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Scandinavian Actuarial Journal

Published for The Danish Society of Actuaries, The Actuarial Society of Finland, The Norwegian Society of Actuaries and The Swedish Society of Actuaries

Short Title: Scand. Actuar. J.
Publisher: Taylor & Francis, Abingdon, Oxfordshire
ISSN: 0346-1238; 1651-2030/e
Online: http://www.tandfonline.com/loi/sact20
Predecessor: Scandinavian Actuarial Journal
Comments: Journal
Documents Indexed: 659 Publications (since 2000)
References Indexed: 641 Publications with 17,419 References.
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Authors

13 Denuit, Michel M.
13 Landriault, David
13 Macdonald, Angus S.
12 Willmot, Gordon E.
12 Wüthrich, Mario Valentin
11 Zhang, Zhimin
10 Cheung, Ka Chun
10 Li, Shuanming
9 Sherris, Michael
7 Albrecher, Hansjörg
7 Badescu, Andrei L.
7 Cheung, Eric C. K.
7 Christiansen, Marcus Christian
7 Dhaene, Jan
7 Dickson, David C. M.
7 Kleinow, Torsten
7 Landsman, Zinoviy M.
7 Nielsen, Jens Perch
7 Stanford, David A.
7 Waters, Howard R.
7 Yang, Hailiang
7 Young, Virginia R.
6 Drekic, Steve
6 Frostig, Esther
6 Hashorva, Enkelejd
6 Léveillé, Ghislain
6 Tsai, Cary Chi-Liang
6 Yuen, Kam Chuen
5 Constantinescu, Corina D.
5 Devolder, Pierre
5 Grandits, Peter
5 Hong, Liang
5 Li, Jackie
5 Lindholm, Mathias
5 Lu, Yi
5 Richards, Stephen J.
5 Schmidli, Hanspeter
5 Siu, Tak Kuen
5 Steffensen, Mogens
5 Tang, Qihe
5 Trufin, Julien
5 Woo, Jae-Kyung
5 Ziveyi, Jonathan
4 Alai, Daniel H.
4 Antonio, Katrien
4 Bladt, Martin
4 Buchardt, Kristian
4 Cai, Jun
4 Chadjiconstantinidis, Stathis
4 Feng, Runhuan
4 Han, Xia
4 Hipp, Christian
4 Jarner, Søren Fiig
4 Lefèvre, Claude
4 Liang, Zhibin
4 Loisel, Stéphane
4 Marceau, Étienne
4 Møller, Thomas H.
4 Samorodnitsky, Gennady Pinkhosovich
4 Shen, Yang
4 Wang, Wenyuan
4 Yam, Sheung Chi Phillip
4 Zhang, Lianzeng
4 Zhang, Yiying
3 Aas, Kjersti
3 Aase, Knut Kristian
3 Adékambi, Franck
3 Ahn, Jae Youn
3 Bäuerle, Nicole
3 Beirlant, Jan
3 Bladt, Mogens
3 Boonen, Tim J.
3 Brazauskas, Vytaras
3 Breuer, Lothar
3 Cao, Jingyi
3 Cooray, Kahadawala
3 Cossette, Hélène
3 Czado, Claudia
3 Djehiche, Boualem
3 Eisenberg, Julia
3 Furrer, Christian
3 Goovaerts, Marc J.
3 Guan, Guohui
3 Guillen, Montserrat
3 Haberman, Steven
3 Hardy, Mary Rosalyn
3 Hieber, Peter
3 Hu, Duni
3 Hu, Xiang
3 Jeong, Himchan
3 Jiang, Zhengjun
3 Jin, Zhuo
3 Li, Hong
3 Liang, Zongxia
3 Linders, Daniël
3 Lindskog, Filip
3 Lkabous, Mohamed Amine
3 Lo, Ambrose
3 Løchte Jørgensen, Peter
3 Lu, Baopeng
...and 823 more Authors

Publications by Year

Citations contained in zbMATH Open

541 Publications have been cited 5,322 times in 3,210 Documents Cited by Year
Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039
Schmidli, Hanspeter
126
2001
On a risk model with dependence between interclaim arrivals and claim sizes. Zbl 1145.91030
Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne
97
2006
Extremes on the discounted aggregate claims in a time dependent risk model. Zbl 1224.91041
Asimit, Alexandru V.; Badescu, Andrei L.
80
2010
Modeling and management of mortality risk: a review. Zbl 1224.91048
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
73
2008
Optimal dynamic reinsurance with dependent risks: variance premium principle. Zbl 1401.91167
Liang, Zhibin; Yuen, Kam Chuen
64
2016
Modelling actuarial data with a composite lognormal-Pareto model. Zbl 1143.91027
Cooray, Kahadawala; Ananda, Malwane M. A.
61
2005
Bootstrapping the Poisson log-bilinear model for mortality forecasting. Zbl 1092.91038
Brouhns, Natacha; Denuit, Michel; van Keilegom, Ingrid
60
2005
The tail probability of discount sums of Pareto-like losses in insurance. Zbl 1144.91026
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe; Vernic, Raluca
56
2005
Randomized observation periods for the compound Poisson risk model: the discounted penalty function. Zbl 1401.91089
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan
53
2013
On composite lognormal-Pareto models. Zbl 1146.91028
Scollnic, David P. M.
50
2007
Micro-level stochastic loss reserving for general insurance. Zbl 1401.91091
Antonio, Katrien; Plat, Richard
50
2014
Risk processes analyzed as fluid queues. Zbl 1092.91037
Badescu, Andrei; Breuer, Lothar; Da Silva Soares, Ana; Latouche, Guy; Remiche, Marie-Ange; Stanford, David
48
2005
A mixed copula model for insurance claims and claim sizes. Zbl 1277.62249
Czado, Claudia; Kastenmeier, Rainer; Brechmann, Eike Christian; Min, Aleksey
47
2012
Characterizations of optimal reinsurance treaties: a cost-benefit approach. Zbl 1401.91112
Cheung, Ka Chun; Lo, Ambrose
47
2017
Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria. Zbl 1401.91208
Yi, Bo; Viens, Frederi; Li, Zhongfei; Zeng, Yan
47
2015
Optimal reinsurance under general law-invariant risk measures. Zbl 1401.91110
Cheung, K. C.; Sung, K. C. J.; Yam, S. C. P.; Yung, S. P.
46
2014
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
44
2006
Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Zbl 1416.91203
Li, Danping; Zeng, Yan; Yang, Hailiang
44
2018
The distribution of the dividend payments in the compound Poisson risk model perturbed by diffusion. Zbl 1143.91032
Li, Shuanming
41
2006
Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073
Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia
41
2012
On systematic mortality risk and risk-minimization with survivor swaps. Zbl 1224.91054
Dahl, Mikkel; Melchior, Martin; Møller, Thomas
40
2008
Guaranteed investment contracts: distributed and undistributed excess return. Zbl 1092.91053
Miltersen, Kristian R.; Persson, Svein-Arne
39
2003
An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums. Zbl 1277.60042
Korolev, Victor; Shevtsova, Irina
39
2012
Stochastic mortality under measure changes. Zbl 1226.91022
Biffis, Enrico; Denuit, Michel; Devolder, Pierre
38
2010
Ruin probabilities in the compound Markov binomial model. Zbl 1092.91040
Cossette, Hélène; Landriault, David; Marceau, Étienne
38
2003
Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Zbl 1144.91030
Tang, Qihe
37
2005
Estimation of the characteristics of the jumps of a general Poisson-diffusion model. Zbl 1114.62081
Mancini, Cecilia
35
2004
Spatial modelling of claim frequency and claim size in non-life insurance. Zbl 1150.91026
Gschlöß{l}, Susanne; Czado, Claudia
35
2007
Pricing dynamic insurance risks using the principle of equivalent utility. Zbl 1039.91049
Young, Virginia R.; Zariphopoulou, Thaleia
35
2002
Perspectives of risk sharing. Zbl 1015.62104
Aase, Knut K.
34
2002
The Gerber-Shiu function in Sparre Andersen risk process perturbed by diffusion. Zbl 1092.91049
Li, Shuanming; Garrido, José
34
2005
Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116
Hipp, Christian; Schmidli, Hanspeter
34
2004
Bivariate survival models for coupled lives. Zbl 0959.62094
Carriere, Jacques F.
33
2000
Multivariate Pareto portfolios: TCE-based capital allocation and dividend differences. Zbl 1164.91028
Chiragiev, Arthur; Landsman, Zinoviy
33
2007
Composite lognormal-Pareto model with random threshold. Zbl 1277.62258
Pigeon, Mathieu; Denuit, Michel
33
2011
On the distribution of the deficit at ruin when claims are phase-type. Zbl 1142.62088
Drekic, Steve; Dickson, David C. M.; Stanford, David A.; Willmot, Gordon E.
32
2004
The fair value of guaranteed annuity options. Zbl 1142.91036
Biffis, Enrico; Millossovich, Pietro
31
2006
Recursive moments of compound renewal sums with discounted claims. Zbl 0979.91048
Léveillé, Ghislain; Garrido, José
30
2001
Extending the Lee-Carter model: a three-way decomposition. Zbl 1277.62260
Russolillo, Maria; Giordano, Giuseppe; Haberman, Steven
30
2011
On Fitting generalized linear and non-linear models of mortality. Zbl 1401.91123
Currie, Iain D.
30
2016
Ordering properties of the smallest and largest claim amounts in a general scale model. Zbl 1401.91096
Barmalzan, Ghobad; Najafabadi, Amir T. Payandeh; Balakrishnan, Narayanaswamy
29
2017
On a class of discrete time renewal risk models. Zbl 1142.91043
Li, Shuanming
28
2005
Minimum rate of return guarantees: the Danish case. Zbl 1039.91040
Hansen, Mette; Miltersen, Kristian R.
28
2002
On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier. Zbl 1092.91036
Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F.
28
2005
On finite-time ruin probabilities for classical risk models. Zbl 1164.91033
Lefèvre, Claude; Stéphane, Loisel
28
2008
Two-sided bounds for the finite time probability of ruin. Zbl 0958.91030
Ignatov, Z. G.; Kaishev, V. K.
27
2000
Optimal dynamic premium control in non-life insurance. Maximizing dividend pay-outs. Zbl 1039.91042
Højgaard, Bjarne
27
2002
Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model. Zbl 1277.62096
Shimizu, Yasutaka
27
2012
Mean-variance optimal reinsurance arrangements. Zbl 1117.62115
Kaluszka, Marek
26
2004
Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024
Cossette, Héléne; Marceau, Etienne; Marri, Fouad
26
2010
Criteria for the stochastic ordering of random sums, with actuarial applications. Zbl 1003.60022
Denuit, Michel; Genest, Christian; Marceau, Étienne
26
2002
Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model. Zbl 1401.91168
Lin, Xiang; Qian, Yiping
26
2016
New composite models for the Danish fire insurance data. Zbl 1401.91177
Nadarajah, S.; Bakar, S. A. A.
26
2014
Optimal reinsurance arrangements in the presence of two reinsurers. Zbl 1401.91113
Chi, Yichun; Meng, Hui
26
2014
The ruin probability of a discrete time risk model under constant interest rate with heavy tails. Zbl 1142.62094
Tang, Qihe
25
2004
Machine learning in individual claims reserving. Zbl 1416.91225
Wüthrich, Mario V.
25
2018
Optimal reinsurance with expectile. Zbl 1401.91106
Cai, Jun; Weng, Chengguo
25
2016
On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
24
2014
Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks. Zbl 1401.91205
Yang, Yang; Konstantinides, Dimitrios G.
24
2015
Heterogeneity and the need for capital in the individual model. Zbl 1142.91039
Denuit, Michel; Frostig, Esther
23
2006
Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145
Eisenberg, Julia; Schmidli, Hanspeter
23
2011
Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Zbl 1416.91153
Balakrishnan, Narayanaswamy; Zhang, Yiying; Zhao, Peng
23
2018
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
22
2007
Folded and log-folded-\(t\) distributions as models for insurance loss data. Zbl 1277.62248
Brazauskas, Vytaras; Kleefeld, Andreas
22
2011
Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206
Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.
22
2017
Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
21
2017
Cash flows and policyholder behaviour in the semi-Markov life insurance setup. Zbl 1401.91105
Buchardt, Kristian; Møller, Thomas; Schmidt, Kristian Bjerre
21
2015
Parisian ruin probability with a lower ultimate bankrupt barrier. Zbl 1401.91124
Czarna, Irmina
21
2016
Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes. Zbl 1224.91043
Bai, Lihua; Guo, Junyi
20
2010
On the analysis of a multi-threshold Markovian risk model. Zbl 1164.91025
Badescu, Andrei; Drekic, Steve; Landriault, Daviv
20
2007
Equilibrium compound distributions and stop-loss moments. Zbl 1144.91031
Willmot, Gordon E.; Drekic, Steve; Cai, Jun
20
2005
The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims. Zbl 1144.91025
Dickson, David C. M.; Hughes, Barry D.; Lianzeng, Zhang
20
2005
Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option. Zbl 1436.91104
Sun, Zhongyang; Zhang, Xin; Yuen, Kam Chuen
20
2020
A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229
Zhang, Zhimin; Su, Wen
20
2018
The impact of multiple structural changes on mortality predictions. Zbl 1401.91221
van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel
20
2016
Modeling claims data with composite Stoppa models. Zbl 1401.62205
Calderín-Ojeda, Enrique; Kwok, Chun Fung
20
2016
Extending composite loss models using a general framework of advanced computational tools. Zbl 1422.91351
Grün, Bettina; Miljkovic, Tatjana
20
2019
On bonus and bonus prognoses in life insurance. Zbl 0979.91045
Norberg, Ragnar
19
2001
On the distortion of a copula and its margins. Zbl 1277.62140
Valdez, Emiliano A.; Xiao, Yugu
19
2011
A unifying approach to the analysis of business with random gains. Zbl 1277.60148
Cheung, Eric C. K.
19
2012
On semiparametric estimation of ruin probabilities in the classical risk model. Zbl 1401.62212
Masiello, Esterina
19
2014
Optimal investment-consumption-insurance with random parameters. Zbl 1401.91193
Shen, Yang; Wei, Jiaqin
19
2016
Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models. Zbl 1143.91033
Li, Shuanming
18
2005
Gerber-Shiu analysis with a generalized penalty function. Zbl 1226.60123
Cheung, Eric C. K.; Landriault, David; Willmot, Gordon E.; Woo, Jae-Kyung
18
2010
Ruin probabilities and investment under interest force in the presence of regularly varying tails. Zbl 1091.62102
Gaier, J.; Grandits, P.
18
2004
Semiparametric estimation for non-ruin probabilities. Zbl 1092.91054
Politis, Konstadinos
18
2003
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Zbl 1401.91095
Bacinello, Anna Rita; Millossovich, Pietro; Montealegre, Alvaro
18
2016
A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints. Zbl 1402.91208
Lo, Ambrose
18
2017
Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Zbl 1224.91093
Weng, Chengguo; Zhang, Yi; Tan, Ken Seng
17
2009
Lapse rate modeling: a rational expectation approach. Zbl 1224.91150
De Giovanni, Domenico
17
2010
Analysis of a threshold dividend strategy for a MAP risk model. Zbl 1164.91024
Badescu, Andrei; Drekic, Steve; Landriault, Daviv
17
2007
Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks. Zbl 1401.91204
Yang, Haizhong; Gao, Wei; Li, Jinzhu
17
2016
Knowledge elicitation of Gompertz’ law of mortality. Zbl 0971.62073
Willemse, W. J.; Koppelaar, H.
16
2000
On accounting standards and fair valuation of life insurance and pension liabilities. Zbl 1087.62117
Jørgensen, Peter Løchte
16
2004
Computing the Gerber-Shiu function by frame duality projection. Zbl 1411.91320
Wang, Wenyuan; Zhang, Zhimin
16
2019
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
16
2011
Reduction of value-at-risk bounds via independence and variance information. Zbl 1401.91185
Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; Vanduffel, Steven
16
2017
Estimating the Gerber-Shiu function by Fourier-Sinc series expansion. Zbl 1402.91219
Zhang, Zhimin
16
2017
A data driven binning strategy for the construction of insurance tariff classes. Zbl 1418.91241
Henckaerts, Roel; Antonio, Katrien; Clijsters, Maxime; Verbelen, Roel
16
2018
Combining generalized linear models and credibility models in practice. Zbl 1224.91080
Ohlsson, Esbjörn
15
2008
Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees. Zbl 1520.91334
Kirkby, J. Lars; Aguilar, Jean-Philippe
2
2023
Mortality forecasting using the four-way CANDECOMP/PARAFAC decomposition. Zbl 1521.91311
Cardillo, Giovanni; Giordani, Paolo; Levantesi, Susanna; Nigri, Andrea; Spelta, Alessandro
1
2023
Finite-time ruin probabilities using bivariate Laguerre series. Zbl 1511.91114
Cheung, Eric C. K.; Lau, Hayden; Willmot, Gordon E.; Woo, Jae-Kyung
1
2023
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation. Zbl 1511.91113
Barigou, Karim; Linders, Daniël; Yang, Fan
1
2023
Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory. Zbl 1512.91111
Xu, Zuo Quan
1
2023
Socioeconomic differentials in mortality: implications on index-based longevity hedges. Zbl 1520.91342
Lyu, Pintao; Li, Johnny Siu-Hang; Zhou, Kenneth Q.
1
2023
Optimal investment and reinsurance strategies under 4/2 stochastic volatility model. Zbl 1521.91322
Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan
1
2023
LocalGLMnet: interpretable deep learning for tabular data. Zbl 07656044
Richman, Ronald; Wüthrich, Mario V.
1
2023
Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game. Zbl 1494.91128
Yuan, Yu; Liang, Zhibin; Han, Xia
11
2022
Collective reserving using individual claims data. Zbl 1492.91285
Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V.
8
2022
Optimal reinsurance with model uncertainty and Stackelberg game. Zbl 1492.91292
Gavagan, Joshua; Hu, Liang; Lee, Gee Y.; Liu, Haiyan; Weixel, Anna
3
2022
A perturbation approach to optimal investment, liability ratio, and dividend strategies. Zbl 1492.91301
Jin, Zhuo; Zuo, Quan Xu; Zou, Bin
3
2022
Mortality forecasting using stacked regression ensembles. Zbl 1501.91156
Kessy, Salvatory R.; Sherris, Michael; Villegas, Andrés M.; Ziveyi, Jonathan
3
2022
Robust reinsurance contract with learning and ambiguity aversion. Zbl 1501.91154
Hu, Duni; Wang, Hailong
2
2022
Spatial modelling of risk premiums for water damage insurance. Zbl 1496.91078
Wahl, Jens Christian; Aanes, Fredrik Lohne; Aas, Kjersti; Froyn, Sindre; Piacek, Daniel
1
2022
Banach contraction principle, \(q\)-scale function and ultimate ruin probability under a Markov-modulated classical risk model. Zbl 1492.91300
Jiang, Zhengjun
1
2022
Multivariate higher order moments in multi-state life insurance. Zbl 1492.91267
Ahmad, Jamaal
1
2022
Group cohesion under individual regulatory constraints. Zbl 1492.91283
Coculescu, Delia; Delbaen, Freddy
1
2022
Variable annuity pricing, valuation, and risk management: a survey. Zbl 1510.91144
Feng, Runhuan; Gan, Guojun; Zhang, Ning
1
2022
A general surplus decomposition principle in life insurance. Zbl 1510.91149
Jetses, Julian; Christiansen, Marcus C.
1
2022
Bowley reinsurance with asymmetric information: a first-best solution. Zbl 1498.91351
Boonen, Tim J.; Zhang, Yiying
1
2022
Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model. Zbl 1501.91153
Gu, Ailing; Chen, Shumin; Li, Zhongfei; Viens, Frederi G.
1
2022
Time-series forecasting of mortality rates using deep learning. Zbl 1471.91480
Perla, Francesca; Richman, Ronald; Scognamiglio, Salvatore; Wüthrich, Mario V.
11
2021
Robust optimal investment and reinsurance problems with learning. Zbl 1468.91121
Bäuerle, Nicole; Leimcke, Gregor
10
2021
Optimal dividend strategy for an insurance group with contagious default risk. Zbl 1470.91229
Jin, Zhuo; Liao, Huafu; Yang, Yue; Yu, Xiang
7
2021
Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models. Zbl 1479.91327
Hillairet, Caroline; Lopez, Olivier
5
2021
Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion. Zbl 1479.91315
Cheung, Eric C. K.; Zhang, Zhimin
5
2021
On copula-based collective risk models: from elliptical copulas to vine copulas. Zbl 1467.91148
Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo
5
2021
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure. Zbl 1468.91122
Chen, Mi; Yuen, Kam Chuen; Wang, Wenyuan
5
2021
Household consumption-investment-insurance decisions with uncertain income and market ambiguity. Zbl 1485.91211
Wang, Ning; Jin, Zhuo; Siu, Tak Kuen; Qiu, Ming
5
2021
Life expectancy and lifespan disparity forecasting: a long short-term memory approach. Zbl 1468.91128
Nigri, Andrea; Levantesi, Susanna; Marino, Mario
4
2021
Two-step risk analysis in insurance ratemaking. Zbl 1471.91464
Ki Kang, Seul; Peng, Liang; Golub, Andrew
4
2021
Bowley reinsurance with asymmetric information on the insurer’s risk preferences. Zbl 1471.91448
Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying
4
2021
Time-consistent and market-consistent actuarial valuation of the participating pension contract. Zbl 1475.91315
Salahnejhad Ghalehjooghi, Ahmad; Pelsser, Antoon
4
2021
Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs. Zbl 1476.91119
Avanzi, Benjamin; Lau, Hayden; Wong, Bernard
3
2021
A law of uniform seniority for dependent lives. Zbl 1480.91205
Genest, Christian; Kolev, Nikolai
3
2021
Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays. Zbl 1468.91126
Lopez, Olivier; Milhaud, Xavier
3
2021
Finite-time ruin probability for correlated Brownian motions. Zbl 1487.60075
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Krystecki, Konrad
3
2021
Structure of intergenerational risk-sharing plans: optimality and fairness. Zbl 1471.91493
Zhu, Xiaobai; Hardy, Mary; Saunders, David
3
2021
Matrix calculation for ultimate and 1-year risk in the semi-Markov individual loss reserving model. Zbl 1472.91038
Bettonville, Carole; d’Oultremont, Louise; Denuit, Michel; Trufin, Julien; Van Oirbeek, Robin
3
2021
Tontines with mixed cohorts. Zbl 1470.91220
Chen, An; Qian, Linyi; Yang, Zhixin
3
2021
Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach. Zbl 1479.91445
Li, Peng; Feng, Runhuan
2
2021
A non-convex regularization approach for stable estimation of loss development factors. Zbl 1479.91329
Jeong, Himchan; Chang, Hyunwoong; Valdez, Emiliano A.
2
2021
Stochastic modelling and projection of mortality improvements using a hybrid parametric/semi-parametric age-period-cohort model. Zbl 1471.91457
Dodd, Erengul; Forster, Jonathan J.; Bijak, Jakub; Smith, Peter W. F.
2
2021
An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking. Zbl 1467.91129
Baione, Fabio; Biancalana, Davide
2
2021
Ranking the extreme claim amounts in dependent individual risk models. Zbl 1466.91271
Torrado, Nuria; Navarro, Jorge
2
2021
Age-coherent extensions of the Lee-Carter model. Zbl 1492.91291
Gao, Guangyuan; Shi, Yanlin
2
2021
Retrospective reserves and bonus. Zbl 1471.91449
Bruhn, Kenneth; Lollike, Alexander Sevel
2
2021
On \(s\)-convex bounds for Beta-unimodal distributions with applications to basis risk assessment. Zbl 1471.91467
Lefèvre, Claude; Loisel, Stéphane; Montesinos, Pierre
2
2021
Genetics, insurance and hypertrophic cardiomyopathy. Zbl 1466.91259
Haçarız, Oytun; Kleinow, Torsten; Macdonald, Angus S.
1
2021
Functional sensitivity analysis of ruin probability in the classical risk models. Zbl 1485.91054
Cheurfa, Fatah; Takhedmit, Baya; Ouazine, Sofiane; Abbas, Karim
1
2021
Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework. Zbl 1491.91112
Yang, Peng; Chen, Zhiping; Cui, Xiangyu
1
2021
Spatial Tweedie exponential dispersion models: an application to insurance rate-making. Zbl 1484.91385
Halder, Aritra; Mohammed, Shariq; Chen, Kun; Dey, Dipak K.
1
2021
Optimal contribution rate of PAYGO pension. Zbl 1471.91461
He, Lin; Liang, Zongxia; Song, Yilun; Ye, Qi
1
2021
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks. Zbl 1471.91492
Zhao, Yanchun; Mao, Tiantian; Yang, Fan
1
2021
Grouping of contracts in insurance using neural networks. Zbl 1470.91231
Kiermayer, Mark; Weiß, Christian
1
2021
Ruin probability in a two-dimensional model with correlated Brownian motions. Zbl 1470.91228
Grandits, Peter; Klein, Maike
1
2021
Market pricing of longevity-linked securities. Zbl 1472.91041
Tang, Sixian; Li, Jackie
1
2021
Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option. Zbl 1436.91104
Sun, Zhongyang; Zhang, Xin; Yuen, Kam Chuen
20
2020
Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle. Zbl 1454.91191
Han, Xia; Liang, Zhibin; Young, Virginia R.
13
2020
Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model. Zbl 1447.91139
Gu, Ailing; Viens, Frederi G.; Shen, Yang
13
2020
Robust reinsurance contracts with risk constraint. Zbl 1447.91151
Wang, Ning; Siu, Tak Kuen
11
2020
Bonus-malus premiums under the dependent frequency-severity modeling. Zbl 1436.91103
Oh, Rosy; Shi, Peng; Ahn, Jae Youn
8
2020
Neural network embedding of the over-dispersed Poisson reserving model. Zbl 1430.91076
Gabrielli, Andrea; Richman, Ronald; Wüthrich, Mario V.
7
2020
Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. Zbl 1451.91167
Guan, Guohui; Wang, Xiaojun
6
2020
Multi-population mortality forecasting using tensor decomposition. Zbl 1454.91179
Dong, Yumo; Huang, Fei; Yu, Honglin; Haberman, Steven
6
2020
Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach. Zbl 1454.91174
Chen, Ze; Chen, Bingzheng; Dhaene, Jan
6
2020
On series expansions for scale functions and other ruin-related quantities. Zbl 1447.91142
Landriault, David; Willmot, Gordon E.
6
2020
Cohort and value-based multi-country longevity risk management. Zbl 1448.91267
Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan
6
2020
A ruin model with a resampled environment. Zbl 1447.91131
Constantinescu, C.; Delsing, G.; Mandjes, M.; Rojas Nandayapa, L.
5
2020
Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors. Zbl 1448.91261
Hong, Liang; Martin, Ryan
5
2020
Continuous chain-ladder with paid data. Zbl 1448.91254
Bischofberger, Stephan M.; Hiabu, Munir; Isakson, Alex
4
2020
Combined tail estimation using censored data and expert information. Zbl 1448.91255
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
4
2020
Continuous-time multi-cohort mortality modelling with affine processes. Zbl 1448.91270
Xu, Yajing; Sherris, Michael; Ziveyi, Jonathan
4
2020
A Hermite-spline model of post-retirement mortality. Zbl 1433.91144
Richards, Stephen J.
4
2020
Approximation of ruin probability and ruin time in discrete Brownian risk models. Zbl 1454.91193
Jasnovidov, Grigori
3
2020
On the cumulative parisian ruin of multi-dimensional Brownian motion risk models. Zbl 1454.91196
Ji, Lanpeng
3
2020
Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates. Zbl 1433.91139
Liu, Yuying; Liu, Zhaoyang; Liu, Guoxin
3
2020
Budget-constrained optimal retention with an upper limit on the retained loss. Zbl 1436.91102
Ghossoub, Mario
3
2020
Modelling seasonal mortality with individual data. Zbl 1454.91206
Richards, Stephen J.; Ramonat, Stefan J.; Vesper, Gregory T.; Kleinow, Torsten
2
2020
Incorporating structural changes in mortality improvements for mortality forecasting. Zbl 1454.91198
Li, Jackie; Wong, Kenneth
2
2020
Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach. Zbl 1454.91172
Chang, Le; Shi, Yanlin
2
2020
Proportional reinsurance and investment in multiple risky assets under borrowing constraint. Zbl 1447.91153
Yener, Haluk
2
2020
Generalized log-normal chain-ladder. Zbl 1448.91263
Kuang, D.; Nielsen, B.
2
2020
Weighted utility optimization of the participating endowment contract. Zbl 1448.91260
He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming
2
2020
Optimal asset allocation for participating contracts under the VaR and PI constraint. Zbl 1433.91129
Dong, Yinghui; Wu, Sang; Lv, Wenxin; Wang, Guojing
2
2020
Cash flow techniques for asset liability management. Zbl 1436.91099
Aguirre Nolsøe, Kim; Degrijse, Dieter; Ahm, Sofie; Brix, Kristoffer; Storgaard, Mads; Strodl, Jesper
2
2020
Indifference pricing of pure endowments via BSDEs under partial information. Zbl 1454.91171
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra
1
2020
Tax- and expense-modified risk-minimization for insurance payment processes. Zbl 1454.91168
Buchardt, Kristian; Furrer, Christian; Møller, Thomas
1
2020
A multiple state model for the working-age disabled population using cross-sectional data. Zbl 1454.91204
Naka, Poontavika; Boado-Penas, María del Carmen; Lanot, Gauthier
1
2020
On a discrete-time risk model with time-dependent claims and impulsive dividend payments. Zbl 1454.91211
Zhang, Lianzeng; Liu, He
1
2020
Correction to: “On a discrete-time risk model with time-dependent claims and impulsive dividend payments”. Zbl 1470.91235
Zhang, Lianzeng; Liu, He
1
2020
A multivariate Markov chain stock model. Zbl 1447.91133
D’Amico, Guglielmo; De Blasis, Riccardo
1
2020
Nonlinearly transformed risk measures: properties and application to optimal reinsurance. Zbl 1447.91128
Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert
1
2020
The Lee-Carter quantile mortality model. Zbl 1448.91265
Santolino, Miguel
1
2020
Extending composite loss models using a general framework of advanced computational tools. Zbl 1422.91351
Grün, Bettina; Miljkovic, Tatjana
20
2019
Computing the Gerber-Shiu function by frame duality projection. Zbl 1411.91320
Wang, Wenyuan; Zhang, Zhimin
16
2019
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264
Barigou, Karim; Dhaene, Jan
15
2019
Budget-constrained optimal reinsurance design under coherent risk measures. Zbl 1426.91209
Cheung, Ka Chun; Chong, Wing Fung; Lo, Ambrose
13
2019
The expected discounted penalty function: from infinite time to finite time. Zbl 1411.91303
Li, Shuanming; Lu, Yi; Sendova, Kristina P.
13
2019
...and 441 more Documents
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Cited by 3,267 Authors

59 Zhang, Zhimin
39 Landriault, David
39 Yuen, Kam Chuen
37 Yang, Yang
36 Willmot, Gordon E.
33 Yang, Hailiang
32 Albrecher, Hansjörg
32 Denuit, Michel M.
32 Li, Shuanming
30 Liang, Zhibin
29 Young, Virginia R.
27 Cheung, Eric C. K.
26 Haberman, Steven
25 Badescu, Andrei L.
25 Woo, Jae-Kyung
23 Cheung, Ka Chun
23 Cossette, Hélène
23 Loisel, Stéphane
23 Marceau, Étienne
22 Antonio, Katrien
22 Guo, Junyi
22 Hashorva, Enkelejd
22 Li, Johnny Siu-Hang
22 Tan, Ken Seng
22 Tang, Qihe
21 Boonen, Tim J.
21 Wüthrich, Mario Valentin
20 Sherris, Michael
19 Cai, Jun
19 Christiansen, Marcus Christian
19 Gao, Qingwu
19 Li, Danping
19 Nielsen, Jens Perch
19 Yang, Hu
18 Jin, Zhuo
18 Lefèvre, Claude
18 Weng, Chengguo
17 Asimit, Alexandru V.
17 Li, Jinzhu
17 Ren, Jiandong
17 Zhang, Yiying
16 Chen, Mi
16 Dickson, David C. M.
16 Frostig, Esther
16 Macdonald, Angus S.
16 Šiaulys, Jonas
16 Wang, Wenyuan
16 Zitikis, Ričardas
15 Fu, Ke’ang
15 Nadarajah, Saralees
15 Steffensen, Mogens
15 Vernic, Raluca
15 Yam, Sheung Chi Phillip
15 Yin, Chuancun
14 Bäuerle, Nicole
14 Dhaene, Jan
14 Gómez-Déniz, Emilio
14 Landsman, Zinoviy M.
14 Shen, Yang
14 Wang, Ruodu
14 Zeng, Yan
14 Zhou, Ming
13 Bladt, Mogens
13 Furman, Edward
13 Ji, Lanpeng
13 Jiang, Wenjun
13 Li, Jackie
13 Palmowski, Zbigniew
13 Schmidli, Hanspeter
13 Siu, Tak Kuen
13 Zhao, Hui
12 Bladt, Martin
12 Blake, David
12 Drekic, Steve
12 Guillen, Montserrat
12 Kaishev, Vladimir K.
12 Levantesi, Susanna
12 Lin, X. Sheldon
12 Lu, Yi
12 Shi, Peng
12 Zhou, Xiaowen
11 Asmussen, Søren
11 Avram, Florin
11 Balakrishnan, Narayanaswamy
11 Chen, Yiqing
11 Constantinescu, Corina D.
11 Dębicki, Krzysztof
11 Feng, Runhuan
11 Guan, Guohui
11 Kleinow, Torsten
11 Klüppelberg, Claudia
11 Kortschak, Dominik
11 Léveillé, Ghislain
11 Liang, Zongxia
11 Liu, Haiyan
11 Mao, Tiantian
11 Qian, Linyi
11 Rong, Ximin
11 Sendova, Kristina P.
11 Stanford, David A.
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Cited in 260 Journals

733 Insurance Mathematics & Economics
364 Scandinavian Actuarial Journal
164 North American Actuarial Journal
148 ASTIN Bulletin
125 Communications in Statistics. Theory and Methods
99 European Actuarial Journal
90 Methodology and Computing in Applied Probability
86 Journal of Computational and Applied Mathematics
66 Statistics & Probability Letters
55 Journal of Industrial and Management Optimization
46 European Journal of Operational Research
45 Stochastic Models
44 Journal of Applied Probability
34 Applied Mathematics and Computation
27 Advances in Applied Probability
25 Communications in Statistics. Simulation and Computation
25 Probability in the Engineering and Informational Sciences
25 Quantitative Finance
24 Lithuanian Mathematical Journal
22 Journal of Multivariate Analysis
22 Stochastic Processes and their Applications
21 Journal of Mathematical Analysis and Applications
21 Annals of Operations Research
20 Acta Mathematicae Applicatae Sinica. English Series
20 Finance and Stochastics
19 Mathematical Problems in Engineering
19 Stochastics
18 Journal of Applied Statistics
17 Computational Statistics and Data Analysis
16 Journal of the Korean Statistical Society
15 Extremes
15 Decisions in Economics and Finance
15 Dependence Modeling
14 Applied Stochastic Models in Business and Industry
13 Journal of Econometrics
13 Journal of Statistical Planning and Inference
12 Queueing Systems
12 Journal of Systems Science and Complexity
11 Mathematical Finance
11 Mathematical Methods of Operations Research
11 Discrete Dynamics in Nature and Society
10 Stochastic Analysis and Applications
10 Optimization
10 Journal of Statistical Computation and Simulation
10 Test
10 Science China. Mathematics
10 Modern Stochastics. Theory and Applications
9 Theory of Probability and its Applications
9 Japan Journal of Industrial and Applied Mathematics
9 Applied Mathematics. Series B (English Edition)
9 Journal of Mathematical Sciences (New York)
9 Bernoulli
9 Advances in Difference Equations
8 The Annals of Applied Probability
8 Journal of Inequalities and Applications
8 Statistics & Risk Modeling
7 Applied Mathematics and Optimization
7 Statistics
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7 Journal of Probability and Statistics
6 International Journal of Control
6 Scandinavian Journal of Statistics
6 Mathematics and Computers in Simulation
6 Lifetime Data Analysis
6 Acta Mathematica Sinica. English Series
6 The ANZIAM Journal
6 Statistical Methods and Applications
6 Frontiers of Mathematics in China
5 Physica A
5 Journal of the American Statistical Association
5 Journal of Optimization Theory and Applications
5 Mathematics of Operations Research
5 International Journal of Theoretical and Applied Finance
5 Acta Mathematica Scientia. Series B. (English Edition)
5 Hacettepe Journal of Mathematics and Statistics
5 Computational Management Science
5 ALEA. Latin American Journal of Probability and Mathematical Statistics
5 Electronic Journal of Statistics
5 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
5 SIAM Journal on Financial Mathematics
5 Mathematical Control and Related Fields
5 Communications in Mathematics and Statistics
5 Statistical Theory and Related Fields
4 Operations Research
4 SIAM Journal on Control and Optimization
4 Operations Research Letters
4 Probability and Mathematical Statistics
4 Computational Mathematics and Mathematical Physics
4 Statistical Papers
4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
4 Soft Computing
4 Journal of Applied Mathematics and Computing
4 Mathematics and Financial Economics
4 Statistics and Computing
4 Journal of Statistical Distributions and Applications
4 Journal of the Japan Statistical Society. Japanese Issue
4 AIMS Mathematics
3 Computers & Mathematics with Applications
3 Metrika
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Cited in 44 Fields

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