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Insurance Mathematics & Economics

Short Title: Insur. Math. Econ.
Publisher: Elsevier (North-Holland), Amsterdam
ISSN: 0167-6687
Online: http://www.sciencedirect.com/science/journal/01676687
Comments: Indexed cover-to-cover
Documents Indexed: 2,680 Publications (since 1982)
References Indexed: 2,642 Publications with 67,716 References.
all top 5

Authors

77 Goovaerts, Marc J.
53 Haberman, Steven
43 Denuit, Michel M.
39 Dhaene, Jan
39 Young, Virginia R.
37 Gerber, Hans U.
37 Kaas, Rob
37 Willmot, Gordon E.
35 de Vylder, Florent Etienne
30 Marceau, Étienne
30 Yang, Hailiang
26 Cheung, Ka Chun
26 Landriault, David
24 Guillen, Montserrat
22 Cossette, Hélène
22 Landsman, Zinoviy M.
22 Liang, Zongxia
22 Shiu, Elias S. W.
21 Dickson, David C. M.
19 Cai, Jun
19 Tang, Qihe
18 Laeven, Roger J. A.
18 Lefèvre, Claude
18 Sherris, Michael
17 Hürlimann, Werner
17 Sundt, Bjørn Rosted
17 Verrall, Richard J.
16 Albrecher, Hansjörg
16 De Waegenaere, Anja
16 Li, Shuanming
16 Loisel, Stéphane
16 Zeng, Yan
15 Chi, Yichun
15 Siu, Tak Kuen
14 Delbaen, Freddy
14 Furman, Edward
14 Haezendonck, Jean
14 Hu, Taizhong
14 Li, Zhongfei
14 Lin, X. Sheldon
14 Shen, Yang
14 Tan, Ken Seng
14 Tsai, Cary Chi-Liang
14 Wüthrich, Mario Valentin
13 Asimit, Alexandru V.
13 Beirlant, Jan
13 Cairns, Andrew J. G.
13 Cheung, Eric C. K.
13 Frostig, Esther
13 Gatzert, Nadine
13 Li, Johnny Siu-Hang
13 Milevsky, Moshe Arye
13 Sordo, Miguel Ángel
13 Yuen, Kam Chuen
12 Avanzi, Benjamin
12 Blake, David
12 Chen, An
12 Nielsen, Jens Perch
12 Schmidli, Hanspeter
12 Valdez, Emiliano A.
12 Weng, Chengguo
12 Wong, Bernard
12 Yam, Sheung Chi Phillip
11 Boonen, Tim J.
11 Feng, Runhuan
11 Hainaut, Donatien
11 Jin, Zhuo
11 Malinovskiĭ, Vsevolod Konstantinovich
11 Shapiro, Arnold F.
11 Wang, Guojing
11 Wang, Ruodu
11 Wong, Hoi Ying
11 Woo, Jae-Kyung
11 Yang, Jingping
10 De Schepper, Ann
10 Deelstra, Griselda
10 Hashorva, Enkelejd
10 Jones, Bruce L.
10 Li, Bin
10 Pitselis, Georgios
10 Ramsay, Colin M.
10 Renshaw, Arthur E.
10 Taksar, Michael I.
10 Teugels, Jozef L.
10 Trufin, Julien
10 Wang, Shaun S.
9 Bayraktar, Erhan
9 Christiansen, Marcus Christian
9 Guillou, Armelle
9 Li, Danping
9 Lu, Yi
9 Mao, Tiantian
9 Pelsser, Antoon A. J.
9 Ruß, Jochen
9 Taylor, Greg
9 Zitikis, Ričardas
8 Ahn, Jae Youn
8 Badescu, Andrei L.
8 Bäuerle, Nicole
8 Bolancé, Catalina
...and 2,452 more Authors

Publications by Year

Citations contained in zbMATH Open

2,304 Publications have been cited 29,841 times in 9,383 Documents Cited by Year
The concept of comonotonicity in actuarial science and finance: theory. Zbl 1051.62107
Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D.
264
2002
Pair-copula constructions of multiple dependence. Zbl 1165.60009
Aas, Kjersti; Czado, Claudia; Frigessi, Arnoldo; Bakken, Henrik
223
2009
Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529
Asmussen, Søren; Taksar, Michael
204
1997
A Poisson log-bilinear regression approach to the construction of projected lifetables. Zbl 1074.62524
Brouhns, Natacha; Denuit, Michel; Vermunt, Jeroen K.
178
2002
Axiomatic characterization of insurance prices. Zbl 0959.62099
Wang, Shaun S.; Young, Virginia R.; Panjer, Harry H.
174
1997
Risk theory for the compound Poisson process that is perturbed by diffusion. Zbl 0723.62065
Dufresne, François; Gerber, Hans U.
166
1991
Estimates for the probability of ruin with special emphasis on the possibility of large claims. Zbl 0518.62083
Embrechts, P.; Veraverbeke, N.
166
1982
A cohort-based extension to the Lee-Carter model for mortality reduction factors. Zbl 1168.91418
Renshaw, A. E.; Haberman, S.
164
2006
Goodness-of-fit tests for copulas: A review and a power study. Zbl 1161.91416
Genest, Christian; Rémillard, Bruno; Beaudoin, David
164
2009
The concept of comonotonicity in actuarial science and finance: applications. Zbl 1037.62107
Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D.
157
2002
Optimal investment for insurer with jump-diffusion risk process. Zbl 1129.91020
Yang, Hailiang; Zhang, Lihong
150
2005
On the time to ruin for Erlang(2) risk processes. Zbl 1074.91549
Dickson, David C. M.; Hipp, Christian
149
2001
Optimal investment for insurers. Zbl 1007.91025
Hipp, Christian; Plum, Michael
145
2000
On ruin for the Erlang \((n)\) risk process. Zbl 1188.91089
Li, Shuanming; Garrido, José
140
2004
Risk measures via \(g\)-expectations. Zbl 1147.91346
Rosazza Gianin, Emanuela
128
2006
Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts. Zbl 1075.62095
Dahl, Mikkel
117
2004
Affine processes for dynamic mortality and actuarial valuations. Zbl 1129.91024
Biffis, Enrico
117
2005
The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. Zbl 1103.91369
Lin, X. Sheldon; Willmot, Gordon E.; Drekic, Steve
113
2003
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Zbl 0894.90047
Gerber, Hans U.; Shiu, Elias S. W.
112
1997
Mortality derivatives and the option to annuitise. Zbl 1074.62530
Milevsky, Moshe A.; Promislow, S. David
112
2001
Valuation of the early-exercise price for options using simulations and nonparametric regression. Zbl 0894.62109
Carriere, Jacques F.
110
1996
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Zbl 1147.93046
Bai, Lihua; Guo, Junyi
108
2008
Lee-Carter mortality forecasting with age-specific enhancement. Zbl 1103.91371
Renshaw, A. E.; Haberman, S.
104
2003
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Zbl 0924.60075
Gerber, Hans U.; Landry, Bruno
98
1998
Insurance pricing and increased limits ratemaking by proportional hazards transforms. Zbl 0837.62088
Wang, Shaun
97
1995
Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417
Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
96
2008
Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Zbl 0977.62108
Grosen, Anders; Jørgensen, Peter Løchte
96
2000
Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Zbl 1218.91167
Zeng, Yan; Li, Zhongfei
95
2011
Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556
Lin, X. Sheldon; Willmot, Gordon E.
87
1999
Ruin estimates under interest force. Zbl 0838.62098
Sundt, Bjørn; Teugels, Jozef L.
86
1995
The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383
Lin, X. Sheldon; Pavlova, Kristina P.
85
2006
Optimal dividends in the dual model. Zbl 1131.91026
Avanzi, Benjamin; Gerber, Hans U.; Shiu, Elias S. W.
85
2007
Valuation and hedging of life insurance liabilities with systematic mortality risk. Zbl 1201.91089
Dahl, Mikkel; Møller, Thomas
84
2006
On convex principles of premium calculation. Zbl 0579.62090
Deprez, Olivier; Gerber, Hans U.
83
1985
Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. Zbl 0976.91034
Boulier, Jean-François; Huang, ShaoJuan; Taillard, Grégory
82
2001
The moments of the time of ruin, the surplus before ruin, and the deficit at ruin. Zbl 0971.91031
Lin, X. Sheldon; Willmot, Gordon E.
81
2000
Optimal insurance under Wang’s premium principle. Zbl 1156.62364
Young, Virginia R.
79
1999
Upper and lower bounds for sums of random variables. Zbl 0989.60019
Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J.
78
2000
Optimal reinsurance under mean-variance premium principles. Zbl 1009.62096
Kaluszka, Marek
74
2001
Stop-loss order for portfolios of dependent risks. Zbl 0894.90022
Müller, Alfred
72
1997
Generalized quantiles as risk measures. Zbl 1303.91089
Bellini, Fabio; Klar, Bernhard; Müller, Alfred; Rosazza Gianin, Emanuela
71
2014
Financial valuation of guaranteed minimum withdrawal benefits. Zbl 1116.91048
Milevsky, Moshe A.; Salisbury, Thomas S.
70
2006
Optimal reinsurance in relation to ordering of risks. Zbl 0683.62060
van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J.
70
1989
Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075
Kulenko, Natalie; Schmidli, Hanspeter
69
2008
Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. Zbl 1290.91103
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan
68
2013
Optimal choice of dividend barriers for a risk process with stochastic return on investments. Zbl 0894.90048
Paulsen, Jostein; Gjessing, Håkon K.
67
1997
Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. Zbl 1284.91250
Li, Zhongfei; Zeng, Yan; Lai, Yongzeng
67
2012
On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula. Zbl 1151.91565
Cossette, Hélène; Marceau, Etienne; Marri, Fouad
67
2008
Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496
Chen, Ping; Yang, Hailiang; Yin, George
67
2008
Optimal investment strategies in the presence of a minimum guarantee. Zbl 1074.91013
Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François
65
2003
A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048
Albrecher, Hansjörg; Boxma, Onno J.
65
2004
Pricing exotic options under regime switching. Zbl 1141.91420
Boyle, Phelim; Draviam, Thangaraj
65
2007
Ordering risks: expected utility theory versus Yaari’s dual theory of risk. Zbl 0907.90102
Wang, Shaun S.; Young, Virginia R.
64
1998
A generalized defective renewal equation for the surplus process perturbed by diffusion. Zbl 1074.91563
Tsai, Cary Chi-Liang; Willmot, Gordon E.
64
2002
On the discounted penalty function in a Markov-dependent risk model. Zbl 1129.91023
Albrecher, Hansjörg; Boxma, Onno J.
64
2005
Weighted premium calculation principles. Zbl 1141.91509
Furman, Edward; Zitikis, Ričardas
64
2008
On a class of renewal risk models with a constant dividend barrier. Zbl 1122.91345
Li, Shuanming; Garrido, José
62
2004
On stochastic mortality modeling. Zbl 1231.91227
Plat, Richard
61
2009
Affine stochastic mortality. Zbl 1103.60063
Schrager, David F.
61
2006
Fitting bivariate loss distributions with copulas. Zbl 0931.62044
Klugman, Stuart A.; Parsa, Rahul
60
1999
The surpluses immediately before and at ruin, and the amount of the claim causing ruin. Zbl 0674.62072
Dufresne, François; Gerber, Hans U.
60
1988
Asset and liability management under a continuous-time mean-variance optimization framework. Zbl 1151.91493
Chiu, Mei Choi; Li, Duan
59
2006
On reinsurance and investment for large insurance portfolios. Zbl 1141.91532
Luo, Shangzhen; Taksar, Michael; Tsoi, Allanus
59
2008
On the construction of copulas and quasi-copulas with given diagonal sections. Zbl 1152.60311
Nelsen, Roger B.; Quesada-Molina, José Juan; Rodríguez-Lallena, José Antonio; Úbeda-Flores, Manuel
58
2008
Actuarial bridges to dynamic hedging and option pricing. Zbl 0896.62112
Gerber, Hans U.; Shiu, Elias S. W.
57
1996
Evaluating and extending the Lee - Carter model for mortality forecasting: bootstrap confidence interval. Zbl 1098.62138
Koissi, Marie-Claire; Shapiro, Arnold F.; Högnäs, Göran
56
2006
Optimal reinsurance with general risk measures. Zbl 1162.91394
Balbás, Alejandro; Balbás, Beatriz; Heras, Antonio
56
2009
On the distribution of the surplus prior to ruin. Zbl 0770.62090
Dickson, David C. M.
56
1992
A synthesis of risk measures for capital adequacy. Zbl 0951.91032
Wirch, Julia Lynn; Hardy, Mary R.
56
1999
Optimal investment and reinsurance of an insurer with model uncertainty. Zbl 1231.91257
Zhang, Xin; Siu, Tak Kuen
55
2009
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010
Schachermayer, W.
55
1992
On the discounted penalty function in the renewal risk model with general interclaim times. Zbl 1119.91058
Willmot, Gordon E.
55
2007
On the expected discounted penalty function at ruin of a surplus process with interest. Zbl 1074.91027
Cai, Jun; Dickson, David C. M.
54
2002
Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps. Zbl 1284.91282
Zeng, Yan; Li, Zhongfei; Lai, Yongzeng
54
2013
Ruin probabilities in the compound binomial model. Zbl 0778.62099
Willmot, Gordon E.
53
1993
Weighted risk capital allocations. Zbl 1189.62163
Furman, Edward; Zitikis, Ričardas
53
2008
Discounted probabilities and ruin theory in the compound binomial model. Zbl 1013.91063
Cheng, Shixue; Gerber, Hans U.; Shiu, Elias S. W.
53
2000
The safest dependence structure among risks. Zbl 1072.62651
Dhaene, Jan; Denuit, Michel
52
1999
Comonotonicity, correlation order and premium principles. Zbl 0909.62110
Wang, Shaun; Dhaene, Jan
51
1998
Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails. Zbl 1074.91029
Konstantinides, Dimitrios; Tang, Qihe; Tsitsiashvili, Gurami
51
2002
Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps. Zbl 1348.91192
Zeng, Yan; Li, Danping; Gu, Ailing
51
2016
Some results on ruin probabilities in a two-dimensional risk model. Zbl 1055.91041
Chan, Wai-Sum; Yang, Hailiang; Zhang, Lianzeng
50
2003
Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. Zbl 1285.91057
Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan
50
2012
Risk aggregation with dependence uncertainty. Zbl 1291.91090
Bernard, Carole; Jiang, Xiao; Wang, Ruodu
50
2014
Ruin probabilities for time-correlated claims in the compound binomial model. Zbl 1074.91032
Yuen, K. C.; Guo, J. Y.
49
2001
Estimating the tail-dependence coefficient: properties and pitfalls. Zbl 1101.62012
Frahm, Gabriel; Junker, Markus; Schmidt, Rafael
49
2005
Optimal investment choices post-retirement in a defined contribution pension scheme. Zbl 1093.91027
Gerrard, Russell; Haberman, Steven; Vigna, Elena
49
2004
How long is the surplus below zero? Zbl 0777.62096
Dos Reis, Alfredo Egídio
49
1993
Optimal investment for an insurer: the martingale approach. Zbl 1141.91470
Wang, Zengwu; Xia, Jianming; Zhang, Lihong
49
2007
On the dependency of risks in the individual life model. Zbl 0931.62089
Dhaene, J.; Goovaerts, M. J.
48
1997
Optimal pension management in a stochastic framework. Zbl 1068.91028
Battocchio, Paolo; Menoncin, Francesco
48
2004
Classical risk theory in an economic environment. Zbl 0622.62098
Delbaen, F.; Haezendonck, J.
48
1987
When does the surplus reach a given target? Zbl 0731.62153
Gerber, Hans U.
48
1990
Optimal dividend problem with a terminal value for spectrally positive Lévy processes. Zbl 1290.91176
Yin, Chuancun; Wen, Yuzhen
48
2013
Bayesian Poisson log-bilinear mortality projections. Zbl 1110.62142
Czado, Claudia; Delwarde, Antoine; Denuit, Michel
48
2005
Rational hedging and valuation of integrated risks under constant absolute risk aversion. Zbl 1072.91025
Becherer, Dirk
47
2003
Optimal control of risk exposure, reinsurance and investments for insurance portfolios. Zbl 1052.62107
Irgens, Christian; Paulsen, Jostein
47
2004
Decision theoretic foundations of credibility theory. Zbl 0687.62087
Heilmann, Wolf-Rüdiger
47
1989
Second order regular variation and conditional tail expectation of multiple risks. Zbl 1228.91039
Hua, Lei; Joe, Harry
47
2011
Some new classes of consistent risk measures. Zbl 1188.91087
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe
47
2004
Volterra mortality model: actuarial valuation and risk management with long-range dependence. Zbl 1460.91240
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying
3
2021
From risk sharing to pure premium for a large number of heterogeneous losses. Zbl 1465.91094
Denuit, Michel; Robert, Christian Y.
3
2021
Equity-linked guaranteed minimum death benefits with dollar cost averaging. Zbl 1471.91465
Kirkby, J. Lars; Nguyen, Duy
2
2021
Pricing longevity derivatives via Fourier transforms. Zbl 1460.91212
Bravo, Jorge M.; Nunes, João Pedro Vidal
2
2021
Mortality options: the point of view of an insurer. Zbl 1460.91238
Schmeck, Maren Diane; Schmidli, Hanspeter
2
2021
Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type. Zbl 1460.91221
Furman, Edward; Kye, Yisub; Su, Jianxi
2
2021
Sparse regression with multi-type regularized feature modeling. Zbl 1460.91218
Devriendt, Sander; Antonio, Katrien; Reynkens, Tom; Verbelen, Roel
2
2021
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times. Zbl 1460.91215
Chen, Yiqing; White, Toby; Yuen, Kam Chuen
2
2021
Law-invariant functionals that collapse to the mean. Zbl 1466.91250
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor
2
2021
Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance. Zbl 1475.91301
Ghossoub, Mario; He, Xue Dong
2
2021
Infinitely stochastic micro reserving. Zbl 1471.91474
Maciak, Matúš; Okhrin, Ostap; Pešta, Michal
1
2021
SynthETIC: an individual insurance claim simulator with feature control. Zbl 1471.91445
Avanzi, Benjamin; Taylor, Greg; Wang, Melantha; Wong, Bernard
1
2021
Stochastic orders and multivariate measures of risk contagion. Zbl 1460.91252
Ortega-Jiménez, P.; Sordo, M. A.; Suárez-Llorens, A.
1
2021
Model-independent price bounds for catastrophic mortality bonds. Zbl 1460.91209
Bahl, Raj Kumari; Sabanis, Sotirios
1
2021
Mean-variance investment and risk control strategies – a time-consistent approach via a forward auxiliary process. Zbl 1460.91239
Shen, Yang; Zou, Bin
1
2021
Dynamics of state-wise prospective reserves in the presence of non-monotone information. Zbl 1460.91216
Christiansen, Marcus C.; Furrer, Christian
1
2021
Bowley solution of a mean-variance game in insurance. Zbl 1466.91264
Li, Danping; Young, Virginia R.
1
2021
Prepayment risk in reverse mortgages: an intensity-governed surrender model. Zbl 1466.91269
Shi, Tianxiang; Lee, Yung-Tsung
1
2021
Cyber claim analysis using generalized Pareto regression trees with applications to insurance. Zbl 1466.91255
Farkas, Sébastien; Lopez, Olivier; Thomas, Maud
1
2021
Right-truncated Archimedean and related copulas. Zbl 1468.62288
Hofert, Marius
1
2021
It takes two: why mortality trend modeling is more than modeling one mortality trend. Zbl 1467.91133
Börger, Matthias; Russ, Jochen; Schupp, Johannes
1
2021
Gompertz law revisited: forecasting mortality with a multi-factor exponential model. Zbl 1467.91146
Li, Hong; Tan, Ken Seng; Tuljapurkar, Shripad; Zhu, Wenjun
1
2021
Tail dependence and heavy tailedness in extreme risks. Zbl 1467.91142
Ji, Liuyan; Tan, Ken Seng; Yang, Fan
1
2021
Deep hedging of long-term financial derivatives. Zbl 1467.91138
Carbonneau, Alexandre
1
2021
Dividend optimisation: a behaviouristic approach. Zbl 1478.91162
Brinker, Leonie Violetta; Eisenberg, Julia
1
2021
Convex risk functionals: representation and applications. Zbl 1431.91340
Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu
5
2020
Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility. Zbl 1431.91347
Yan, Tingjin; Wong, Hoi Ying
5
2020
Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin. Zbl 1445.91054
Liang, Xiaoqing; Liang, Zhibin; Young, Virginia R.
4
2020
Nonlinear reserving and multiple contract modifications in life insurance. Zbl 1446.91058
Christiansen, Marcus C.; Djehiche, Boualem
4
2020
On log-normal convolutions: an analytical-numerical method with applications to economic capital determination. Zbl 1431.91327
Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey
4
2020
Generalized expected discounted penalty function at general drawdown for Lévy risk processes. Zbl 1435.91162
Wang, Wenyuan; Chen, Ping; Li, Shuanming
4
2020
Concave distortion risk minimizing reinsurance design under adverse selection. Zbl 1435.91142
Cheung, Ka Chun; Phillip Yam, Sheung Chi; Yuen, Fei Lung; Zhang, Yiying
4
2020
Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments. Zbl 1445.91055
Xu, Ran; Woo, Jae-Kyung
3
2020
On occupation times in the red of Lévy risk models. Zbl 1445.91053
Landriault, David; Li, Bin; Lkabous, Mohamed Amine
3
2020
Optimal insurance with belief heterogeneity and incentive compatibility. Zbl 1445.91052
Chi, Yichun; Zhuang, Sheng Chao
3
2020
Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age? Zbl 1446.91068
Milevsky, Moshe A.
3
2020
Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models. Zbl 1446.91073
Shushi, Tomer; Yao, Jing
3
2020
Nash equilibria in optimal reinsurance bargaining. Zbl 1446.91054
Anthropelos, Michail; Boonen, Tim J.
3
2020
Optimal reinsurance-investment strategy for a dynamic contagion claim model. Zbl 1446.91056
Cao, Jingyi; Landriault, David; Li, Bin
3
2020
Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR. Zbl 1447.91137
Forsyth, Peter A.
3
2020
Predictive compound risk models with dependence. Zbl 1454.91195
Jeong, Himchan; Valdez, Emiliano A.
3
2020
The diffusion of complex securities: the case of CAT bonds. Zbl 1431.91324
Faias, José Afonso; Guedes, José
3
2020
Incorporating hierarchical credibility theory into modelling of multi-country mortality rates. Zbl 1435.91160
Tsai, Cary Chi-Liang; Wu, Adelaide Di
3
2020
Robust optimal reinsurance-investment strategy with price jumps and correlated claims. Zbl 1445.91051
Chen, Zhiping; Yang, Peng
2
2020
A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving. Zbl 1446.91055
Avanzi, Benjamin; Taylor, Greg; Vu, Phuong Anh; Wong, Bernard
2
2020
Ruin-based risk measures in discrete-time risk models. Zbl 1447.91132
Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre
2
2020
Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs. Zbl 1447.91126
Avanzi, Benjamin; Lau, Hayden; Wong, Bernard
2
2020
Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation. Zbl 1447.91130
Cohen, Asaf; Young, Virginia R.
2
2020
Relative bound and asymptotic comparison of expectile with respect to expected shortfall. Zbl 1448.62064
Tadese, Mekonnen; Drapeau, Samuel
2
2020
Optimal DB-PAYGO pension management towards a habitual contribution rate. Zbl 1458.91183
He, Lin; Liang, Zongxia; Yuan, Fengyi
2
2020
Pareto-optimal insurance contracts with premium budget and minimum charge constraints. Zbl 1452.91257
Asimit, Alexandru V.; Cheung, Ka Chun; Chong, Wing Fung; Hu, Junlei
2
2020
Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods. Zbl 1452.91281
Rabitti, Giovanni; Borgonovo, Emanuele
2
2020
Empirical analysis and forecasting of multiple yield curves. Zbl 1452.91316
Gerhart, Christoph; Lütkebohmert, Eva
2
2020
On a family of coherent measures of variability. Zbl 1452.91273
Hu, Taizhong; Chen, Ouxiang
2
2020
Parisian ruin with a threshold dividend strategy under the dual Lévy risk model. Zbl 1431.91345
Yang, Chen; Sendova, Kristina P.; Li, Zhong
2
2020
Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach. Zbl 1435.91158
Lin, X. Sheldon; Yang, Shuai
2
2020
A Bowley solution with limited ceded risk for a monopolistic reinsurer. Zbl 1435.91143
Chi, Yichun; Tan, Ken Seng; Zhuang, Sheng Chao
2
2020
Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology. Zbl 1435.91154
Jevtić, Petar; Lanchier, Nicolas
2
2020
Dynamic consumption and portfolio choice under prospect theory. Zbl 1435.91174
van Bilsen, Servaas; Laeven, Roger J. A.
2
2020
Risk analysis with categorical explanatory variables. Zbl 1435.91155
Kang, Seul Ki; Peng, Liang; Xiao, Hongmin
2
2020
Distributionally robust inference for extreme value-at-risk. Zbl 1445.91070
Yuen, Robert; Stoev, Stilian; Cooley, Daniel
1
2020
The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty. Zbl 1446.91066
Li, Johnny Siu-Hang; Liu, Yanxin
1
2020
Calculation of changes in life expectancy based on proportional hazards model of an intervention. Zbl 1446.91065
Kulinskaya, Elena; Gitsels, Lisanne A.; Bakbergenuly, Ilyas; Wright, Nigel R.
1
2020
Liquidation risk in insurance under contemporary regulatory frameworks. Zbl 1446.91067
Li, Xin; Liu, Haibo; Tang, Qihe; Zhu, Jinxia
1
2020
Modelling life tables with advanced ages: an extreme value theory approach. Zbl 1446.91062
Huang, Fei; Maller, Ross; Ning, Xu
1
2020
Bachelier model with stopping time and its insurance application. Zbl 1446.91060
Glazyrina, Anna; Melnikov, Alexander
1
2020
Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process. Zbl 1446.91070
Palmowski, Zbigniew; Surya, Budhi A.
1
2020
Evolutionary credibility risk premium. Zbl 1446.91057
Chen, Yongzhao; Cheung, Ka Chun; Choi, Hugo Ming Cheung; Yam, Sheung Chi Phillip
1
2020
Asymptotic independence and support detection techniques for heavy-tailed multivariate data. Zbl 1448.62074
Lehtomaa, Jaakko; Resnick, Sidney I.
1
2020
The participation puzzle with reference-dependent expected utility preferences. Zbl 1447.91165
Wang, Jianli; Liu, Liqun; Neilson, William S.
1
2020
Incorporating crossed classification credibility into the Lee-Carter model for multi-population mortality data. Zbl 1448.91257
Bozikas, Apostolos; Pitselis, Georgios
1
2020
A more meaningful parameterization of the Lee-Carter model. Zbl 1452.91267
de Jong, Piet; Tickle, Leonie; Xu, Jianhui
1
2020
Modeling mortality with a Bayesian vector autoregression. Zbl 1452.91244
Njenga, Carolyn Ndigwako; Sherris, Michael
1
2020
Levelling the playing field: a VIX-linked structure for funded pension schemes. Zbl 1452.91261
Bégin, Jean-François
1
2020
Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted models. Zbl 1452.91280
Počuča, Nikola; Jevtić, Petar; McNicholas, Paul D.; Miljkovic, Tatjana
1
2020
Stability properties of Haezendonck-Goovaerts premium principles. Zbl 1452.91270
Gao, Niushan; Munari, Cosimo; Xanthos, Foivos
1
2020
Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time. Zbl 1452.91286
Zhou, Zhou; Jin, Zhuo
1
2020
Regression based reserving models and partial information. Zbl 1454.91201
Lindholm, Mathias; Verrall, Richard
1
2020
Spatial patterns of mortality in the United States: a spatial filtering approach. Zbl 1452.91243
Cupido, Kyran; Jevtić, Petar; Paez, Antonio
1
2020
Optimal risk-sharing across a network of insurance companies. Zbl 1452.91269
Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; Smirnow, Alexander
1
2020
Center-outward quantiles and the measurement of multivariate risk. Zbl 1452.91074
Beirlant, Jan; Buitendag, Sven; del Barrio, E.; Hallin, M.; Kamper, Francois
1
2020
Statistical estimation for some dividend problems under the compound Poisson risk model. Zbl 1452.91284
Xie, Jiayi; Zhang, Zhimin
1
2020
Positivity properties of the ARFIMA\((0,d,0)\) specifications and credibility analysis of frequency risks. Zbl 1452.91279
Pinquet, Jean
1
2020
Approximating the time-weighted return: the case of flows at unknown time. Zbl 1431.91332
Guzzetti, Marco
1
2020
Pitfalls and merits of cointegration-based mortality models. Zbl 1431.91334
Jarner, Søren F.; Jallbjørn, Snorre
1
2020
Duration of long-term care: socio-economic factors, type of care interactions and evolution. Zbl 1431.91326
Fuino, Michel; Wagner, Joël
1
2020
The Poisson random effect model for experience ratemaking: limitations and alternative solutions. Zbl 1435.91157
Lee, Woojoo; Kim, Jeonghwan; Ahn, Jae Youn
1
2020
An age-at-death distribution approach to forecast cohort mortality. Zbl 1435.91140
Basellini, Ugofilippo; Kjærgaard, Søren; Camarda, Carlo Giovanni
1
2020
Is the inf-convolution of law-invariant preferences law-invariant? Zbl 1435.91064
Liu, Peng; Wang, Ruodu; Wei, Linxiao
1
2020
Copula-based Markov process. Zbl 1435.62177
Fang, Jun; Jiang, Fan; Liu, Yong; Yang, Jingping
1
2020
Optimal prevention strategies in the classical risk model. Zbl 1435.91149
Gauchon, Romain; Loisel, Stéphane; Rullière, Jean-Louis; Trufin, Julien
1
2020
Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes. Zbl 1435.91164
Wei, Jiaqin; Cheng, Xiang; Jin, Zhuo; Wang, Hao
1
2020
Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework. Zbl 1425.91217
Chen, Lv; Shen, Yang
10
2019
Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets. Zbl 1419.91349
Bi, Junna; Cai, Jun
10
2019
Risk-adjusted bowley reinsurance under distorted probabilities. Zbl 1411.91272
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying
9
2019
Robust non-zero-sum investment and reinsurance game with default risk. Zbl 1419.91386
Wang, Ning; Zhang, Nan; Jin, Zhuo; Qian, Linyi
9
2019
Optimal insurance under rank-dependent expected utility. Zbl 1410.91266
Ghossoub, Mario
9
2019
Modern tontine with bequest: innovation in pooled annuity products. Zbl 1411.91265
Bernhardt, Thomas; Donnelly, Catherine
8
2019
On modeling left-truncated loss data using mixtures of distributions. Zbl 1415.62076
Blostein, Martin; Miljkovic, Tatjana
8
2019
Fair valuation of insurance liability cash-flow streams in continuous time: theory. Zbl 1425.91219
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
7
2019
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Cited by 7,909 Authors

111 Denuit, Michel M.
103 Yang, Hailiang
90 Goovaerts, Marc J.
76 Haberman, Steven
73 Siu, Tak Kuen
71 Young, Virginia R.
70 Dhaene, Jan
68 Yuen, Kam Chuen
65 Willmot, Gordon E.
61 Tang, Qihe
57 Albrecher, Hansjörg
52 Landriault, David
51 Hashorva, Enkelejd
50 Zhang, Zhimin
47 Cai, Jun
47 Li, Shuanming
46 Cheung, Ka Chun
46 Durante, Fabrizio
46 Guo, Junyi
46 Yang, Yang
45 Gerber, Hans U.
45 Lefèvre, Claude
45 Wang, Ruodu
45 Yin, Chuancun
44 Marceau, Étienne
42 Loisel, Stéphane
41 Wu, Rong
40 Hu, Taizhong
40 Jin, Zhuo
39 Cossette, Hélène
39 Fernández-Sánchez, Juan
39 Hu, Yijun
39 Li, Xiaohu
39 Wang, Guojing
39 Wang, Rongming
38 Tan, Ken Seng
37 Guillen, Montserrat
36 Cheung, Eric C. K.
36 Hürlimann, Werner
36 Sherris, Michael
36 Shiu, Elias S. W.
36 Zitikis, Ričardas
35 Li, Zhongfei
34 Czado, Claudia
34 Elliott, Robert James
34 Forsyth, Peter A.
34 Frostig, Esther
33 Dickson, David C. M.
33 Kaas, Rob
33 Tsai, Cary Chi-Liang
33 Weng, Chengguo
33 Zeng, Yan
32 Blake, David
32 de Vylder, Florent Etienne
32 Landsman, Zinoviy M.
32 Palmowski, Zbigniew
31 Kremer, Erhard K.
31 Peng, Liang
31 Shen, Yang
31 Sordo, Miguel Ángel
30 Mao, Tiantian
30 Úbeda-Flores, Manuel
30 Wüthrich, Mario Valentin
30 Zhao, Hui
29 Klüppelberg, Claudia
29 Liang, Zongxia
29 Nielsen, Jens Perch
28 Boonen, Tim J.
28 Cairns, Andrew J. G.
28 Chen, An
28 Li, Jinzhu
28 Liang, Zhibin
28 Lin, X. Sheldon
28 Rong, Ximin
28 Šiaulys, Jonas
28 Vanduffel, Steven
28 Wong, Hoi Ying
27 Badescu, Andrei L.
27 Chen, Ping
27 Schmidli, Hanspeter
27 Valdez, Emiliano A.
27 Wang, Yuebao
27 Yang, Jingping
26 Asimit, Alexandru V.
26 Asmussen, Søren
26 Avram, Florin
26 Bernard, Carole L.
26 Embrechts, Paul
26 Feng, Runhuan
26 Genest, Christian
26 Wang, Wenyuan
25 Christiansen, Marcus Christian
25 Furman, Edward
25 Li, Johnny Siu-Hang
25 Wang, Kaiyong
25 Yam, Sheung Chi Phillip
24 Chi, Yichun
24 Deelstra, Griselda
24 Dong, Yinghui
24 Gómez-Déniz, Emilio
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Cited in 449 Journals

2,207 Insurance Mathematics & Economics
431 Scandinavian Actuarial Journal
405 North American Actuarial Journal
271 Statistics & Probability Letters
253 Journal of Computational and Applied Mathematics
244 ASTIN Bulletin
202 Communications in Statistics. Theory and Methods
191 European Journal of Operational Research
147 Journal of Multivariate Analysis
144 Methodology and Computing in Applied Probability
144 European Actuarial Journal
143 Journal of Applied Probability
140 Quantitative Finance
105 International Journal of Theoretical and Applied Finance
86 Journal of Industrial and Management Optimization
85 Stochastic Processes and their Applications
81 Finance and Stochastics
80 Annals of Operations Research
79 Applied Mathematics and Computation
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75 Scandinavian Actuarial Journal
74 Journal of Mathematical Analysis and Applications
73 Advances in Applied Probability
73 Mathematical Finance
70 Mathematical Problems in Engineering
68 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
67 Computational Statistics and Data Analysis
65 Dependence Modeling
64 Journal of Economic Dynamics & Control
60 Acta Mathematicae Applicatae Sinica. English Series
58 The Annals of Applied Probability
54 Fuzzy Sets and Systems
54 Journal of Statistical Planning and Inference
54 Mathematics and Financial Economics
51 Stochastic Analysis and Applications
49 Lithuanian Mathematical Journal
49 Mathematical Methods of Operations Research
48 Extremes
46 Applied Stochastic Models in Business and Industry
44 Journal of Applied Statistics
43 Decisions in Economics and Finance
42 Discrete Dynamics in Nature and Society
39 Probability in the Engineering and Informational Sciences
39 SIAM Journal on Financial Mathematics
37 Journal of Statistical Computation and Simulation
37 Journal of Systems Science and Complexity
36 Journal of Mathematical Economics
36 Statistical Papers
36 Bernoulli
34 Operations Research Letters
34 Applied Mathematics. Series B (English Edition)
34 Journal of the Korean Statistical Society
33 Journal of Optimization Theory and Applications
33 Applied Mathematical Finance
32 Applied Mathematics and Optimization
32 Journal of Econometrics
31 SIAM Journal on Control and Optimization
30 Frontiers of Mathematics in China
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27 Communications in Statistics. Simulation and Computation
26 Metrika
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25 Acta Mathematica Sinica. English Series
24 Annals of Finance
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18 Computational Statistics
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17 Operations Research
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16 The Canadian Journal of Statistics
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16 Soft Computing
16 Journal of Statistical Theory and Practice
15 Kybernetika
15 Mathematics and Computers in Simulation
15 International Journal of Approximate Reasoning
15 Applied Mathematical Modelling
15 Journal of Mathematical Sciences (New York)
15 The ANZIAM Journal
15 Statistical Methods and Applications
15 AStA. Advances in Statistical Analysis
14 Annals of the Institute of Statistical Mathematics
14 Journal of the American Statistical Association
14 International Journal of Computer Mathematics
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Cited in 51 Fields

6,566 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
3,864 Statistics (62-XX)
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