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European Actuarial Journal

Edited by the Actuarial Associations of Austria, Belgium, France, Germany, Greece, Hungary, Italy, Poland, Portugal, Slovenia, Switzerland

Documents Indexed: 190 Publications (since 2011)
References Indexed: 178 Publications with 4,353 References.
all top 5

Authors

11 Wüthrich, Mario Valentin
6 Albrecher, Hansjörg
6 Denuit, Michel M.
6 Korn, Ralf
6 Loisel, Stéphane
5 Steffensen, Mogens
5 Wagner, Joël
4 Devolder, Pierre
4 Graf, Stefan
3 Ben Salah, Zied
3 Dhaene, Jan
3 Léveillé, Ghislain
3 Maume-Deschamps, Véronique
3 Planchet, Frédéric
3 Scherer, Matthias
2 Antonio, Katrien
2 Arnold, Séverine
2 Asmussen, Søren
2 Chen, An
2 Cipra, Tomáš
2 Egídio dos Reis, Alfredo D.
2 Eisenberg, Julia
2 Embrechts, Paul
2 Filipović, Damir
2 Fuino, Michel
2 Gerber, Hans U.
2 Hamel, Emmanuel
2 Hamm, Anna-Maria
2 Hanbali, Hamza
2 Helmert, Axel
2 Hong, Liang
2 Jijiie, Anca
2 Juillard, Marc
2 Kling, Alexander
2 Krühner, Paul
2 Liu, Xiaoming
2 Mackay, Anne
2 Millossovich, Pietro
2 Morales, Manuel
2 Norberg, Ragnar
2 Ouburg, Wilbert
2 Palmowski, Zbigniew
2 Pantelous, Athanasios A.
2 Papaioannou, Apostolos D.
2 Pelsser, Antoon A. J.
2 Ruß, Jochen
2 Schiller, Frank
2 Schmidli, Hanspeter
2 Shiu, Elias S. W.
2 Thonhauser, Stefan
2 Tomas, Julien
2 Trufin, Julien
2 Vierkötter, Matthias
2 Weber, Stefan
2 Zagst, Rudi
1 Abdallah, Anas
1 Abgrall, Dominique
1 Adamic, Peter F.
1 Alexandrova, Maria
1 Alfonsi, Aurélien
1 Allali, Jeremy
1 Alm, Jonas
1 Amini-Seresht, Ebrahim
1 Apicella, Giovanna
1 Arbenz, Philipp
1 Artzner, Philippe
1 Asadi, Saeed
1 Asimit, Alexandru V.
1 Aurzada, Frank
1 Avram, Florin
1 Azcue, Pablo
1 Bacinello, Anna Rita
1 Badescu, Alexandru M.
1 Banik, Abhijit Datta
1 Bannör, Karl F.
1 Bardoutsos, Anastasios G.
1 Barrieu, Pauline M.
1 Bartunova, Anna
1 Barucci, Emilio
1 Baskakov, Valery
1 Bata, Katharina
1 Bauer, Daniel J.
1 Bäuerle, Nicole
1 Beirlant, Jan
1 Bergel, Agnieszka I.
1 Biard, Romain
1 Bierbaum, Jürgen
1 Bladt, Mogens
1 Boado-Penas, Carmen
1 Boado-Penas, M. Carmen
1 Bohnert, Alexander
1 Bonnin, François
1 Boonen, Tim J.
1 Both, Sandy
1 Breuer, Lothar
1 Brunner, Bernhard
1 Buck, Micha
1 Burkhart, Tobias
1 Cairns, Andrew J. G.
1 Carlehed, Magnus
...and 248 more Authors

Publications by Year

Citations contained in zbMATH Open

117 Publications have been cited 476 times in 417 Documents Cited by Year
The optimal dividend barrier in the gamma-omega model. Zbl 1219.91062
Albrecher, Hansjörg; Gerber, Hans U.; Shiu, Elias S. W.
43
2011
Remarks on quantiles and distortion risk measures. Zbl 1256.91027
Dhaene, Jan; Kukush, Alexander; Linders, Daniël; Tang, Qihe
28
2012
The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
24
2012
Optimal risk transfers in insurance groups. Zbl 1270.91028
Asimit, Alexandru V.; Badescu, Alexandru M.; Tsanakas, Andreas
21
2013
Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs. Zbl 1222.91026
Scheer, Natalie; Schmidli, Hanspeter
12
2011
Bayesian Poisson log-bilinear models for mortality projections with multiple populations. Zbl 1329.91111
Antonio, Katrien; Bardoutsos, Anastasios; Ouburg, Wilbert
11
2015
Worst-case-optimal dynamic reinsurance for large claims. Zbl 1269.91044
Korn, Ralf; Menkens, Olaf; Steffensen, Mogens
10
2012
Empirical likelihood inference for Haezendonck-Goovaerts risk measure. Zbl 1329.91072
Peng, Liang; Wang, Xing; Zheng, Yanting
9
2015
The difference between LSMC and replicating portfolio in insurance liability modeling. Zbl 1394.91227
Pelsser, Antoon; Schweizer, Janina
9
2016
Mathematical analysis of different approaches for replicating portfolios. Zbl 1329.91071
Natolski, Jan; Werner, Ralf
8
2014
A subordinated Markov model for stochastic mortality. Zbl 1273.91239
Liu, Xiaoming; Lin, X. Sheldon
7
2012
Capturing parameter risk with convex risk measures. Zbl 1277.91072
Bannör, Karl F.; Scherer, Matthias
7
2013
Neural networks applied to chain-ladder reserving. Zbl 1422.91381
Wüthrich, Mario V.
7
2018
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions. Zbl 1394.91233
Vedani, Julien; El Karoui, Nicole; Loisel, Stéphane; Prigent, Jean-Luc
7
2017
On Pareto-optimal reinsurance with constraints under distortion risk measures. Zbl 1416.91191
Jiang, Wenjun; Hong, Hanping; Ren, Jiandong
7
2018
Ruin probabilities for a regenerative Poisson gap generated risk process. Zbl 1229.91151
Asmussen, Søren; Biard, Romain
7
2011
Modeling accounting year dependence in runoff triangles. Zbl 1256.91034
Salzmann, Robert; Wüthrich, Mario V.
7
2012
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees. Zbl 1329.91065
Hieber, Peter; Korn, Ralf; Scherer, Matthias
6
2015
Constructing entity specific projected mortality table: adjustment to a reference. Zbl 1329.91078
Tomas, Julien; Planchet, Frédéric
6
2014
Insurance pricing under ambiguity. Zbl 1329.91073
Pichler, Alois
6
2014
Shot-noise driven multivariate default models. Zbl 1256.91059
Scherer, Matthias; Schmid, Ludwig; Schmidt, Thorsten
6
2012
Machine learning techniques for mortality modeling. Zbl 1405.91254
Deprez, Philippe; Shevchenko, Pavel V.; Wüthrich, Mario V.
6
2017
Bivariate lower and upper orthant value-at-risk. Zbl 1304.91097
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed
5
2013
Markov chain modeling of policyholder behavior in life insurance and pension. Zbl 1304.91111
Henriksen, Lars Frederik Brandt; Nielsen, Jeppe Woetmann; Steffensen, Mogens; Svensson, Christian
5
2014
The finite-time ruin probability under the compound binomial risk model. Zbl 1277.91090
Li, Shuanming; Sendova, Kristina P.
5
2013
On the analysis of a class of loss models incorporating time dependence. Zbl 1280.91149
Guo, Ling; Landriault, David; Willmot, Gordon E.
5
2013
Catastrophe risk bonds with applications to earthquakes. Zbl 1329.91076
Shao, Jia; Pantelous, Athanasios; Papaioannou, Apostolos D.
5
2015
Pricing a guaranteed annuity option under correlated and regime-switching risk factors. Zbl 1329.91062
Gao, Huan; Mamon, Rogemar; Liu, Xiaoming
5
2015
Multiperiod insurance supervision: top-down models. Zbl 1229.91159
Eisele, Karl-Theodor; Artzner, Philippe
5
2011
Revised version of: “Solvency requirement for a long-term guarantee: risk measures versus probability of ruin”. Zbl 1256.91061
Devolder, Pierre
5
2011
Prediction error for credible claims reserves: an \(h\)-likelihood approach. Zbl 1304.91104
Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano
4
2013
Bivariate regular variation among randomly weighted sums in general insurance. Zbl 1422.91334
Chen, Yiqing; Yang, Yang
4
2019
Small population bias and sampling effects in stochastic mortality modelling. Zbl 1394.91201
Chen, Liang; Cairns, Andrew J. G.; Kleinow, Torsten
4
2017
Best-estimate claims reserves in incomplete markets. Zbl 1344.91009
Happ, Sebastian; Merz, Michael; Wüthrich, Mario V.
4
2015
Sex-specific mortality forecasting for UK countries: a coherent approach. Zbl 1416.91163
Chen, Ree Yongqing; Millossovich, Pietro
4
2018
Old-age provision: past, present, future. Zbl 1394.91007
Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël
4
2016
Classification of scale-sensitive telematic observables for riskindividual pricing. Zbl 1415.91167
Weidner, W.; Transchel, F. W. G.; Weidner, R.
4
2016
On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk. Zbl 1415.91162
Ratovomirija, Gildas
4
2016
On a capital allocation by minimization of some risk indicators. Zbl 1415.91157
Maume-Deschamps, V.; Rullière, D.; Said, K.
4
2016
Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management. Zbl 1219.91067
Chauvigny, Matthieu; Devineau, Laurent; Loisel, Stéphane; Maume-Deschamps, Véronique
4
2011
Analysis of Finnish and Swedish mortality data with stochastic mortality models. Zbl 1268.91083
Lovász, Enrico
4
2011
Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256
Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela
4
2017
Optimal investment under transaction costs for an insurer. Zbl 1303.91161
Thonhauser, Stefan
3
2013
A compound renewal model for medical malpractice insurance. Zbl 1303.62056
Léveillé, Ghislain; Hamel, Emmanuel
3
2013
On the robust stability of pricing models for non-life insurance products. Zbl 1304.91125
Pantelous, Athanasios A.; Papageorgiou, Athanasios
3
2013
Best estimate calculations of savings contracts by closed formulas: application to the ORSA. Zbl 1304.91093
Bonnin, François; Planchet, Frédéric; Juillard, Marc
3
2014
Equalization reserves for natural catastrophes and shareholder value: a simulation study. Zbl 1273.91451
Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane
3
2013
Optimal dividend payments for a two-dimensional insurance risk process. Zbl 1422.91324
Azcue, Pablo; Muler, Nora; Palmowski, Zbigniew
3
2019
Covariate selection from telematics car driving data. Zbl 1394.62151
Wüthrich, Mario V.
3
2017
Updating mechanism for lifelong insurance contracts subject to medical inflation. Zbl 1394.91208
Denuit, Michel; Dhaene, Jan; Hanbali, Hamza; Lucas, Nathalie; Trufin, Julien
3
2017
Skew-elliptical distributions with applications in risk theory. Zbl 1394.62148
Shushi, Tomer
3
2017
Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points? Zbl 1329.91063
Goffard, Pierre-Olivier; Guerrault, Xavier
3
2015
Generalised linear models for aggregate claims: to Tweedie or not? Zbl 1329.91075
Quijano Xacur, Oscar Alberto; Garrido, José
3
2015
Asset-liability management for long-term insurance business. Zbl 1416.91145
Albrecher, Hansjörg (ed.); Bauer, Daniel (ed.); Embrechts, Paul (ed.); Filipović, Damir (ed.); Koch-Medina, Pablo (ed.); Korn, Ralf (ed.); Loisel, Stéphane (ed.); Pelsser, Antoon (ed.); Schiller, Frank (ed.); Schmeiser, Hato (ed.); Wagner, Joël (ed.)
3
2018
Gerber-Shiu analysis of a risk model with capital injections. Zbl 1394.91209
Dickson, David C. M.; Qazvini, Marjan
3
2016
Closed-form solutions for guaranteed minimum accumulation and death benefits. Zbl 1415.91155
Krayzler, Mikhail; Zagst, Rudi; Brunner, Bernhard
3
2016
Ruin problems in the generalized Erlang(\(n\)) risk model. Zbl 1415.91151
Bergel, Agnieszka I.; Egídio dos Reis, Alfredo D.
3
2016
Lévy systems and the time value of ruin for Markov additive processes. Zbl 1271.60060
Ben Salah, Zied; Morales, Manuel
3
2012
Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard. Zbl 1405.91245
Antonio, Katrien; Devriendt, Sander; de Boer, Wouter; de Vries, Robert; De Waegenaere, Anja; Kan, Hok-Kwan; Kromme, Egbert; Ouburg, Wilbert; Schulteis, Tim; Slagter, Erica; van der Winden, Marco; van Iersel, Corné; Vellekoop, Michel
3
2017
Equity-linked life insurance based on traditional products: the case of select products. Zbl 1405.91244
Alexandrova, Maria; Bohnert, Alexander; Gatzert, Nadine; Russ, Jochen
3
2017
Hedging of long term zero-coupon bonds in a market model with reinvestment risk. Zbl 1307.91192
Stefanovits, David; Wüthrich, Mario V.
2
2014
Empirical investigation of insurance claim dependencies using mixture models. Zbl 1304.62129
Valdez, Emiliano A.
2
2014
Risk processes with dependence and premium adjusted to solvency targets. Zbl 1269.91042
Constantinescu, Corina; Maume-Deschamps, Véronique; Norberg, Ragnar
2
2012
Forecasting mortality: when academia meets practice. Zbl 1269.93022
Gaille, Séverine
2
2012
Quadratic hedging: an actuarial view extended to solvency control. Zbl 1277.91174
Norberg, Ragnar
2
2013
The optimal asset and liability portfolio for a financial institution with multiple lines of businesses. Zbl 1288.91182
Zaks, Yaniv
2
2013
Old-age care prevalence in Switzerland: drivers and future development. Zbl 1422.91345
Fuino, Michel; Wagner, Joël
2
2018
Heterogeneity in mortality: a survey with an actuarial focus. Zbl 1422.91373
Pitacco, Ermanno
2
2019
Ruin probabilities by Padé’s method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails. Zbl 1422.91323
Avram, F.; Banik, A. D.; Horvath, A.
2
2019
An asymptotic characterization of hidden tail credit risk with actuarial applications. Zbl 1394.91241
Yuan, Zhongyi
2
2017
Modelling parameter uncertainty for risk capital calculation. Zbl 1329.91061
Fröhlich, Andreas; Weng, Annegret
2
2015
Lapse tables for lapse risk management in insurance: a competing risk approach. Zbl 1416.91209
Milhaud, Xavier; Dutang, Christophe
2
2018
Tariff systems for fleets of vehicles: a study on the portfolio of Fidelidade. Zbl 1394.91214
Fardilha, Tiago; de Lourdes Centeno, Maria; Esteves, Rui
2
2016
Rank-based methods for modeling dependence between loss triangles. Zbl 1394.91205
Côté, Marie-Pier; Genest, Christian; Abdallah, Anas
2
2016
A credibility approach of the Makeham mortality law. Zbl 1415.91163
Salhi, Yahia; Thérond, Pierre-E.; Tomas, Julien
2
2016
An academic view on the illiquidity premium and market-consistent valuation in insurance. Zbl 1219.91075
Wüthrich, Mario V.
2
2011
Poisson regression and zero-inflated Poisson regression: application to private health insurance data. Zbl 1259.62081
Mouatassim, Younès; Ezzahid, El Hadj
2
2012
Measuring uncertainty of solvency coverage ratio in ORSA for non-life insurance. Zbl 1256.91033
Planchet, Frédéric; Guibert, Quentin; Juillard, Marc
2
2012
Bivariate compound renewal sums with discounted claims. Zbl 1258.91106
Léveillé, Ghislain
2
2012
Solvency II solvency capital requirement for life insurance companies based on expected shortfall. Zbl 1405.91246
Boonen, Tim J.
2
2017
PRIIP-KID: \(\mathrm{\underline {p}}\)roviding \(\mathrm{\underline{r}}\)etail \(\mathrm{\underline{i}}\)nvestors with \(\mathrm{\underline{i}}\)nappropriate \(\mathrm{\underline{p}}\)roduct information? Zbl 1433.91131
Graf, Stefan
2
2019
Matrix representations of life insurance payments. Zbl 1452.91262
Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens
2
2020
Investing in your own and peers’ risks: the simple analytics of P2P insurance. Zbl 1455.91218
Denuit, Michel
2
2020
The crash-NIG factor model. Zbl 1304.91233
Schlösser, Anna; Zagst, Rudi
1
2013
Modeling the effect of health: phase-type approach. Zbl 1304.91105
Govorun, Maria; Latouche, Guy
1
2014
On a generalization of the expected discounted penalty function to include deficits at and beyond ruin. Zbl 1307.91094
Ben Salah, Zied
1
2014
Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality. Zbl 1270.91029
Denuit, Michel; Haberman, Steven; Renshaw, Arthur E.
1
2013
A joint stock and bond market based on the hyperbolic Gaussian model. Zbl 1273.91448
Bäuerle, Nicole; Pfeiffer, Robin
1
2013
Obituary: Ragnar Norberg (1945–2017). Zbl 1417.01019
Barrieu, Pauline; Loisel, Stéphane; Neuhaus, Walther; Steffensen, Mogens
1
2018
The impact of longevity and investment risk on a portfolio of life insurance liabilities. Zbl 1422.91325
Bacinello, Anna Rita; Millossovich, Pietro; Chen, An
1
2018
Policy characteristics and stakeholder returns in participating life insurance: which contracts can lead to a win-win? Zbl 1422.91367
Mirza, Charbel; Wagner, Joël
1
2018
Application of Bayesian penalized spline regression for internal modeling in life insurance. Zbl 1422.91342
Duong, Quang Dien
1
2019
A self-organizing predictive map for non-life insurance. Zbl 1422.91352
Hainaut, Donatien
1
2019
The negative binomial-inverse Gaussian regression model with an application to insurance ratemaking. Zbl 1422.91378
Tzougas, G.; Hoon, W. L.; Lim, J. M.
1
2019
A review of Bayesian asymptotics in general insurance applications. Zbl 1394.62142
Hong, Liang; Martin, Ryan
1
2017
Optimal supervisory rules for pension funds under diverse pension security mechanisms. Zbl 1329.91059
Chen, An; Clever, Simona
1
2015
Goodness-of-fit tests and applications for left-truncated Weibull distributions to non-life insurance. Zbl 1329.91068
Kreer, Markus; Kızılersü, Ayşe; Thomas, Anthony W.; Egídio dos Reis, Alfredo D.
1
2015
Reserve-dependent surrender rates. Zbl 1329.91077
Tågholt Gad, Kamille Sofie; Juhl, Jeppe; Steffensen, Mogens
1
2015
Calibrating intensities for long-term care multiple-state Markov insurance model. Zbl 1329.91060
Fleischmann, Anselm
1
2015
Parameter reduction in log-normal chain-ladder models. Zbl 1403.91202
Verrall, Richard J.; Wüthrich, Mario V.
1
2015
Matrix representations of life insurance payments. Zbl 1452.91262
Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens
2
2020
Investing in your own and peers’ risks: the simple analytics of P2P insurance. Zbl 1455.91218
Denuit, Michel
2
2020
Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products. Zbl 1452.91315
Diez, Franziska; Korn, Ralf
1
2020
Mean-variance dynamic optimality for DC pension schemes. Zbl 1452.91275
Menoncin, Francesco; Vigna, Elena
1
2020
Bias regularization in neural network models for general insurance pricing. Zbl 1452.91282
Wüthrich, Mario V.
1
2020
Optimal risk sharing in insurance networks. An application to asset-liability management. Zbl 1452.91272
Hamm, Anna-Maria; Knispel, Thomas; Weber, Stefan
1
2020
A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula. Zbl 1455.91211
Alfonsi, Aurélien; Cherchali, Adel; Infante Acevedo, Jose Arturo
1
2020
Mean reversion in stochastic mortality: why and how? Zbl 1455.91231
Zeddouk, Fadoua; Devolder, Pierre
1
2020
Bivariate regular variation among randomly weighted sums in general insurance. Zbl 1422.91334
Chen, Yiqing; Yang, Yang
4
2019
Optimal dividend payments for a two-dimensional insurance risk process. Zbl 1422.91324
Azcue, Pablo; Muler, Nora; Palmowski, Zbigniew
3
2019
Heterogeneity in mortality: a survey with an actuarial focus. Zbl 1422.91373
Pitacco, Ermanno
2
2019
Ruin probabilities by Padé’s method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails. Zbl 1422.91323
Avram, F.; Banik, A. D.; Horvath, A.
2
2019
PRIIP-KID: \(\mathrm{\underline {p}}\)roviding \(\mathrm{\underline{r}}\)etail \(\mathrm{\underline{i}}\)nvestors with \(\mathrm{\underline{i}}\)nappropriate \(\mathrm{\underline{p}}\)roduct information? Zbl 1433.91131
Graf, Stefan
2
2019
Application of Bayesian penalized spline regression for internal modeling in life insurance. Zbl 1422.91342
Duong, Quang Dien
1
2019
A self-organizing predictive map for non-life insurance. Zbl 1422.91352
Hainaut, Donatien
1
2019
The negative binomial-inverse Gaussian regression model with an application to insurance ratemaking. Zbl 1422.91378
Tzougas, G.; Hoon, W. L.; Lim, J. M.
1
2019
Between DB and DC: optimal hybrid PAYG pension schemes. Zbl 1433.91128
Devolder, Pierre; de Valeriola, Sébastien
1
2019
On the gain of collaboration in a two dimensional ruin problem. Zbl 1446.91061
Grandits, Peter
1
2019
Neural networks applied to chain-ladder reserving. Zbl 1422.91381
Wüthrich, Mario V.
7
2018
On Pareto-optimal reinsurance with constraints under distortion risk measures. Zbl 1416.91191
Jiang, Wenjun; Hong, Hanping; Ren, Jiandong
7
2018
Sex-specific mortality forecasting for UK countries: a coherent approach. Zbl 1416.91163
Chen, Ree Yongqing; Millossovich, Pietro
4
2018
Asset-liability management for long-term insurance business. Zbl 1416.91145
Albrecher, Hansjörg; Bauer, Daniel; Embrechts, Paul; Filipović, Damir; Koch-Medina, Pablo; Korn, Ralf; Loisel, Stéphane; Pelsser, Antoon; Schiller, Frank; Schmeiser, Hato; Wagner, Joël
3
2018
Old-age care prevalence in Switzerland: drivers and future development. Zbl 1422.91345
Fuino, Michel; Wagner, Joël
2
2018
Lapse tables for lapse risk management in insurance: a competing risk approach. Zbl 1416.91209
Milhaud, Xavier; Dutang, Christophe
2
2018
Obituary: Ragnar Norberg (1945–2017). Zbl 1417.01019
Barrieu, Pauline; Loisel, Stéphane; Neuhaus, Walther; Steffensen, Mogens
1
2018
The impact of longevity and investment risk on a portfolio of life insurance liabilities. Zbl 1422.91325
Bacinello, Anna Rita; Millossovich, Pietro; Chen, An
1
2018
Policy characteristics and stakeholder returns in participating life insurance: which contracts can lead to a win-win? Zbl 1422.91367
Mirza, Charbel; Wagner, Joël
1
2018
Risk classification in life and health insurance: extension to continuous covariates. Zbl 1416.91170
Denuit, Michel; Legrand, Catherine
1
2018
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions. Zbl 1394.91233
Vedani, Julien; El Karoui, Nicole; Loisel, Stéphane; Prigent, Jean-Luc
7
2017
Machine learning techniques for mortality modeling. Zbl 1405.91254
Deprez, Philippe; Shevchenko, Pavel V.; Wüthrich, Mario V.
6
2017
Small population bias and sampling effects in stochastic mortality modelling. Zbl 1394.91201
Chen, Liang; Cairns, Andrew J. G.; Kleinow, Torsten
4
2017
Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256
Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela
4
2017
Covariate selection from telematics car driving data. Zbl 1394.62151
Wüthrich, Mario V.
3
2017
Updating mechanism for lifelong insurance contracts subject to medical inflation. Zbl 1394.91208
Denuit, Michel; Dhaene, Jan; Hanbali, Hamza; Lucas, Nathalie; Trufin, Julien
3
2017
Skew-elliptical distributions with applications in risk theory. Zbl 1394.62148
Shushi, Tomer
3
2017
Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard. Zbl 1405.91245
Antonio, Katrien; Devriendt, Sander; de Boer, Wouter; de Vries, Robert; De Waegenaere, Anja; Kan, Hok-Kwan; Kromme, Egbert; Ouburg, Wilbert; Schulteis, Tim; Slagter, Erica; van der Winden, Marco; van Iersel, Corné; Vellekoop, Michel
3
2017
Equity-linked life insurance based on traditional products: the case of select products. Zbl 1405.91244
Alexandrova, Maria; Bohnert, Alexander; Gatzert, Nadine; Russ, Jochen
3
2017
An asymptotic characterization of hidden tail credit risk with actuarial applications. Zbl 1394.91241
Yuan, Zhongyi
2
2017
Solvency II solvency capital requirement for life insurance companies based on expected shortfall. Zbl 1405.91246
Boonen, Tim J.
2
2017
A review of Bayesian asymptotics in general insurance applications. Zbl 1394.62142
Hong, Liang; Martin, Ryan
1
2017
A compound trend renewal model for medical/professional liabilities. Zbl 1405.91262
Léveillé, Ghislain; Hamel, Emmanuel
1
2017
Applications of the central limit theorem for pricing cliquet-style options. Zbl 1405.91260
Korn, Ralf; Temoçin, Büşra Zeynep; Wenzel, Jörg
1
2017
The difference between LSMC and replicating portfolio in insurance liability modeling. Zbl 1394.91227
Pelsser, Antoon; Schweizer, Janina
9
2016
Old-age provision: past, present, future. Zbl 1394.91007
Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël
4
2016
Classification of scale-sensitive telematic observables for riskindividual pricing. Zbl 1415.91167
Weidner, W.; Transchel, F. W. G.; Weidner, R.
4
2016
On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk. Zbl 1415.91162
Ratovomirija, Gildas
4
2016
On a capital allocation by minimization of some risk indicators. Zbl 1415.91157
Maume-Deschamps, V.; Rullière, D.; Said, K.
4
2016
Gerber-Shiu analysis of a risk model with capital injections. Zbl 1394.91209
Dickson, David C. M.; Qazvini, Marjan
3
2016
Closed-form solutions for guaranteed minimum accumulation and death benefits. Zbl 1415.91155
Krayzler, Mikhail; Zagst, Rudi; Brunner, Bernhard
3
2016
Ruin problems in the generalized Erlang(\(n\)) risk model. Zbl 1415.91151
Bergel, Agnieszka I.; Egídio dos Reis, Alfredo D.
3
2016
Tariff systems for fleets of vehicles: a study on the portfolio of Fidelidade. Zbl 1394.91214
Fardilha, Tiago; de Lourdes Centeno, Maria; Esteves, Rui
2
2016
Rank-based methods for modeling dependence between loss triangles. Zbl 1394.91205
Côté, Marie-Pier; Genest, Christian; Abdallah, Anas
2
2016
A credibility approach of the Makeham mortality law. Zbl 1415.91163
Salhi, Yahia; Thérond, Pierre-E.; Tomas, Julien
2
2016
Risk measure preserving piecewise linear approximation of empirical distributions. Zbl 1415.91149
Arbenz, Philipp; Guevara-Alarcón, William
1
2016
Minimisation of penalty payments by investments and reinsurance. Zbl 1415.91166
Vierkötter, Matthias
1
2016
Comment on the paper ”The impact of covariates on a bonus-malus system: an application of Taylor’s model” by Lemaire, Park & Wang. Zbl 1415.91165
Taylor, Greg
1
2016
Bayesian Poisson log-bilinear models for mortality projections with multiple populations. Zbl 1329.91111
Antonio, Katrien; Bardoutsos, Anastasios; Ouburg, Wilbert
11
2015
Empirical likelihood inference for Haezendonck-Goovaerts risk measure. Zbl 1329.91072
Peng, Liang; Wang, Xing; Zheng, Yanting
9
2015
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees. Zbl 1329.91065
Hieber, Peter; Korn, Ralf; Scherer, Matthias
6
2015
Catastrophe risk bonds with applications to earthquakes. Zbl 1329.91076
Shao, Jia; Pantelous, Athanasios; Papaioannou, Apostolos D.
5
2015
Pricing a guaranteed annuity option under correlated and regime-switching risk factors. Zbl 1329.91062
Gao, Huan; Mamon, Rogemar; Liu, Xiaoming
5
2015
Best-estimate claims reserves in incomplete markets. Zbl 1344.91009
Happ, Sebastian; Merz, Michael; Wüthrich, Mario V.
4
2015
Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points? Zbl 1329.91063
Goffard, Pierre-Olivier; Guerrault, Xavier
3
2015
Generalised linear models for aggregate claims: to Tweedie or not? Zbl 1329.91075
Quijano Xacur, Oscar Alberto; Garrido, José
3
2015
Modelling parameter uncertainty for risk capital calculation. Zbl 1329.91061
Fröhlich, Andreas; Weng, Annegret
2
2015
Optimal supervisory rules for pension funds under diverse pension security mechanisms. Zbl 1329.91059
Chen, An; Clever, Simona
1
2015
Goodness-of-fit tests and applications for left-truncated Weibull distributions to non-life insurance. Zbl 1329.91068
Kreer, Markus; Kızılersü, Ayşe; Thomas, Anthony W.; Egídio dos Reis, Alfredo D.
1
2015
Reserve-dependent surrender rates. Zbl 1329.91077
Tågholt Gad, Kamille Sofie; Juhl, Jeppe; Steffensen, Mogens
1
2015
Calibrating intensities for long-term care multiple-state Markov insurance model. Zbl 1329.91060
Fleischmann, Anselm
1
2015
Parameter reduction in log-normal chain-ladder models. Zbl 1403.91202
Verrall, Richard J.; Wüthrich, Mario V.
1
2015
On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory. Zbl 1396.91292
Ben-Salah, Zied; Guérin, Hélène; Morales, Manuel; Omidi Firouzi, Hassan
1
2015
Mathematical analysis of different approaches for replicating portfolios. Zbl 1329.91071
Natolski, Jan; Werner, Ralf
8
2014
Constructing entity specific projected mortality table: adjustment to a reference. Zbl 1329.91078
Tomas, Julien; Planchet, Frédéric
6
2014
Insurance pricing under ambiguity. Zbl 1329.91073
Pichler, Alois
6
2014
Markov chain modeling of policyholder behavior in life insurance and pension. Zbl 1304.91111
Henriksen, Lars Frederik Brandt; Nielsen, Jeppe Woetmann; Steffensen, Mogens; Svensson, Christian
5
2014
Best estimate calculations of savings contracts by closed formulas: application to the ORSA. Zbl 1304.91093
Bonnin, François; Planchet, Frédéric; Juillard, Marc
3
2014
Hedging of long term zero-coupon bonds in a market model with reinvestment risk. Zbl 1307.91192
Stefanovits, David; Wüthrich, Mario V.
2
2014
Empirical investigation of insurance claim dependencies using mixture models. Zbl 1304.62129
Valdez, Emiliano A.
2
2014
Modeling the effect of health: phase-type approach. Zbl 1304.91105
Govorun, Maria; Latouche, Guy
1
2014
On a generalization of the expected discounted penalty function to include deficits at and beyond ruin. Zbl 1307.91094
Ben Salah, Zied
1
2014
Evaluation of the EU proposed farm income stabilisation tool by skew normal linear mixed models. Zbl 1329.62415
Pigeon, Mathieu; de Frahan, Bruno Henry; Denuit, Michel
1
2014
Optimal risk transfers in insurance groups. Zbl 1270.91028
Asimit, Alexandru V.; Badescu, Alexandru M.; Tsanakas, Andreas
21
2013
Capturing parameter risk with convex risk measures. Zbl 1277.91072
Bannör, Karl F.; Scherer, Matthias
7
2013
Bivariate lower and upper orthant value-at-risk. Zbl 1304.91097
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed
5
2013
The finite-time ruin probability under the compound binomial risk model. Zbl 1277.91090
Li, Shuanming; Sendova, Kristina P.
5
2013
On the analysis of a class of loss models incorporating time dependence. Zbl 1280.91149
Guo, Ling; Landriault, David; Willmot, Gordon E.
5
2013
Prediction error for credible claims reserves: an \(h\)-likelihood approach. Zbl 1304.91104
Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano
4
2013
Optimal investment under transaction costs for an insurer. Zbl 1303.91161
Thonhauser, Stefan
3
2013
A compound renewal model for medical malpractice insurance. Zbl 1303.62056
Léveillé, Ghislain; Hamel, Emmanuel
3
2013
On the robust stability of pricing models for non-life insurance products. Zbl 1304.91125
Pantelous, Athanasios A.; Papageorgiou, Athanasios
3
2013
Equalization reserves for natural catastrophes and shareholder value: a simulation study. Zbl 1273.91451
Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane
3
2013
Quadratic hedging: an actuarial view extended to solvency control. Zbl 1277.91174
Norberg, Ragnar
2
2013
The optimal asset and liability portfolio for a financial institution with multiple lines of businesses. Zbl 1288.91182
Zaks, Yaniv
2
2013
The crash-NIG factor model. Zbl 1304.91233
Schlösser, Anna; Zagst, Rudi
1
2013
Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality. Zbl 1270.91029
Denuit, Michel; Haberman, Steven; Renshaw, Arthur E.
1
2013
A joint stock and bond market based on the hyperbolic Gaussian model. Zbl 1273.91448
Bäuerle, Nicole; Pfeiffer, Robin
1
2013
Remarks on quantiles and distortion risk measures. Zbl 1256.91027
Dhaene, Jan; Kukush, Alexander; Linders, Daniël; Tang, Qihe
28
2012
The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
24
2012
Worst-case-optimal dynamic reinsurance for large claims. Zbl 1269.91044
Korn, Ralf; Menkens, Olaf; Steffensen, Mogens
10
2012
A subordinated Markov model for stochastic mortality. Zbl 1273.91239
Liu, Xiaoming; Lin, X. Sheldon
7
2012
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Cited by 666 Authors

11 Denuit, Michel M.
9 Asimit, Alexandru V.
9 Yang, Hailiang
8 Zhou, Xiaowen
7 Albrecher, Hansjörg
7 Avanzi, Benjamin
7 Cheung, Ka Chun
7 Dhaene, Jan
7 Wong, Bernard
7 Wüthrich, Mario Valentin
6 Boonen, Tim J.
6 Cheung, Eric C. K.
6 Wang, Ruodu
5 Antonio, Katrien
5 Hamel, Emmanuel
5 Loisel, Stéphane
5 Pantelous, Athanasios A.
5 Thérond, Pierre-E.
5 Trufin, Julien
5 Weng, Chengguo
5 Yuen, Kam Chuen
4 Assa, Hirbod
4 Cairns, Andrew J. G.
4 Chi, Yichun
4 Christiansen, Marcus Christian
4 Devolder, Pierre
4 Li, Bo
4 Mamon, Rogemar S.
4 Papaioannou, Apostolos D.
4 Salhi, Yahia
4 Wagner, Joël
4 Wang, Rongming
4 Willmot, Gordon E.
4 Woo, Jae-Kyung
4 Yin, Chuancun
4 Yuan, Zhongyi
4 Zeng, Yan
4 Zhang, Zhimin
3 Badescu, Alexandru M.
3 Balbás, Alejandro
3 Barigou, Karim
3 Chen, Mi
3 Chong, Wing Fung
3 Di Bernardino, Elena
3 Dong, Hua
3 Eisele, Karl-Theodor
3 Fuino, Michel
3 Gao, Guangyuan
3 Gu, Ailing
3 Guillen, Montserrat
3 Hainaut, Donatien
3 Hanbali, Hamza
3 Hieber, Peter
3 Hu, Junlei
3 Ivanovs, Jevgeņijs
3 Jin, Zhuo
3 Kim, Eunseok
3 Korn, Ralf
3 Landriault, David
3 Léveillé, Ghislain
3 Li, Danping
3 Lin, X. Sheldon
3 Lopez, Olivier
3 Mailhot, Mélina
3 Milhaud, Xavier
3 Palmowski, Zbigniew
3 Pelsser, Antoon A. J.
3 Peng, Liang
3 Pichler, Alois
3 Ramsden, Lewis
3 Renaud, Jean-François
3 Ruß, Jochen
3 Schmidt, Thorsten
3 Tan, Ken Seng
3 Tang, Qihe
3 Taylor, Greg
3 Tu, Vincent
3 Vellekoop, Michel H.
3 Vernic, Raluca
3 Viens, Frederi G.
3 Vierkötter, Matthias
3 Wang, Xing
3 Wei, Yunran
3 Wu, Yang-Che
3 Yang, Lin
3 Young, Virginia R.
3 Zhao, Yongxia
2 Abdallah, Anas
2 Alfonsi, Aurélien
2 Asmussen, Søren
2 Avram, Florin
2 Balbás, Beatriz
2 Balbás, Raquel
2 Bäuerle, Nicole
2 Beck, Nicholas
2 Belles-Sampera, Jaume
2 Bellini, Fabio
2 Blake, David
2 Bohnert, Alexander
2 Boucher, Jean-Philippe
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Cited in 78 Journals

117 Insurance Mathematics & Economics
47 European Actuarial Journal
42 ASTIN Bulletin
32 Scandinavian Actuarial Journal
12 North American Actuarial Journal
11 Statistics & Probability Letters
9 Journal of Computational and Applied Mathematics
8 European Journal of Operational Research
7 Methodology and Computing in Applied Probability
7 Journal of Industrial and Management Optimization
6 Finance and Stochastics
6 Quantitative Finance
6 Decisions in Economics and Finance
5 Advances in Applied Probability
5 Journal of Applied Probability
5 International Journal of Theoretical and Applied Finance
4 Journal of Mathematical Analysis and Applications
4 Applied Mathematics and Computation
4 Dependence Modeling
3 SIAM Journal on Control and Optimization
3 Stochastic Models
2 Journal of Multivariate Analysis
2 Acta Mathematicae Applicatae Sinica. English Series
2 Japan Journal of Industrial and Applied Mathematics
2 The Annals of Applied Probability
2 Communications in Statistics. Theory and Methods
2 Journal of Statistical Computation and Simulation
2 Stochastic Processes and their Applications
2 Mathematical Problems in Engineering
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Journal of the Korean Statistical Society
2 Frontiers of Mathematics in China
2 Mathematics and Financial Economics
2 Statistics & Risk Modeling
2 Modern Stochastics. Theory and Applications
1 Journal of Mathematical Biology
1 Lithuanian Mathematical Journal
1 Journal of Optimization Theory and Applications
1 Kybernetika
1 Mathematics of Operations Research
1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
1 Operations Research
1 Siberian Mathematical Journal
1 Journal of Economic Dynamics & Control
1 Journal of Theoretical Probability
1 Queueing Systems
1 Annals of Operations Research
1 YUJOR. Yugoslav Journal of Operations Research
1 Communications in Statistics. Simulation and Computation
1 Potential Analysis
1 Applied Mathematics. Series B (English Edition)
1 Theory of Probability and Mathematical Statistics
1 Journal of Mathematical Sciences (New York)
1 Applied Mathematical Finance
1 Lifetime Data Analysis
1 Bernoulli
1 Mathematical Finance
1 Mathematical Methods of Operations Research
1 Discrete Dynamics in Nature and Society
1 Acta Mathematica Sinica. English Series
1 Probability in the Engineering and Informational Sciences
1 Lobachevskii Journal of Mathematics
1 Nonlinear Analysis. Modelling and Control
1 Journal of Systems Science and Complexity
1 Statistical Modelling
1 Journal of Applied Mathematics and Computing
1 Hacettepe Journal of Mathematics and Statistics
1 Review of Derivatives Research
1 SORT. Statistics and Operations Research Transactions
1 Stochastics
1 Electronic Journal of Statistics
1 Banach Journal of Mathematical Analysis
1 SIAM Journal on Financial Mathematics
1 Probability Surveys
1 Annals of Finance
1 Stochastic Systems
1 East Asian Journal on Applied Mathematics
1 Probability, Uncertainty and Quantitative Risk

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