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ASTIN Bulletin

The Journal of the International Actuarial Association

Documents Indexed: 612 Publications (since 1998)
References Indexed: 543 Publications with 13,823 References.
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

Publications by Year

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 1274.62398
Genest, Christian; Nešlehová, Johanna
119
2007
Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
108
2006
Some optimal dividends problems. Zbl 1097.91040
Dickson, David C. M.; Waters, Howard R.
106
2004
Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures. Zbl 1162.91402
Cai, Jun; Tan, Ken Seng
100
2007
A universal pricing framework for guaranteed minimum benefits in variable annuities. Zbl 1274.91399
Bauer, Daniel; Kling, Alexander; Russ, Jochen
100
2008
Common Poisson shock models: applications to insurance and credit risk modelling. Zbl 1087.91030
Lindskog, Filip; McNeil, Alexander J.
69
2003
Optimal reinsurance revisited - a geometric approach. Zbl 1230.91070
Cheung, Ka Chun
63
2010
Optimal reinsurance under VaR and CVaR risk measures a simplified approach. Zbl 1239.91078
Chi, Yichun; Tan, Ken Seng
63
2011
Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028
Asmussen, Soren; Avram, Florin; Usabel, Miguel
62
2002
Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time. Zbl 1018.91028
Cairns, Andrew
59
2000
Randomized onservation periods for the compound Poisson risk model: dividends. Zbl 1239.91072
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan
59
2011
Risk-minimizing hedging strategies for unit-linked life insurance contracts. Zbl 1168.91417
Møller, Thomas
59
1998
Fitting Tweedie’s compound Poisson model to insurance claims data: dispersion modelling. Zbl 1094.91514
Smyth, Gordon K.; Jørgensen, Bent
58
2002
A universal framework for pricing financial and insurance risks. Zbl 1090.91555
Wang, Shaun S.
57
2002
Modelling and comparing dependencies in multivariable risk portfolios. Zbl 1137.91484
Bäuerle, N.; Müller, A.
54
1998
Tail variance premium with applications for elliptical portfolio of risks. Zbl 1162.91373
Furman, Edward; Landsman, Zinoviy
52
2006
Optimal dividends in the dual model with diffusion. Zbl 1274.91463
Avanzi, Benjamin; Gerber, Hans U.
52
2008
A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374
Gerber, Hans U.; Lin, X. Sheldon; Yang, Hailiang
49
2006
Modelling adult mortuality in small populations the saint model. Zbl 1239.91128
Søren, Fiig Jarner; Kryger, Ebsen Masotti
48
2011
Fair pricing of life insurance participating policies with a minimum interest rate guaranteed. Zbl 1098.91537
Bacinello, Anna Rita
47
2001
The density of the time to ruin in the classical Poisson risk model. Zbl 1097.62113
Dickson, David C. M.; Willmot, Gordon E.
41
2005
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
40
2013
Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113
Li, Johnny Siu-Hang; Hardy, Mary; Tan, Ken Seng
39
2009
On the tail behaviour of sums of dependent risks. Zbl 1162.91395
Barbe, Philippe; Fougères, Anne-Laure; Genest, Christian
35
2006
Tail conditional expectations for exponential dispersion models. Zbl 1099.62122
Landsman, Zinoviy; Valdez, Emiliano A.
34
2005
Prediction of outstanding liabilities II model variations and extensions. Zbl 1162.91428
Norberg, R.
34
1999
Guaranteed annuity options. Zbl 1098.91527
Boyle, Phelim; Hardy, Mary
33
2003
Optimal dynamic XL reinsurance. Zbl 1059.93135
Hipp, Christian; Vogt, Michael
33
2003
Optimal reinsurance from the perspectives of both an insurer and a reinsurer. Zbl 1390.91167
Cai, Jun; Lemieux, Christiane; Liu, Fangda
31
2016
On Esscher transforms in discrete finance models. Zbl 1162.91367
Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N.
31
1998
Maxima of sums of heavy-tailed random variables. Zbl 1098.60505
Ng, K. W.; Tang, Q. H.; Yang, Hailiang
30
2002
The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. Zbl 1230.91181
Donnelly, Catherine; Embrechts, Paul
29
2010
Optimal dividends and capital injections in the dual model with diffusion. Zbl 1242.91089
Avanzi, Benjamin; Shen, Jonathan; Wong, Bernard
29
2011
The quantitative modeling of operational risk: between \(g\)- and -\(h\) and EVT. Zbl 1154.62077
Degen, 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 1035.62108
Frangos, Nicholas E.; Vrontos, Spyridon D.
28
2001
Modeling dependent risks with multivariate Erlang mixtures. Zbl 1277.62255
Lee, Simon C. K.; Lin, X. Sheldon
28
2012
A simple geometric proof that comonotonic risks have the convex-largest sum. Zbl 1061.62511
Kaas, 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 1058.62030
Brazauskas, Vytaras; Serfling, Robert
27
2003
The decompositions of the discounted penalty functions and dividends-penalty identity in a Markov-modulated risk model. Zbl 1169.91390
Li, Shuanming; Lu, Yi
27
2008
On the density and moments of the time of ruin with exponential claims. Zbl 1062.60007
Drekic, Steve; Willmot, Gordon E.
26
2003
Key q-duration: a framework for hedging longevity risk. Zbl 1277.91089
Li, Johnny Siu-Hang; Luo, Ancheng
26
2012
On the calculation of the solvency capital requirement based on nested simulations. Zbl 1277.91074
Bauer, Daniel; Reuss, Andreas; Singer, Daniela
26
2012
Reinsurance arrangements minimizing the risk-adjusted value of an insurer’s liability. Zbl 1277.91077
Chi, Yichun
26
2012
Model uncertainty in claims reserving within Tweedie’s compound Poisson models. Zbl 1203.91114
Peters, Gareth W.; Shevchenko, Pavel V.; Wüthrich, Mario V.
25
2009
Individual loss reserving with the multivariate skew normal framework. Zbl 1284.91263
Pigeon, 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 1123.62078
Stanford, 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 1123.62013
Bladt, Mogens
24
2005
On the distribution of the surplus prior to and at ruin. Zbl 1129.62425
Schmidli, Hanspeter
24
1999
Risk measures and efficient use of capital. Zbl 1203.91110
Artzner, Philippe; Delbaen, Freddy; Koch-Medina, Pablo
24
2009
On the maximisation of the adjustment coefficient under proportional reinsurance. Zbl 1095.91033
Hald, Morten; Schmidli, Hanspeter
24
2004
The mean square error of prediction in the chain ladder reserving method (Mack and Murphy revisited). Zbl 1162.91400
Buchwalder, Markus; Bühlmann, Hans; Merz, Michael; Wütrich, Mario V.
24
2006
A Neyman-Pearson perspective on optimal reinsurance with constraints. Zbl 1390.91199
Lo, Ambrose
23
2017
A comparative study of two-population models for the assessment of basis risk in longevity hedges. Zbl 1390.91215
Villegas, 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 1390.91170
Chen, Lv; Shen, Yang
23
2018
Option pricing in a jump-diffusion model with regime-switching. Zbl 1180.91298
Yuen, Fei Lung; Yang, Hailiang
23
2009
Maximizing dividends without bankruptcy. Zbl 1162.91375
Gerber, Hans U.; Shiu, Elias S. W.; Smith, Nathaniel
23
2006
Double chain ladder. Zbl 1277.91092
Martínez Miranda, Dolores María; Nielsen, Jens Perch; Verrall, Richard
23
2012
From ruin to bankruptcy for compound Poisson surplus processes. Zbl 1283.91084
Albrecher, Hansjörg; Lautscham, Volkmar
23
2013
On some properties of a class of multivariate Erlang mixtures with insurance applications. Zbl 1390.62092
Willmot, Gordon E.; Woo, Jae-Kyung
22
2015
Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm. Zbl 1390.62227
Verbelen, Roel; Gong, Lan; Antonio, Katrien; Badescu, Andrei; Lin, Sheldon
22
2015
Prediction of RBNS and IBNR claims using claim amounts and claim counts. Zbl 1235.91109
Verrall, Richard; Nielsen, Jens Perch; Jessen, Anders Hedegaard
22
2010
On stop-loss order and the distortion pricing principle. Zbl 1168.91414
Hürlimann, Werner
20
1998
Optimal reinsurance for variance related premium calculation principles. Zbl 1230.91073
Guerra, Manuel; de Lourdes Centeno, Maria
19
2010
Analysis of the expected shortfall of aggregate dependent risks. Zbl 1101.62092
Alink, Stan; Löwe, Matthias; Wütherich, Mario V.
19
2005
Equilibrium pricing transforms: new results using Bühlmann’s 1980 economic model. Zbl 1098.91551
Wang, Shaun S.
19
2003
Stochastic mortality: the impact on target capital. Zbl 1179.91108
Olivieri, Annamaria; Pitacco, Ermanno
19
2009
An individual claims reserving model. Zbl 1162.91421
Larsen, Christian Roholte
19
2007
Analytic solution for return of premium and rollup guaranteed minimum death benefit options under some simple mortality laws. Zbl 1256.91035
Ulm, Eric R.
19
2008
Optimal risk control for the excess of loss reinsurance policies. Zbl 1230.91079
Meng, Hui; Zhang, Xin
18
2010
Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang
18
2015
A unified approach to generate risk measures. Zbl 1098.91539
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe
18
2003
The Markov chain market. Zbl 1098.91531
Norberg, Ragnar
18
2003
Risk exchange with distorted probabilities. Zbl 1162.91439
Tsanakas, Andreas; Christofides, Nicos
18
2006
Designing optimal bonus-malus systems from different types of claims. Zbl 1162.91430
Pinquet, Jean
18
1998
Largest claims reinsurance premiums under possible claims dependence. Zbl 1162.91420
Kremer, Erhard
18
1998
Credibility for the chain ladder reserving method. Zbl 1274.91486
Gisler, Alois; Wüthrich, Mario V.
18
2008
Economic capital allocations for non-negative portfolios of dependent risks. Zbl 1274.91379
Furman, Edward; Landsman, Zinoviy
18
2008
The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor. Zbl 1277.62256
Mack, Th.
18
1999
Actuarial fairness and solidarity in pooled annuity funds. Zbl 1390.91177
Donnelly, Catherine
17
2015
Ruin probabilities and deficit for the renewal risk model with phase-type interarrival times. Zbl 1274.91244
Avram, F.; Usábel, M.
17
2004
The prediction error of the chain ladder method applied to correlated run-off triangles. Zbl 1274.62689
Braun, Christian
17
2004
Pricing general insurance using optimal control theory. Zbl 1155.91401
Emms, Paul; Haberman, Steven
17
2005
Dependence in dynamic claim frequency credibility models. Zbl 1098.62567
Purcaru, Oana; Denuit, Michel
17
2003
Asymptotic value-at-risk estimates for sums of dependent random variables. Zbl 1098.62570
Wüthrich, Mario V.
17
2003
Optimal consumption and insurance: a continuous-time Markov chain approach. Zbl 1169.91329
Kraft, Holger; Steffensen, Mogens
17
2008
Discrete-time risk models on time series for count random variables. Zbl 1230.91071
Cossette, Hélène; Marceau, Etienne; Maume-Deschamps, Véronique
16
2010
Allowance for the age of claims in bonus-malus systems. Zbl 1098.91544
Pinquet, Jean; Cuillén, Montserrat; Bolancé, Catalina
16
2001
Claims reserving using Tweedie’s compound Poisson model. Zbl 1095.91042
Wüthrich, Mario V.
16
2003
Dividend moments in the dual risk model exact and approximate approaches. Zbl 1256.91026
Cheung, Eric C. K.; Drekic, Steve
16
2008
Pricing in reinsurance bargaining with comonotonic additive utility functions. Zbl 1390.91164
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao
15
2016
Analytical bounds for two value-at-risk functionals. Zbl 1094.91032
Hürlimann, Werner
15
2002
An extension of Panjer’s recursion. Zbl 1098.91540
Hess, Klaus Th.; Liewald, Anett; Schmidt, Klaus D.
15
2002
Optimal pricing of a heterogeneous portfolio for a given risk level. Zbl 1162.91390
Zaks, 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 1162.91418
Kijima, Masaaki
15
2006
Market consistent pricing of insurance products. Zbl 1256.91018
Malamud, Semyon; Trubowitz, Eugene; Wüthrich, Mario V.
15
2008
On the risk-neutral valuation of life insurance contracts with numerical methods in view. Zbl 1230.91066
Bauer, Daniel; Bergmann, Daniela; Kiesel, Rüdiger
14
2010
Equitable retirement income tontines: mixing cohorts without discriminating. Zbl 1390.91201
Milevsky, Moshe A.; Salisbury, Thomas S.
14
2016
EM algorithm for mixed Poisson and other discrete distributions. Zbl 1100.62026
Karlis, Dimitris
14
2005
Multivariate counting processes: copulas and beyond. Zbl 1098.62132
Bäuerle, Nicole; Grübel, Rudolf
14
2005
New goodness-of-fit tests for Pareto distributions. Zbl 1178.62051
Rizzo, Maria L.
14
2009
Joint model prediction and application to individual-level loss reserving. Zbl 1484.91401
Okine, A. Nii-Armah; Frees, Edward W.; Shi, Peng
1
2022
Addressing imbalanced insurance data through zero-inflated Poisson regression with boosting. Zbl 1471.91466
Lee, Simon C. K.
3
2021
Neighbouring prediction for mortality. Zbl 1480.91248
Wang, Chou-Wen; Zhang, Jinggong; Zhu, Wenjun
2
2021
Optimal incentive-compatible insurance with background risk. Zbl 1478.91163
Chi, Yichun; Tan, Ken Seng
2
2021
Cost-sensitive multi-class AdaBoost for understanding driving behavior based on telematics. Zbl 1480.91243
So, Banghee; Boucher, Jean-Philippe; Valdez, Emiliano A.
1
2021
Predictive claim scores for dynamic multi-product risk classification in insurance. Zbl 1472.91042
Verschuren, Robert Matthijs
1
2021
Generalizing the log-Moyal distribution and regression models for heavy-tailed loss data. Zbl 1472.91039
Li, Zhengxiao; Beirlant, Jan; Meng, Shengwang
1
2021
Universally marketable insurance under multivariate mixtures. Zbl 1471.91472
Lo, Ambrose; Tang, Qihe; Tang, Zhaofeng
1
2021
The impacts of individual information on loss reserving. Zbl 1471.91487
Wang, Zhigao; Wu, Xianyi; Qiu, Chunjuan
1
2021
Optimal reinsurance design with distortion risk measures and asymmetric information. Zbl 1478.91161
Boonen, 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 1479.91313
Chen, Yanhong
1
2021
On the optimal combination of annuities and tontines. Zbl 1431.91320
Chen, An; Rach, Manuel; Sehner, Thorsten
7
2020
Poisson models with dynamic random effects and nonnegative credibilities per period. Zbl 1447.91145
Pinquet, Jean
4
2020
A neural network boosted double overdispersed Poisson claims reserving model. Zbl 1431.91328
Gabrielli, Andrea
4
2020
A new inference strategy for general population mortality tables. Zbl 1444.91190
Boumezoued, Alexandre; Hoffmann, Marc; Jeunesse, Paulien
3
2020
Multivariate long-memory cohort mortality models. Zbl 1431.91346
Yan, Hongxuan; Peters, Gareth W.; Chan, Jennifer S. K.
3
2020
Wavelet-based feature extraction for mortality projection. Zbl 1454.91190
Hainaut, Donatien; Denuit, Michel
3
2020
Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method. Zbl 1454.91177
Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; Hieber, Peter
3
2020
Distortion riskmetrics on general spaces. Zbl 1454.91208
Wang, Qiuqi; Wang, Ruodu; Wei, Yunran
3
2020
Forecasting multiple functional time series in a group structure: an application to mortality. Zbl 1447.91148
Shang, Han Lin; Haberman, Steven
2
2020
Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach. Zbl 1447.91129
Cheng, Xiang; Jin, Zhuo; Yang, Hailiang
2
2020
An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion. Zbl 1447.91149
Tzougas, 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 1431.91338
Liang, Xiaoqing; Young, Virginia R.
2
2020
Multivariate geometric tail- and range-value-at-risk. Zbl 1431.91441
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina
2
2020
Bilateral risk sharing with heterogeneous beliefs and exposure constraints. Zbl 1431.91094
Boonen, Tim J.; Ghossoub, Mario
2
2020
Testing for random effects in compound risk models via Bregman divergence. Zbl 1454.91194
Jeong, Himchan
2
2020
Risk measures derived from a regulator’s perspective on the regulatory capital requirements for insurers. Zbl 1454.91169
Cai, Jun; Mao, Tiantian
2
2020
Large-loss behavior of conditional mean risk sharing. Zbl 1454.91178
Denuit, Michel; Robert, Christian Y.
2
2020
Optimal asset allocation for DC pension decumulation with a variable spending rule. Zbl 1447.91138
Forsyth, 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 1447.91144
Parodi, Pietro
1
2020
The effect of the assumed interest rate and smoothing on variable annuities. Zbl 1431.91316
Balter, Anne G.; Werker, Bas J. M.
1
2020
Natural hedges with immunization strategies of mortality and interest rates. Zbl 1431.91339
Lin, Tzuling; Tsai, Cary Chi-liang
1
2020
Joint optimization of transition rules and the premium scale in a bonus-malus system. Zbl 1454.91164
Ágoston, Kolos Csaba; Gyetvai, Márton
1
2020
An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. Zbl 1454.91189
Gweon, Hyukjun; Li, Shu; Mamon, Rogemar
1
2020
Tonuity: a novel individual-oriented retirement plan. Zbl 1419.91352
Chen, An; Hieber, Peter; Klein, Jakob K.
14
2019
Fair valuation of insurance liability cash-flow streams in continuous time: applications. Zbl 1410.91262
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
10
2019
A tree-based algorithm adapted to microlevel reserving and long development claims. Zbl 1427.91238
Lopez, Olivier; Milhaud, Xavier; Thérond, Pierre-E.
8
2019
Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines. Zbl 1427.91225
Denuit, Michel
7
2019
A marked Cox model for the number of IBNR claims: estimation and application. Zbl 1427.91218
Badescu, Andrei L.; Chen, Tianle; Lin, X. Sheldon; Tang, Dameng
7
2019
Modelling socio-economic differences in mortality using a new affluence index. Zbl 1427.91201
Cairns, 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 1427.91227
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
6
2019
On the optimality of a straight deductible under belief heterogeneity. Zbl 1419.91353
Chi, Yichun
6
2019
Dynamic principal component regression: application to age-specific mortality forecasting. Zbl 1427.91241
Shang, Han Lin
4
2019
Ordering properties of extreme claim amounts from heterogeneous portfolios. Zbl 1410.91296
Zhang, Yiying; Cai, Xiong; Zhao, Peng
4
2019
The reserve uncertainties in the chain ladder model of Mack revisited. Zbl 1427.91231
Gisler, Alois
3
2019
Personal non-life insurance decisions and the welfare loss from flat deductibles. Zbl 1419.91384
Steffensen, Mogens; Thøgersen, Julie
3
2019
Modelling mortality dependence with regime-switching copulas. Zbl 1458.91187
Rui, Zhou
3
2019
Modelling zero-inflated count data with a special case of the generalised Poisson distribution. Zbl 1427.91220
Calderín-Ojeda, Enrique; Gómez-Déniz, Emilio; Barranco-Chamorro, Inmaculada
2
2019
Analyzing mortality bond indexes via hierarchical forecast reconciliation. Zbl 1427.91236
Li, Han; Tang, Qihe
2
2019
Deriving robust Bayesian premiums under bands of prior distributions with applications. Zbl 1415.62081
Sánchez-Sánchez, M.; Sordo, M. A.; Suárez-Llorens, A.; Gómez-Déniz, E.
2
2019
New results on the distribution of discounted compound Poisson sums. Zbl 1419.91389
Zhang, Zhehao
2
2019
Joint life insurance pricing using extended Marshall-Olkin models. Zbl 1410.91267
Gobbi, Fabio; Kolev, Nikolai; Mulinacci, Sabrina
2
2019
Bias-corrected inference for a modified Lee-Carter mortality model. Zbl 1410.91277
Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang
2
2019
CAT bond pricing under a product probability measure with pot risk characterization. Zbl 1410.91288
Tang, Qihe; Yuan, Zhongyi
2
2019
Calendar year effect modeling for claims reserving in HGLM. Zbl 1427.91230
Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano
1
2019
Minimizing the probability of lifetime ruin: two riskless assets with transaction costs. Zbl 1429.49021
Liang, Xiaoqing; Young, Virginia R.
1
2019
Compatibility and attainability of matrices of correlation-based measures of concordance. Zbl 1427.62051
Hofert, Marius; Koike, Takaaki
1
2019
Frequentist inference in insurance ratemaking models adjusting for misrepresentation. Zbl 1419.91345
Akakpo, Rexford M.; Xia, Michelle; Polansky, Alan M.
1
2019
Property graphs – a statistical model for fire and explosion losses based on graph theory. Zbl 1410.91281
Parodi, Pietro; Watson, Peter
1
2019
Economic scenario generator and parameter uncertainty: a Bayesian approach. Zbl 1410.91256
Bégin, Jean-François
1
2019
On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer. Zbl 1390.91170
Chen, Lv; Shen, Yang
23
2018
Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171
Chen, Shumin; Yang, Hailiang; Zeng, Yan
12
2018
On the compound Poisson risk model with periodic capital injections. Zbl 1390.91220
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
9
2018
A neural-network analyzer for mortality forecast. Zbl 1390.91186
Hainaut, Donatien
9
2018
On heterogeneity in the individual model with both dependent claim occurrences and severities. Zbl 1390.91219
Zhang, Yiying; Li, Xiaohu; Cheung, Ka Chun
9
2018
Aggregation of dependent risks in mixtures of exponential distributions and extensions. Zbl 1404.62116
Sarabia, 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 1390.91190
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan
6
2018
Local hedging of variable annuities in the presence of basis risk. Zbl 1390.91213
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, Emmanuel
6
2018
Optimum insurance contracts with background risk and higher-order risk attitudes. Zbl 1416.91165
Chi, Yichun; Wei, Wei
5
2018
Pricing of cyber insurance contracts in a network model. Zbl 1416.91175
Fahrenwaldt, Matthias A.; Weber, Stefan; Weske, Kerstin
5
2018
Dynamic hedging of longevity risk: the effect of trading frequency. Zbl 1390.91194
Li, Hong
5
2018
Systemic risk: an asymptotic evaluation. Zbl 1390.91157
Asimit, Alexandru V.; Li, Jinzhu
5
2018
Linear versus nonlinear allocation rules in risk sharing under financial fairness. Zbl 1416.91220
Schumacher, Johannes M.
4
2018
Gaussian process models for mortality rates and improvement factors. Zbl 1403.62193
Ludkovski, Mike; Risk, Jimmy; Zail, Howard
4
2018
Implementing individual savings decisions for retirement with bounds on wealth. Zbl 1390.91178
Donnelly, Catherine; Guillen, Montserrat; Nielsen, Jens Perch; Pérez-Marín, Ana Maria
4
2018
Modelling insurance losses using contaminated generalised beta type-II distribution. Zbl 1390.62204
Chan, 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 1416.91214
Pechon, Florian; Trufin, Julien; Denuit, Michel
3
2018
Natural hedging in long-term care insurance. Zbl 1390.91192
Levantesi, Susanna; Menzietti, Massimiliano
3
2018
Robust and efficient fitting of severity models and the method of winsorized moments. Zbl 1390.62230
Zhao, Qian; Brazauskas, Vytaras; Ghorai, Jugal
3
2018
Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling. Zbl 1390.62222
Stupfler, Gilles; Yang, Fan
3
2018
Smoothing Poisson common factor model for projecting mortality jointly for both sexes. Zbl 1390.91204
Pitt, David; Li, Jackie; Lim, Tian Kang
3
2018
Age-specific adjustment of graduated mortality. Zbl 1390.62220
Salhi, Yahia; Thérond, Pierre-E.
3
2018
Parsimonious parameterization of age-period-cohort models by Bayesian shrinkage. Zbl 1390.62226
Venter, Gary; Şahin, Şule
2
2018
Modelling and estimating individual and firm effects with count panel data. Zbl 1404.62101
Angers, Jean-François; Desjardins, Denise; Dionne, Georges; Guertin, François
1
2018
Common shock models for claim arrays. Zbl 1416.91150
Avanzi, Benjamin; Taylor, Greg; Wong, Bernard
1
2018
An extreme-value theory approximation scheme in reinsurance and insurance-linked securities. Zbl 1416.91151
Aviv, Rom
1
2018
Solvency requirement in a unisex mortality model. Zbl 1416.91161
Chen, An; Guillen, Montserrat; Vigna, Elena
1
2018
Dynamic hedging strategies for cash balance pension plans. Zbl 1416.91230
Zhu, Xiaobai; Hardy, Mary R.; Saunders, David
1
2018
A mixture model for payments and payment numbers in claims reserving. Zbl 1390.91184
Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano
1
2018
Stochastic claims reserving via a Bayesian spline model with random loss ratio effects. Zbl 1390.62206
Gao, 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 1390.91158
Avanzi, 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 1390.91222
Zhu, 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 1390.62096
Tamraz, Maissa; Vernic, Raluca
1
2018
A Neyman-Pearson perspective on optimal reinsurance with constraints. Zbl 1390.91199
Lo, Ambrose
23
2017
A comparative study of two-population models for the assessment of basis risk in longevity hedges. Zbl 1390.91215
Villegas, Andrés M.; Haberman, Steven; Kaishev, Vladimir K.; Millossovich, Pietro
23
2017
Coherent forecasting of mortality rates: a sparse vector-autoregression approach. Zbl 1390.62215
Li, Hong; Lu, Yang
11
2017
A form of multivariate Pareto distribution with applications to financial risk measurement. Zbl 1390.62095
Su, Jianxi; Furman, Edward
10
2017
The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk. Zbl 1390.91198
Liu, Yanxin; Li, Johnny Siu-Hang
9
2017
Refraction-reflection strategies in the dual model. Zbl 1390.91203
Pérez, José-Luis; Yamazaki, Kazutoshi
9
2017
Approximating the density of the time to ruin via Fourier-cosine series expansion. Zbl 1390.91326
Zhang, Zhimin
7
2017
...and 381 more Documents
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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. M.
15 Feng, Runhuan
15 Guillen, Montserrat
15 Pérez Garmendia, Jose Luis
15 Schmidli, Hanspeter
15 Woo, Jae-Kyung
15 Yin, Chuancun
14 Devolder, Pierre
14 Gerber, Hans U.
14 Gómez-Déniz, Emilio
14 Goovaerts, Marc J.
14 Karlis, Dimitris
14 Taylor, Greg
14 Yam, Sheung Chi Phillip
13 Ahn, Jae Youn
13 Avram, Florin
13 Loisel, Stéphane
13 Qian, Linyi
13 Ren, Jiandong
13 Wang, Ruodu
12 Antonio, Katrien
12 Drekic, Steve
12 Durante, Fabrizio
12 Li, Jackie Ji
12 Lu, Yi
12 Mao, Tiantian
12 Shen, Yang
12 Šiaulys, Jonas
12 Su, Jianxi
12 Wang, Wenyuan
12 Zhang, Yiying
11 Calderín Ojeda, Enrique
11 Hu, Xiang
11 Kaas, Rob
11 Kałuszka, Marek
11 Kim, Joseph Hyun Tae
11 Lefèvre, Claude
11 Lindholm, Mathias
11 Palmowski, Zbigniew
11 Shiu, Elias S. W.
11 Yang, Jingping
11 Zhou, Ming
11 Zhou, Xian
11 Zhou, Xiaowen
10 Bäuerle, Nicole
10 Chen, Ping
10 Christiansen, Marcus Christian
10 Dowd, Kevin
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Cited in 236 Journals

830 Insurance Mathematics & Economics
278 ASTIN Bulletin
238 Scandinavian Actuarial Journal
190 North American Actuarial Journal
99 European Actuarial Journal
78 Journal of Computational and Applied Mathematics
70 Communications in Statistics. Theory and Methods
48 Journal of Multivariate Analysis
47 Methodology and Computing in Applied Probability
41 Statistics & Probability Letters
37 European Journal of Operational Research
35 Journal of Applied Probability
32 Quantitative Finance
31 Journal of Industrial and Management Optimization
28 Applied Mathematics and Computation
28 Stochastic Models
24 Journal of Statistical Computation and Simulation
19 Advances in Applied Probability
19 Stochastic Analysis and Applications
19 Mathematical Problems in Engineering
19 Extremes
18 Annals of Operations Research
18 Finance and Stochastics
18 International Journal of Theoretical and Applied Finance
17 Computational Statistics and Data Analysis
16 Lithuanian Mathematical Journal
15 Acta Mathematicae Applicatae Sinica. English Series
15 Communications in Statistics. Simulation and Computation
15 Dependence Modeling
14 Journal of Statistical Planning and Inference
14 Journal of Applied Statistics
13 Journal of Economic Dynamics & Control
12 Stochastic Processes and their Applications
12 Mathematical Methods of Operations Research
12 Decisions in Economics and Finance
11 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
11 Probability in the Engineering and Informational Sciences
11 Applied Stochastic Models in Business and Industry
10 Journal of Mathematical Analysis and Applications
10 Discrete Dynamics in Nature and Society
10 Journal of Systems Science and Complexity
10 Frontiers of Mathematics in China
10 Modern Stochastics. Theory and Applications
9 Journal of Optimization Theory and Applications
9 Applied Mathematics. Series B (English Edition)
9 Applied Mathematical Finance
9 Bernoulli
9 Mathematical Finance
9 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
9 Statistics & Risk Modeling
8 Moscow University Mathematics Bulletin
8 Fuzzy Sets and Systems
8 Journal of the Korean Statistical Society
8 Mathematics and Financial Economics
8 SIAM Journal on Financial Mathematics
7 Metrika
7 Computational Statistics
7 Abstract and Applied Analysis
7 Asia-Pacific Financial Markets
7 Journal of Probability and Statistics
6 Applied Mathematics and Optimization
6 Mathematics of Operations Research
6 International Journal of Approximate Reasoning
6 Automation and Remote Control
6 Test
6 The ANZIAM Journal
6 Annals of Finance
5 Journal of the Franklin Institute
5 Journal of Mathematical Economics
5 SIAM Journal on Control and Optimization
5 Statistics
5 The Annals of Applied Probability
5 Statistical Papers
5 Journal of Applied Mathematics and Computing
5 Journal of Statistical Theory and Practice
5 Science China. Mathematics
5 Statistics and Computing
4 Annals of the Institute of Statistical Mathematics
4 Journal of the American Statistical Association
4 Mathematics and Computers in Simulation
4 Metron
4 Operations Research
4 Operations Research Letters
4 Queueing Systems
4 Mathematical Methods of Statistics
4 Journal of Mathematical Sciences (New York)
4 Journal of Inequalities and Applications
4 Acta Mathematica Sinica. English Series
4 AStA. Advances in Statistical Analysis
4 Electronic Journal of Statistics
4 The Annals of Applied Statistics
3 The Canadian Journal of Statistics
3 Theory of Probability and its Applications
3 Statistica
3 Optimization
3 Statistical Science
3 Japan Journal of Industrial and Applied Mathematics
3 Lifetime Data Analysis
3 Journal of Nonparametric Statistics
3 European Journal of Control
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Cited in 38 Fields

2,434 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,322 Statistics (62-XX)
917 Probability theory and stochastic processes (60-XX)
216 Systems theory; control (93-XX)
115 Numerical analysis (65-XX)
114 Operations research, mathematical programming (90-XX)
73 Calculus of variations and optimal control; optimization (49-XX)
36 Computer science (68-XX)
21 Partial differential equations (35-XX)
21 Integral equations (45-XX)
20 Integral transforms, operational calculus (44-XX)
20 Biology and other natural sciences (92-XX)
11 Functional analysis (46-XX)
8 Real functions (26-XX)
7 General and overarching topics; collections (00-XX)
6 Operator theory (47-XX)
5 Linear and multilinear algebra; matrix theory (15-XX)
5 Measure and integration (28-XX)
5 Special functions (33-XX)
5 Approximations and expansions (41-XX)
4 Combinatorics (05-XX)
4 Geophysics (86-XX)
4 Mathematics education (97-XX)
3 History and biography (01-XX)
3 Ordinary differential equations (34-XX)
3 Global analysis, analysis on manifolds (58-XX)
2 Field theory and polynomials (12-XX)
2 Harmonic analysis on Euclidean spaces (42-XX)
2 Convex and discrete geometry (52-XX)
2 Statistical mechanics, structure of matter (82-XX)
2 Information and communication theory, circuits (94-XX)
1 Mathematical logic and foundations (03-XX)
1 Order, lattices, ordered algebraic structures (06-XX)
1 Number theory (11-XX)
1 Dynamical systems and ergodic theory (37-XX)
1 Differential geometry (53-XX)
1 General topology (54-XX)
1 Classical thermodynamics, heat transfer (80-XX)

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