Scandinavian Actuarial JournalPublished 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 Documents Indexed: 554 Publications (since 2000) References Indexed: 537 Publications with 13,785 References. all top 5 Latest Issues 2021, No. 7 (2021) 2021, No. 6 (2021) 2021, No. 5 (2021) 2021, No. 4 (2021) 2021, No. 3 (2021) 2021, No. 2 (2021) 2021, No. 1 (2021) 2020, No. 10 (2020) 2020, No. 9 (2020) 2020, No. 8 (2020) 2020, No. 7 (2020) 2020, No. 6 (2020) 2020, No. 5 (2020) 2020, No. 4 (2020) 2020, No. 3 (2020) 2020, No. 2 (2020) 2020, No. 1 (2020) 2019, No. 10 (2019) 2019, No. 9 (2019) 2019, No. 8 (2019) 2019, No. 7 (2019) 2019, No. 6 (2019) 2019, No. 5 (2019) 2019, No. 4 (2019) 2019, No. 3 (2019) 2019, No. 2 (2019) 2019, No. 1 (2019) 2018, No. 10 (2018) 2018, No. 9 (2018) 2018, No. 8 (2018) 2018, No. 7 (2018) 2018, No. 6 (2018) 2018, No. 5 (2018) 2018, No. 4 (2018) 2018, No. 3 (2018) 2018, No. 2 (2018) 2018, No. 1 (2018) 2017, No. 10 (2017) 2017, No. 9 (2017) 2017, No. 8 (2017) 2017, No. 7 (2017) 2017, No. 6 (2017) 2017, No. 5 (2017) 2017, No. 4 (2017) 2017, No. 3 (2017) 2017, No. 2 (2017) 2017, No. 1 (2017) 2016, No. 10 (2016) 2016, No. 9 (2016) 2016, No. 8 (2016) 2016, No. 7 (2016) 2016, No. 6 (2016) 2016, No. 5 (2016) 2016, No. 4 (2016) 2016, No. 3 (2016) 2016, No. 2 (2016) 2016, No. 1 (2016) 2015, No. 8 (2015) 2015, No. 7 (2015) 2015, No. 6 (2015) 2015, No. 5 (2015) 2015, No. 4 (2015) 2015, No. 3 (2015) 2015, No. 2 (2015) 2015, No. 1 (2015) 2014, No. 8 (2014) 2014, No. 7 (2014) 2014, No. 6 (2014) 2014, No. 5 (2014) 2014, No. 4 (2014) 2014, No. 3 (2014) 2014, No. 2 (2014) 2014, No. 1 (2014) 2013, No. 6 (2013) 2013, No. 5 (2013) 2013, No. 4 (2013) 2013, No. 3 (2013) 2013, No. 2 (2013) 2013, No. 1 (2013) 2012, No. 4 (2012) 2012, No. 3 (2012) 2012, No. 2 (2012) 2012, No. 1 (2012) 2011, No. 4 (2011) 2011, No. 3 (2011) 2011, No. 2 (2011) 2011, No. 1 (2011) 2010, No. 4 (2010) 2010, No. 3 (2010) 2010, No. 2 (2010) 2010, No. 1 (2010) 2009, No. 4 (2009) 2009, No. 3 (2009) 2009, No. 2 (2009) 2009, No. 1 (2009) 2008, No. 4 (2008) 2008, No. 2-3 (2008) 2008, No. 1 (2008) 2007, No. 4 (2007) 2007, No. 3 (2007) ...and 30 more Volumes all top 5 Authors 12 Denuit, Michel M. 12 Macdonald, Angus S. 11 Landriault, David 11 Willmot, Gordon E. 10 Cheung, Ka Chun 10 Li, Shuanming 10 Wüthrich, Mario Valentin 7 Badescu, Andrei L. 7 Cheung, Eric C. K. 7 Dickson, David C. M. 7 Landsman, Zinoviy M. 7 Sherris, Michael 7 Stanford, David A. 7 Waters, Howard R. 7 Yang, Hailiang 7 Zhang, Zhimin 6 Albrecher, Hansjörg 6 Dhaene, Jan 6 Drekic, Steve 6 Frostig, Esther 6 Kleinow, Torsten 6 Nielsen, Jens Perch 6 Yuen, Kam Chuen 5 Christiansen, Marcus Christian 5 Grandits, Peter 5 Hashorva, Enkelejd 5 Hong, Liang 5 Léveillé, Ghislain 5 Lu, Yi 5 Steffensen, Mogens 5 Tang, Qihe 5 Tsai, Cary Chi-Liang 4 Alai, Daniel H. 4 Cai, Jun 4 Chadjiconstantinidis, Stathis 4 Devolder, Pierre 4 Hipp, Christian 4 Jarner, Søren Fiig 4 Lefèvre, Claude 4 Li, Jackie Ji 4 Loisel, Stéphane 4 Marceau, Étienne 4 Møller, Thomas H. 4 Richards, Stephen J. 4 Samorodnitsky, Gennady Pinkhosovich 4 Schmidli, Hanspeter 4 Siu, Tak Kuen 4 Trufin, Julien 4 Woo, Jae-Kyung 4 Yam, Sheung Chi Phillip 4 Young, Virginia R. 4 Zhang, Lianzeng 3 Aase, Knut Kristian 3 Adékambi, Franck 3 Antonio, Katrien 3 Bäuerle, Nicole 3 Beirlant, Jan 3 Bladt, Mogens 3 Brazauskas, Vytaras 3 Breuer, Lothar 3 Buchardt, Kristian 3 Chen, An 3 Cooray, Kahadawala 3 Cossette, Hélène 3 Czado, Claudia 3 Djehiche, Boualem 3 Goovaerts, Marc J. 3 Guillen, Montserrat 3 Haberman, Steven 3 Hardy, Mary R. 3 Liang, Zhibin 3 Lo, Ambrose 3 Løchte Jørgensen, Peter 3 Lu, Baopeng 3 Luo, Shangzhen 3 Martin, Ryan R. 3 Merz, Michael 3 Nadarajah, Saralees 3 Norberg, Ragnar 3 Ohlsson, Esbjörn 3 Peng, Liang 3 Politis, Konstadinos 3 Ren, Jiandong 3 Sendova, Kristina P. 3 Shen, Yang 3 Vernic, Raluca 3 Walhin, Jean-François 3 Wang, Wenyuan 3 Wekwete, Chessman T. 3 Weng, Chengguo 3 Yener, Haluk 3 Zadeh, Amin Hassan 3 Zhang, Yiying 3 Zhu, Jinxia 3 Ziveyi, Jonathan 2 Aas, Kjersti 2 Adamic, Peter F. 2 Ahn, Jae Youn 2 Alm, Jonas 2 Antzoulakos, Demetrios L. ...and 693 more Authors all top 5 Fields 537 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 291 Statistics (62-XX) 184 Probability theory and stochastic processes (60-XX) 26 Systems theory; control (93-XX) 15 Operations research, mathematical programming (90-XX) 10 Biology and other natural sciences (92-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 6 Numerical analysis (65-XX) 4 Partial differential equations (35-XX) 3 Approximations and expansions (41-XX) 3 Integral transforms, operational calculus (44-XX) 3 Integral equations (45-XX) 3 Computer science (68-XX) 2 History and biography (01-XX) 2 Geophysics (86-XX) 1 Combinatorics (05-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Special functions (33-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 429 Publications have been cited 3,544 times in 2,249 Documents Cited by ▼ Year ▼ Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039Schmidli, Hanspeter 104 2001 On a risk model with dependence between interclaim arrivals and claim sizes. Zbl 1145.91030Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne 83 2006 Modeling and management of mortality risk: a review. Zbl 1224.91048Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 58 2008 Extremes on the discounted aggregate claims in a time dependent risk model. Zbl 1224.91041Asimit, Alexandru V.; Badescu, Andrei L. 58 2010 Bootstrapping the Poisson log-bilinear model for mortality forecasting. Zbl 1092.91038Brouhns, Natacha; Denuit, Michel; van Keilegom, Ingrid 51 2005 The tail probability of discount sums of Pareto-like losses in insurance. Zbl 1144.91026Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe; Vernic, Raluca 48 2005 Risk processes analyzed as fluid queues. Zbl 1092.91037Badescu, Andrei; Breuer, Lothar; Da Silva Soares, Ana; Latouches, Guy; Remiche, Marie-Ange; Stanford, David 40 2005 Randomized observation periods for the compound Poisson risk model: the discounted penalty function. Zbl 1401.91089Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan 37 2013 Optimal dynamic reinsurance with dependent risks: variance premium principle. Zbl 1401.91167Liang, Zhibin; Yuen, Kam Chuen 35 2016 Guaranteed investment contracts: distributed and undistributed excess return. Zbl 1092.91053Miltersen, Kristian R.; Persson, Svein-Arne 34 2003 Optimal reinsurance under general law-invariant risk measures. Zbl 1401.91110Cheung, K. C.; Sung, K. C. J.; Yam, S. C. P.; Yung, S. P. 34 2014 Stochastic mortality under measure changes. Zbl 1226.91022Biffis, Enrico; Denuit, Michel; Devolder, Pierre 34 2010 Ruin probabilities in the compound Markov binomial model. Zbl 1092.91040Cossette, Hélène; Landriault, David; Marceau, Étienne 33 2003 Perspectives of risk sharing. Zbl 1015.62104Aase, Knut K. 33 2002 Pricing dynamic insurance risks using the principle of equivalent utility. Zbl 1039.91049Young, Virginia R.; Zariphopoulou, Thaleia 33 2002 Modelling actuarial data with a composite lognormal-Pareto model. Zbl 1143.91027Cooray, Kahadawala; Ananda, Malwane M. A. 32 2005 On systematic mortality risk and risk-minimization with survivor swaps. Zbl 1224.91054Dahl, Mikkel; Melchior, Martin; Møller, Thomas 32 2008 The distribution of the dividend payments in the compound Poisson risk model perturbed by diffusion. Zbl 1143.91032Li, Shuanming 31 2006 Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia 31 2012 Micro-level stochastic loss reserving for general insurance. Zbl 1401.91091Antonio, Katrien; Plat, Richard 31 2014 The Gerber-Shiu function in Sparre Andersen risk process perturbed by diffusion. Zbl 1092.91049Li, Shuanming; Garrido, José 30 2005 Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116Hipp, Christian; Schmidli, Hanspeter 30 2004 Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Zbl 1144.91030Tang, Qihe 30 2005 Estimation of the characteristics of the jumps of a general Poisson-diffusion model. Zbl 1114.62081Mancini, Cecilia 30 2004 The fair value of guaranteed annuity options. Zbl 1142.91036Biffis, Enrico; Millossovich, Pietro 29 2006 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022Albrecher, Hansjörg; Asmussen, Søren 29 2006 Multivariate Pareto portfolios: TCE-based capital allocation and dividend differences. Zbl 1164.91028Chiragiev, Arthur; Landsman, Zinoviy 28 2007 A mixed copula model for insurance claims and claim sizes. Zbl 1277.62249Czado, Claudia; Kastenmeier, Rainer; Brechmann, Eike Christian; Min, Aleksey 28 2012 On composite lognormal-Pareto models. Zbl 1146.91028Scollnic, David P. M. 27 2007 An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums. Zbl 1277.60042Korolev, Victor; Shevtsova, Irina 27 2012 On the distribution of the deficit at ruin when claims are phase-type. Zbl 1142.62088Drekic, Steve; Dickson, David C. M.; Stanford, David A.; Willmot, Gordon E. 26 2004 On a class of discrete time renewal risk models. Zbl 1142.91043Li, Shuanming 26 2005 Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria. Zbl 1401.91208Yi, Bo; Viens, Frederi; Li, Zhongfei; Zeng, Yan 26 2015 Bivariate survival models for coupled lives. Zbl 0959.62094Carriere, Jacques F. 25 2000 Two-sided bounds for the finite time probability of ruin. Zbl 0958.91030Ignatov, Z. G.; Kaishev, V. K. 25 2000 Criteria for the stochastic ordering of random sums, with actuarial applications. Zbl 1003.60022Denuit, Michel; Genest, Christian; Marceau, Étienne 25 2002 Recursive moments of compound renewal sums with discounted claims. Zbl 0979.91048Léveillé, Ghislain; Garrido, José 25 2001 The ruin probability of a discrete time risk model under constant interest rate with heavy tails. Zbl 1142.62094Tang, Qihe 24 2004 On finite-time ruin probabilities for classical risk models. Zbl 1164.91033Lefèvre, Claude; Stéphane, Loisel 24 2008 Minimum rate of return guarantees: the Danish case. Zbl 1039.91040Hansen, Mette; Miltersen, Kristian R. 24 2002 Mean-variance optimal reinsurance arrangements. Zbl 1117.62115Kaluszka, Marek 23 2004 On Fitting generalized linear and non-linear models of mortality. Zbl 1401.91123Currie, Iain D. 23 2016 Spatial modelling of claim frequency and claim size in non-life insurance. Zbl 1150.91026Gschlöß{l}, Susanne; Czado, Claudia 22 2007 Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024Cossette, Héléne; Marceau, Etienne; Marri, Fouad 22 2010 Extending the Lee-Carter model: a three-way decomposition. Zbl 1277.62260Russolillo, Maria; Giordano, Giuseppe; Haberman, Steven 21 2011 Characterizations of optimal reinsurance treaties: a cost-benefit approach. Zbl 1401.91112Cheung, Ka Chun; Lo, Ambrose 21 2017 Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Zbl 1416.91203Li, Danping; Zeng, Yan; Yang, Hailiang 21 2018 On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier. Zbl 1092.91036Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F. 20 2005 Optimal dynamic premium control in non-life insurance. Maximizing dividend pay-outs. Zbl 1039.91042Højgaard, Bjarne 20 2002 On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217Zhang, Zhimin; Yang, Hailiang; Yang, Hu 20 2014 Optimal reinsurance arrangements in the presence of two reinsurers. Zbl 1401.91113Chi, Yichun; Meng, Hui 20 2014 Heterogeneity and the need for capital in the individual model. Zbl 1142.91039Denuit, Michel; Frostig, Esther 19 2006 Composite lognormal-Pareto model with random threshold. Zbl 1277.62258Pigeon, Mathieu; Denuit, Michel 19 2011 Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model. Zbl 1277.62096Shimizu, Yasutaka 19 2012 On bonus and bonus prognoses in life insurance. Zbl 0979.91045Norberg, Ragnar 18 2001 Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav 17 2007 Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145Eisenberg, Julia; Schmidli, Hanspeter 17 2011 The impact of multiple structural changes on mortality predictions. Zbl 1401.91221van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel 17 2016 On accounting standards and fair valuation of life insurance and pension liabilities. Zbl 1087.62117Jørgensen, Peter Løchte 16 2004 Equilibrium compound distributions and stop-loss moments. Zbl 1144.91031Willmot, Gordon E.; Drekic, Steve; Cai, Jun 16 2005 Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models. Zbl 1143.91033Li, Shuanming 16 2005 Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes. Zbl 1224.91043Bai, Lihua; Guo, Junyi 16 2010 Folded and log-folded-\(t\) distributions as models for insurance loss data. Zbl 1277.62248Brazauskas, Vytaras; Kleefeld, Andreas 16 2011 New composite models for the Danish fire insurance data. Zbl 1401.91177Nadarajah, S.; Bakar, S. A. A. 16 2014 Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Zbl 1224.91093Weng, Chengguo; Zhang, Yi; Tan, Ken Seng 15 2009 Lapse rate modeling: a rational expectation approach. Zbl 1224.91150De Giovanni, Domenico 15 2010 Erlangian approximation to finite time ruin probabilities in perturbed risk models. Zbl 1277.60128Stanford, David A.; Yu, Kaiqi; Ren, Jiandong 15 2011 On the distortion of a copula and its margins. Zbl 1277.62140Valdez, Emiliano A.; Xiao, Yugu 15 2011 Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model. Zbl 1401.91168Lin, Xiang; Qian, Yiping 15 2016 Gerber-Shiu analysis with a generalized penalty function. Zbl 1226.60123Cheung, Eric C. K.; Landriault, David; Willmot, Gordon E.; Woo, Jae-Kyung 15 2010 Ruin probabilities and investment under interest force in the presence of regularly varying tails. Zbl 1091.62102Gaier, J.; Grandits, P. 14 2004 Semiparametric estimation for non-ruin probabilities. Zbl 1092.91054Politis, Konstadinos 14 2003 The surplus prior to ruin and the deficit at ruin for a correlated risk process. Zbl 1143.91025Badescu, Andrei L.; Breuer, Lothar; Drekic, Steve; Latouche, Guy; Stanford, David A. 14 2005 On the analysis of a multi-threshold Markovian risk model. Zbl 1164.91025Badescu, Andrei; Drekic, Steve; Landriault, Daviv 14 2007 A unifying approach to the analysis of business with random gains. Zbl 1277.60148Cheung, Eric C. K. 14 2012 Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks. Zbl 1401.91205Yang, Yang; Konstantinides, Dimitrios G. 14 2015 Parisian ruin probability with a lower ultimate bankrupt barrier. Zbl 1401.91124Czarna, Irmina 14 2016 Asymptotic theory for a risk process with high dividend barrier. Zbl 1092.91043Irbäck, Johan 13 2003 The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims. Zbl 1144.91025Dickson, David C. M.; Hughes, Barry D.; Lianzeng, Zhang 13 2005 Lundberg parameters for non standard risk processes. Zbl 1143.91034Macci, Claudio; Stabile, Gabriele; Torrisi, Giovanni Luca 13 2005 Ruin estimation in multivariate models with Clayton dependence structure. Zbl 1145.91031Bregman, Yuliya; Klüppelberg, Claudia 13 2005 On semiparametric estimation of ruin probabilities in the classical risk model. Zbl 1401.62212Masiello, Esterina 13 2014 Optimal reinsurance with expectile. Zbl 1401.91106Cai, Jun; Weng, Chengguo 13 2016 Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang 13 2017 Moment generating functions of compound renewal sums with discounted claims. Zbl 1226.91027Léveillé, Ghislain; Garrido, José; Wang, Ya Fang 13 2010 On discrete-time dynamic programming in insurance: exponential utility and minimizing the ruin probability. Zbl 1141.91031Schäl, Manfred 12 2004 Analysis of a threshold dividend strategy for a MAP risk model. Zbl 1164.91024Badescu, Andrei; Drekic, Steve; Landriault, Daviv 12 2007 The Nash bargaining solution vs. equilibrium in a reinsurance syndicate. Zbl 1224.91035Aase, Knut K. 12 2009 Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady 12 2011 Statistical estimate of the proportional hazard premium of loss. Zbl 1150.91027Necir, Abdelhakim; Meraghni, Djamel; Meddi, Fatima 12 2007 Ordering properties of the smallest and largest claim amounts in a general scale model. Zbl 1401.91096Barmalzan, Ghobad; Najafabadi, Amir T. Payandeh; Balakrishnan, Narayanaswamy 12 2017 Cash flows and policyholder behaviour in the semi-Markov life insurance setup. Zbl 1401.91105Buchardt, Kristian; Møller, Thomas; Schmidt, Kristian Bjerre 12 2015 Some results on the compound Markov binomial model. Zbl 1144.91036Yuen, Kam-Chuen; Guo, Junyi 11 2006 Combining generalized linear models and credibility models in practice. Zbl 1224.91080Ohlsson, Esbjörn 11 2008 Higher-order expansions for compound distributions and ruin probabilities with subexponential claims. Zbl 1224.91038Albrecher, Hansjörg; Hipp, Christian; Kortschak, Dominik 11 2010 Ruin problems for phase-type(2) risk processes. Zbl 0971.91036Dickson, David C. M.; Hipp, Christian 11 2000 Knowledge elicitation of Gompertz’ law of mortality. Zbl 0971.62073Willemse, W. J.; Koppelaar, H. 11 2000 Bayesian premium rating with latent structure. Zbl 1039.91039Dimakos, Xeni K.; Di Rattalma, Arnoldo Frigessi 11 2002 Rethinking age-period-cohort mortality trend models. Zbl 1401.91088Alai, Daniel H.; Sherris, Michael 11 2014 General convex order on risk aggregation. Zbl 1401.91148Jakobsons, Edgars; Han, Xiaoying; Wang, Ruodu 11 2016 On copula-based collective risk models: from elliptical copulas to vine copulas. Zbl 1467.91148Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo 1 2021 Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays. Zbl 07352450Lopez, Olivier; Milhaud, Xavier 1 2021 Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach. Zbl 1454.91174Chen, Ze; Chen, Bingzheng; Dhaene, Jan 3 2020 Neural network embedding of the over-dispersed Poisson reserving model. Zbl 1430.91076Gabrielli, Andrea; Richman, Ronald; Wüthrich, Mario V. 2 2020 A Hermite-spline model of post-retirement mortality. Zbl 1433.91144Richards, Stephen J. 2 2020 Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option. Zbl 1436.91104Sun, Zhongyang; Zhang, Xin; Yuen, Kam Chuen 2 2020 Continuous chain-ladder with paid data. Zbl 1448.91254Bischofberger, Stephan M.; Hiabu, Munir; Isakson, Alex 2 2020 Combined tail estimation using censored data and expert information. Zbl 1448.91255Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan 2 2020 Cohort and value-based multi-country longevity risk management. Zbl 1448.91267Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan 2 2020 A multivariate Markov chain stock model. Zbl 1447.91133D’Amico, Guglielmo; De Blasis, Riccardo 1 2020 A ruin model with a resampled environment. Zbl 1447.91131Constantinescu, C.; Delsing, G.; Mandjes, M.; Rojas Nandayapa, L. 1 2020 Robust reinsurance contracts with risk constraint. Zbl 1447.91151Wang, Ning; Siu, Tak Kuen 1 2020 Weighted utility optimization of the participating endowment contract. Zbl 1448.91260He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming 1 2020 Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle. Zbl 1454.91191Han, Xia; Liang, Zhibin; Young, Virginia R. 1 2020 Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. Zbl 1451.91167Guan, Guohui; Wang, Xiaojun 1 2020 Approximation of ruin probability and ruin time in discrete Brownian risk models. Zbl 1454.91193Jasnovidov, Grigori 1 2020 On a discrete-time risk model with time-dependent claims and impulsive dividend payments. Zbl 1454.91211Zhang, Lianzeng; Liu, He 1 2020 Incorporating structural changes in mortality improvements for mortality forecasting. Zbl 1454.91198Li, Jackie; Wong, Kenneth 1 2020 Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264Barigou, Karim; Dhaene, Jan 9 2019 Computing the Gerber-Shiu function by frame duality projection. Zbl 1411.91320Wang, Wenyuan; Zhang, Zhimin 7 2019 Interplay of insurance and financial risks in a stochastic environment. Zbl 1411.91316Tang, Qihe; Yang, Yang 5 2019 Claims frequency modeling using telematics car driving data. Zbl 1411.91280Gao, Guangyuan; Meng, Shengwang; Wüthrich, Mario V. 4 2019 The expected discounted penalty function: from infinite time to finite time. Zbl 1411.91303Li, Shuanming; Lu, Yi; Sendova, Kristina P. 4 2019 Budget-constrained optimal reinsurance design under coherent risk measures. Zbl 1426.91209Cheung, Ka Chun; Chong, Wing Fung; Lo, Ambrose 3 2019 Periodic threshold-type dividend strategy in the compound Poisson risk model. Zbl 1418.91232Cheung, Eric C. K.; Zhang, Zhimin 3 2019 A two-dimensional dividend problem for collaborating companies and an optimal stopping problem. Zbl 1418.91239Grandits, Peter 3 2019 A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates. Zbl 1411.91317Tsai, Cary Chi-Liang; Zhang, Ying 2 2019 Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 2 2019 A constraint-free approach to optimal reinsurance. Zbl 1418.91238Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 2 2019 Life insurance decisions under recursive utility. Zbl 1411.91288Jensen, Ninna Reitzel 1 2019 Modeling cause-of-death mortality using hierarchical Archimedean copula. Zbl 1411.91299Li, Hong; Lu, Yang 1 2019 A logistic two-population mortality projection model for modelling mortality at advanced ages for both sexes. Zbl 1411.91300Li, Jackie; Liu, Jia 1 2019 Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Zbl 1422.91354Hieber, Peter; Natolski, Jan; Werner, Ralf 1 2019 Survival analysis of pension scheme mortality when data are missing. Zbl 1422.91379Ungolo, Francesco; Christiansen, Marcus C.; Kleinow, Torsten; MacDonald, Angus S. 1 2019 Gibbs posterior inference on value-at-risk. Zbl 1422.91376Syring, Nicholas; Hong, Liang; Martin, Ryan 1 2019 Extending composite loss models using a general framework of advanced computational tools. Zbl 1422.91351Grün, Bettina; Miljkovic, Tatjana 1 2019 The maximum entropy mortality model: forecasting mortality using statistical moments. Zbl 1422.91370Pascariu, Marius D.; Lenart, Adam; Canudas-Romo, Vladimir 1 2019 Optimal proportional reinsurance with a loss-dependent premium principle. Zbl 1426.91223Hu, Duni; Wang, Hailong 1 2019 Reinsurance contract design with adverse selection. Zbl 1426.91211Cheung, K. C.; Yam, S. C. P.; Yuen, F. L. 1 2019 A Pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time. Zbl 1426.91292Avram, Florin; Goreac, Dan 1 2019 On additivity of tail comonotonic risks. Zbl 1426.91210Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung Chi Phillip; Yuen, Fei Lung 1 2019 Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure. Zbl 1426.91216Fergusson, K. 1 2019 Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Zbl 1416.91203Li, Danping; Zeng, Yan; Yang, Hailiang 21 2018 Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Zbl 1416.91153Balakrishnan, Narayanaswamy; Zhang, Yiying; Zhao, Peng 9 2018 A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229Zhang, Zhimin; Su, Wen 9 2018 Machine learning in individual claims reserving. Zbl 1416.91225Wüthrich, Mario V. 8 2018 Robust reinsurance contracts in continuous time. Zbl 1416.91189Hu, Duni; Chen, Shou; Wang, Hailong 6 2018 Randomly weighted sums of dependent subexponential random variables with applications to risk theory. Zbl 1396.62021Cheng, Fengyang; Cheng, Dongya 6 2018 Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. Zbl 1418.91259Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang 5 2018 Linking dividends and capital injections – a probabilistic approach. Zbl 1416.91146Albrecher, Hansjörg; Ivanovs, Jevgenijs 4 2018 Ruin probabilities in classical risk models with gamma claims. Zbl 1416.91166Constantinescu, Corina; Samorodnitsky, Gennady; Zhu, Wei 4 2018 Multivariate geometric expectiles. Zbl 1398.62302Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina 4 2018 Optimal retirement time under habit persistence: what makes individuals retire early? Zbl 1396.91681Chen, An; Hentschel, Felix; Xu, Xian 4 2018 A data driven binning strategy for the construction of insurance tariff classes. Zbl 1418.91241Henckaerts, Roel; Antonio, Katrien; Clijsters, Maxime; Verbelen, Roel 4 2018 An application of two-stage quantile regression to insurance ratemaking. Zbl 1418.91242Heras, Antonio; Moreno, Ignacio; Vilar-Zanón, José L. 4 2018 Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure. Zbl 1418.91240Han, Xia; Liang, Zhibin; Yuen, Kam Chuen 4 2018 A note on optimal expected utility of dividend payments with proportional reinsurance. Zbl 1416.91201Liang, Xiaoqing; Palmowski, Zbigniew 3 2018 Conditional risk measures in a bipartite market structure. Zbl 1416.91194Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine 3 2018 Mathematical foundation of the replicating portfolio approach. Zbl 1416.91211Natolski, Jan; Werner, Ralf 3 2018 A dynamic bivariate common shock model with cumulative effect and its actuarial application. Zbl 1418.91247Lee, Hyunju; Cha, Ji Hwan 3 2018 Lifetime asset allocation with idiosyncratic and systematic mortality risks. Zbl 1416.91221Shen, Yang; Sherris, Michael 2 2018 Automatic balancing mechanisms for notional defined contribution accounts in the presence of uncertainty. Zbl 1416.91147Alonso-García, Jennifer; Boado-Penas, María del Carmen; Devolder, Pierre 2 2018 Third cumulant for multivariate aggregate claim models. Zbl 1398.62315Loperfido, Nicola; Mazur, Stepan; Podgórski, Krzysztof 2 2018 A note on Mossin’s theorem for deductible insurance given random initial wealth. Zbl 1416.91187Hong, Liang 2 2018 Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations. Zbl 1416.91190Hu, Xiang; Zhang, Lianzeng; Sun, Weiwei 2 2018 Ruin under stochastic dependence between premium and claim arrivals. Zbl 1416.91223Vidmar, Matija 2 2018 Dirichlet process mixture models for insurance loss data. Zbl 1416.91188Hong, Liang; Martin, Ryan 2 2018 Valuation of an early exercise defined benefit underpin hybrid pension. Zbl 1418.91261Zhu, Xiaobai; Hardy, Mary; Saunders, David 2 2018 Odd Pareto families of distributions for modeling loss payment data. Zbl 1416.91208Mdziniso, Nonhle Channon; Cooray, Kahadawala 1 2018 Sharp bounds on change in expected values and variances for single risk analysis in the flood catastrophe model. Zbl 1416.91210Miziuła, Patryk; Solnický, Radek 1 2018 Confidence intervals of the premiums of optimal bonus malus systems. Zbl 1416.91193Karlis, Dimitris; Tzougas, George; Frangos, Nicholas 1 2018 Separation of small and large claims on the basis of collective models. Zbl 1416.91182Gütschow, Tobias; Hess, Klaus Th.; Schmidt, Klaus D. 1 2018 A Bayesian non-parametric model for small population mortality. Zbl 1416.91204Li, Hong; Lu, Yang 1 2018 Interest rate model comparisons for participating products under Solvency II. Zbl 1396.91289Aas, Kjersti; Neef, Linda R.; Williams, Lloyd; Raabe, Dag 1 2018 A proposition of generalized stochastic Milevsky-Promislov mortality models. Zbl 1418.91258\`Sliwka, Piotr; Socha, Lesław 1 2018 Optimal investment and risk control for an insurer with partial information in an anticipating environment. Zbl 1418.91255Peng, Xingchun; Chen, Fenge; Wang, Wenyuan 1 2018 Characterizations of optimal reinsurance treaties: a cost-benefit approach. Zbl 1401.91112Cheung, Ka Chun; Lo, Ambrose 21 2017 Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang 13 2017 Ordering properties of the smallest and largest claim amounts in a general scale model. Zbl 1401.91096Barmalzan, Ghobad; Najafabadi, Amir T. Payandeh; Balakrishnan, Narayanaswamy 12 2017 Reduction of value-at-risk bounds via independence and variance information. Zbl 1401.91185Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; Vanduffel, Steven 11 2017 Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G. 11 2017 Estimating the Gerber-Shiu function by Fourier-Sinc series expansion. Zbl 1402.91219Zhang, Zhimin 10 2017 A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints. Zbl 1402.91208Lo, Ambrose 9 2017 Basis risk in static versus dynamic longevity-risk hedging. Zbl 1401.91129De Rosa, Clemente; Luciano, Elisa; Regis, Luca 8 2017 Product pricing and solvency capital requirements for long-term care insurance. Zbl 1401.91192Shao, Adam W.; Sherris, Michael; Fong, Joelle H. 7 2017 A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model. Zbl 1401.91121Costabile, M. 7 2017 Incorporating the Bühlmann credibility into mortality models to improve forecasting performances. Zbl 1401.91198Tsai, Cary Chi-Liang; Lin, Tzuling 7 2017 Nonparametric estimation of the finite time ruin probability in the classical risk model. Zbl 1401.91215Zhang, Zhimin 7 2017 On capital injections and dividends with tax in a diffusion approximation. Zbl 1402.91991Schmidli, Hanspeter 6 2017 Forecasting disability: application of a frailty model. Zbl 1401.91137Fong, Joelle H.; Sherris, Michael; Yap, James 4 2017 Valuing variable annuity guarantees on multiple assets. Zbl 1401.91127Da Fonseca, José; Ziveyi, Jonathan 4 2017 CDF formulation for solving an optimal reinsurance problem. Zbl 1401.91200Weng, Chengguo; Zhuang, Sheng Chao 4 2017 A class of nonzero-sum investment and reinsurance games subject to systematic risks. Zbl 1402.91215Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; Zhao, Hui 4 2017 Ruin probabilities in multivariate risk models with periodic common shock. Zbl 1401.91119Cojocaru, Ionica 3 2017 Drawdown analysis for the renewal insurance risk process. Zbl 1401.91159Landriault, David; Li, Bin; Li, Shu 3 2017 Optimal insurance in the presence of reinsurance. Zbl 1402.91221Zhuang, Sheng Chao; Boonen, Tim J.; Tan, Ken Seng; Xu, Zuo Quan 3 2017 On the relationship between classical chain ladder and granular reserving. Zbl 1402.91199Hiabu, M. 3 2017 A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics. Zbl 1403.62189Hendriks, Harrie; Landsman, Zinoviy 3 2017 Discrete time ruin probability with Parisian delay. Zbl 1402.91188Czarna, Irmina; Palmowski, Zbigniew; Świątek, Przemysław 3 2017 Integral and differential equations for the moments of multistate models in health insurance. Zbl 1401.91086Adékambi, Franck; Christiansen, Marcus C. 2 2017 ...and 329 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,363 Authors 43 Zhang, Zhimin 34 Landriault, David 32 Yang, Hailiang 31 Willmot, Gordon E. 30 Yuen, Kam Chuen 28 Cheung, Eric C. K. 27 Denuit, Michel M. 25 Albrecher, Hansjörg 24 Li, Shuanming 22 Badescu, Andrei L. 22 Haberman, Steven 21 Cheung, Ka Chun 21 Liang, Zhibin 21 Loisel, Stéphane 20 Guo, Junyi 20 Hashorva, Enkelejd 19 Marceau, Étienne 19 Tang, Qihe 19 Yang, Hu 19 Young, Virginia R. 18 Cai, Jun 18 Cossette, Hélène 18 Nielsen, Jens Perch 18 Woo, Jae-Kyung 17 Li, Johnny Siu-Hang 17 Sherris, Michael 16 Asimit, Alexandru V. 16 Christiansen, Marcus Christian 16 Lefèvre, Claude 14 Antonio, Katrien 14 Dickson, David C. M. 14 Frostig, Esther 14 Weng, Chengguo 14 Yam, Sheung Chi Phillip 14 Yin, Chuancun 14 Zitikis, Ričardas 13 Gao, Qingwu 13 Li, Jinzhu 13 Macdonald, Angus S. 13 Ren, Jiandong 13 Steffensen, Mogens 13 Tan, Ken Seng 13 Vernic, Raluca 12 Gómez-Déniz, Emilio 12 Guillen, Montserrat 12 Jin, Zhuo 12 Kaishev, Vladimir K. 12 Landsman, Zinoviy M. 12 Palmowski, Zbigniew 12 Schmidli, Hanspeter 12 Šiaulys, Jonas 12 Wüthrich, Mario Valentin 11 Blake, David 11 Chen, An 11 Furman, Edward 11 Ji, Lanpeng 11 Kortschak, Dominik 11 Li, Danping 11 Li, Jackie Ji 11 Lin, X. Sheldon 11 Shen, Yang 11 Zeng, Yan 11 Zhou, Ming 10 Avram, Florin 10 Bäuerle, Nicole 10 Chen, Yiqing 10 Dhaene, Jan 10 Fu, Ke’ang 10 Léveillé, Ghislain 10 Lu, Yi 10 Nadarajah, Saralees 10 Sendova, Kristina P. 10 Siu, Tak Kuen 10 Trufin, Julien 10 Wang, Ruodu 9 Asmussen, Søren 9 Boonen, Tim J. 9 Breuer, Lothar 9 Constantinescu, Corina D. 9 Czado, Claudia 9 Drekic, Steve 9 Klüppelberg, Claudia 9 Li, Bin 9 Meng, Hui 9 Stanford, David A. 9 Wang, Yuebao 9 Waters, Howard R. 9 Wu, Rong 9 Zhang, Yi 9 Zhang, Yiying 8 Bai, Lihua 8 Cairns, Andrew J. G. 8 Chen, Mi 8 Chen, Ping 8 Dębicki, Krzysztof 8 Gatzert, Nadine 8 Kleinow, Torsten 8 Salhi, Yahia 8 Valdez, Emiliano A. 8 Wang, Kaiyong ...and 2,263 more Authors all top 5 Cited in 200 Journals 610 Insurance Mathematics & Economics 292 Scandinavian Actuarial Journal 94 North American Actuarial Journal 93 ASTIN Bulletin 77 Journal of Computational and Applied Mathematics 58 European Actuarial Journal 57 Statistics & Probability Letters 54 Methodology and Computing in Applied Probability 36 Journal of Applied Probability 36 Stochastic Models 31 Communications in Statistics. Theory and Methods 25 European Journal of Operational Research 23 Advances in Applied Probability 23 Journal of Industrial and Management Optimization 20 Acta Mathematicae Applicatae Sinica. 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Simulation and Computation 5 Journal of Mathematical Sciences (New York) 5 Lifetime Data Analysis 5 Journal of Inequalities and Applications 5 The ANZIAM Journal 5 Journal of Statistical Theory and Practice 5 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) 4 Journal of Optimization Theory and Applications 4 Statistics 4 Optimization 4 Statistical Papers 4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 4 Journal of Applied Mathematics and Computing 4 Mathematics and Financial Economics 4 Electronic Journal of Statistics 4 Communications in Mathematics and Statistics 3 Metrika 3 Scandinavian Journal of Statistics 3 Mathematics of Operations Research 3 Optimal Control Applications & Methods 3 Operations Research Letters 3 Chinese Annals of Mathematics. 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