ASTIN BulletinThe Journal of the International Actuarial Association Short Title: ASTIN Bull. Publisher: Cambridge University Press, Cambridge ISSN: 0515-0361; 1783-1350/e Online: https://www.cambridge.org/core/journals/astin-bulletin-journal-of-the-iaa/all-issueshttp://poj.peeters-leuven.be/content.php?url=journal&journal_code=ASThttp://www.casact.org/library/astin/ Documents Indexed: 612 Publications (since 1998) References Indexed: 543 Publications with 13,823 References. all top 5 Latest Issues 52, No. 2 (2022) 52, No. 1 (2022) 51, No. 3 (2021) 51, No. 2 (2021) 51, No. 1 (2021) 50, No. 3 (2020) 50, No. 2 (2020) 50, No. 1 (2020) 49, No. 3 (2019) 49, No. 2 (2019) 49, No. 1 (2019) 48, No. 3 (2018) 48, No. 2 (2018) 48, No. 1 (2018) 47, No. 3 (2017) 47, No. 2 (2017) 47, No. 1 (2017) 46, No. 3 (2016) 46, No. 2 (2016) 46, No. 1 (2016) 45, No. 3 (2015) 45, No. 2 (2015) 45, No. 1 (2015) 44, No. 3 (2014) 44, No. 2 (2014) 44, No. 1 (2014) 43, No. 3 (2013) 43, No. 2 (2013) 43, No. 1 (2013) 42, No. 2 (2012) 42, No. 1 (2012) 41, No. 2 (2011) 41, No. 1 (2011) 40, No. 2 (2010) 40, No. 1 (2010) 39, No. 2 (2009) 39, No. 1 (2009) 38, No. 2 (2008) 38, No. 1 (2008) 37, No. 2 (2007) 37, No. 1 (2007) 36, No. 2 (2006) 36, No. 1 (2006) 35, No. 2 (2005) 35, No. 1 (2005) 34, No. 2 (2004) 34, No. 1 (2004) 33, No. 2 (2003) 33, No. 1 (2003) 32, No. 2 (2002) 32, No. 1 (2002) 31, No. 2 (2001) 31, No. 1 (2001) 30, No. 2 (2000) 30, No. 1 (2000) 29, No. 2 (1999) 29, No. 1 (1999) 28, No. 2 (1998) 28, No. 1 (1998) all top 5 Authors 17 Denuit, Michel M. 17 Wüthrich, Mario Valentin 11 Hürlimann, Werner 11 Yang, Hailiang 10 Bühlmann, Hans 10 Tan, Ken Seng 9 Taylor, Greg 8 Chi, Yichun 8 Haberman, Steven 8 Hardy, Mary Rosalyn 8 Lin, X. Sheldon 8 Walhin, Jean-François 7 Avanzi, Benjamin 7 Boonen, Tim J. 7 Nielsen, Jens Perch 7 Sherris, Michael 6 Furman, Edward 6 Gómez-Déniz, Emilio 6 Landsman, Zinoviy M. 6 Macdonald, Angus S. 6 Mack, Thomas 6 Tang, Qihe 6 Tsanakas, Andreas 6 Venter, Gary G. 6 Wong, Bernard 5 Albrecher, Hansjörg 5 Boucher, Jean-Philippe 5 Chen, An 5 Cheung, Ka Chun 5 Christiansen, Marcus Christian 5 Cossette, Hélène 5 Devolder, Pierre 5 Dickson, David C. M. 5 Gisler, Alois 5 Guillen, Montserrat 5 Paris, Jose F. 5 Steffensen, Mogens 5 Verrall, Richard J. 5 Waters, Howard R. 5 Willmot, Gordon E. 5 Young, Virginia R. 4 Aase, Knut Kristian 4 Antonio, Katrien 4 Avram, Florin 4 Badescu, Andrei L. 4 Cai, Jun 4 Chan, Jennifer So Kuen 4 De Lourdes Centeno, Maria 4 Delong, Łukasz 4 Dhaene, Jan 4 Donnelly, Catherine 4 Egídio dos Reis, Alfredo D. 4 Embrechts, Paul 4 Hieber, Peter 4 Kałuszka, Marek 4 Lemaire, Jean-Jacques 4 Marceau, Étienne 4 Meng, Shengwang 4 Pinquet, Jean 4 Riegel, Ulrich 4 Usábel, Miguel A. 4 Vernic, Raluca 4 Zitikis, Ričardas 3 Afonso, Lourdes B. 3 Bauer, Daniel J. 3 Beirlant, Jan 3 Blake, David 3 Brazauskas, Vytaras 3 Cairns, Andrew J. G. 3 Calderín Ojeda, Enrique 3 Cheung, Eric C. K. 3 Choy, S. T. Boris 3 de Jong, Piet 3 Deelstra, Griselda 3 Desjardins, Denise 3 Dionne, Georges 3 Drekic, Steve 3 Frangos, Nikos E. 3 Gao, Guangyuan 3 Gerber, Hans U. 3 Hainaut, Donatien 3 Hofert, Marius 3 Hössjer, Ola G. 3 Joshi, Mark S. 3 Kling, Alexander 3 Li, Johnny Siu-Hang 3 Li, Shuanming 3 Liang, Xiaoqing 3 Maurer, Raimond H. 3 Merz, Michael 3 Moriconi, Franco 3 Ohlsson, Esbjörn 3 Olivieri, Annamaria 3 Pantelous, Athanasios A. 3 Peters, Gareth William 3 Pitt, David H. 3 Ruß, Jochen 3 Sarabia, José María 3 Schmidt, Klaus D. 3 Tapadar, Pradip ...and 661 more Authors all top 5 Fields 555 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 290 Statistics (62-XX) 75 Probability theory and stochastic processes (60-XX) 20 Numerical analysis (65-XX) 18 Systems theory; control (93-XX) 9 History and biography (01-XX) 7 Operations research, mathematical programming (90-XX) 6 Biology and other natural sciences (92-XX) 5 Computer science (68-XX) 3 Partial differential equations (35-XX) 2 Combinatorics (05-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Mathematics education (97-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 Geophysics (86-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 481 Publications have been cited 4,859 times in 3,030 Documents Cited by ▼ Year ▼ A primer on copulas for count data. Zbl 1274.62398Genest, Christian; Nešlehová, Johanna 119 2007 Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 108 2006 Some optimal dividends problems. Zbl 1097.91040Dickson, David C. M.; Waters, Howard R. 106 2004 Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures. Zbl 1162.91402Cai, Jun; Tan, Ken Seng 100 2007 A universal pricing framework for guaranteed minimum benefits in variable annuities. Zbl 1274.91399Bauer, Daniel; Kling, Alexander; Russ, Jochen 100 2008 Common Poisson shock models: applications to insurance and credit risk modelling. Zbl 1087.91030Lindskog, Filip; McNeil, Alexander J. 69 2003 Optimal reinsurance revisited - a geometric approach. Zbl 1230.91070Cheung, Ka Chun 63 2010 Optimal reinsurance under VaR and CVaR risk measures a simplified approach. Zbl 1239.91078Chi, Yichun; Tan, Ken Seng 63 2011 Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028Asmussen, Soren; Avram, Florin; Usabel, Miguel 62 2002 Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time. Zbl 1018.91028Cairns, Andrew 59 2000 Randomized onservation periods for the compound Poisson risk model: dividends. Zbl 1239.91072Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan 59 2011 Risk-minimizing hedging strategies for unit-linked life insurance contracts. Zbl 1168.91417Møller, Thomas 59 1998 Fitting Tweedie’s compound Poisson model to insurance claims data: dispersion modelling. Zbl 1094.91514Smyth, Gordon K.; Jørgensen, Bent 58 2002 A universal framework for pricing financial and insurance risks. Zbl 1090.91555Wang, Shaun S. 57 2002 Modelling and comparing dependencies in multivariable risk portfolios. Zbl 1137.91484Bäuerle, N.; Müller, A. 54 1998 Tail variance premium with applications for elliptical portfolio of risks. Zbl 1162.91373Furman, Edward; Landsman, Zinoviy 52 2006 Optimal dividends in the dual model with diffusion. Zbl 1274.91463Avanzi, Benjamin; Gerber, Hans U. 52 2008 A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374Gerber, Hans U.; Lin, X. Sheldon; Yang, Hailiang 49 2006 Modelling adult mortuality in small populations the saint model. Zbl 1239.91128Søren, Fiig Jarner; Kryger, Ebsen Masotti 48 2011 Fair pricing of life insurance participating policies with a minimum interest rate guaranteed. Zbl 1098.91537Bacinello, Anna Rita 47 2001 The density of the time to ruin in the classical Poisson risk model. Zbl 1097.62113Dickson, David C. M.; Willmot, Gordon E. 41 2005 On optimal dividends in the dual model. Zbl 1283.91192Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 40 2013 Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113Li, Johnny Siu-Hang; Hardy, Mary; Tan, Ken Seng 39 2009 On the tail behaviour of sums of dependent risks. Zbl 1162.91395Barbe, Philippe; Fougères, Anne-Laure; Genest, Christian 35 2006 Tail conditional expectations for exponential dispersion models. Zbl 1099.62122Landsman, Zinoviy; Valdez, Emiliano A. 34 2005 Prediction of outstanding liabilities II model variations and extensions. Zbl 1162.91428Norberg, R. 34 1999 Guaranteed annuity options. Zbl 1098.91527Boyle, Phelim; Hardy, Mary 33 2003 Optimal dynamic XL reinsurance. Zbl 1059.93135Hipp, Christian; Vogt, Michael 33 2003 Optimal reinsurance from the perspectives of both an insurer and a reinsurer. Zbl 1390.91167Cai, Jun; Lemieux, Christiane; Liu, Fangda 31 2016 On Esscher transforms in discrete finance models. Zbl 1162.91367Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N. 31 1998 Maxima of sums of heavy-tailed random variables. Zbl 1098.60505Ng, K. W.; Tang, Q. H.; Yang, Hailiang 30 2002 The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. Zbl 1230.91181Donnelly, Catherine; Embrechts, Paul 29 2010 Optimal dividends and capital injections in the dual model with diffusion. Zbl 1242.91089Avanzi, Benjamin; Shen, Jonathan; Wong, Bernard 29 2011 The quantitative modeling of operational risk: between \(g\)- and -\(h\) and EVT. Zbl 1154.62077Degen, Matthias; Embrechts, Paul; Lambrigger, Dominik D. 29 2007 Design of optimal bonus-malus systems with a frequency and a severity component on an individual basis in automobile insurance. Zbl 1035.62108Frangos, Nicholas E.; Vrontos, Spyridon D. 28 2001 Modeling dependent risks with multivariate Erlang mixtures. Zbl 1277.62255Lee, Simon C. K.; Lin, X. Sheldon 28 2012 A simple geometric proof that comonotonic risks have the convex-largest sum. Zbl 1061.62511Kaas, R.; Dhaene, J.; Vyncke, D.; Goovaerts, M. J.; Denuit, M. 27 2002 Favorable estimators for fitting Pareto models: a study using goodness-of-fit measures with actual data. Zbl 1058.62030Brazauskas, Vytaras; Serfling, Robert 27 2003 The decompositions of the discounted penalty functions and dividends-penalty identity in a Markov-modulated risk model. Zbl 1169.91390Li, Shuanming; Lu, Yi 27 2008 On the density and moments of the time of ruin with exponential claims. Zbl 1062.60007Drekic, Steve; Willmot, Gordon E. 26 2003 Key q-duration: a framework for hedging longevity risk. Zbl 1277.91089Li, Johnny Siu-Hang; Luo, Ancheng 26 2012 On the calculation of the solvency capital requirement based on nested simulations. Zbl 1277.91074Bauer, Daniel; Reuss, Andreas; Singer, Daniela 26 2012 Reinsurance arrangements minimizing the risk-adjusted value of an insurer’s liability. Zbl 1277.91077Chi, Yichun 26 2012 Model uncertainty in claims reserving within Tweedie’s compound Poisson models. Zbl 1203.91114Peters, Gareth W.; Shevchenko, Pavel V.; Wüthrich, Mario V. 25 2009 Individual loss reserving with the multivariate skew normal framework. Zbl 1284.91263Pigeon, Mathieu; Antonio, Katrien; Denuit, Michel 25 2013 Phase-type approximations to finite-time ruin probabilities in the Sparre Andersen and stationary renewal risk models. Zbl 1123.62078Stanford, D. A.; Avram, F.; Badescu, A. L.; Breuer, L.; da Silva Soares, A.; Latouche, G. 24 2005 A review on phase-type distributions and their use in risk theory. Zbl 1123.62013Bladt, Mogens 24 2005 On the distribution of the surplus prior to and at ruin. Zbl 1129.62425Schmidli, Hanspeter 24 1999 Risk measures and efficient use of capital. Zbl 1203.91110Artzner, Philippe; Delbaen, Freddy; Koch-Medina, Pablo 24 2009 On the maximisation of the adjustment coefficient under proportional reinsurance. Zbl 1095.91033Hald, Morten; Schmidli, Hanspeter 24 2004 The mean square error of prediction in the chain ladder reserving method (Mack and Murphy revisited). Zbl 1162.91400Buchwalder, Markus; Bühlmann, Hans; Merz, Michael; Wütrich, Mario V. 24 2006 A Neyman-Pearson perspective on optimal reinsurance with constraints. Zbl 1390.91199Lo, Ambrose 23 2017 A comparative study of two-population models for the assessment of basis risk in longevity hedges. Zbl 1390.91215Villegas, Andrés M.; Haberman, Steven; Kaishev, Vladimir K.; Millossovich, Pietro 23 2017 On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer. Zbl 1390.91170Chen, Lv; Shen, Yang 23 2018 Option pricing in a jump-diffusion model with regime-switching. Zbl 1180.91298Yuen, Fei Lung; Yang, Hailiang 23 2009 Maximizing dividends without bankruptcy. Zbl 1162.91375Gerber, Hans U.; Shiu, Elias S. W.; Smith, Nathaniel 23 2006 Double chain ladder. Zbl 1277.91092Martínez Miranda, Dolores María; Nielsen, Jens Perch; Verrall, Richard 23 2012 From ruin to bankruptcy for compound Poisson surplus processes. Zbl 1283.91084Albrecher, Hansjörg; Lautscham, Volkmar 23 2013 On some properties of a class of multivariate Erlang mixtures with insurance applications. Zbl 1390.62092Willmot, Gordon E.; Woo, Jae-Kyung 22 2015 Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm. Zbl 1390.62227Verbelen, Roel; Gong, Lan; Antonio, Katrien; Badescu, Andrei; Lin, Sheldon 22 2015 Prediction of RBNS and IBNR claims using claim amounts and claim counts. Zbl 1235.91109Verrall, Richard; Nielsen, Jens Perch; Jessen, Anders Hedegaard 22 2010 On stop-loss order and the distortion pricing principle. Zbl 1168.91414Hürlimann, Werner 20 1998 Optimal reinsurance for variance related premium calculation principles. Zbl 1230.91073Guerra, Manuel; de Lourdes Centeno, Maria 19 2010 Analysis of the expected shortfall of aggregate dependent risks. Zbl 1101.62092Alink, Stan; Löwe, Matthias; Wütherich, Mario V. 19 2005 Equilibrium pricing transforms: new results using Bühlmann’s 1980 economic model. Zbl 1098.91551Wang, Shaun S. 19 2003 Stochastic mortality: the impact on target capital. Zbl 1179.91108Olivieri, Annamaria; Pitacco, Ermanno 19 2009 An individual claims reserving model. Zbl 1162.91421Larsen, Christian Roholte 19 2007 Analytic solution for return of premium and rollup guaranteed minimum death benefit options under some simple mortality laws. Zbl 1256.91035Ulm, Eric R. 19 2008 Optimal risk control for the excess of loss reinsurance policies. Zbl 1230.91079Meng, Hui; Zhang, Xin 18 2010 Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang 18 2015 A unified approach to generate risk measures. Zbl 1098.91539Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe 18 2003 The Markov chain market. Zbl 1098.91531Norberg, Ragnar 18 2003 Risk exchange with distorted probabilities. Zbl 1162.91439Tsanakas, Andreas; Christofides, Nicos 18 2006 Designing optimal bonus-malus systems from different types of claims. Zbl 1162.91430Pinquet, Jean 18 1998 Largest claims reinsurance premiums under possible claims dependence. Zbl 1162.91420Kremer, Erhard 18 1998 Credibility for the chain ladder reserving method. Zbl 1274.91486Gisler, Alois; Wüthrich, Mario V. 18 2008 Economic capital allocations for non-negative portfolios of dependent risks. Zbl 1274.91379Furman, Edward; Landsman, Zinoviy 18 2008 The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor. Zbl 1277.62256Mack, Th. 18 1999 Actuarial fairness and solidarity in pooled annuity funds. Zbl 1390.91177Donnelly, Catherine 17 2015 Ruin probabilities and deficit for the renewal risk model with phase-type interarrival times. Zbl 1274.91244Avram, F.; Usábel, M. 17 2004 The prediction error of the chain ladder method applied to correlated run-off triangles. Zbl 1274.62689Braun, Christian 17 2004 Pricing general insurance using optimal control theory. Zbl 1155.91401Emms, Paul; Haberman, Steven 17 2005 Dependence in dynamic claim frequency credibility models. Zbl 1098.62567Purcaru, Oana; Denuit, Michel 17 2003 Asymptotic value-at-risk estimates for sums of dependent random variables. Zbl 1098.62570Wüthrich, Mario V. 17 2003 Optimal consumption and insurance: a continuous-time Markov chain approach. Zbl 1169.91329Kraft, Holger; Steffensen, Mogens 17 2008 Discrete-time risk models on time series for count random variables. Zbl 1230.91071Cossette, Hélène; Marceau, Etienne; Maume-Deschamps, Véronique 16 2010 Allowance for the age of claims in bonus-malus systems. Zbl 1098.91544Pinquet, Jean; Cuillén, Montserrat; Bolancé, Catalina 16 2001 Claims reserving using Tweedie’s compound Poisson model. Zbl 1095.91042Wüthrich, Mario V. 16 2003 Dividend moments in the dual risk model exact and approximate approaches. Zbl 1256.91026Cheung, Eric C. K.; Drekic, Steve 16 2008 Pricing in reinsurance bargaining with comonotonic additive utility functions. Zbl 1390.91164Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao 15 2016 Analytical bounds for two value-at-risk functionals. Zbl 1094.91032Hürlimann, Werner 15 2002 An extension of Panjer’s recursion. Zbl 1098.91540Hess, Klaus Th.; Liewald, Anett; Schmidt, Klaus D. 15 2002 Optimal pricing of a heterogeneous portfolio for a given risk level. Zbl 1162.91390Zaks, Yaniv; Frostig, Esther; Levikson, Benny 15 2006 A multivariate extension of equilibrum pricing transforms the multivariate Esscher and Wang transforms for pricing financial and insurance risks. Zbl 1162.91418Kijima, Masaaki 15 2006 Market consistent pricing of insurance products. Zbl 1256.91018Malamud, Semyon; Trubowitz, Eugene; Wüthrich, Mario V. 15 2008 On the risk-neutral valuation of life insurance contracts with numerical methods in view. Zbl 1230.91066Bauer, Daniel; Bergmann, Daniela; Kiesel, Rüdiger 14 2010 Equitable retirement income tontines: mixing cohorts without discriminating. Zbl 1390.91201Milevsky, Moshe A.; Salisbury, Thomas S. 14 2016 EM algorithm for mixed Poisson and other discrete distributions. Zbl 1100.62026Karlis, Dimitris 14 2005 Multivariate counting processes: copulas and beyond. Zbl 1098.62132Bäuerle, Nicole; Grübel, Rudolf 14 2005 New goodness-of-fit tests for Pareto distributions. Zbl 1178.62051Rizzo, Maria L. 14 2009 Joint model prediction and application to individual-level loss reserving. Zbl 1484.91401Okine, A. Nii-Armah; Frees, Edward W.; Shi, Peng 1 2022 Addressing imbalanced insurance data through zero-inflated Poisson regression with boosting. Zbl 1471.91466Lee, Simon C. K. 3 2021 Neighbouring prediction for mortality. Zbl 1480.91248Wang, Chou-Wen; Zhang, Jinggong; Zhu, Wenjun 2 2021 Optimal incentive-compatible insurance with background risk. Zbl 1478.91163Chi, Yichun; Tan, Ken Seng 2 2021 Cost-sensitive multi-class AdaBoost for understanding driving behavior based on telematics. Zbl 1480.91243So, Banghee; Boucher, Jean-Philippe; Valdez, Emiliano A. 1 2021 Predictive claim scores for dynamic multi-product risk classification in insurance. Zbl 1472.91042Verschuren, Robert Matthijs 1 2021 Generalizing the log-Moyal distribution and regression models for heavy-tailed loss data. Zbl 1472.91039Li, Zhengxiao; Beirlant, Jan; Meng, Shengwang 1 2021 Universally marketable insurance under multivariate mixtures. Zbl 1471.91472Lo, Ambrose; Tang, Qihe; Tang, Zhaofeng 1 2021 The impacts of individual information on loss reserving. Zbl 1471.91487Wang, Zhigao; Wu, Xianyi; Qiu, Chunjuan 1 2021 Optimal reinsurance design with distortion risk measures and asymmetric information. Zbl 1478.91161Boonen, Tim J.; Zhang, Yiying 1 2021 Optimal reinsurance from the viewpoints of both an insurer and a reinsurer under the CVaR risk measure and Vajda condition. Zbl 1479.91313Chen, Yanhong 1 2021 On the optimal combination of annuities and tontines. Zbl 1431.91320Chen, An; Rach, Manuel; Sehner, Thorsten 7 2020 Poisson models with dynamic random effects and nonnegative credibilities per period. Zbl 1447.91145Pinquet, Jean 4 2020 A neural network boosted double overdispersed Poisson claims reserving model. Zbl 1431.91328Gabrielli, Andrea 4 2020 A new inference strategy for general population mortality tables. Zbl 1444.91190Boumezoued, Alexandre; Hoffmann, Marc; Jeunesse, Paulien 3 2020 Multivariate long-memory cohort mortality models. Zbl 1431.91346Yan, Hongxuan; Peters, Gareth W.; Chan, Jennifer S. K. 3 2020 Wavelet-based feature extraction for mortality projection. Zbl 1454.91190Hainaut, Donatien; Denuit, Michel 3 2020 Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method. Zbl 1454.91177Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; Hieber, Peter 3 2020 Distortion riskmetrics on general spaces. Zbl 1454.91208Wang, Qiuqi; Wang, Ruodu; Wei, Yunran 3 2020 Forecasting multiple functional time series in a group structure: an application to mortality. Zbl 1447.91148Shang, Han Lin; Haberman, Steven 2 2020 Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach. Zbl 1447.91129Cheng, Xiang; Jin, Zhuo; Yang, Hailiang 2 2020 An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion. Zbl 1447.91149Tzougas, George; Karlis, Dimitris 2 2020 Reaching a bequest goal with life insurance: ambiguity about the risky asset’s drift and mortality’s hazard rate. Zbl 1431.91338Liang, Xiaoqing; Young, Virginia R. 2 2020 Multivariate geometric tail- and range-value-at-risk. Zbl 1431.91441Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina 2 2020 Bilateral risk sharing with heterogeneous beliefs and exposure constraints. Zbl 1431.91094Boonen, Tim J.; Ghossoub, Mario 2 2020 Testing for random effects in compound risk models via Bregman divergence. Zbl 1454.91194Jeong, Himchan 2 2020 Risk measures derived from a regulator’s perspective on the regulatory capital requirements for insurers. Zbl 1454.91169Cai, Jun; Mao, Tiantian 2 2020 Large-loss behavior of conditional mean risk sharing. Zbl 1454.91178Denuit, Michel; Robert, Christian Y. 2 2020 Optimal asset allocation for DC pension decumulation with a variable spending rule. Zbl 1447.91138Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham 1 2020 A generalised property exposure rating framework that incorporates scale-independent losses and maximum possible loss uncertainty. Zbl 1447.91144Parodi, Pietro 1 2020 The effect of the assumed interest rate and smoothing on variable annuities. Zbl 1431.91316Balter, Anne G.; Werker, Bas J. M. 1 2020 Natural hedges with immunization strategies of mortality and interest rates. Zbl 1431.91339Lin, Tzuling; Tsai, Cary Chi-liang 1 2020 Joint optimization of transition rules and the premium scale in a bonus-malus system. Zbl 1454.91164Ágoston, Kolos Csaba; Gyetvai, Márton 1 2020 An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. Zbl 1454.91189Gweon, Hyukjun; Li, Shu; Mamon, Rogemar 1 2020 Tonuity: a novel individual-oriented retirement plan. Zbl 1419.91352Chen, An; Hieber, Peter; Klein, Jakob K. 14 2019 Fair valuation of insurance liability cash-flow streams in continuous time: applications. Zbl 1410.91262Delong, Łukasz; Dhaene, Jan; Barigou, Karim 10 2019 A tree-based algorithm adapted to microlevel reserving and long development claims. Zbl 1427.91238Lopez, Olivier; Milhaud, Xavier; Thérond, Pierre-E. 8 2019 Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines. Zbl 1427.91225Denuit, Michel 7 2019 A marked Cox model for the number of IBNR claims: estimation and application. Zbl 1427.91218Badescu, Andrei L.; Chen, Tianle; Lin, X. Sheldon; Tang, Dameng 7 2019 Modelling socio-economic differences in mortality using a new affluence index. Zbl 1427.91201Cairns, Andrew J. G.; Kallestrup-Lamb, Malene; Rosenskjold, Carsten; Blake, David; Dowd, Kevin 6 2019 A class of mixture of experts models for general insurance: application to correlated claim frequencies. Zbl 1427.91227Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 6 2019 On the optimality of a straight deductible under belief heterogeneity. Zbl 1419.91353Chi, Yichun 6 2019 Dynamic principal component regression: application to age-specific mortality forecasting. Zbl 1427.91241Shang, Han Lin 4 2019 Ordering properties of extreme claim amounts from heterogeneous portfolios. Zbl 1410.91296Zhang, Yiying; Cai, Xiong; Zhao, Peng 4 2019 The reserve uncertainties in the chain ladder model of Mack revisited. Zbl 1427.91231Gisler, Alois 3 2019 Personal non-life insurance decisions and the welfare loss from flat deductibles. Zbl 1419.91384Steffensen, Mogens; Thøgersen, Julie 3 2019 Modelling mortality dependence with regime-switching copulas. Zbl 1458.91187Rui, Zhou 3 2019 Modelling zero-inflated count data with a special case of the generalised Poisson distribution. Zbl 1427.91220Calderín-Ojeda, Enrique; Gómez-Déniz, Emilio; Barranco-Chamorro, Inmaculada 2 2019 Analyzing mortality bond indexes via hierarchical forecast reconciliation. Zbl 1427.91236Li, Han; Tang, Qihe 2 2019 Deriving robust Bayesian premiums under bands of prior distributions with applications. Zbl 1415.62081Sánchez-Sánchez, M.; Sordo, M. A.; Suárez-Llorens, A.; Gómez-Déniz, E. 2 2019 New results on the distribution of discounted compound Poisson sums. Zbl 1419.91389Zhang, Zhehao 2 2019 Joint life insurance pricing using extended Marshall-Olkin models. Zbl 1410.91267Gobbi, Fabio; Kolev, Nikolai; Mulinacci, Sabrina 2 2019 Bias-corrected inference for a modified Lee-Carter mortality model. Zbl 1410.91277Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang 2 2019 CAT bond pricing under a product probability measure with pot risk characterization. Zbl 1410.91288Tang, Qihe; Yuan, Zhongyi 2 2019 Calendar year effect modeling for claims reserving in HGLM. Zbl 1427.91230Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano 1 2019 Minimizing the probability of lifetime ruin: two riskless assets with transaction costs. Zbl 1429.49021Liang, Xiaoqing; Young, Virginia R. 1 2019 Compatibility and attainability of matrices of correlation-based measures of concordance. Zbl 1427.62051Hofert, Marius; Koike, Takaaki 1 2019 Frequentist inference in insurance ratemaking models adjusting for misrepresentation. Zbl 1419.91345Akakpo, Rexford M.; Xia, Michelle; Polansky, Alan M. 1 2019 Property graphs – a statistical model for fire and explosion losses based on graph theory. Zbl 1410.91281Parodi, Pietro; Watson, Peter 1 2019 Economic scenario generator and parameter uncertainty: a Bayesian approach. Zbl 1410.91256Bégin, Jean-François 1 2019 On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer. Zbl 1390.91170Chen, Lv; Shen, Yang 23 2018 Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171Chen, Shumin; Yang, Hailiang; Zeng, Yan 12 2018 On the compound Poisson risk model with periodic capital injections. Zbl 1390.91220Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang 9 2018 A neural-network analyzer for mortality forecast. Zbl 1390.91186Hainaut, Donatien 9 2018 On heterogeneity in the individual model with both dependent claim occurrences and severities. Zbl 1390.91219Zhang, Yiying; Li, Xiaohu; Cheung, Ka Chun 9 2018 Aggregation of dependent risks in mixtures of exponential distributions and extensions. Zbl 1404.62116Sarabia, José María; Gómez-Déniz, Emilio; Prieto, Faustino; Jordá, Vanesa 8 2018 Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality. Zbl 1390.91190Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan 6 2018 Local hedging of variable annuities in the presence of basis risk. Zbl 1390.91213Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, Emmanuel 6 2018 Optimum insurance contracts with background risk and higher-order risk attitudes. Zbl 1416.91165Chi, Yichun; Wei, Wei 5 2018 Pricing of cyber insurance contracts in a network model. Zbl 1416.91175Fahrenwaldt, Matthias A.; Weber, Stefan; Weske, Kerstin 5 2018 Dynamic hedging of longevity risk: the effect of trading frequency. Zbl 1390.91194Li, Hong 5 2018 Systemic risk: an asymptotic evaluation. Zbl 1390.91157Asimit, Alexandru V.; Li, Jinzhu 5 2018 Linear versus nonlinear allocation rules in risk sharing under financial fairness. Zbl 1416.91220Schumacher, Johannes M. 4 2018 Gaussian process models for mortality rates and improvement factors. Zbl 1403.62193Ludkovski, Mike; Risk, Jimmy; Zail, Howard 4 2018 Implementing individual savings decisions for retirement with bounds on wealth. Zbl 1390.91178Donnelly, Catherine; Guillen, Montserrat; Nielsen, Jens Perch; Pérez-Marín, Ana Maria 4 2018 Modelling insurance losses using contaminated generalised beta type-II distribution. Zbl 1390.62204Chan, J. S. K.; Choy, S. T. B.; Makov, U. E.; Landsman, Z. 4 2018 Multivariate modelling of household claim frequencies in motor third-party liability insurance. Zbl 1416.91214Pechon, Florian; Trufin, Julien; Denuit, Michel 3 2018 Natural hedging in long-term care insurance. Zbl 1390.91192Levantesi, Susanna; Menzietti, Massimiliano 3 2018 Robust and efficient fitting of severity models and the method of winsorized moments. Zbl 1390.62230Zhao, Qian; Brazauskas, Vytaras; Ghorai, Jugal 3 2018 Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling. Zbl 1390.62222Stupfler, Gilles; Yang, Fan 3 2018 Smoothing Poisson common factor model for projecting mortality jointly for both sexes. Zbl 1390.91204Pitt, David; Li, Jackie; Lim, Tian Kang 3 2018 Age-specific adjustment of graduated mortality. Zbl 1390.62220Salhi, Yahia; Thérond, Pierre-E. 3 2018 Parsimonious parameterization of age-period-cohort models by Bayesian shrinkage. Zbl 1390.62226Venter, Gary; Şahin, Şule 2 2018 Modelling and estimating individual and firm effects with count panel data. Zbl 1404.62101Angers, Jean-François; Desjardins, Denise; Dionne, Georges; Guertin, François 1 2018 Common shock models for claim arrays. Zbl 1416.91150Avanzi, Benjamin; Taylor, Greg; Wong, Bernard 1 2018 An extreme-value theory approximation scheme in reinsurance and insurance-linked securities. Zbl 1416.91151Aviv, Rom 1 2018 Solvency requirement in a unisex mortality model. Zbl 1416.91161Chen, An; Guillen, Montserrat; Vigna, Elena 1 2018 Dynamic hedging strategies for cash balance pension plans. Zbl 1416.91230Zhu, Xiaobai; Hardy, Mary R.; Saunders, David 1 2018 A mixture model for payments and payment numbers in claims reserving. Zbl 1390.91184Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano 1 2018 Stochastic claims reserving via a Bayesian spline model with random loss ratio effects. Zbl 1390.62206Gao, Guangyuan; Meng, Shengwang 1 2018 On the distribution of the excedents of funds with assets and liabilities in presence of solvency and recovery requirements. Zbl 1390.91158Avanzi, Benjamin; Brandt Henriksen, Lars Frederik; Wong, Bernard 1 2018 Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach. Zbl 1390.91222Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa; Wang, Chou-Wen 1 2018 On the evaluation of multivariate compound distributions with continuous severity distributions and Sarmanov’s counting distribution. Zbl 1390.62096Tamraz, Maissa; Vernic, Raluca 1 2018 A Neyman-Pearson perspective on optimal reinsurance with constraints. Zbl 1390.91199Lo, Ambrose 23 2017 A comparative study of two-population models for the assessment of basis risk in longevity hedges. Zbl 1390.91215Villegas, Andrés M.; Haberman, Steven; Kaishev, Vladimir K.; Millossovich, Pietro 23 2017 Coherent forecasting of mortality rates: a sparse vector-autoregression approach. Zbl 1390.62215Li, Hong; Lu, Yang 11 2017 A form of multivariate Pareto distribution with applications to financial risk measurement. Zbl 1390.62095Su, Jianxi; Furman, Edward 10 2017 The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk. Zbl 1390.91198Liu, Yanxin; Li, Johnny Siu-Hang 9 2017 Refraction-reflection strategies in the dual model. Zbl 1390.91203Pérez, José-Luis; Yamazaki, Kazutoshi 9 2017 Approximating the density of the time to ruin via Fourier-cosine series expansion. Zbl 1390.91326Zhang, Zhimin 7 2017 ...and 381 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,986 Authors 46 Wüthrich, Mario Valentin 46 Yang, Hailiang 43 Denuit, Michel M. 37 Siu, Tak Kuen 33 Cheung, Ka Chun 30 Dhaene, Jan 30 Tan, Ken Seng 29 Cheung, Eric C. K. 28 Albrecher, Hansjörg 28 Li, Shuanming 27 Haberman, Steven 27 Tang, Qihe 27 Zhang, Zhimin 26 Landsman, Zinoviy M. 25 Furman, Edward 25 Yuen, Kam Chuen 24 Landriault, David 23 Jin, Zhuo 23 Lin, X. Sheldon 22 Blake, David 22 Willmot, Gordon E. 21 Boonen, Tim J. 20 Marceau, Étienne 20 Weng, Chengguo 20 Yamazaki, Kazutoshi 20 Zitikis, Ričardas 19 Chi, Yichun 19 Genest, Christian 19 Li, Johnny Siu-Hang 19 Valdez, Emiliano A. 18 Badescu, Andrei L. 18 Cairns, Andrew J. G. 18 Cossette, Hélène 18 Frostig, Esther 18 Nielsen, Jens Perch 18 Young, Virginia R. 17 Asimit, Alexandru V. 17 Chen, An 17 Guo, Junyi 17 Wang, Rongming 16 Cai, Jun 16 Dong, Yinghui 16 Embrechts, Paul 16 Hürlimann, Werner 16 Liang, Zhibin 16 Pantelous, Athanasios A. 16 Steffensen, Mogens 16 Tsai, Cary Chi-Liang 16 Vernic, Raluca 16 Wang, Guojing 16 Wong, Bernard 15 Avanzi, Benjamin 15 Dickson, David C. 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