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: 574 Publications (since 2000) References Indexed: 557 Publications with 14,528 References. all top 5 Latest Issues 2022, No. 3 (2022) 2021, No. 10 (2021) 2021, No. 9 (2021) 2021, No. 8 (2021) 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) ...and 34 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 8 Cheung, Eric C. K. 8 Zhang, Zhimin 7 Badescu, Andrei L. 7 Dickson, David C. M. 7 Landsman, Zinoviy M. 7 Sherris, Michael 7 Stanford, David A. 7 Waters, Howard R. 7 Yang, Hailiang 6 Albrecher, Hansjörg 6 Dhaene, Jan 6 Drekic, Steve 6 Frostig, Esther 6 Hashorva, Enkelejd 6 Kleinow, Torsten 6 Nielsen, Jens Perch 6 Yuen, Kam Chuen 5 Cai, Jun 5 Christiansen, Marcus Christian 5 Grandits, Peter 5 Hong, Liang 5 Léveillé, Ghislain 5 Lu, Yi 5 Siu, Tak Kuen 5 Steffensen, Mogens 5 Tang, Qihe 5 Tsai, Cary Chi-Liang 4 Alai, Daniel H. 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 Trufin, Julien 4 Woo, Jae-Kyung 4 Yam, Sheung Chi Phillip 4 Young, Virginia R. 4 Zhang, Lianzeng 3 Aas, Kjersti 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 Constantinescu, Corina D. 3 Cooray, Kahadawala 3 Cossette, Hélène 3 Czado, Claudia 3 Djehiche, Boualem 3 Feng, Runhuan 3 Goovaerts, Marc J. 3 Guillen, Montserrat 3 Haberman, Steven 3 Hardy, Mary Rosalyn 3 Liang, Zhibin 3 Lindholm, Mathias 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 Pennanen, Teemu 3 Politis, Konstadinos 3 Ren, Jiandong 3 Sendova, Kristina P. 3 Shen, Yang 3 Valdez, Emiliano A. 3 Vernic, Raluca 3 Walhin, Jean-François 3 Wang, Wenyuan 3 Wekwete, Chessman T. 3 Weng, Chengguo 3 Yang, Yang 3 Yener, Haluk 3 Zadeh, Amin Hassan 3 Zhang, Yiying ...and 724 more Authors all top 5 Fields 556 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 294 Statistics (62-XX) 190 Probability theory and stochastic processes (60-XX) 27 Systems theory; control (93-XX) 15 Operations research, mathematical programming (90-XX) 11 Biology and other natural sciences (92-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 7 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 472 Publications have been cited 4,052 times in 2,523 Documents Cited by ▼ Year ▼ Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039Schmidli, Hanspeter 112 2001 On a risk model with dependence between interclaim arrivals and claim sizes. Zbl 1145.91030Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne 88 2006 Extremes on the discounted aggregate claims in a time dependent risk model. Zbl 1224.91041Asimit, Alexandru V.; Badescu, Andrei L. 66 2010 Modeling and management of mortality risk: a review. Zbl 1224.91048Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 62 2008 Bootstrapping the Poisson log-bilinear model for mortality forecasting. Zbl 1092.91038Brouhns, Natacha; Denuit, Michel; van Keilegom, Ingrid 54 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 49 2005 Risk processes analyzed as fluid queues. Zbl 1092.91037Badescu, Andrei; Breuer, Lothar; Da Silva Soares, Ana; Latouches, Guy; Remiche, Marie-Ange; Stanford, David 45 2005 Randomized observation periods for the compound Poisson risk model: the discounted penalty function. Zbl 1401.91089Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan 42 2013 Modelling actuarial data with a composite lognormal-Pareto model. Zbl 1143.91027Cooray, Kahadawala; Ananda, Malwane M. A. 42 2005 Optimal dynamic reinsurance with dependent risks: variance premium principle. Zbl 1401.91167Liang, Zhibin; Yuen, Kam Chuen 41 2016 Guaranteed investment contracts: distributed and undistributed excess return. Zbl 1092.91053Miltersen, Kristian R.; Persson, Svein-Arne 38 2003 Micro-level stochastic loss reserving for general insurance. Zbl 1401.91091Antonio, Katrien; Plat, Richard 38 2014 On systematic mortality risk and risk-minimization with survivor swaps. Zbl 1224.91054Dahl, Mikkel; Melchior, Martin; Møller, Thomas 37 2008 A mixed copula model for insurance claims and claim sizes. Zbl 1277.62249Czado, Claudia; Kastenmeier, Rainer; Brechmann, Eike Christian; Min, Aleksey 36 2012 Optimal reinsurance under general law-invariant risk measures. Zbl 1401.91110Cheung, K. C.; Sung, K. C. J.; Yam, S. C. P.; Yung, S. P. 36 2014 Stochastic mortality under measure changes. Zbl 1226.91022Biffis, Enrico; Denuit, Michel; Devolder, Pierre 35 2010 Pricing dynamic insurance risks using the principle of equivalent utility. Zbl 1039.91049Young, Virginia R.; Zariphopoulou, Thaleia 35 2002 The distribution of the dividend payments in the compound Poisson risk model perturbed by diffusion. Zbl 1143.91032Li, Shuanming 35 2006 Ruin probabilities in the compound Markov binomial model. Zbl 1092.91040Cossette, Hélène; Landriault, David; Marceau, Étienne 34 2003 On composite lognormal-Pareto models. Zbl 1146.91028Scollnic, David P. M. 34 2007 Perspectives of risk sharing. Zbl 1015.62104Aase, Knut K. 33 2002 Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116Hipp, Christian; Schmidli, Hanspeter 32 2004 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 32 2012 Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Zbl 1144.91030Tang, Qihe 32 2005 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022Albrecher, Hansjörg; Asmussen, Søren 31 2006 Estimation of the characteristics of the jumps of a general Poisson-diffusion model. Zbl 1114.62081Mancini, Cecilia 31 2004 The Gerber-Shiu function in Sparre Andersen risk process perturbed by diffusion. Zbl 1092.91049Li, Shuanming; Garrido, José 30 2005 Multivariate Pareto portfolios: TCE-based capital allocation and dividend differences. Zbl 1164.91028Chiragiev, Arthur; Landsman, Zinoviy 30 2007 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. 30 2004 The fair value of guaranteed annuity options. Zbl 1142.91036Biffis, Enrico; Millossovich, Pietro 29 2006 An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums. Zbl 1277.60042Korolev, Victor; Shevtsova, Irina 29 2012 Characterizations of optimal reinsurance treaties: a cost-benefit approach. Zbl 1401.91112Cheung, Ka Chun; Lo, Ambrose 29 2017 On a class of discrete time renewal risk models. Zbl 1142.91043Li, Shuanming 28 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 28 2015 Spatial modelling of claim frequency and claim size in non-life insurance. Zbl 1150.91026Gschlöß{l}, Susanne; Czado, Claudia 28 2007 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 27 2018 Bivariate survival models for coupled lives. Zbl 0959.62094Carriere, Jacques F. 26 2000 Two-sided bounds for the finite time probability of ruin. Zbl 0958.91030Ignatov, Z. G.; Kaishev, V. K. 26 2000 Recursive moments of compound renewal sums with discounted claims. Zbl 0979.91048Léveillé, Ghislain; Garrido, José 26 2001 Criteria for the stochastic ordering of random sums, with actuarial applications. Zbl 1003.60022Denuit, Michel; Genest, Christian; Marceau, Étienne 25 2002 Mean-variance optimal reinsurance arrangements. Zbl 1117.62115Kaluszka, Marek 25 2004 On finite-time ruin probabilities for classical risk models. Zbl 1164.91033Lefèvre, Claude; Stéphane, Loisel 24 2008 Optimal dynamic premium control in non-life insurance. Maximizing dividend pay-outs. Zbl 1039.91042Højgaard, Bjarne 24 2002 Minimum rate of return guarantees: the Danish case. Zbl 1039.91040Hansen, Mette; Miltersen, Kristian R. 24 2002 Composite lognormal-Pareto model with random threshold. Zbl 1277.62258Pigeon, Mathieu; Denuit, Michel 24 2011 The ruin probability of a discrete time risk model under constant interest rate with heavy tails. Zbl 1142.62094Tang, Qihe 24 2004 On Fitting generalized linear and non-linear models of mortality. Zbl 1401.91123Currie, Iain D. 24 2016 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. 23 2005 Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024Cossette, Héléne; Marceau, Etienne; Marri, Fouad 23 2010 Extending the Lee-Carter model: a three-way decomposition. Zbl 1277.62260Russolillo, Maria; Giordano, Giuseppe; Haberman, Steven 23 2011 On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217Zhang, Zhimin; Yang, Hailiang; Yang, Hu 22 2014 Optimal reinsurance arrangements in the presence of two reinsurers. Zbl 1401.91113Chi, Yichun; Meng, Hui 22 2014 Heterogeneity and the need for capital in the individual model. Zbl 1142.91039Denuit, Michel; Frostig, Esther 21 2006 Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model. Zbl 1277.62096Shimizu, Yasutaka 21 2012 On the analysis of a multi-threshold Markovian risk model. Zbl 1164.91025Badescu, Andrei; Drekic, Steve; Landriault, Daviv 19 2007 New composite models for the Danish fire insurance data. Zbl 1401.91177Nadarajah, S.; Bakar, S. A. A. 19 2014 On bonus and bonus prognoses in life insurance. Zbl 0979.91045Norberg, Ragnar 19 2001 Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav 18 2007 Folded and log-folded-\(t\) distributions as models for insurance loss data. Zbl 1277.62248Brazauskas, Vytaras; Kleefeld, Andreas 18 2011 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 18 2005 The impact of multiple structural changes on mortality predictions. Zbl 1401.91221van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel 18 2016 Ruin probabilities and investment under interest force in the presence of regularly varying tails. Zbl 1091.62102Gaier, J.; Grandits, P. 17 2004 Gerber-Shiu analysis with a generalized penalty function. Zbl 1226.60123Cheung, Eric C. K.; Landriault, David; Willmot, Gordon E.; Woo, Jae-Kyung 17 2010 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 17 2005 Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145Eisenberg, Julia; Schmidli, Hanspeter 17 2011 On the distortion of a copula and its margins. Zbl 1277.62140Valdez, Emiliano A.; Xiao, Yugu 17 2011 Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model. Zbl 1401.91168Lin, Xiang; Qian, Yiping 17 2016 Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang 17 2017 Parisian ruin probability with a lower ultimate bankrupt barrier. Zbl 1401.91124Czarna, Irmina 17 2016 On accounting standards and fair valuation of life insurance and pension liabilities. Zbl 1087.62117Jørgensen, Peter Løchte 16 2004 Semiparametric estimation for non-ruin probabilities. Zbl 1092.91054Politis, Konstadinos 16 2003 Analysis of a threshold dividend strategy for a MAP risk model. Zbl 1164.91024Badescu, Andrei; Drekic, Steve; Landriault, Daviv 16 2007 Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Zbl 1224.91093Weng, Chengguo; Zhang, Yi; Tan, Ken Seng 16 2009 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 Equilibrium compound distributions and stop-loss moments. Zbl 1144.91031Willmot, Gordon E.; Drekic, Steve; Cai, Jun 16 2005 On semiparametric estimation of ruin probabilities in the classical risk model. Zbl 1401.62212Masiello, Esterina 16 2014 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 Ruin estimation in multivariate models with Clayton dependence structure. Zbl 1145.91031Bregman, Yuliya; Klüppelberg, Claudia 15 2005 Optimal reinsurance with expectile. Zbl 1401.91106Cai, Jun; Weng, Chengguo 15 2016 Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks. Zbl 1401.91205Yang, Yang; Konstantinides, Dimitrios G. 15 2015 Cash flows and policyholder behaviour in the semi-Markov life insurance setup. Zbl 1401.91105Buchardt, Kristian; Møller, Thomas; Schmidt, Kristian Bjerre 15 2015 Asymptotic theory for a risk process with high dividend barrier. Zbl 1092.91043Irbäck, Johan 14 2003 Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady 14 2011 A unifying approach to the analysis of business with random gains. Zbl 1277.60148Cheung, Eric C. K. 14 2012 Lundberg parameters for non standard risk processes. Zbl 1143.91034Macci, Claudio; Stabile, Gabriele; Torrisi, Giovanni Luca 14 2005 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 Modeling claims data with composite Stoppa models. Zbl 1401.62205Calderín-Ojeda, Enrique; Kwok, Chun Fung 14 2016 Ordering properties of the smallest and largest claim amounts in a general scale model. Zbl 1401.91096Barmalzan, Ghobad; Najafabadi, Amir T. Payandeh; Balakrishnan, Narayanaswamy 14 2017 Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G. 14 2017 The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Zbl 1401.91095Bacinello, Anna Rita; Millossovich, Pietro; Montealegre, Alvaro 14 2016 Machine learning in individual claims reserving. Zbl 1416.91225Wüthrich, Mario V. 14 2018 Moment generating functions of compound renewal sums with discounted claims. Zbl 1226.91027Léveillé, Ghislain; Garrido, José; Wang, Ya Fang 13 2010 Bayesian premium rating with latent structure. Zbl 1039.91039Dimakos, Xeni K.; Di Rattalma, Arnoldo Frigessi 13 2002 Combining generalized linear models and credibility models in practice. Zbl 1224.91080Ohlsson, Esbjörn 13 2008 The Nash bargaining solution vs. equilibrium in a reinsurance syndicate. Zbl 1224.91035Aase, Knut K. 13 2009 General convex order on risk aggregation. Zbl 1401.91148Jakobsons, Edgars; Han, Xiaoying; Wang, Ruodu 13 2016 Reduction of value-at-risk bounds via independence and variance information. Zbl 1401.91185Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; Vanduffel, Steven 13 2017 A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229Zhang, Zhimin; Su, Wen 13 2018 Statistical estimate of the proportional hazard premium of loss. Zbl 1150.91027Necir, Abdelhakim; Meraghni, Djamel; Meddi, Fatima 13 2007 Time-series forecasting of mortality rates using deep learning. Zbl 1471.91480Perla, Francesca; Richman, Ronald; Scognamiglio, Salvatore; Wüthrich, Mario V. 2 2021 Bowley reinsurance with asymmetric information on the insurer’s risk preferences. Zbl 1471.91448Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying 2 2021 On copula-based collective risk models: from elliptical copulas to vine copulas. Zbl 1467.91148Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo 2 2021 Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion. Zbl 1479.91315Cheung, Eric C. K.; Zhang, Zhimin 1 2021 Finite-time ruin probability for correlated Brownian motions. Zbl 07483112Dȩbicki, Krzysztof; Hashorva, Enkelejd; Krystecki, Konrad 1 2021 Time-consistent and market-consistent actuarial valuation of the participating pension contract. Zbl 1475.91315Salahnejhad Ghalehjooghi, Ahmad; Pelsser, Antoon 1 2021 Optimal dividend strategy for an insurance group with contagious default risk. Zbl 1470.91229Jin, Zhuo; Liao, Huafu; Yang, Yue; Yu, Xiang 1 2021 Matrix calculation for ultimate and 1-year risk in the semi-Markov individual loss reserving model. Zbl 1472.91038Bettonville, Carole; d’Oultremont, Louise; Denuit, Michel; Trufin, Julien; Van Oirbeek, Robin 1 2021 Retrospective reserves and bonus. Zbl 1471.91449Bruhn, Kenneth; Lollike, Alexander Sevel 1 2021 Optimal contribution rate of PAYGO pension. Zbl 1471.91461He, Lin; Liang, Zongxia; Song, Yilun; Ye, Qi 1 2021 Two-step risk analysis in insurance ratemaking. Zbl 1471.91464Ki Kang, Seul; Peng, Liang; Golub, Andrew 1 2021 Structure of intergenerational risk-sharing plans: optimality and fairness. Zbl 1471.91493Zhu, Xiaobai; Hardy, Mary; Saunders, David 1 2021 Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays. Zbl 1468.91126Lopez, Olivier; Milhaud, Xavier 1 2021 Robust optimal investment and reinsurance problems with learning. Zbl 1468.91121Bäuerle, Nicole; Leimcke, Gregor 1 2021 Life expectancy and lifespan disparity forecasting: a long short-term memory approach. Zbl 1468.91128Nigri, Andrea; Levantesi, Susanna; Marino, Mario 1 2021 An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking. Zbl 1467.91129Baione, Fabio; Biancalana, Davide 1 2021 Optimal reinsurance and dividends with transaction costs and taxes under thinning structure. Zbl 1468.91122Chen, Mi; Yuen, Kam Chuen; Wang, Wenyuan 1 2021 Neural network embedding of the over-dispersed Poisson reserving model. Zbl 1430.91076Gabrielli, Andrea; Richman, Ronald; Wüthrich, Mario V. 6 2020 Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option. Zbl 1436.91104Sun, Zhongyang; Zhang, Xin; Yuen, Kam Chuen 5 2020 A ruin model with a resampled environment. Zbl 1447.91131Constantinescu, C.; Delsing, G.; Mandjes, M.; Rojas Nandayapa, L. 4 2020 Robust reinsurance contracts with risk constraint. Zbl 1447.91151Wang, Ning; Siu, Tak Kuen 4 2020 Cohort and value-based multi-country longevity risk management. Zbl 1448.91267Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan 4 2020 Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle. Zbl 1454.91191Han, Xia; Liang, Zhibin; Young, Virginia R. 4 2020 Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach. Zbl 1454.91174Chen, Ze; Chen, Bingzheng; Dhaene, Jan 4 2020 Bonus-malus premiums under the dependent frequency-severity modeling. Zbl 1436.91103Oh, Rosy; Shi, Peng; Ahn, Jae Youn 3 2020 Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model. Zbl 1447.91139Gu, Ailing; Viens, Frederi G.; Shen, Yang 3 2020 Combined tail estimation using censored data and expert information. Zbl 1448.91255Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan 3 2020 A Hermite-spline model of post-retirement mortality. Zbl 1433.91144Richards, Stephen J. 2 2020 Budget-constrained optimal retention with an upper limit on the retained loss. Zbl 1436.91102Ghossoub, Mario 2 2020 Continuous chain-ladder with paid data. Zbl 1448.91254Bischofberger, Stephan M.; Hiabu, Munir; Isakson, Alex 2 2020 Weighted utility optimization of the participating endowment contract. Zbl 1448.91260He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming 2 2020 Optimal asset allocation for participating contracts under the VaR and PI constraint. Zbl 1433.91129Dong, Yinghui; Wu, Sang; Lv, Wenxin; Wang, Guojing 1 2020 Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates. Zbl 1433.91139Liu, Yuying; Liu, Zhaoyang; Liu, Guoxin 1 2020 Cash flow techniques for asset liability management. Zbl 1436.91099Aguirre Nolsøe, Kim; Degrijse, Dieter; Ahm, Sofie; Brix, Kristoffer; Storgaard, Mads; Strodl, Jesper 1 2020 A multivariate Markov chain stock model. Zbl 1447.91133D’Amico, Guglielmo; De Blasis, Riccardo 1 2020 On series expansions for scale functions and other ruin-related quantities. Zbl 1447.91142Landriault, David; Willmot, Gordon E. 1 2020 Nonlinearly transformed risk measures: properties and application to optimal reinsurance. Zbl 1447.91128Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert 1 2020 Proportional reinsurance and investment in multiple risky assets under borrowing constraint. Zbl 1447.91153Yener, Haluk 1 2020 Generalized log-normal chain-ladder. Zbl 1448.91263Kuang, D.; Nielsen, B. 1 2020 The Lee-Carter quantile mortality model. Zbl 1448.91265Santolino, Miguel 1 2020 Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors. Zbl 1448.91261Hong, Liang; Martin, Ryan 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 Multi-population mortality forecasting using tensor decomposition. Zbl 1454.91179Dong, Yumo; Huang, Fei; Yu, Honglin; Haberman, Steven 1 2020 Incorporating structural changes in mortality improvements for mortality forecasting. Zbl 1454.91198Li, Jackie; Wong, Kenneth 1 2020 On the cumulative parisian ruin of multi-dimensional Brownian motion risk models. Zbl 1454.91196Ji, Lanpeng 1 2020 Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach. Zbl 1454.91172Chang, Le; Shi, Yanlin 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 9 2019 Claims frequency modeling using telematics car driving data. Zbl 1411.91280Gao, Guangyuan; Meng, Shengwang; Wüthrich, Mario V. 7 2019 Extending composite loss models using a general framework of advanced computational tools. Zbl 1422.91351Grün, Bettina; Miljkovic, Tatjana 7 2019 Interplay of insurance and financial risks in a stochastic environment. Zbl 1411.91316Tang, Qihe; Yang, Yang 6 2019 The expected discounted penalty function: from infinite time to finite time. Zbl 1411.91303Li, Shuanming; Lu, Yi; Sendova, Kristina P. 4 2019 A constraint-free approach to optimal reinsurance. Zbl 1418.91238Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 4 2019 A two-dimensional dividend problem for collaborating companies and an optimal stopping problem. Zbl 1418.91239Grandits, Peter 4 2019 Budget-constrained optimal reinsurance design under coherent risk measures. Zbl 1426.91209Cheung, Ka Chun; Chong, Wing Fung; Lo, Ambrose 4 2019 A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates. Zbl 1411.91317Tsai, Cary Chi-Liang; Zhang, Ying 3 2019 Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Zbl 1422.91354Hieber, Peter; Natolski, Jan; Werner, Ralf 3 2019 Periodic threshold-type dividend strategy in the compound Poisson risk model. Zbl 1418.91232Cheung, Eric C. K.; Zhang, Zhimin 3 2019 Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 3 2019 Gibbs posterior inference on value-at-risk. Zbl 1422.91376Syring, Nicholas; Hong, Liang; Martin, Ryan 2 2019 A unified approach to ruin probabilities with delays for spectrally negative Lévy processes. Zbl 1422.91361Lkabous, Mohamed Amine; Renaud, Jean-François 2 2019 Reinsurance contract design with adverse selection. Zbl 1426.91211Cheung, K. C.; Yam, S. C. P.; Yuen, F. L. 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 Insurance loss coverage and social welfare. Zbl 1411.91284Hao, MingJie; Macdonald, Angus S.; Tapadar, Pradip; Thomas, R. Guy 1 2019 Comparisons of aggregate claim numbers and amounts: a study of heterogeneity. Zbl 1411.91327Zhang, Yiying; Zhao, Peng; Cheung, Ka Chun 1 2019 Approximation methods for piecewise deterministic Markov processes and their costs. Zbl 1411.91294Kritzer, Peter; Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan 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 Parisian types of ruin probabilities for a class of dependent risk-reserve processes. Zbl 1418.91230Bladt, Mogens; Nielsen, Bo Friis; Peralta, Oscar 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 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 27 2018 Machine learning in individual claims reserving. Zbl 1416.91225Wüthrich, Mario V. 14 2018 A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229Zhang, Zhimin; Su, Wen 13 2018 A data driven binning strategy for the construction of insurance tariff classes. Zbl 1418.91241Henckaerts, Roel; Antonio, Katrien; Clijsters, Maxime; Verbelen, Roel 12 2018 Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Zbl 1416.91153Balakrishnan, Narayanaswamy; Zhang, Yiying; Zhao, Peng 10 2018 Randomly weighted sums of dependent subexponential random variables with applications to risk theory. Zbl 1396.62021Cheng, Fengyang; Cheng, Dongya 9 2018 Robust reinsurance contracts in continuous time. Zbl 1416.91189Hu, Duni; Chen, Shou; Wang, Hailong 8 2018 An application of two-stage quantile regression to insurance ratemaking. Zbl 1418.91242Heras, Antonio; Moreno, Ignacio; Vilar-Zanón, José L. 8 2018 Multivariate geometric expectiles. Zbl 1398.62302Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina 6 2018 Optimal retirement time under habit persistence: what makes individuals retire early? Zbl 1396.91681Chen, An; Hentschel, Felix; Xu, Xian 6 2018 Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure. Zbl 1418.91240Han, Xia; Liang, Zhibin; Yuen, Kam Chuen 6 2018 Ruin probabilities in classical risk models with gamma claims. Zbl 1416.91166Constantinescu, Corina; Samorodnitsky, Gennady; Zhu, Wei 5 2018 Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. Zbl 1418.91259Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang 5 2018 Lifetime asset allocation with idiosyncratic and systematic mortality risks. Zbl 1416.91221Shen, Yang; Sherris, Michael 4 2018 Conditional risk measures in a bipartite market structure. Zbl 1416.91194Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine 4 2018 Linking dividends and capital injections – a probabilistic approach. Zbl 1416.91146Albrecher, Hansjörg; Ivanovs, Jevgenijs 4 2018 Mathematical foundation of the replicating portfolio approach. Zbl 1416.91211Natolski, Jan; Werner, Ralf 4 2018 A note on optimal expected utility of dividend payments with proportional reinsurance. Zbl 1416.91201Liang, Xiaoqing; Palmowski, Zbigniew 3 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 3 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 3 2018 Dirichlet process mixture models for insurance loss data. Zbl 1416.91188Hong, Liang; Martin, Ryan 3 2018 A Bayesian non-parametric model for small population mortality. Zbl 1416.91204Li, Hong; Lu, Yang 3 2018 Valuation of an early exercise defined benefit underpin hybrid pension. Zbl 1418.91261Zhu, Xiaobai; Hardy, Mary; Saunders, David 3 2018 ...and 372 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,614 Authors 45 Zhang, Zhimin 37 Landriault, David 34 Cheung, Eric C. K. 34 Willmot, Gordon E. 34 Yuen, Kam Chuen 33 Yang, Hailiang 29 Denuit, Michel M. 29 Yang, Yang 28 Albrecher, Hansjörg 27 Li, Shuanming 25 Liang, Zhibin 24 Badescu, Andrei L. 23 Haberman, Steven 22 Cheung, Ka Chun 22 Loisel, Stéphane 22 Young, Virginia R. 21 Cai, Jun 21 Guo, Junyi 21 Hashorva, Enkelejd 21 Marceau, Étienne 21 Tang, Qihe 21 Woo, Jae-Kyung 20 Cossette, Hélène 20 Tan, Ken Seng 19 Li, Johnny Siu-Hang 19 Yang, Hu 18 Nielsen, Jens Perch 18 Sherris, Michael 17 Asimit, Alexandru V. 17 Christiansen, Marcus Christian 17 Weng, Chengguo 16 Antonio, Katrien 16 Dickson, David C. M. 16 Frostig, Esther 16 Lefèvre, Claude 16 Wüthrich, Mario Valentin 15 Macdonald, Angus S. 15 Yam, Sheung Chi Phillip 15 Zitikis, Ričardas 14 Gao, Qingwu 14 Landsman, Zinoviy M. 14 Li, Jinzhu 14 Ren, Jiandong 14 Steffensen, Mogens 14 Vernic, Raluca 14 Yin, Chuancun 13 Bäuerle, Nicole 13 Boonen, Tim J. 13 Furman, Edward 13 Gómez-Déniz, Emilio 13 Jin, Zhuo 13 Šiaulys, Jonas 13 Wang, Ruodu 12 Blake, David 12 Chen, An 12 Drekic, Steve 12 Fu, Ke’ang 12 Guillen, Montserrat 12 Ji, Lanpeng 12 Kaishev, Vladimir K. 12 Li, Danping 12 Li, Jackie Ji 12 Lu, Yi 12 Nadarajah, Saralees 12 Palmowski, Zbigniew 12 Schmidli, Hanspeter 12 Siu, Tak Kuen 12 Zeng, Yan 12 Zhang, Yiying 11 Dhaene, Jan 11 Kortschak, Dominik 11 Lin, X. Sheldon 11 Shen, Yang 11 Zhou, Ming 10 Avram, Florin 10 Chen, Mi 10 Chen, Yiqing 10 Constantinescu, Corina D. 10 Léveillé, Ghislain 10 Sendova, Kristina P. 10 Stanford, David A. 10 Trufin, Julien 10 Valdez, Emiliano A. 10 Wang, Wenyuan 9 Asmussen, Søren 9 Avanzi, Benjamin 9 Breuer, Lothar 9 Cairns, Andrew J. G. 9 Chen, Ping 9 Czado, Claudia 9 Dębicki, Krzysztof 9 Klüppelberg, Claudia 9 Li, Bin 9 Meng, Hui 9 Tsai, Cary Chi-Liang 9 Wang, Yuebao 9 Waters, Howard R. 9 Wu, Rong 9 Zhao, Hui 9 Zhou, Xiaowen ...and 2,514 more Authors all top 5 Cited in 218 Journals 656 Insurance Mathematics & Economics 305 Scandinavian Actuarial Journal 138 North American Actuarial Journal 119 ASTIN Bulletin 78 Journal of Computational and Applied Mathematics 70 European Actuarial Journal 63 Statistics & Probability Letters 57 Methodology and Computing in Applied Probability 41 Journal of Applied Probability 40 Communications in Statistics. 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Statistics and Operations Research Transactions 3 Computational Management Science 3 Statistical Methods and Applications 3 The Annals of Applied Statistics 3 SIAM Journal on Financial Mathematics 3 Statistics and Computing ...and 118 more Journals all top 5 Cited in 42 Fields 2,030 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,080 Statistics (62-XX) 1,024 Probability theory and stochastic processes (60-XX) 206 Systems theory; control (93-XX) 99 Operations research, mathematical programming (90-XX) 80 Numerical analysis (65-XX) 55 Calculus of variations and optimal control; optimization (49-XX) 27 Integral equations (45-XX) 24 Computer science (68-XX) 21 Biology and other natural sciences (92-XX) 19 Integral transforms, operational calculus (44-XX) 16 Partial differential equations (35-XX) 10 Special functions (33-XX) 8 Real functions (26-XX) 8 Approximations and expansions (41-XX) 8 Operator theory (47-XX) 7 General and overarching topics; collections (00-XX) 6 Ordinary differential equations (34-XX) 6 Geophysics (86-XX) 5 Functional analysis (46-XX) 4 Combinatorics (05-XX) 4 Global analysis, analysis on manifolds (58-XX) 3 Field theory and polynomials (12-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Information and communication theory, circuits (94-XX) 3 Mathematics education (97-XX) 2 History and biography (01-XX) 2 Potential theory (31-XX) 2 Difference and functional equations (39-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 1 Mathematical logic and foundations (03-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Algebraic geometry (14-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Measure and integration (28-XX) 1 Functions of a complex variable (30-XX) 1 Differential geometry (53-XX) 1 General topology (54-XX) 1 Mechanics of deformable solids (74-XX) 1 Fluid mechanics (76-XX) 1 Optics, electromagnetic theory (78-XX) 1 Quantum theory (81-XX) Citations by Year