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: Journal; Indexed cover-to-cover Documents Indexed: 2,815 Publications (since 1982) References Indexed: 2,777 Publications with 73,349 References. all top 5 Latest Issues 114 (2024) 113 (2023) 112 (2023) 111 (2023) 110 (2023) 109 (2023) 108 (2023) 107 (2022) 106 (2022) 105 (2022) 104 (2022) 103 (2022) 102 (2022) 101 (2021) 100 (2021) 99 (2021) 98 (2021) 97 (2021) 96 (2021) 95 (2020) 94 (2020) 93 (2020) 92 (2020) 91 (2020) 90 (2020) 89 (2019) 88 (2019) 87 (2019) 86 (2019) 85 (2019) 84 (2019) 83 (2018) 82 (2018) 81 (2018) 80 (2018) 79 (2018) 78 (2018) 77 (2017) 76 (2017) 75 (2017) 74 (2017) 73 (2017) 72 (2017) 71 (2016) 70 (2016) 69 (2016) 68 (2016) 67 (2016) 66 (2016) 65 (2015) 64 (2015) 63 (2015) 62 (2015) 61 (2015) 60 (2015) 59 (2014) 58 (2014) 57 (2014) 56 (2014) 55 (2014) 54 (2014) 53, No. 3 (2013) 53, No. 2 (2013) 53, No. 1 (2013) 52, No. 3 (2013) 52, No. 2 (2013) 52, No. 1 (2013) 51, No. 3 (2012) 51, No. 2 (2012) 51, No. 1 (2012) 50, No. 3 (2012) 50, No. 2 (2012) 50, No. 1 (2012) 49, No. 3 (2011) 49, No. 2 (2011) 49, No. 1 (2011) 48, No. 3 (2011) 48, No. 2 (2011) 48, No. 1 (2011) 47, No. 3 (2010) 47, No. 2 (2010) 47, No. 1 (2010) 46, No. 3 (2010) 46, No. 2 (2010) 46, No. 1 (2010) 45, No. 3 (2009) 45, No. 2 (2009) 45, No. 1 (2009) 44, No. 3 (2009) 44, No. 2 (2009) 44, No. 1 (2009) 43, No. 3 (2008) 43, No. 2 (2008) 43, No. 1 (2008) 42, No. 3 (2008) 42, No. 2 (2008) 42, No. 1 (2008) 41, No. 3 (2007) 41, No. 2 (2007) 41, No. 1 (2007) ...and 107 more Volumes all top 5 Authors 77 Goovaerts, Marc J. 55 Haberman, Steven 45 Denuit, Michel M. 41 Young, Virginia R. 40 Dhaene, Jan 37 Gerber, Hans U. 37 Kaas, Rob 37 Willmot, Gordon E. 35 de Vylder, Florent Etienne 31 Marceau, Étienne 30 Yang, Hailiang 27 Cheung, Ka Chun 26 Landriault, David 25 Liang, Zongxia 24 Guillen, Montserrat 23 Cossette, Hélène 23 Landsman, Zinoviy M. 22 Shiu, Elias S. W. 21 Dickson, David C. M. 20 Tang, Qihe 19 Laeven, Roger J. A. 19 Lefèvre, Claude 19 Sherris, Michael 18 Albrecher, Hansjörg 17 Chi, Yichun 17 Hürlimann, Werner 17 Li, Shuanming 17 Loisel, Stéphane 17 Sundt, Bjørn Rosted 17 Tan, Ken Seng 17 Verrall, Richard J. 17 Zeng, Yan 16 Cai, Jun 16 De Waegenaere, Anja 16 Siu, Tak Kuen 15 Hu, Taizhong 15 Li, Johnny Siu-Hang 15 Li, Zhongfei 15 Lin, X. Sheldon 15 Shen, Yang 15 Tsai, Cary Chi-Liang 15 Wüthrich, Mario Valentin 14 Delbaen, Freddy 14 Furman, Edward 14 Haezendonck, Jean 14 Milevsky, Moshe Arye 14 Wang, Ruodu 13 Asimit, Alexandru V. 13 Avanzi, Benjamin 13 Beirlant, Jan 13 Boonen, Tim J. 13 Cairns, Andrew J. G. 13 Feng, Runhuan 13 Frostig, Esther 13 Gatzert, Nadine 13 Jin, Zhuo 13 Sordo, Miguel Ángel 13 Weng, Chengguo 13 Wong, Bernard 13 Wong, Hoi Ying 13 Yuen, Kam Chuen 12 Blake, David 12 Hainaut, Donatien 12 Nielsen, Jens Perch 12 Schmidli, Hanspeter 12 Valdez, Emiliano A. 12 Woo, Jae-Kyung 12 Yam, Sheung Chi Phillip 11 Malinovskiĭ, Vsevolod Konstantinovich 11 Mao, Tiantian 11 Shapiro, Arnold F. 11 Yang, Jingping 11 Zitikis, Ričardas 10 Chen, An 10 Christiansen, Marcus Christian 10 De Schepper, Ann 10 Deelstra, Griselda 10 Guillou, Armelle 10 Hashorva, Enkelejd 10 Jones, Bruce L. 10 Li, Bin 10 Li, Danping 10 Peng, Liang 10 Pitselis, Georgios 10 Ramsay, Colin M. 10 Renshaw, Arthur E. 10 Taksar, Michael I. 10 Taylor, Greg 10 Teugels, Jozef L. 10 Trufin, Julien 10 Wang, Shaun S. 9 Bayraktar, Erhan 9 Boyle, Phelim P. 9 Cheung, Eric C. K. 9 Ghossoub, Mario 9 Guan, Guohui 9 He, Lin 9 Lu, Yi 9 Pelsser, Antoon A. J. 9 Ruß, Jochen ...and 2,620 more Authors all top 5 Fields 2,348 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,219 Statistics (62-XX) 729 Probability theory and stochastic processes (60-XX) 188 Systems theory; control (93-XX) 83 Operations research, mathematical programming (90-XX) 82 Numerical analysis (65-XX) 35 Calculus of variations and optimal control; optimization (49-XX) 18 General and overarching topics; collections (00-XX) 16 Integral equations (45-XX) 16 Computer science (68-XX) 10 Partial differential equations (35-XX) 9 Mathematical logic and foundations (03-XX) 9 Integral transforms, operational calculus (44-XX) 8 Biology and other natural sciences (92-XX) 5 Measure and integration (28-XX) 4 Special functions (33-XX) 4 Functional analysis (46-XX) 4 Geophysics (86-XX) 3 History and biography (01-XX) 3 Real functions (26-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Ordinary differential equations (34-XX) 2 Difference and functional equations (39-XX) 1 Combinatorics (05-XX) 1 Field theory and polynomials (12-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Convex and discrete geometry (52-XX) 1 General topology (54-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 2,495 Publications have been cited 36,134 times in 11,015 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. 295 2002 Pair-copula constructions of multiple dependence. Zbl 1165.60009 Aas, Kjersti; Czado, Claudia; Frigessi, Arnoldo; Bakken, Henrik 266 2009 Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529 Asmussen, Søren; Taksar, Michael 227 1997 A Poisson log-bilinear regression approach to the construction of projected lifetables. Zbl 1074.62524 Brouhns, Natacha; Denuit, Michel; Vermunt, Jeroen K. 202 2002 Axiomatic characterization of insurance prices. Zbl 0959.62099 Wang, Shaun S.; Young, Virginia R.; Panjer, Harry H. 199 1997 A cohort-based extension to the Lee-Carter model for mortality reduction factors. Zbl 1168.91418 Renshaw, A. E.; Haberman, S. 193 2006 Goodness-of-fit tests for copulas: A review and a power study. Zbl 1161.91416 Genest, Christian; Rémillard, Bruno; Beaudoin, David 189 2009 Optimal investment for insurer with jump-diffusion risk process. Zbl 1129.91020 Yang, Hailiang; Zhang, Lihong 177 2005 Estimates for the probability of ruin with special emphasis on the possibility of large claims. Zbl 0518.62083 Embrechts, P.; Veraverbeke, N. 175 1982 Risk theory for the compound Poisson process that is perturbed by diffusion. Zbl 0723.62065 Dufresne, François; Gerber, Hans U. 173 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. 168 2002 Optimal investment for insurers. Zbl 1007.91025 Hipp, Christian; Plum, Michael 162 2000 On the time to ruin for Erlang(2) risk processes. Zbl 1074.91549 Dickson, David C. M.; Hipp, Christian 160 2001 On ruin for the Erlang \((n)\) risk process. Zbl 1188.91089 Li, Shuanming; Garrido, José 151 2004 Risk measures via \(g\)-expectations. Zbl 1147.91346 Rosazza Gianin, Emanuela 147 2006 Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Zbl 1147.93046 Bai, Lihua; Guo, Junyi 139 2008 Affine processes for dynamic mortality and actuarial valuations. Zbl 1129.91024 Biffis, Enrico 133 2005 Valuation of the early-exercise price for options using simulations and nonparametric regression. Zbl 0894.62109 Carriere, Jacques F. 128 1996 Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts. Zbl 1075.62095 Dahl, Mikkel 126 2004 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 124 2003 Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Zbl 1218.91167 Zeng, Yan; Li, Zhongfei 122 2011 Mortality derivatives and the option to annuitise. Zbl 1074.62530 Milevsky, Moshe A.; Promislow, S. David 120 2001 Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417 Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 120 2008 Lee-Carter mortality forecasting with age-specific enhancement. Zbl 1103.91371 Renshaw, A. E.; Haberman, S. 118 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. 115 1997 Insurance pricing and increased limits ratemaking by proportional hazards transforms. Zbl 0837.62088 Wang, Shaun 114 1995 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 106 2000 On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Zbl 0924.60075 Gerber, Hans U.; Landry, Bruno 105 1998 Optimal dividends in the dual model. Zbl 1131.91026 Avanzi, Benjamin; Gerber, Hans U.; Shiu, Elias S. W. 104 2007 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 99 2013 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 98 2001 On convex principles of premium calculation. Zbl 0579.62090 Deprez, Olivier; Gerber, Hans U. 94 1985 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. 93 2000 Generalized quantiles as risk measures. Zbl 1303.91089 Bellini, Fabio; Klar, Bernhard; Müller, Alfred; Rosazza Gianin, Emanuela 93 2014 Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556 Lin, X. Sheldon; Willmot, Gordon E. 92 1999 Optimal insurance under Wang’s premium principle. Zbl 1156.62364 Young, Virginia R. 92 1999 The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383 Lin, X. Sheldon; Pavlova, Kristina P. 90 2006 Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. Zbl 1284.91250 Li, Zhongfei; Zeng, Yan; Lai, Yongzeng 90 2012 Valuation and hedging of life insurance liabilities with systematic mortality risk. Zbl 1201.91089 Dahl, Mikkel; Møller, Thomas 89 2006 Ruin estimates under interest force. Zbl 0838.62098 Sundt, Bjørn; Teugels, Jozef L. 88 1995 Optimal reinsurance under mean-variance premium principles. Zbl 1009.62096 Kaluszka, Marek 86 2001 Upper and lower bounds for sums of random variables. Zbl 0989.60019 Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J. 86 2000 Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075 Kulenko, Natalie; Schmidli, Hanspeter 84 2008 Financial valuation of guaranteed minimum withdrawal benefits. Zbl 1116.91048 Milevsky, Moshe A.; Salisbury, Thomas S. 81 2006 Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496 Chen, Ping; Yang, Hailiang; Yin, George 81 2008 Optimal reinsurance in relation to ordering of risks. Zbl 0683.62060 van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J. 78 1989 Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps. Zbl 1348.91192 Zeng, Yan; Li, Danping; Gu, Ailing 78 2016 Optimal investment strategies in the presence of a minimum guarantee. Zbl 1074.91013 Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François 77 2003 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 76 2008 Pricing exotic options under regime switching. Zbl 1141.91420 Boyle, Phelim; Draviam, Thangaraj 75 2007 Stop-loss order for portfolios of dependent risks. Zbl 0894.90022 Müller, Alfred 75 1997 Weighted premium calculation principles. Zbl 1141.91509 Furman, Edward; Zitikis, Ričardas 75 2008 On stochastic mortality modeling. Zbl 1231.91227 Plat, Richard 73 2009 Asset and liability management under a continuous-time mean-variance optimization framework. Zbl 1151.91493 Chiu, Mei Choi; Li, Duan 73 2006 Affine stochastic mortality. Zbl 1103.60063 Schrager, David F. 72 2006 Ordering risks: expected utility theory versus Yaari’s dual theory of risk. Zbl 0907.90102 Wang, Shaun S.; Young, Virginia R. 70 1998 A generalized defective renewal equation for the surplus process perturbed by diffusion. Zbl 1074.91563 Tsai, Cary Chi-Liang; Willmot, Gordon E. 70 2002 A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048 Albrecher, Hansjörg; Boxma, Onno J. 70 2004 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 70 2012 Fitting bivariate loss distributions with copulas. Zbl 0931.62044 Klugman, Stuart A.; Parsa, Rahul 68 1999 Optimal choice of dividend barriers for a risk process with stochastic return on investments. Zbl 0894.90048 Paulsen, Jostein; Gjessing, Håkon K. 68 1997 Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process. Zbl 1318.91123 Shen, Yang; Zeng, Yan 68 2015 Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps. Zbl 1284.91282 Zeng, Yan; Li, Zhongfei; Lai, Yongzeng 68 2013 On the discounted penalty function in a Markov-dependent risk model. Zbl 1129.91023 Albrecher, Hansjörg; Boxma, Onno J. 67 2005 Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles. Zbl 1284.91222 Cui, Wei; Yang, Jingping; Wu, Lan 66 2013 On a class of renewal risk models with a constant dividend barrier. Zbl 1122.91345 Li, Shuanming; Garrido, José 65 2004 On reinsurance and investment for large insurance portfolios. Zbl 1141.91532 Luo, Shangzhen; Taksar, Michael; Tsoi, Allanus 65 2008 Optimal reinsurance with general risk measures. Zbl 1162.91394 Balbás, Alejandro; Balbás, Beatriz; Heras, Antonio 64 2009 Optimal dividend problem with a terminal value for spectrally positive Lévy processes. Zbl 1290.91176 Yin, Chuancun; Wen, Yuzhen 63 2013 Weighted risk capital allocations. Zbl 1189.62163 Furman, Edward; Zitikis, Ričardas 62 2008 Constant elasticity of variance model for proportional reinsurance and investment strategies. Zbl 1231.91193 Gu, Mengdi; Yang, Yipeng; Li, Shoude; Zhang, Jingyi 62 2010 Evaluating and extending the Lee-Carter model for mortality forecasting: bootstrap confidence interval. Zbl 1098.62138 Koissi, Marie-Claire; Shapiro, Arnold F.; Högnäs, Göran 62 2006 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 62 2008 Optimal pension management in a stochastic framework. Zbl 1068.91028 Battocchio, Paolo; Menoncin, Francesco 61 2004 Actuarial bridges to dynamic hedging and option pricing. Zbl 0896.62112 Gerber, Hans U.; Shiu, Elias S. W. 61 1996 Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model. Zbl 1290.91106 Zhao, Hui; Rong, Ximin; Zhao, Yonggan 61 2013 Optimal asset allocation for DC pension plans under inflation. Zbl 1284.91520 Han, Nan-Wei; Hung, Mao-Wei 61 2012 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 The safest dependence structure among risks. Zbl 1072.62651 Dhaene, Jan; Denuit, Michel 60 1999 A synthesis of risk measures for capital adequacy. Zbl 0951.91032 Wirch, Julia Lynn; Hardy, Mary R. 59 1999 Second order regular variation and conditional tail expectation of multiple risks. Zbl 1228.91039 Hua, Lei; Joe, Harry 59 2011 Ruin probabilities for time-correlated claims in the compound binomial model. Zbl 1074.91032 Yuen, K. C.; Guo, J. Y. 59 2001 Ruin probabilities in the compound binomial model. Zbl 0778.62099 Willmot, Gordon E. 59 1993 On the discounted penalty function in the renewal risk model with general interclaim times. Zbl 1119.91058 Willmot, Gordon E. 58 2007 Optimal investment for an insurer: the martingale approach. Zbl 1141.91470 Wang, Zengwu; Xia, Jianming; Zhang, Lihong 58 2007 Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process. Zbl 1218.91084 Liang, Zhibin; Yuen, Kam Chuen; Guo, Junyi 58 2011 Comonotonicity, correlation order and premium principles. Zbl 0909.62110 Wang, Shaun; Dhaene, Jan 58 1998 Estimating the tail-dependence coefficient: properties and pitfalls. Zbl 1101.62012 Frahm, Gabriel; Junker, Markus; Schmidt, Rafael 58 2005 Discounted probabilities and ruin theory in the compound binomial model. Zbl 1013.91063 Cheng, Shixue; Gerber, Hans U.; Shiu, Elias S. W. 58 2000 On the distribution of the surplus prior to ruin. Zbl 0770.62090 Dickson, David C. M. 58 1992 A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010 Schachermayer, W. 58 1992 Marginal indemnification function formulation for optimal reinsurance. Zbl 1348.91196 Zhuang, Sheng Chao; Weng, Chengguo; Tan, Ken Seng; Assa, Hirbod 58 2016 Optimal investment and reinsurance of an insurer with model uncertainty. Zbl 1231.91257 Zhang, Xin; Siu, Tak Kuen 57 2009 Optimal investment-reinsurance policy for an insurance company with VaR constraint. Zbl 1231.91155 Chen, Shumin; Li, Zhongfei; Li, Kemian 57 2010 Risk aggregation with dependence uncertainty. Zbl 1291.91090 Bernard, Carole; Jiang, Xiao; Wang, Ruodu 57 2014 Optimal control of risk exposure, reinsurance and investments for insurance portfolios. Zbl 1052.62107 Irgens, Christian; Paulsen, Jostein 57 2004 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 56 2002 A uniform asymptotic estimate for discounted aggregate claims with subexponential tails. Zbl 1142.62090 Hao, Xuemiao; Tang, Qihe 56 2008 Optimal dividend and issuance of equity policies in the presence of proportional costs. Zbl 1141.91528 Løkka, Arne; Zervos, Mihail 55 2008 Asymptotics for risk capital allocations based on conditional tail expectation. Zbl 1228.91029 Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; Vernic, Raluca 55 2011 Valuation of general GMWB annuities in a low interest rate environment. Zbl 1528.91062 Fontana, Claudio; Rotondi, Francesco 1 2023 Dynamic asset-liability management with frictions. Zbl 1520.91359 Yan, Tingjin; Han, Jinhui; Ma, Guiyuan; Siu, Chi Chung 1 2023 Risk aggregation with FGM copulas. Zbl 1520.91312 Blier-Wong, Christopher; Cossette, Hélène; Marceau, Etienne 1 2023 Pairwise counter-monotonicity. Zbl 1520.91336 Lauzier, Jean-Gabriel; Lin, Liyuan; Wang, Ruodu 1 2023 Probability equivalent level of value at risk and higher-order expected shortfalls. Zbl 1507.91240 Barczy, Mátyás; K. 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Zbl 1498.91502 Bellini, Fabio; Fadina, Tolulope; Wang, Ruodu; Wei, Yunran 5 2022 Mortality modeling and regression with matrix distributions. Zbl 1515.62096 Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge 4 2022 Stackelberg differential game for insurance under model ambiguity. Zbl 1498.91352 Cao, Jingyi; Li, Dongchen; Young, Virginia R.; Zou, Bin 4 2022 Systemic risk: conditional distortion risk measures. Zbl 1484.91504 Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying 4 2022 Risk transference constraints in optimal reinsurance. Zbl 1484.91370 Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel; Heras, Antonio 4 2022 Risk measures induced by efficient insurance contracts. Zbl 1484.91411 Wang, Qiuqi; Wang, Ruodu; Zitikis, Ričardas 4 2022 Optimal insurance to maximize RDEU under a distortion-deviation premium principle. Zbl 1492.91304 Liang, Xiaoqing; Wang, Ruodu; Young, Virginia R. 3 2022 A hierarchical reserving model for reported non-life insurance claims. Zbl 1492.91284 Crevecoeur, Jonas; Robben, Jens; Antonio, Katrien 3 2022 An asymptotic study of systemic expected shortfall and marginal expected shortfall. Zbl 1492.91406 Chen, Yiqing; Liu, Jiajun 3 2022 Care-dependent tontines. Zbl 1503.91085 Chen, An; Chen, Yusha; Xu, Xian 3 2022 A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. Zbl 1484.91366 Albrecher, Hansjörg; Cheung, Eric C. K.; Liu, Haibo; Woo, Jae-Kyung 3 2022 Cyber-contagion model with network structure applied to insurance. Zbl 1507.91182 Hillairet, Caroline; Lopez, Olivier; d’Oultremont, Louise; Spoorenberg, Brieuc 2 2022 Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants. Zbl 1507.91179 Gribkova, N. V.; Su, J.; Zitikis, R. 2 2022 Annuity and insurance choice under habit formation. Zbl 1492.91273 Boyle, Phelim; Tan, Ken Seng; Wei, Pengyu; Zhuang, Sheng Chao 2 2022 Optimal reinsurance and investment under common shock dependence between financial and actuarial markets. Zbl 1492.91276 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 2 2022 Sample recycling method – a new approach to efficient nested Monte Carlo simulations. Zbl 1492.91423 Feng, Runhuan; Li, Peng 2 2022 Modeling pandemic mortality risk and its application to mortality-linked security pricing. Zbl 1498.91353 Chen, Fen-Ying; Yang, Sharon S.; Huang, Hong-Chih 2 2022 Multivariate matrix-exponential affine mixtures and their applications in risk theory. Zbl 1498.91354 Cheung, Eric C. K.; Peralta, Oscar; Woo, Jae-Kyung 2 2022 Regret-based optimal insurance design. Zbl 1484.91380 Chi, Yichun; Zhuang, Sheng Chao 2 2022 Risk aggregation and capital allocation using a new generalized Archimedean copula. Zbl 1484.91398 Marri, Fouad; Moutanabbir, Khouzeima 2 2022 Asymptotic results on marginal expected shortfalls for dependent risks. Zbl 1484.91393 Li, Jinzhu 2 2022 Optimal asset allocation, consumption and retirement time with the variation in habitual persistence. Zbl 1484.91386 He, Lin; Liang, Zongxia; Song, Yilun; Ye, Qi 2 2022 Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. Zbl 1484.91387 Huang, Yiming; Mamon, Rogemar; Xiong, Heng 2 2022 Statistical inference for tail-based cumulative residual entropy. Zbl 1484.91406 Sun, Hongfang; Chen, Yu; Hu, Taizhong 2 2022 Estimating and backtesting risk under heavy tails. Zbl 1490.91250 Pitera, Marcin; Schmidt, Thorsten 1 2022 COVID-19 and credit risk: a long memory perspective. Zbl 1490.91231 Yin, Jie; Han, Bingyan; Wong, Hoi Ying 1 2022 Estimating the time value of ruin in a Lévy risk model under low-frequency observation. Zbl 1490.91178 Wang, Wenyuan; Xie, Jiayi; Zhang, Zhimin 1 2022 Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation. Zbl 1491.91110 Liang, Zhihang; Zou, Jushen; Jiang, Wenjun 1 2022 Unraveling heterogeneity in cyber risks using quantile regressions. Zbl 1490.91172 Eling, Martin; Jung, Kwangmin; Shim, Jeungbo 1 2022 A two-stage model for high-risk prediction in insurance ratemaking: asymptotics and inference. Zbl 1490.91174 Hou, Yanxi 1 2022 Copula-based inference for bivariate survival data with left truncation and dependent censoring. Zbl 1510.91143 Deresa, N. W.; Van Keilegom, I.; Antonio, K. 1 2022 Extreme-value based estimation of the conditional tail moment with application to reinsurance rating. Zbl 1510.91145 Goegebeur, Yuri; Guillou, Armelle; Pedersen, Tine; Qin, Jing 1 2022 The Parisian and ultimate drawdowns of Lévy insurance models. Zbl 1508.91478 Li, Shu; Zhou, Xiaowen 1 2022 Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models. Zbl 1514.91170 Fung, Tsz Chai 1 2022 Frequency-severity experience rating based on latent Markovian risk profiles. Zbl 1507.91192 Verschuren, Robert Matthijs 1 2022 Distributionally robust reinsurance with value-at-risk and conditional value-at-risk. Zbl 1507.91187 Liu, Haiyan; Mao, Tiantian 1 2022 Three-step risk inference in insurance ratemaking. Zbl 1493.62584 Hou, Yanxi; Kang, Seul Ki; Lo, Chia Chun; Peng, Liang 1 2022 Automatic Fatou property of law-invariant risk measures. Zbl 1492.91279 Chen, Shengzhong; Gao, Niushan; Leung, Denny H.; Li, Lei 1 2022 S-shaped narrow framing, skewness and the demand for insurance. Zbl 1492.91280 Chi, Yichun; Zheng, Jiakun; Zhuang, Shengchao 1 2022 Imbalanced learning for insurance using modified loss functions in tree-based models. Zbl 1498.91360 Hu, Changyue; Quan, Zhiyu; Chong, Wing Fung 1 2022 Actuarial intelligence in auto insurance: claim frequency modeling with driving behavior features and improved boosted trees. Zbl 1503.91092 Meng, Shengwang; Gao, Yaqian; Huang, Yifan 1 2022 Optimal dividends under Markov-modulated bankruptcy level. Zbl 1503.91088 Ferrari, Giorgio; Schuhmann, Patrick; Zhu, Shihao 1 2022 Robust equilibrium strategies in a defined benefit pension plan game. Zbl 1498.91358 Guan, Guohui; Hu, Jiaqi; Liang, Zongxia 1 2022 Asymptotic analysis of portfolio diversification. Zbl 1498.91381 Cui, Hengxin; Tan, Ken Seng; Yang, Fan; Zhou, Chen 1 2022 On non-negative equity guarantee calculations with macroeconomic variables related to house prices. Zbl 1484.91368 Badescu, Alexandru; Quaye, Enoch; Tunaru, Radu 1 2022 Equity-linked guaranteed minimum death benefits with dollar cost averaging. Zbl 1471.91465 Kirkby, J. Lars; Nguyen, Duy 13 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 10 2021 From risk sharing to pure premium for a large number of heterogeneous losses. Zbl 1465.91094 Denuit, Michel; Robert, Christian Y. 9 2021 Sparse regression with multi-type regularized feature modeling. Zbl 1460.91218 Devriendt, Sander; Antonio, Katrien; Reynkens, Tom; Verbelen, Roel 9 2021 Law-invariant functionals that collapse to the mean. Zbl 1466.91250 Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor 9 2021 Volterra mortality model: actuarial valuation and risk management with long-range dependence. Zbl 1460.91240 Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying 8 2021 Cyber claim analysis using generalized Pareto regression trees with applications to insurance. Zbl 1466.91255 Farkas, Sébastien; Lopez, Olivier; Thomas, Maud 8 2021 Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs. Zbl 1475.91285 Boonen, Tim J.; Ghossoub, Mario 7 2021 Robust optimal investment and reinsurance for an insurer with inside information. Zbl 1460.91236 Peng, Xingchun; Chen, Fenge; Wang, Wenyuan 7 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 6 2021 A Fourier-cosine method for finite-time ruin probabilities. Zbl 1467.91144 Lee, Wing Yan; Li, Xiaolong; Liu, Fangda; Shi, Yifan; Yam, Sheung Chi Phillip 6 2021 Demand for non-life insurance under habit formation. Zbl 1475.91311 Li, Wenyuan; Tan, Ken Seng; Wei, Pengyu 5 2021 Autocalibration and Tweedie-dominance for insurance pricing with machine learning. Zbl 1475.91295 Denuit, Michel; Charpentier, Arthur; Trufin, Julien 5 2021 Pricing longevity derivatives via Fourier transforms. Zbl 1460.91212 Bravo, Jorge M.; Nunes, João Pedro Vidal 5 2021 Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints. Zbl 1460.91241 Wang, Ning; Zhang, Nan; Jin, Zhuo; Qian, Linyi 5 2021 Equilibrium investment strategy for a DC pension plan with learning about stock return predictability. Zbl 1471.91486 Wang, Pei; Shen, Yang; Zhang, Ling; Kang, Yuxin 5 2021 Deep hedging of long-term financial derivatives. Zbl 1467.91138 Carbonneau, Alexandre 5 2021 Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. Zbl 1475.91313 Mohammed, Nawaf; Furman, Edward; Su, Jianxi 4 2021 The multivariate mixed negative binomial regression model with an application to insurance a posteriori ratemaking. Zbl 1475.91319 Tzougas, George; Pignatelli di Cerchiara, Alice 4 2021 Mean-variance investment and risk control strategies – a time-consistent approach via a forward auxiliary process. Zbl 1460.91239 Shen, Yang; Zou, Bin 4 2021 Bowley solution of a mean-variance game in insurance. Zbl 1466.91264 Li, Danping; Young, Virginia R. 4 2021 A decomposition of general premium principles into risk and deviation. Zbl 1471.91477 Nendel, Max; Riedel, Frank; Schmeck, Maren Diane 4 2021 Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. Zbl 1471.91451 Cai, Jun; Wang, Ying 4 2021 Addressing the life expectancy gap in pension policy. Zbl 1467.91135 Bravo, Jorge M.; Ayuso, Mercedes; Holzmann, Robert; Palmer, Edward 4 2021 Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance. Zbl 1475.91301 Ghossoub, Mario; He, Xue Dong 3 2021 Optimal retirement products under subjective mortality beliefs. Zbl 1475.91291 Chen, An; Hieber, Peter; Rach, Manuel 3 2021 Return smoothing in life insurance from a client perspective. Zbl 1475.91314 Ruß, Jochen; Schelling, Stefan 3 2021 Hawkes processes in insurance: risk model, application to empirical data and optimal investment. Zbl 1475.91317 Swishchuk, Anatoliy; Zagst, Rudi; Zeller, Gabriela 3 2021 Dividend optimisation: a behaviouristic approach. Zbl 1478.91162 Brinker, Leonie Violetta; Eisenberg, Julia 3 2021 Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability. Zbl 1475.91286 Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao 3 2021 Pandemic risk management: resources contingency planning and allocation. Zbl 1475.91055 Chen, Xiaowei; Chong, Wing Fung; Feng, Runhuan; Zhang, Linfeng 3 2021 Moment generating function of non-Markov self-excited claims processes. Zbl 1475.91304 Hainaut, Donatien 3 2021 A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures. Zbl 1475.91403 Ignatieva, Katja; Landsman, Zinoviy 3 2021 Pareto-optimal reinsurance policies with maximal synergy. Zbl 1460.91225 Jiang, Wenjun; Hong, Hanping; Ren, Jiandong 3 2021 Stochastic orders and multivariate measures of risk contagion. Zbl 1460.91252 Ortega-Jiménez, P.; Sordo, M. A.; Suárez-Llorens, A. 3 2021 Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models. Zbl 1460.91213 Brignone, Riccardo; Kyriakou, Ioannis; Fusai, Gianluca 3 2021 A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis. Zbl 1460.91226 Jin, Zhuo; Yang, Hailiang; Yin, G. 3 2021 Model-independent price bounds for catastrophic mortality bonds. Zbl 1460.91209 Bahl, Raj Kumari; Sabanis, Sotirios 3 2021 Pricing in a competitive stochastic insurance market. Zbl 1460.91233 Mourdoukoutas, Fotios; Boonen, Tim J.; Koo, Bonsoo; Pantelous, Athanasios A. 3 2021 Dynamics of state-wise prospective reserves in the presence of non-monotone information. Zbl 1460.91216 Christiansen, Marcus C.; Furrer, Christian 3 2021 Fair dynamic valuation of insurance liabilities via convex hedging. Zbl 1466.91252 Chen, Ze; Chen, Bingzheng; Dhaene, Jan; Yang, Tianyu 3 2021 A fractional multi-states model for insurance. Zbl 1466.91260 Hainaut, Donatien 3 2021 Infinitely stochastic micro reserving. Zbl 1471.91474 Maciak, Matúš; Okhrin, Ostap; Pešta, Michal 3 2021 Stop-loss protection for a large P2P insurance pool. Zbl 1471.91455 Denuit, Michel; Robert, Christian Y. 3 2021 ...and 1670 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 9,394 Authors 120 Denuit, Michel M. 105 Yang, Hailiang 90 Goovaerts, Marc J. 81 Young, Virginia R. 79 Haberman, Steven 78 Siu, Tak Kuen 74 Dhaene, Jan 74 Yuen, Kam Chuen 71 Zhang, Zhimin 67 Albrecher, Hansjörg 67 Willmot, Gordon E. 64 Tang, Qihe 58 Yang, Yang 56 Landriault, David 55 Wang, Ruodu 53 Li, Shuanming 52 Yin, Chuancun 51 Durante, Fabrizio 51 Hashorva, Enkelejd 49 Hu, Yijun 48 Cheung, Ka Chun 48 Jin, Zhuo 48 Lefèvre, Claude 47 Guo, Junyi 47 Marceau, Étienne 45 Gerber, Hans U. 44 Fernández-Sánchez, Juan 44 Loisel, Stéphane 44 Wang, Rongming 43 Cossette, Hélène 43 Hu, Taizhong 43 Li, Xiaohu 43 Tan, Ken Seng 42 Li, Zhongfei 41 Wu, Rong 40 Cai, Jun 40 Forsyth, Peter A. 40 Zitikis, Ričardas 39 Boonen, Tim J. 39 Sherris, Michael 38 Palmowski, Zbigniew 38 Zhao, Hui 37 Elliott, Robert James 37 Guillen, Montserrat 37 Rong, Ximin 37 Zeng, Yan 36 Frostig, Esther 36 Hürlimann, Werner 36 Shen, Yang 36 Shiu, Elias S. 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