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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: 2,587 Publications (since 1982)
References Indexed: 2,550 Publications with 64,246 References.
all top 5

Authors

77 Goovaerts, Marc J.
53 Haberman, Steven
39 Denuit, Michel M.
38 Dhaene, Jan
37 Gerber, Hans U.
37 Kaas, Rob
37 Willmot, Gordon E.
37 Young, Virginia R.
35 de Vylder, Florent Etienne
30 Marceau, Étienne
30 Yang, Hailiang
26 Cheung, Ka Chun
25 Landriault, David
23 Guillen, Montserrat
22 Cossette, Hélène
22 Shiu, Elias S. W.
21 Dickson, David C. M.
21 Landsman, Zinoviy M.
21 Liang, Zongxia
18 Cai, Jun
18 Lefèvre, Claude
18 Sherris, Michael
18 Tang, Qihe
17 Hürlimann, Werner
17 Sundt, Bjørn Rosted
17 Verrall, Richard J.
16 De Waegenaere, Anja
16 Laeven, Roger J. A.
16 Loisel, Stéphane
16 Zeng, Yan
15 Li, Shuanming
15 Lin, X. Sheldon
14 Albrecher, Hansjörg
14 Delbaen, Freddy
14 Haezendonck, Jean
14 Li, Zhongfei
14 Siu, Tak Kuen
14 Tsai, Cary Chi-Liang
13 Asimit, Alexandru V.
13 Cairns, Andrew J. G.
13 Chi, Yichun
13 Frostig, Esther
13 Furman, Edward
13 Gatzert, Nadine
13 Hu, Taizhong
13 Li, Johnny Siu-Hang
13 Shen, Yang
13 Sordo, Miguel A.
13 Yuen, Kam Chuen
12 Beirlant, Jan
12 Blake, David
12 Milevsky, Moshe Arye
12 Nielsen, Jens Perch
12 Schmidli, Hanspeter
12 Tan, Ken Seng
12 Weng, Chengguo
12 Wüthrich, Mario Valentin
12 Yam, Sheung Chi Phillip
11 Avanzi, Benjamin
11 Cheung, Eric C. K.
11 Malinovskiĭ, Vsevolod Konstantinovich
11 Shapiro, Arnold F.
11 Valdez, Emiliano A.
11 Wang, Guojing
11 Wong, Bernard
11 Yang, Jingping
10 De Schepper, Ann
10 Deelstra, Griselda
10 Feng, Runhuan
10 Hainaut, Donatien
10 Hashorva, Enkelejd
10 Jin, Zhuo
10 Jones, Bruce L.
10 Pitselis, Georgios
10 Ramsay, Colin M.
10 Renshaw, Arthur E.
10 Taksar, Michael I.
10 Teugels, Jozef L.
10 Wang, Shaun S.
10 Wong, Hoi Ying
9 Bayraktar, Erhan
9 Boonen, Tim J.
9 Chen, An
9 Christiansen, Marcus Christian
9 Li, Bin
9 Lu, Yi
9 Mao, Tiantian
9 Pelsser, Antoon A. J.
9 Woo, Jae-Kyung
8 Badescu, Andrei L.
8 Bäuerle, Nicole
8 Chen, Ping
8 Genest, Christian
8 Guillou, Armelle
8 Guo, Junyi
8 Hipp, Christian
8 Li, Danping
8 Li, Xiaohu
8 Makov, Udi E.
8 Panjer, Harry H.
...and 2,368 more Authors

Publications by Year

Citations contained in zbMATH Open

2,223 Publications have been cited 27,202 times in 8,634 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.
244
2002
Pair-copula constructions of multiple dependence. Zbl 1165.60009
Aas, Kjersti; Czado, Claudia; Frigessi, Arnoldo; Bakken, Henrik
198
2009
Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529
Asmussen, Søren; Taksar, Michael
187
1997
A Poisson log-bilinear regression approach to the construction of projected lifetables. Zbl 1074.62524
Brouhns, Natacha; Denuit, Michel; Vermunt, Jeroen K.
168
2002
Estimates for the probability of ruin with special emphasis on the possibility of large claims. Zbl 0518.62083
Embrechts, P.; Veraverbeke, N.
163
1982
Axiomatic characterization of insurance prices. Zbl 0959.62099
Wang, Shaun S.; Young, Virginia R.; Panjer, Harry H.
161
1997
Risk theory for the compound Poisson process that is perturbed by diffusion. Zbl 0723.62065
Dufresne, François; Gerber, Hans U.
157
1991
The concept of comonotonicity in actuarial science and finance: applications. Zbl 1037.62107
Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D.
152
2002
Goodness-of-fit tests for copulas: A review and a power study. Zbl 1161.91416
Genest, Christian; Rémillard, Bruno; Beaudoin, David
148
2009
A cohort-based extension to the Lee-Carter model for mortality reduction factors. Zbl 1168.91418
Renshaw, A. E.; Haberman, S.
145
2006
On the time to ruin for Erlang(2) risk processes. Zbl 1074.91549
Dickson, David C. M.; Hipp, Christian
145
2001
Optimal investment for insurers. Zbl 1007.91025
Hipp, Christian; Plum, Michael
138
2000
On ruin for the Erlang \((n)\) risk process. Zbl 1188.91089
Li, Shuanming; Garrido, José
136
2004
Optimal investment for insurer with jump-diffusion risk process. Zbl 1129.91020
Yang, Hailiang; Zhang, Lihong
136
2005
Risk measures via \(g\)-expectations. Zbl 1147.91346
Rosazza Gianin, Emanuela
119
2006
Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts. Zbl 1075.62095
Dahl, Mikkel
113
2004
Affine processes for dynamic mortality and actuarial valuations. Zbl 1129.91024
Biffis, Enrico
110
2005
Mortality derivatives and the option to annuitise. Zbl 1074.62530
Milevsky, Moshe A.; Promislow, S. David
109
2001
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.
108
1997
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
105
2003
Valuation of the early-exercise price for options using simulations and nonparametric regression. Zbl 0894.62109
Carriere, Jacques F.
102
1996
Lee-Carter mortality forecasting with age-specific enhancement. Zbl 1103.91371
Renshaw, A. E.; Haberman, S.
97
2003
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Zbl 1147.93046
Bai, Lihua; Guo, Junyi
95
2008
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Zbl 0924.60075
Gerber, Hans U.; Landry, Bruno
93
1998
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
92
2000
Insurance pricing and increased limits ratemaking by proportional hazards transforms. Zbl 0837.62088
Wang, Shaun
90
1995
Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417
Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
90
2008
Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Zbl 1218.91167
Zeng, Yan; Li, Zhongfei
86
2011
Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556
Lin, X. Sheldon; Willmot, Gordon E.
84
1999
Ruin estimates under interest force. Zbl 0838.62098
Sundt, Bjørn; Teugels, Jozef L.
82
1995
Optimal dividends in the dual model. Zbl 1131.91026
Avanzi, Benjamin; Gerber, Hans U.; Shiu, Elias S. W.
81
2007
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.
79
2000
Valuation and hedging of life insurance liabilities with systematic mortality risk. Zbl 1201.91089
Dahl, Mikkel; Møller, Thomas
79
2006
On convex principles of premium calculation. Zbl 0579.62090
Deprez, Olivier; Gerber, Hans U.
78
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
77
2001
Upper and lower bounds for sums of random variables. Zbl 0989.60019
Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J.
76
2000
The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383
Lin, X. Sheldon; Pavlova, Kristina P.
76
2006
Optimal insurance under Wang’s premium principle. Zbl 1156.62364
Young, Virginia R.
73
1999
Optimal reinsurance under mean-variance premium principles. Zbl 1009.62096
Kaluszka, Marek
70
2001
Stop-loss order for portfolios of dependent risks. Zbl 0894.90022
Müller, Alfred
69
1997
Optimal reinsurance in relation to ordering of risks. Zbl 0683.62060
van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J.
68
1989
Financial valuation of guaranteed minimum withdrawal benefits. Zbl 1116.91048
Milevsky, Moshe A.; Salisbury, Thomas S.
67
2006
Optimal choice of dividend barriers for a risk process with stochastic return on investments. Zbl 0894.90048
Paulsen, Jostein; Gjessing, Håkon K.
64
1997
Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075
Kulenko, Natalie; Schmidli, Hanspeter
64
2008
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
63
2008
Ordering risks: expected utility theory versus Yaari’s dual theory of risk. Zbl 0907.90102
Wang, Shaun S.; Young, Virginia R.
62
1998
Generalized quantiles as risk measures. Zbl 1303.91089
Bellini, Fabio; Klar, Bernhard; Müller, Alfred; Rosazza Gianin, Emanuela
61
2014
Pricing exotic options under regime switching. Zbl 1141.91420
Boyle, Phelim; Draviam, Thangaraj
61
2007
A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048
Albrecher, Hansjörg; Boxma, Onno J.
61
2004
Optimal investment strategies in the presence of a minimum guarantee. Zbl 1074.91013
Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François
61
2003
Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. Zbl 1284.91250
Li, Zhongfei; Zeng, Yan; Lai, Yongzeng
60
2012
A generalized defective renewal equation for the surplus process perturbed by diffusion. Zbl 1074.91563
Tsai, Cary Chi-Liang; Willmot, Gordon E.
60
2002
Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496
Chen, Ping; Yang, Hailiang; Yin, George
60
2008
Affine stochastic mortality. Zbl 1103.60063
Schrager, David F.
59
2006
On a class of renewal risk models with a constant dividend barrier. Zbl 1122.91345
Li, Shuanming; Garrido, José
58
2004
On the discounted penalty function in a Markov-dependent risk model. Zbl 1129.91023
Albrecher, Hansjörg; Boxma, Onno J.
58
2005
The surpluses immediately before and at ruin, and the amount of the claim causing ruin. Zbl 0674.62072
Dufresne, François; Gerber, Hans U.
57
1988
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
57
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
56
2013
Asset and liability management under a continuous-time mean-variance optimization framework. Zbl 1151.91493
Chiu, Mei Choi; Li, Duan
56
2006
Weighted premium calculation principles. Zbl 1141.91509
Furman, Edward; Zitikis, Ričardas
56
2008
On reinsurance and investment for large insurance portfolios. Zbl 1141.91532
Luo, Shangzhen; Taksar, Michael; Tsoi, Allanus
55
2008
A synthesis of risk measures for capital adequacy. Zbl 0951.91032
Wirch, Julia Lynn; Hardy, Mary R.
54
1999
On stochastic mortality modeling. Zbl 1231.91227
Plat, Richard
54
2009
Evaluating and extending the Lee - Carter model for mortality forecasting: bootstrap confidence interval. Zbl 1098.62138
Koissi, Marie-Claire; Shapiro, Arnold F.; Högnäs, Göran
54
2006
On the distribution of the surplus prior to ruin. Zbl 0770.62090
Dickson, David C. M.
53
1992
Fitting bivariate loss distributions with copulas. Zbl 0931.62044
Klugman, Stuart A.; Parsa, Rahul
53
1999
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010
Schachermayer, W.
52
1992
Optimal reinsurance with general risk measures. Zbl 1162.91394
Balbás, Alejandro; Balbás, Beatriz; Heras, Antonio
52
2009
On the discounted penalty function in the renewal risk model with general interclaim times. Zbl 1119.91058
Willmot, Gordon E.
51
2007
Ruin probabilities in the compound binomial model. Zbl 0778.62099
Willmot, Gordon E.
51
1993
On the expected discounted penalty function at ruin of a surplus process with interest. Zbl 1074.91027
Cai, Jun; Dickson, David C. M.
51
2002
Discounted probabilities and ruin theory in the compound binomial model. Zbl 1013.91063
Cheng, Shixue; Gerber, Hans U.; Shiu, Elias S. W.
50
2000
Comonotonicity, correlation order and premium principles. Zbl 0909.62110
Wang, Shaun; Dhaene, Jan
50
1998
Actuarial bridges to dynamic hedging and option pricing. Zbl 0896.62112
Gerber, Hans U.; Shiu, Elias S. W.
49
1996
The safest dependence structure among risks. Zbl 1072.62651
Dhaene, Jan; Denuit, Michel
49
1999
Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps. Zbl 1284.91282
Zeng, Yan; Li, Zhongfei; Lai, Yongzeng
49
2013
Estimating the tail-dependence coefficient: properties and pitfalls. Zbl 1101.62012
Frahm, Gabriel; Junker, Markus; Schmidt, Rafael
48
2005
Optimal investment and reinsurance of an insurer with model uncertainty. Zbl 1231.91257
Zhang, Xin; Siu, Tak Kuen
48
2009
Weighted risk capital allocations. Zbl 1189.62163
Furman, Edward; Zitikis, Ričardas
48
2008
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
48
2012
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
48
2002
Classical risk theory in an economic environment. Zbl 0622.62098
Delbaen, F.; Haezendonck, J.
47
1987
Some results on ruin probabilities in a two-dimensional risk model. Zbl 1055.91041
Chan, Wai-Sum; Yang, Hailiang; Zhang, Lianzeng
47
2003
How long is the surplus below zero? Zbl 0777.62096
Dos Reis, Alfredo Egídio
47
1993
On the dependency of risks in the individual life model. Zbl 0931.62089
Dhaene, J.; Goovaerts, M. J.
46
1997
Risk aggregation with dependence uncertainty. Zbl 1291.91090
Bernard, Carole; Jiang, Xiao; Wang, Ruodu
46
2014
Ruin probabilities for time-correlated claims in the compound binomial model. Zbl 1074.91032
Yuen, K. C.; Guo, J. Y.
46
2001
Optimal pension management in a stochastic framework. Zbl 1068.91028
Battocchio, Paolo; Menoncin, Francesco
46
2004
When does the surplus reach a given target? Zbl 0731.62153
Gerber, Hans U.
46
1990
Some new classes of consistent risk measures. Zbl 1188.91087
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe
45
2004
Bayesian Poisson log-bilinear mortality projections. Zbl 1110.62142
Czado, Claudia; Delwarde, Antoine; Denuit, Michel
45
2005
Decision theoretic foundations of credibility theory. Zbl 0687.62087
Heilmann, Wolf-Rüdiger
45
1989
Optimal control of risk exposure, reinsurance and investments for insurance portfolios. Zbl 1052.62107
Irgens, Christian; Paulsen, Jostein
45
2004
Rational hedging and valuation of integrated risks under constant absolute risk aversion. Zbl 1072.91025
Becherer, Dirk
45
2003
Optimal investment for an insurer: the martingale approach. Zbl 1141.91470
Wang, Zengwu; Xia, Jianming; Zhang, Lihong
44
2007
Optimal dividend and issuance of equity policies in the presence of proportional costs. Zbl 1141.91528
Løkka, Arne; Zervos, Mihail
44
2008
Stochastic bounds on sums of dependent risks. Zbl 1028.91553
Denuit, M.; Genest, C.; Marceau, É.
43
1999
Optimal investment choices post-retirement in a defined contribution pension scheme. Zbl 1093.91027
Gerrard, Russell; Haberman, Steven; Vigna, Elena
43
2004
Optimal investment strategies and risk measures in defined contribution pension schemes. Zbl 1039.91025
Haberman, Steven; Vigna, Elena
43
2002
Volterra mortality model: actuarial valuation and risk management with long-range dependence. Zbl 1460.91240
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying
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
1
2021
Model-independent price bounds for catastrophic mortality bonds. Zbl 1460.91209
Bahl, Raj Kumari; Sabanis, Sotirios
1
2021
Law-invariant functionals that collapse to the mean. Zbl 1466.91250
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor
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
Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility. Zbl 1431.91347
Yan, Tingjin; Wong, Hoi Ying
5
2020
Nash equilibria in optimal reinsurance bargaining. Zbl 1446.91054
Anthropelos, Michail; Boonen, Tim J.
3
2020
The diffusion of complex securities: the case of CAT bonds. Zbl 1431.91324
Faias, José Afonso; Guedes, José
2
2020
Convex risk functionals: representation and applications. Zbl 1431.91340
Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu
2
2020
Generalized expected discounted penalty function at general drawdown for Lévy risk processes. Zbl 1435.91162
Wang, Wenyuan; Chen, Ping; Li, Shuanming
2
2020
Incorporating hierarchical credibility theory into modelling of multi-country mortality rates. Zbl 1435.91160
Tsai, Cary Chi-Liang; Wu, Adelaide Di
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
Concave distortion risk minimizing reinsurance design under adverse selection. Zbl 1435.91142
Cheung, Ka Chun; Phillip Yam, Sheung Chi; Yuen, Fei Lung; Zhang, Yiying
2
2020
Nonlinear reserving and multiple contract modifications in life insurance. Zbl 1446.91058
Christiansen, Marcus C.; Djehiche, Boualem
2
2020
Pitfalls and merits of cointegration-based mortality models. Zbl 1431.91334
Jarner, Søren F.; Jallbjørn, Snorre
1
2020
On log-normal convolutions: an analytical-numerical method with applications to economic capital determination. Zbl 1431.91327
Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey
1
2020
Parisian ruin with a threshold dividend strategy under the dual Lévy risk model. Zbl 1431.91345
Yang, Chen; Sendova, Kristina P.; Li, Zhong
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
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
A Bowley solution with limited ceded risk for a monopolistic reinsurer. Zbl 1435.91143
Chi, Yichun; Tan, Ken Seng; Zhuang, Sheng Chao
1
2020
Optimal prevention strategies in the classical risk model. Zbl 1435.91149
Gauchon, Romain; Loisel, Stéphane; Rullière, Jean-Louis; Trufin, Julien
1
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
1
2020
Dynamic consumption and portfolio choice under prospect theory. Zbl 1435.91174
van Bilsen, Servaas; Laeven, Roger J. A.
1
2020
Risk analysis with categorical explanatory variables. Zbl 1435.91155
Kang, Seul Ki; Peng, Liang; Xiao, Hongmin
1
2020
On occupation times in the red of Lévy risk models. Zbl 1445.91053
Landriault, David; Li, Bin; Lkabous, Mohamed Amine
1
2020
Robust optimal reinsurance-investment strategy with price jumps and correlated claims. Zbl 1445.91051
Chen, Zhiping; Yang, Peng
1
2020
Optimal insurance with belief heterogeneity and incentive compatibility. Zbl 1445.91052
Chi, Yichun; Zhuang, Sheng Chao
1
2020
Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age? Zbl 1446.91068
Milevsky, Moshe A.
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
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
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 reinsurance-investment strategy for a dynamic contagion claim model. Zbl 1446.91056
Cao, Jingyi; Landriault, David; Li, Bin
1
2020
Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR. Zbl 1447.91137
Forsyth, Peter A.
1
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.
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
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
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
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
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
1
2020
Empirical analysis and forecasting of multiple yield curves. Zbl 1452.91316
Gerhart, Christoph; Lütkebohmert, Eva
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
Risk-adjusted bowley reinsurance under distorted probabilities. Zbl 1411.91272
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying
7
2019
Robust non-zero-sum investment and reinsurance game with default risk. Zbl 1419.91386
Wang, Ning; Zhang, Nan; Jin, Zhuo; Qian, Linyi
6
2019
Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets. Zbl 1419.91349
Bi, Junna; Cai, Jun
6
2019
On a family of risk measures based on largest claims. Zbl 1411.91268
Castaño-Martínez, Antonia; Pigueiras, Gema; Sordo, Mangel A.
5
2019
A forecast reconciliation approach to cause-of-death mortality modeling. Zbl 1411.91298
Li, Han; Li, Hong; Lu, Yang; Panagiotelis, Anastasios
5
2019
Optimal insurance under rank-dependent expected utility. Zbl 1410.91266
Ghossoub, Mario
5
2019
Fair valuation of insurance liability cash-flow streams in continuous time: theory. Zbl 1425.91219
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
5
2019
On the existence of a representative reinsurer under heterogeneous beliefs. Zbl 1425.91214
Boonen, Tim J.; Ghossoub, Mario
5
2019
Budget-constrained optimal insurance without the nonnegativity constraint on indemnities. Zbl 1419.91365
Ghossoub, Mario
4
2019
Budget-constrained optimal insurance with belief heterogeneity. Zbl 1427.91229
Ghossoub, Mario
4
2019
On modeling left-truncated loss data using mixtures of distributions. Zbl 1415.62076
Blostein, Martin; Miljkovic, Tatjana
4
2019
Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers. Zbl 1419.91385
Wang, Hao; Wang, Rongming; Wei, Jiaqin
4
2019
On optimal reinsurance treaties in cooperative game under heterogeneous beliefs. Zbl 1419.91372
Jiang, Wenjun; Ren, Jiandong; Yang, Chen; Hong, Hanping
4
2019
Modern tontine with bequest: innovation in pooled annuity products. Zbl 1411.91265
Bernhardt, Thomas; Donnelly, Catherine
4
2019
The collective reserving model. Zbl 1410.91290
Wahl, Felix; Lindholm, Mathias; Verrall, Richard
4
2019
Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency. Zbl 1425.91212
Barigou, Karim; Chen, Ze; Dhaene, Jan
4
2019
Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework. Zbl 1425.91217
Chen, Lv; Shen, Yang
4
2019
A continuous-time stochastic model for the mortality surface of multiple populations. Zbl 1425.91226
Jevtić, Petar; Regis, Luca
4
2019
Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk. Zbl 1419.91390
Zhou, Kenneth Q.; Li, Johnny Siu-Hang
3
2019
A class of mixture of experts models for general insurance: theoretical developments. Zbl 1427.91228
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
3
2019
Options on tontines: an innovative way of combining tontines and annuities. Zbl 1427.91221
Chen, An; Rach, Manuel
3
2019
Optimal investment of DC pension plan under short-selling constraints and portfolio insurance. Zbl 1419.91357
Dong, Yinghui; Zheng, Harry
3
2019
Model-free bounds on value-at-risk using extreme value information and statistical distances. Zbl 1411.91305
Lux, Thibaut; Papapantoleon, Antonis
3
2019
A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans. Zbl 1411.91304
Li, Yuying; Forsyth, Peter A.
3
2019
On a family of risk measures based on proportional hazards models and tail probabilities. Zbl 1411.91309
Psarrakos, Georgios; Sordo, Miguel A.
3
2019
A censored copula model for micro-level claim reserving. Zbl 1410.91278
Lopez, Olivier
3
2019
Collective risk models with dependence. Zbl 1410.91261
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre
3
2019
Derivatives trading for insurers. Zbl 1419.91387
Xue, Xiaole; Wei, Pengyu; Weng, Chengguo
2
2019
An optimization approach to adaptive multi-dimensional capital management. Zbl 1419.91355
Delsing, G. A.; Mandjes, M. R. H.; Spreij, P. J. C.; Winands, E. M. M.
2
2019
Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan. Zbl 1427.91245
Wang, Suxin; Lu, Yi
2
2019
Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits. Zbl 1419.91360
Feng, Runhuan; Yi, Bingji
2
2019
Random distribution kernels and three types of defaultable contingent payoffs. Zbl 1415.62083
Ye, Jinchun
2
2019
Dynamic risk-sharing game and reinsurance contract design. Zbl 1411.91270
Chen, Shumin; Liu, Yanchu; Weng, Chengguo
2
2019
Optimal proportional reinsurance and investment for stochastic factor models. Zbl 1410.91257
Brachetta, Matteo; Ceci, C.
2
2019
Optimal robust insurance with a finite uncertainty set. Zbl 1410.91254
Asimit, Alexandru V.; Hu, Junlei; Xie, Yuantao
2
2019
Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market. Zbl 1410.91255
Asmussen, Søren; Christensen, Bent Jesper; Thøgersen, Julie
2
2019
A dependent frequency-severity approach to modeling longitudinal insurance claims. Zbl 1410.91271
Lee, Gee Y.; Shi, Peng
2
2019
Option pricing under regime-switching models: novel approaches removing path-dependence. Zbl 1410.91448
Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre
2
2019
Optimal consumption and investment with insurer default risk. Zbl 1425.91225
Jang, Bong-Gyu; Koo, Hyeng Keun; Park, Seyoung
2
2019
Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences. Zbl 1425.91218
Chong, Wing Fung
2
2019
Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion. Zbl 1425.91238
Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, Wenjun
2
2019
The long-term behavior of number of near-maximum insurance claims. Zbl 1425.91220
Dembińska, Anna; Buraczyńska, Aneta
2
2019
Forecasting mortality rate improvements with a high-dimensional VAR. Zbl 1425.91223
Guibert, Quentin; Lopez, Olivier; Piette, Pierrick
2
2019
Dynamic hybrid products with guarantees – an optimal portfolio framework. Zbl 1419.91369
Hambardzumyan, Hayk; Korn, Ralf
1
2019
Hedging of crop harvest with derivatives on temperature. Zbl 1419.91367
Hainaut, Donatien
1
2019
How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach. Zbl 1427.91234
Kaakaï, Sarah; Labit Hardy, Héloïse; Arnold, Séverine; El Karoui, Nicole
1
2019
Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks. Zbl 1427.91242
Sun, Jingyun; Yao, Haixiang; Kang, Zhilin
1
2019
Pricing industry loss warranties in a Lévy-Frailty framework. Zbl 1427.91219
Beer, Simone; Braun, Alexander; Marugg, Andrin
1
2019
To borrow or insure? Long term care costs and the impact of housing. Zbl 1419.91383
Shao, Adam W.; Chen, Hua; Sherris, Michael
1
2019
On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins. Zbl 1419.91358
England, P. D.; Verrall, R. J.; Wüthrich, Mario V.
1
2019
Multivariate count data generalized linear models: three approaches based on the Sarmanov distribution. Zbl 1415.62077
Bolancé, Catalina; Vernic, Raluca
1
2019
A Cape Cod model for the exponential dispersion family. Zbl 1415.62082
Taylor, Greg
1
2019
Affordable and adequate annuities with stable payouts: fantasy or reality? Zbl 1411.91318
van Bilsen, Servaas; Linders, Daniël
1
2019
...and 1619 more Documents
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Cited by 7,311 Authors

99 Denuit, Michel M.
99 Yang, Hailiang
90 Goovaerts, Marc J.
70 Haberman, Steven
68 Dhaene, Jan
67 Siu, Tak Kuen
67 Young, Virginia R.
63 Willmot, Gordon E.
62 Yuen, Kam Chuen
59 Tang, Qihe
50 Hashorva, Enkelejd
49 Albrecher, Hansjörg
48 Landriault, David
47 Zhang, Zhimin
45 Cheung, Ka Chun
45 Durante, Fabrizio
44 Guo, Junyi
43 Lefèvre, Claude
43 Yin, Chuancun
42 Cai, Jun
42 Marceau, Étienne
41 Li, Shuanming
41 Loisel, Stéphane
40 Wang, Ruodu
39 Fernández-Sánchez, Juan
39 Gerber, Hans U.
39 Wang, Rongming
39 Wu, Rong
37 Cossette, Hélène
37 Hu, Taizhong
37 Hu, Yijun
37 Li, Xiaohu
36 Hürlimann, Werner
35 Guillen, Montserrat
35 Jin, Zhuo
35 Wang, Guojing
34 Li, Zhongfei
33 Elliott, Robert James
33 Kaas, Rob
33 Sherris, Michael
33 Zitikis, Ričardas
32 Czado, Claudia
32 de Vylder, Florent Etienne
32 Dickson, David C. M.
32 Frostig, Esther
32 Shiu, Elias S. W.
32 Zeng, Yan
31 Blake, David
31 Forsyth, Peter A.
31 Kremer, Erhard K.
31 Palmowski, Zbigniew
30 Cheung, Eric C. K.
30 Peng, Liang
30 Sordo, Miguel A.
30 Úbeda-Flores, Manuel
30 Weng, Chengguo
29 Klüppelberg, Claudia
29 Landsman, Zinoviy M.
29 Nielsen, Jens Perch
29 Shen, Yang
29 Tan, Ken Seng
29 Tsai, Cary Chi-Liang
28 Liang, Zongxia
28 Mao, Tiantian
28 Vanduffel, Steven
27 Li, Jinzhu
27 Schmidli, Hanspeter
27 Wang, Yuebao
27 Wüthrich, Mario Valentin
26 Cairns, Andrew J. G.
26 Lin, X. Sheldon
26 Šiaulys, Jonas
25 Asimit, Alexandru V.
25 Asmussen, Søren
25 Avram, Florin
25 Embrechts, Paul
25 Li, Johnny Siu-Hang
25 Wong, Hoi Ying
24 Badescu, Andrei L.
24 Bernard, Carole
24 Boonen, Tim J.
24 Christiansen, Marcus Christian
24 Deelstra, Griselda
24 Feng, Runhuan
24 Genest, Christian
24 Gómez-Déniz, Emilio
24 Joe, Harry
24 Liang, Zhibin
24 Rong, Ximin
24 Valdez, Emiliano A.
24 Yam, Sheung Chi Phillip
24 Yang, Hu
24 Yang, Jingping
24 Zhao, Hui
23 Chen, An
23 Chen, Ping
23 Rüschendorf, Ludger
23 Wang, Kaiyong
22 Laeven, Roger J. A.
22 Steffensen, Mogens
...and 7,211 more Authors
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Cited in 420 Journals

2,120 Insurance Mathematics & Economics
414 Scandinavian Actuarial Journal
298 North American Actuarial Journal
260 Statistics & Probability Letters
246 Journal of Computational and Applied Mathematics
217 ASTIN Bulletin
168 European Journal of Operational Research
148 Communications in Statistics. Theory and Methods
143 Journal of Multivariate Analysis
138 Journal of Applied Probability
134 Methodology and Computing in Applied Probability
134 Quantitative Finance
122 European Actuarial Journal
99 International Journal of Theoretical and Applied Finance
78 Stochastic Processes and their Applications
78 Finance and Stochastics
75 Scandinavian Actuarial Journal
73 Mathematical Finance
73 Stochastic Models
72 Journal of Mathematical Analysis and Applications
72 Mathematical Problems in Engineering
71 Advances in Applied Probability
69 Applied Mathematics and Computation
68 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
67 Annals of Operations Research
66 Computational Statistics and Data Analysis
66 Journal of Industrial and Management Optimization
61 Journal of Economic Dynamics & Control
59 Acta Mathematicae Applicatae Sinica. English Series
59 Dependence Modeling
57 The Annals of Applied Probability
54 Fuzzy Sets and Systems
54 Journal of Statistical Planning and Inference
50 Stochastic Analysis and Applications
50 Mathematics and Financial Economics
48 Lithuanian Mathematical Journal
46 Applied Stochastic Models in Business and Industry
45 Extremes
44 Mathematical Methods of Operations Research
42 Discrete Dynamics in Nature and Society
42 Decisions in Economics and Finance
38 Probability in the Engineering and Informational Sciences
37 Journal of Systems Science and Complexity
35 SIAM Journal on Financial Mathematics
34 Applied Mathematics. Series B (English Edition)
34 Bernoulli
33 Journal of Optimization Theory and Applications
32 Journal of Mathematical Economics
32 Operations Research Letters
32 Applied Mathematical Finance
31 Journal of Statistical Computation and Simulation
31 Statistical Papers
30 Frontiers of Mathematics in China
29 Journal of Econometrics
29 SIAM Journal on Control and Optimization
28 Journal of the Korean Statistical Society
27 Communications in Statistics. Simulation and Computation
27 Journal of Applied Statistics
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25 Metrika
25 Acta Mathematica Sinica. English Series
24 Statistics
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22 Computers & Mathematics with Applications
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20 Queueing Systems
19 Automatica
19 Mathematics of Operations Research
19 Economics Letters
19 Stochastics
17 Computational Statistics
17 Advances in Difference Equations
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17 Modern Stochastics. Theory and Applications
16 The Canadian Journal of Statistics
16 Optimization
16 Soft Computing
15 Kybernetika
15 Mathematics and Computers in Simulation
15 Applied Mathematical Modelling
15 Journal of Mathematical Sciences (New York)
15 Journal of Statistical Theory and Practice
15 AStA. Advances in Statistical Analysis
15 Electronic Journal of Statistics
14 Journal of the American Statistical Association
14 Journal of Economic Theory
14 Asia-Pacific Financial Markets
14 Statistical Methods and Applications
13 Scandinavian Journal of Statistics
13 Journal of Applied Mathematics
13 Mathematical Control and Related Fields
12 Theory of Probability and its Applications
12 Annals of the Institute of Statistical Mathematics
12 Operations Research
...and 320 more Journals
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Cited in 49 Fields

6,074 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
3,569 Statistics (62-XX)
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698 Systems theory; control (93-XX)
548 Operations research, mathematical programming (90-XX)
488 Numerical analysis (65-XX)
248 Calculus of variations and optimal control; optimization (49-XX)
114 Partial differential equations (35-XX)
90 Computer science (68-XX)
58 Integral equations (45-XX)
54 Measure and integration (28-XX)
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47 Biology and other natural sciences (92-XX)
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21 Information and communication theory, circuits (94-XX)
18 Operator theory (47-XX)
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15 Mathematical logic and foundations (03-XX)
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12 General and overarching topics; collections (00-XX)
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3 Commutative algebra (13-XX)
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