A.
12
1997
A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks. Zbl 1228.91031
Dowd, Kevin; Blake, David; Cairns, Andrew J. G.
11
2011
Hedging and reserving for single-premium segregated fund contracts. Zbl 1083.91518
Hardy, Mary R.
11
2000
Genetics, Alzheimer’s disease, and long-term care insurance. Zbl 1083.62537
Macdonald, Angus; Pritchard, Delme
11
2001
Complex dynamics, market mediation and stock price behavior. (With discussion by Irwin T. Vanderhoof). Zbl 1080.91537
Day, Richard H.
11
1997
Capital allocation survey with commentary. Zbl 1085.91517
Venter, Gary G.
10
2004
Investing for retirement: optimal capital growth and dynamic asset allocation. With discussion by Phelim P. Boyle and Gérard Pafumi and a reply by the authors. Zbl 1083.91517
Gerber, Hans U.; Shiu, Elias S. W.
10
2000
Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
10
2001
A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization. Zbl 1291.91128
Tang, Qihe; Yuan, Zhongyi
10
2012
A Bayesian multivariate risk-neutral method for pricing reverse mortgages. Zbl 1412.91047
Kogure, Atsuyuki; Li, Jackie; Kamiya, Shinichi
10
2014
“Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60548
Lin, X. Sheldon
9
2003
The joint distribution of surplus immediately before ruin and the deficit at ruin under interest force. Zbl 1083.62547
Yang, Hailiang; Zhang, Lihong
9
2001
State price density, Esscher transforms, and pricing options on stocks, bonds, and foreign exchange rates. Zbl 1083.62548
Yao, Yong
9
2001
Modeling the impact of genetics on insurance. Zbl 1082.62540
Macdonald, Angus S.
9
1999
Regression modeling for the valuation of large variable annuity portfolios. Zbl 1393.91099
Gan, Guojun; Valdez, Emiliano A.
9
2018
A cautionary note on natural hedging of longevity risk. Zbl 1412.91061
Zhu, Nan; Bauer, Daniel
9
2014
Modeling severity and measuring tail risk of Norwegian fire claims. Zbl 1414.62415
Brazauskas, Vytaras; Kleefeld, Andreas
9
2016
Understanding the behavior and hedging of segregated funds offering the reset feature. Zbl 1084.91509
Windcliff, Heath; Le Roux, Martin; Forsyth, Peter; Vetzal, Kenneth
8
2002
Pricing options using lattice rules. Zbl 1141.91419
Boyle, Phelim P.; Lai, Yongzeng; Tan, Ken Seng
8
2005
Accounting year effects modeling in the stochastic chain ladder reserving method. Zbl 1219.91074
Wüthrich, Mario V.
8
2010
Longevity-indexed life annuities. Zbl 1213.91088
Denuit, Michel; Haberman, Steven; Renshaw, Arthur
8
2011
Multivariate credibility for aggregate loss models. Zbl 1084.62110
Frees, Edward W.
8
2003
“Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60547
Li, Shuanming
8
2003
Efficient gain and loss amortization and optimal funding in pension plans. Zbl 1085.62509
Iqbal Owadally, M.; Haberman, Steven
8
2004
Relative importance of risk sources in insurance systems. With discussion and a reply by the author. Zbl 1081.62562
Frees, Edward W.
8
1998
Forecasting changes in mortality: a search for a law of causes and effects. Zbl 1081.91602
Gutterman, Sam; Vanderhoof, Irwin T.
8
1998
Impact of counterparty risk on the reinsurance market. Zbl 1291.91091
Bernard, Carole; Ludkovski, Mike
8
2012
“A Bayesian log-normal model for multivariate loss reserving”, Peng Shi, Sanjib Basu, and Glenn G. Meyers, March 2012. Zbl 1291.91133
Wüthrich, Mario V.
8
2012
Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform. Zbl 1412.91040
Chuang, Shuo-Li; Brockett, Patrick L.
8
2014
Basis risk in index-based longevity hedges: a guide for longevity hedgers. Zbl 1467.91137
Cairns, Andrew J. G.; El Boukfaoui, Ghali
3
2021
On the structure and classification of mortality models. Zbl 1461.91244
Hunt, Andrew; Blake, David
2
2021
An efficient method for mitigating longevity value-at-risk. Zbl 1465.91097
Liu, Yanxin; Li, Johnny Siu-Hang
2
2021
An analysis of period and cohort mortality shocks in international data. Zbl 1461.91255
McCarthy, David; Wang, Po-Lin
2
2021
Mortality forecasts for long-term care subpopulations with longevity risk: a Bayesian approach. Zbl 1461.91249
Kogure, Atsuyuki; Fushimi, Takahiro; Kamiya, Shinichi
2
2021
Optimal longevity risk transfer and investment strategies. Zbl 1465.91093
Cox, Samuel H.; Lin, Yijia; Liu, Sheen
1
2021
Longevity Greeks: what do insurers and capital market investors need to know? Zbl 1465.91099
Zhou, Kenneth Q.; Li, Johnny Siu-Hang
1
2021
Mortality risk management under the factor copula framework – with applications to insurance policy pools. Zbl 1466.91263
Hsieh, Ming-Hua; Tsai, Chenghsien Jason; Wang, Jennifer L.
1
2021
Understanding patterns of mortality homogeneity and heterogeneity across countries and their role in modeling mortality dynamics and hedging longevity risk. Zbl 1465.91098
Yang, Sharon S.; Yeh, Yu-Yun; Yue, Jack C.; Huang, Hong Chih
1
2021
Different shades of risk: mortality trends implied by term insurance prices. Zbl 1467.91140
Guo, Qiheng; Bauer, Daniel
1
2021
Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
1
2021
Optimal portfolio choice in retirement with participating life annuities. Zbl 1461.91258
Rogalla, Ralph
1
2021
Flexible and affordable methods of paying for long-term care insurance. Zbl 1461.91253
Mayhew, Les; Rickayzen, Ben; Smith, David
1
2021
A Bayesian approach to modeling and projecting cohort effects. Zbl 1461.91245
Hunt, Andrew; Blake, David
1
2021
Improving HMD mortality estimates with HFD fertility data. Zbl 1460.91211
Boumezoued, Alexandre
1
2021
Constructing out-of-the-money longevity hedges using parametric mortality indexes. Zbl 1461.91250
Li, Johnny Siu-Hang; Li, Jackie; Balasooriya, Uditha; Zhou, Kenneth Q.
1
2021
Hedging longevity risk: does the structure of the financial instrument matter? Zbl 1461.91252
MacMinn, Richard D.; Zhu, Nan
1
2021
Using graduation to modify the estimation of Lee-Carter model for small populations. Zbl 1461.91263
Yue, Jack C.; Wang, Hsin-Chung; Wang, Tzu-Yu
1
2021
A multi-population approach to forecasting all-cause mortality using cause-of-death mortality data. Zbl 1460.91231
Lyu, Pintao; De Waegenaere, Anja; Melenberg, Bertrand
1
2021
A synthesis mortality model for the elderly. Zbl 1461.91261
Su, Karen C.; Yue, Jack C.
1
2021
Forward mortality rates in discrete time. I: Calibration and securities pricing. Zbl 1461.91246
Hunt, Andrew; Blake, David
1
2021
Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. Zbl 1461.91247
Hunt, Andrew; Blake, David
1
2021
An investigation into inequalities in adult lifespan. Zbl 1461.91254
Mayhew, Les; Smith, David
1
2021
Rising inequality in life expectancy by socioeconomic status. Zbl 1461.91259
Sanzenbacher, Geoffrey T.; Webb, Anthony; Cosgrove, Candace M.; Orlova, Natalia
1
2021
Hedging mortality/longevity risks for multiple years. Zbl 1437.91397
Lin, Tzuling; Tsai, Cary Chi-Liang
1
2020
Stochastic comparisons between the extreme claim amounts from two heterogeneous portfolios in the case of transmuted-G model. Zbl 1454.91203
Nadeb, Hossein; Torabi, Hamzeh; Dolati, Ali
1
2020
Management of portfolio depletion risk through optimal life cycle asset allocation. Zbl 1426.91218
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham
3
2019
Optimal control of DC pension plan management under two incentive schemes. Zbl 1411.91285
He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming
2
2019
Cybersecurity insurance: modeling and pricing. Zbl 1410.91291
Xu, Maochao; Hua, Lei
2
2019
Improving the forecast of longevity by combining models. Zbl 1410.91253
Apicella, Giovanna; Dacorogna, Michel; Di Lorenzo, Emilia; Sibillo, Marilena
2
2019
Statistical implications of the revenue transfer methodology in the Affordable Care Act. Zbl 1411.91301
Li, Michelle; Richards, Donald
1
2019
Capital allocation for a sum of dependent compound mixed Poisson variables: a recursive algorithm approach. Zbl 1417.62300
Kim, Joseph H. T.; Jang, Jiwook; Pyun, Chaehyun
1
2019
Regression tree credibility model. Zbl 1410.91264
Diao, Liqun; Weng, Chengguo
1
2019
Minimum death rates and maximum life expectancy: the role of concordant ages. Zbl 1426.91207
Canudas-Romo, Vladimir; Booth, Heather; Bergeron-Boucher, Marie-Pier
1
2019
Statistical inference for Lee-Carter mortality model and corresponding forecasts. Zbl 1426.91227
Liu, Qing; Ling, Chen; Peng, Liang
1
2019
An individual risk model for premium calculation based on quantile: a comparison between generalized linear models and quantile regression. Zbl 1429.91275
Baione, Fabio; Biancalana, Davide
1
2019
Life-cycle planning with ambiguous economics and mortality risks. Zbl 1429.91283
Shen, Yang; Su, Jianxi
1
2019
Regression modeling for the valuation of large variable annuity portfolios. Zbl 1393.91099
Gan, Guojun; Valdez, Emiliano A.
9
2018
Physiological age, health costs, and their interrelation. Zbl 1403.62188
Govorun, M.; Jones, B. L.; Liu, X.; Stanford, D. A.
3
2018
Optimal risk transfer: a numerical optimization approach. Zbl 1416.91149
Asimit, Alexandru V.; Gao, Tao; Hu, Junlei; Kim, Eun-Seok
3
2018
Around the life cycle: deterministic consumption-investment strategies. Zbl 1416.91345
Christiansen, Marcus C.; Steffensen, Mogens
3
2018
Mind the gap: a study of cause-specific mortality by socioeconomic circumstances. Zbl 1393.91096
Alai, Daniel H.; Arnold-Gaille, Séverine; Bajekal, Madhavi; Villegas, Andrés M.
3
2018
Evaluating life expectancy evaluations. Zbl 1393.91098
Bauer, Daniel; Fasano, Michael V.; Russ, Jochen; Zhu, Nan
2
2018
Claims reserving with a stochastic vector projection. Zbl 1393.62046
Portugal, Luís; Pantelous, Athanasios A.; Assa, Hirbod
2
2018
Bonus-malus systems with two-component mixture models arising from different parametric families. Zbl 1393.62048
Tzougas, George; Vrontos, Spyridon; Frangos, Nicholas
2
2018
Coherent modeling and forecasting of mortality patterns for subpopulations using multiway analysis of compositions: an application to Canadian provinces and territories. Zbl 1393.62043
Bergeron-Boucher, Marie-Pier; Simonacci, Violetta; Oeppen, Jim; Gallo, Michele
2
2018
Fat-tailed regression modeling with spliced distributions. Zbl 1417.62299
Gan, Guojun; Valdez, Emiliano A.
2
2018
The annuity puzzle and an outline of its solution. Zbl 1411.91311
Ramsay, Colin M.; Oguledo, Victor I.
2
2018
Solvency II is not risk-based – could it be? Evidence from non-life calibrations. Zbl 1416.91176
Frezal, Sylvestre
1
2018
Delta boosting machine with application to general insurance. Zbl 1416.91199
Lee, Simon C. K.; Lin, Sheldon
1
2018
An extension of spatial dependence models for estimating short-term temperature portfolio risk. Zbl 1416.91174
Erhardt, Robert; Engler, David
1
2018
Short positions in the first principal component portfolio. Zbl 1393.91129
Boyle, Phelim; Feng, Shui; Melkuev, David; Yang, Shuai; Zhang, Johnew
1
2018
The role of unhealthy behaviors on an individual’s self-reported perceived health status. Zbl 1393.62133
Kim, Kyeonghee; Rosenberg, Marjorie A.
1
2018
A hidden Markov approach to disability insurance. Zbl 1393.62044
Djehiche, Boualem; Löfdahl, Björn
1
2018
Application of relational models in mortality immunization. Zbl 1411.91273
Chi-Liang Tsai, Cary; Liang, Xinying
1
2018
Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach. Zbl 1414.91188
Gan, Guojun; Lin, X. Sheldon
8
2017
Arrow’s theorem of the deductible with heterogeneous beliefs. Zbl 1414.91193
Ghossoub, Mario
7
2017
A Bühlmann credibility approach to modeling mortality rates. Zbl 1414.91237
Tsai, Cary Chi-Liang; Lin, Tzuling
6
2017
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176
Cui, Zhenyu; Feng, Runhuan; MacKay, Anne
6
2017
Policyholder exercise behavior in life insurance: the state of affairs. Zbl 1414.91161
Bauer, Daniel; Gao, Jin; Moenig, Thorsten; Ulm, Eric R.; Zhu, Nan
6
2017
Mean-variance asset liability management with state-dependent risk aversion. Zbl 1414.91247
Zhang, Yan; Wu, Yonghong; Li, Shuang; Wiwatanapataphee, Benchawan
5
2017
A flexible Bayesian nonparametric model for predicting future insurance claims prediction. Zbl 1414.91201
Hong, Liang; Martin, Ryan
5
2017
Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death. Zbl 1414.91190
Gbari, Samuel; Poulain, Michel; Dal, Luc; Denuit, Michel
5
2017
Optimal reinsurance design: a mean-variance approach. Zbl 1414.91175
Chi, Yichun; Zhou, Ming
4
2017
Impact of flexible periodic premiums on variable annuity guarantees. Zbl 1414.91165
Bernard, Carole; Cui, Zhenyu; Vanduffel, Steven
3
2017
Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes. Zbl 1414.91414
Kolkiewicz, Adam W.; Lin, Fangyuan Sally
3
2017
The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates. Zbl 1414.91216
Li, Zixi; Shao, Adam W.; Sherris, Michael
3
2017
Asymptotic investment behaviors under a jump-diffusion risk process. Zbl 1414.91164
Belkina, Tatiana; Luo, Shangzhen
2
2017
Moment problem and its applications to risk assessment. Zbl 1414.91236
Tian, Ruilin; Cox, Samuel H.; Zuluaga, Luis F.
2
2017
Testing asymmetry in dependence with Copula-coskewness. Zbl 07059866
Bücher, Axel; Irresberger, Felix; Weiss, Gregor N. F.
2
2017
An efficiency-based approach to determining potential cost savings and profit targets for health insurers: the case of Obamacare health insurance CO-OPs. Zbl 1414.91245
Yang, Charles C.; Wen, Min-Ming
2
2017
Stochastic mortality modeling: key drivers and dependent residuals. Zbl 1414.91219
Mavros, George; Cairns, Andrew J. G.; Streftaris, George; Kleinow, Torsten
2
2017
Beyond the Tweedie reserving model: the collective approach to loss development. Zbl 1414.91178
Denuit, Michel; Trufin, Julien
2
2017
General insurance deductible ratemaking. Zbl 1414.91211
Lee, Gee Y.
2
2017
Model-based and nonparametric approaches to clustering for data compression in actuarial applications. Zbl 07059858
O’Hagan, Adrian; Ferrari, Colm
1
2017
Factor copula approaches for assessing spatially dependent high-dimensional risks. Zbl 07059859
Hua, Lei; Xia, Michelle; Basu, Sanjib
1
2017
Joint insolvency analysis of a shared MAP risk process: a capital allocation application. Zbl 1414.91168
Cai, Jun; Landriault, David; Shi, Tianxiang; Wei, Wei
1
2017
Egalitarian equivalent capital allocation. Zbl 1414.91206
Kamiya, Shinichi; Zanjani, George
1
2017
Optimal reinsurance under the risk-adjusted value of an insurer’s liability and an economic reinsurance premium principle. Zbl 1414.91174
Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng
1
2017
Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk. Zbl 1414.91159
Augustyniak, Maciej; Boudreault, Mathieu
1
2017
Insurance portfolio risk retention. Zbl 1414.91186
Frees, Edward
1
2017
Modeling severity and measuring tail risk of Norwegian fire claims. Zbl 1414.62415
Brazauskas, Vytaras; Kleefeld, Andreas
9
2016
Option pricing with threshold diffusion processes. Zbl 1414.91390
Su, Fei; Chan, Kung-Sik
3
2016
Discussion on “Credibility estimation of distribution functions with applications to experience rating in general insurance”. Zbl 1414.91200
Hong, Liang; Martin, Ryan
2
2016
Sarmanov family of bivariate distributions for multivariate loss reserving analysis. Zbl 1414.91154
Abdallah, Anas; Boucher, Jean-Philippe; Cossette, Hélène; Trufin, Julien
2
2016
Empirical evidence on the use of credit scoring for predicting insurance losses with psycho-social and biochemical explanations. Zbl 1414.91195
Golden, Linda L.; Brockett, Patrick L.; Ai, Jing; Kellison, Bruce
2
2016
Minimizing the probability of lifetime ruin when shocks might occur: perturbation analysis. Zbl 1414.91349
Moore, Kristen S.; Young, Virginia R.
1
2016
Discussion on “Capital forbearance, ex ante life insurance guaranty schemes, and interest rate uncertainty”. Zbl 1414.91242
Wang, Xiao
1
2016
An empirical investigation of CDS spreads using a regime-switching default risk model. Zbl 1414.91399
Milidonis, Andreas
1
2016
Life expectancy in 2040: what do clinical experts expect? Zbl 1414.91171
Canudas-Romo, Vladimir; DuGoff, Eva; Wu, Albert W.; Ahmed, Saifuddin; Anderson, Gerard
1
2016
Quantification of operational risk: a scenario-based approach. Zbl 1414.91156
Amin, Zeinab
1
2016
The tail Stein’s identity with applications to risk measures. Zbl 1414.91210
Landsman, Zinoviy; Valdez, Emiliano A.
1
2016
Obesity, mortality, and the obesity paradox. Zbl 1414.91196
Gutterman, Sam
1
2016
A linear regression approach to modeling mortality rates of different forms. Zbl 1414.91238
Tsai, Cary Chi-Liang; Yang, Shuai
6
2015
Multistate actuarial models of functional disability. Zbl 1414.91185
Fong, Joelle H.; Shao, Adam W.; Sherris, Michael
6
2015
Causes-of-death mortality: what do we know on their dependence? Zbl 1414.91158
Arnold-Gaille, Séverine; Sherris, Michael
4
2015
Dynamic portfolio choice with stochastic wage and life insurance. Zbl 1414.91246
Zeng, Xudong; Wang, Yuling; Carson, James M.
4
2015
CreditRisk\(^+\) model with dependent risk factors. Zbl 1414.91402
Wang, Ruodu; Peng, Liang; Yang, Jingping
3
2015
Credibility estimation of distribution functions with applications to experience rating in general insurance. Zbl 1414.91169
Cai, Xiaoqiang; Wen, Limin; Wu, Xianyi; Zhou, Xian
3
2015
Discussion on “On the Laplace transform of the aggregate discounted claims with Markovian arrivals”. Zbl 1414.91207
Keeler, H. P.; Taylor, P. G.
1
2015
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Cited by 2,717 Authors

48 Yang, Hailiang
41 Young, Virginia R.
36 Siu, Tak Kuen
32 Haberman, Steven
32 Landsman, Zinoviy M.
32 Yuen, Kam Chuen
32 Zhang, Zhimin
31 Denuit, Michel M.
31 Li, Shuanming
29 Willmot, Gordon E.
28 Cheung, Eric C. K.
28 Landriault, David
27 Gerber, Hans U.
24 Valdez, Emiliano A.
24 Yin, Chuancun
23 Shiu, Elias S. W.
22 Tsai, Cary Chi-Liang
21 Dhaene, Jan
19 Blake, David
19 Jin, Zhuo
19 Lin, X. Sheldon
19 Sherris, Michael
19 Wu, Rong
18 Genest, Christian
18 Li, Johnny Siu-Hang
18 Shen, Yang
17 Albrecher, Hansjörg
17 Vanduffel, Steven
17 Wang, Guojing
17 Zeng, Yan
16 Dong, Yinghui
16 Liang, Zhibin
16 Lu, Yi
16 Marceau, Étienne
16 Tang, Qihe
16 Yang, Hu
15 Elliott, Robert James
15 Furman, Edward
15 Goovaerts, Marc J.
15 Zitikis, Ričardas
14 Dickson, David C. M.
14 Feng, Runhuan
14 Guo, Junyi
14 Li, Danping
14 Palmowski, Zbigniew
14 Šiaulys, Jonas
14 Tan, Ken Seng
14 Zhao, Hui
13 Badescu, Andrei L.
13 Bayraktar, Erhan
13 Brazauskas, Vytaras
13 Cairns, Andrew J. G.
13 Cossette, Hélène
13 Forsyth, Peter A.
13 Hardy, Mary R.
13 Macdonald, Angus S.
13 Wang, Rongming
13 Zhou, Ming
12 Asimit, Alexandru V.
12 Cheung, Ka Chun
12 Jones, Bruce L.
12 Weng, Chengguo
12 Woo, Jae-Kyung
11 Ahn, Jae Youn
11 Boonen, Tim J.
11 Bouzebda, Salim
11 Cai, Jun
11 Chen, Ping
11 Devolder, Pierre
11 Hu, Yijun
11 Li, Jackie Ji
11 Sendova, Kristina P.
10 Boyle, Phelim P.
10 Frees, Edward W.
10 Li, Zhongfei
10 Liang, Zongxia
10 Loisel, Stéphane
10 Makov, Udi E.
10 Qian, Linyi
10 Ren, Jiandong
10 Rong, Ximin
10 Zhou, Xian
9 Frostig, Esther
9 Gan, Guojun
9 Kim, Joseph Hyun Tae
9 Liang, Xiaoqing
9 Mamon, Rogemar S.
9 Shi, Tianxiang
9 Sordo, Miguel A.
9 Wüthrich, Mario Valentin
9 Yam, Sheung Chi Phillip
9 Yin, Gang George
9 Zhang, Chunsheng
8 Bernard, Carole
8 de Andrés Sánchez, Jorge
8 Hua, Lei
8 Hunt, Andrew
8 Ko, Bangwon
8 Lefèvre, Claude
8 Li, Bin
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Cited in 226 Journals

762 Insurance Mathematics & Economics
238 North American Actuarial Journal
164 Scandinavian Actuarial Journal
107 ASTIN Bulletin
88 Journal of Computational and Applied Mathematics
55 European Actuarial Journal
50 Statistics & Probability Letters
39 Methodology and Computing in Applied Probability
36 Quantitative Finance
32 Applied Stochastic Models in Business and Industry
30 European Journal of Operational Research
29 Mathematical Finance
27 Journal of Applied Probability
25 Applied Mathematics and Computation
25 International Journal of Theoretical and Applied Finance
24 Computational Statistics and Data Analysis
23 Acta Mathematicae Applicatae Sinica. English Series
21 Journal of Industrial and Management Optimization
20 Journal of Multivariate Analysis
18 Communications in Statistics. Theory and Methods
17 Mathematical Problems in Engineering
17 Stochastic Models
16 Journal of Statistical Planning and Inference
13 The Canadian Journal of Statistics
13 Journal of Economic Dynamics & Control
13 Journal of Applied Statistics
12 Discrete Dynamics in Nature and Society
12 Journal of Systems Science and Complexity
11 Advances in Applied Probability
11 Annals of Operations Research
11 Dependence Modeling
10 Lithuanian Mathematical Journal
10 Journal of Econometrics
10 Journal of Optimization Theory and Applications
10 Communications in Statistics. Simulation and Computation
10 Applied Mathematics. Series B (English Edition)
10 Finance and Stochastics
9 Journal of Statistical Computation and Simulation
9 Extremes
9 Decisions in Economics and Finance
9 Frontiers of Mathematics in China
9 Journal of Probability and Statistics
8 Stochastic Analysis and Applications
8 Journal of Nonparametric Statistics
8 Mathematical Methods of Operations Research
7 Fuzzy Sets and Systems
7 Statistical Papers
7 The ANZIAM Journal
7 SIAM Journal on Financial Mathematics
7 Annals of Finance
6 Scandinavian Journal of Statistics
6 Applied Mathematics and Optimization
6 Stochastic Processes and their Applications
6 Mathematical Methods of Statistics
6 Applied Mathematical Finance
6 Lifetime Data Analysis
6 Acta Mathematica Sinica. English Series
6 Probability in the Engineering and Informational Sciences
6 Asia-Pacific Financial Markets
6 Journal of the Korean Statistical Society
6 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
6 Modern Stochastics. Theory and Applications
5 Computers & Mathematics with Applications
5 Annals of the Institute of Statistical Mathematics
5 Information Sciences
5 Operations Research Letters
5 Mathematical and Computer Modelling
5 Abstract and Applied Analysis
5 CEJOR. Central European Journal of Operations Research
5 Statistical Methodology
5 AStA. Advances in Statistical Analysis
5 The Annals of Applied Statistics
4 Journal of Mathematical Analysis and Applications
4 The Annals of Statistics
4 Automatica
4 Journal of the American Statistical Association
4 Mathematics and Computers in Simulation
4 Statistics
4 Optimization
4 The Annals of Applied Probability
4 Computational Statistics
4 International Journal of Computer Mathematics
4 Complexity
4 Bernoulli
4 Statistical Methods and Applications
4 Journal of Statistical Theory and Practice
4 Electronic Journal of Statistics
4 Mathematical Control and Related Fields
4 Statistics & Risk Modeling
3 Biometrics
3 Mathematics of Operations Research
3 SIAM Journal on Control and Optimization
3 Journal of Information & Optimization Sciences
3 International Journal of Approximate Reasoning
3 Journal of Scientific Computing
3 Economics Letters
3 Automation and Remote Control
3 Test
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Journal of Interdisciplinary Mathematics
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