Huang, Zhenzhen; Kwok, Yue Kuen; Xu, Ziqing Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models. (English) Zbl 07822353 Insur. Math. Econ. 115, 132-150 (2024). MSC: 91G40 91G70 62H05 PDFBibTeX XMLCite \textit{Z. Huang} et al., Insur. Math. Econ. 115, 132--150 (2024; Zbl 07822353) Full Text: DOI
Steinmetz, Julia; Jentsch, Carsten Bootstrap consistency for the Mack bootstrap. (English) Zbl 07822351 Insur. Math. Econ. 115, 83-121 (2024). MSC: 91G05 62P05 62F40 PDFBibTeX XMLCite \textit{J. Steinmetz} and \textit{C. Jentsch}, Insur. Math. Econ. 115, 83--121 (2024; Zbl 07822351) Full Text: DOI arXiv
Zhang, Yaojun; Ji, Lanpeng; Aivaliotis, Georgios; Taylor, Charles Bayesian CART models for insurance claims frequency. (English) Zbl 07804022 Insur. Math. Econ. 114, 108-131 (2024). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{Y. Zhang} et al., Insur. Math. Econ. 114, 108--131 (2024; Zbl 07804022) Full Text: DOI arXiv
Li, Yinhuan; Fung, Tsz Chai; Peng, Liang; Qian, Linyi Diagnostic tests before modeling longitudinal actuarial data. (English) Zbl 07804014 Insur. Math. Econ. 113, 310-325 (2023). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{Y. Li} et al., Insur. Math. Econ. 113, 310--325 (2023; Zbl 07804014) Full Text: DOI arXiv
Wang, Yunyun; Oka, Tatsushi; Zhu, Dan Bivariate distribution regression with application to insurance data. (English) Zbl 07804009 Insur. Math. Econ. 113, 215-232 (2023). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{Y. Wang} et al., Insur. Math. Econ. 113, 215--232 (2023; Zbl 07804009) Full Text: DOI arXiv
Yuan, Meng; Lu, Dawei Asymptotics for a time-dependent by-claim model with dependent subexponential claims. (English) Zbl 1522.62096 Insur. Math. Econ. 112, 120-141 (2023). MSC: 62P05 62E20 91B05 PDFBibTeX XMLCite \textit{M. Yuan} and \textit{D. Lu}, Insur. Math. Econ. 112, 120--141 (2023; Zbl 1522.62096) Full Text: DOI
Gao, Suhao; Yu, Zhen Parametric expectile regression and its application for premium calculation. (English) Zbl 1520.91326 Insur. Math. Econ. 111, 242-256 (2023). MSC: 91G05 62P05 62F99 PDFBibTeX XMLCite \textit{S. Gao} and \textit{Z. Yu}, Insur. Math. Econ. 111, 242--256 (2023; Zbl 1520.91326) Full Text: DOI
Zhang, Xuanming; Huang, Fei; Hui, Francis K. C.; Haberman, Steven Cause-of-death mortality forecasting using adaptive penalized tensor decompositions. (English) Zbl 1520.91361 Insur. Math. Econ. 111, 193-213 (2023). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{X. Zhang} et al., Insur. Math. Econ. 111, 193--213 (2023; Zbl 1520.91361) Full Text: DOI
Mao, Tiantian; Stupfler, Gilles; Yang, Fan Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks. (English) Zbl 1520.91344 Insur. Math. Econ. 111, 173-192 (2023). MSC: 91G05 91G70 62G32 PDFBibTeX XMLCite \textit{T. Mao} et al., Insur. Math. Econ. 111, 173--192 (2023; Zbl 1520.91344) Full Text: DOI
Wei, Yunran; Zitikis, Ričardas Assessing the difference between integrated quantiles and integrated cumulative distribution functions. (English) Zbl 1520.91354 Insur. Math. Econ. 111, 163-172 (2023). MSC: 91G05 62P05 62G08 91G70 PDFBibTeX XMLCite \textit{Y. Wei} and \textit{R. Zitikis}, Insur. Math. Econ. 111, 163--172 (2023; Zbl 1520.91354) Full Text: DOI arXiv
Chen, Yu; Ma, Mengyuan; Sun, Hongfang Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model. (English) Zbl 1520.91318 Insur. Math. Econ. 111, 142-162 (2023). MSC: 91G05 62P05 60G70 62G32 PDFBibTeX XMLCite \textit{Y. Chen} et al., Insur. Math. Econ. 111, 142--162 (2023; Zbl 1520.91318) Full Text: DOI
Blier-Wong, Christopher; Cossette, Hélène; Marceau, Etienne Risk aggregation with FGM copulas. (English) Zbl 1520.91312 Insur. Math. Econ. 111, 102-120 (2023). MSC: 91G05 60E15 62H05 PDFBibTeX XMLCite \textit{C. Blier-Wong} et al., Insur. Math. Econ. 111, 102--120 (2023; Zbl 1520.91312) Full Text: DOI arXiv
Bladt, Martin; Yslas, Jorge Robust claim frequency modeling through phase-type mixture-of-experts regression. (English) Zbl 1520.91311 Insur. Math. Econ. 111, 1-22 (2023). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{M. Bladt} and \textit{J. Yslas}, Insur. Math. Econ. 111, 1--22 (2023; Zbl 1520.91311) Full Text: DOI
Mi, Hui; Xu, Zuo Quan Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory. (English) Zbl 1512.91124 Insur. Math. Econ. 110, 82-105 (2023). MSC: 91G10 62P05 91B16 PDFBibTeX XMLCite \textit{H. Mi} and \textit{Z. Q. Xu}, Insur. Math. Econ. 110, 82--105 (2023; Zbl 1512.91124) Full Text: DOI
Lautier, Jackson P.; Pozdnyakov, Vladimir; Yan, Jun Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach. (English) Zbl 1519.91214 Insur. Math. Econ. 110, 53-71 (2023). Reviewer: Tamás Mátrai (Edinburgh) MSC: 91G05 62N02 62F12 91G20 PDFBibTeX XMLCite \textit{J. P. Lautier} et al., Insur. Math. Econ. 110, 53--71 (2023; Zbl 1519.91214) Full Text: DOI arXiv
Fissler, Tobias; Merz, Michael; Wüthrich, Mario V. Deep quantile and deep composite triplet regression. (English) Zbl 1508.91470 Insur. Math. Econ. 109, 94-112 (2023). MSC: 91G05 62P05 62G08 PDFBibTeX XMLCite \textit{T. Fissler} et al., Insur. Math. Econ. 109, 94--112 (2023; Zbl 1508.91470) Full Text: DOI arXiv
Gao, Guangyuan; Li, Jiahong Dependence modeling of frequency-severity of insurance claims using waiting time. (English) Zbl 1508.91471 Insur. Math. Econ. 109, 29-51 (2023). MSC: 91G05 62P05 62H05 60G55 PDFBibTeX XMLCite \textit{G. Gao} and \textit{J. Li}, Insur. Math. Econ. 109, 29--51 (2023; Zbl 1508.91471) Full Text: DOI
Lambert, Philippe Nonparametric density estimation and risk quantification from tabulated sample moments. (English) Zbl 1507.91241 Insur. Math. Econ. 108, 177-189 (2023). MSC: 91G70 62G05 PDFBibTeX XMLCite \textit{P. Lambert}, Insur. Math. Econ. 108, 177--189 (2023; Zbl 1507.91241) Full Text: DOI
Verschuren, Robert Matthijs Frequency-severity experience rating based on latent Markovian risk profiles. (English) Zbl 1507.91192 Insur. Math. Econ. 107, 379-392 (2022). MSC: 91G05 62P05 62M05 PDFBibTeX XMLCite \textit{R. M. Verschuren}, Insur. Math. Econ. 107, 379--392 (2022; Zbl 1507.91192) Full Text: DOI arXiv
Christiansen, Marcus C.; Furrer, Christian Extension of as-if-Markov modeling to scaled payments. (English) Zbl 1507.91171 Insur. Math. Econ. 107, 288-306 (2022). MSC: 91G05 62N02 62G05 62P05 PDFBibTeX XMLCite \textit{M. C. Christiansen} and \textit{C. Furrer}, Insur. Math. Econ. 107, 288--306 (2022; Zbl 1507.91171) Full Text: DOI
Gribkova, N. V.; Su, J.; Zitikis, R. Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants. (English) Zbl 1507.91179 Insur. Math. Econ. 107, 199-222 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{N. V. Gribkova} et al., Insur. Math. Econ. 107, 199--222 (2022; Zbl 1507.91179) Full Text: DOI
Fung, Tsz Chai Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models. (English) Zbl 1514.91170 Insur. Math. Econ. 107, 180-198 (2022). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 62P05 62G32 PDFBibTeX XMLCite \textit{T. C. Fung}, Insur. Math. Econ. 107, 180--198 (2022; Zbl 1514.91170) Full Text: DOI arXiv
Goegebeur, Yuri; Guillou, Armelle; Pedersen, Tine; Qin, Jing Extreme-value based estimation of the conditional tail moment with application to reinsurance rating. (English) Zbl 1510.91145 Insur. Math. Econ. 107, 102-122 (2022). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 62P05 62G32 PDFBibTeX XMLCite \textit{Y. Goegebeur} et al., Insur. Math. Econ. 107, 102--122 (2022; Zbl 1510.91145) Full Text: DOI
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge Mortality modeling and regression with matrix distributions. (English) Zbl 1515.62096 Insur. Math. Econ. 107, 68-87 (2022). Reviewer: Tamás Mátrai (Edinburgh) MSC: 62P05 62N02 60J28 91D20 91G05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 107, 68--87 (2022; Zbl 1515.62096) Full Text: DOI arXiv
Deresa, N. W.; Van Keilegom, I.; Antonio, K. Copula-based inference for bivariate survival data with left truncation and dependent censoring. (English) Zbl 1510.91143 Insur. Math. Econ. 107, 1-21 (2022). MSC: 91G05 62P05 62N02 62H05 PDFBibTeX XMLCite \textit{N. W. Deresa} et al., Insur. Math. Econ. 107, 1--21 (2022; Zbl 1510.91143) Full Text: DOI
Shang, Han Lin; Haberman, Steven; Xu, Ruofan Multi-population modelling and forecasting life-table death counts. (English) Zbl 1498.91368 Insur. Math. Econ. 106, 239-253 (2022). MSC: 91G05 91D20 62P05 PDFBibTeX XMLCite \textit{H. L. Shang} et al., Insur. Math. Econ. 106, 239--253 (2022; Zbl 1498.91368) Full Text: DOI
Malavasi, Matteo; Peters, Gareth W.; Shevchenko, Pavel V.; Trück, Stefan; Jang, Jiwook; Sofronov, Georgy Cyber risk frequency, severity and insurance viability. (English) Zbl 1498.91365 Insur. Math. Econ. 106, 90-114 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{M. Malavasi} et al., Insur. Math. Econ. 106, 90--114 (2022; Zbl 1498.91365) Full Text: DOI arXiv
Ma, Boyuan; Chu, Tingjin; Jin, Zhuo Frequency and severity estimation of cyber attacks using spatial clustering analysis. (English) Zbl 1498.91107 Insur. Math. Econ. 106, 33-45 (2022). MSC: 91B05 62H30 PDFBibTeX XMLCite \textit{B. Ma} et al., Insur. Math. Econ. 106, 33--45 (2022; Zbl 1498.91107) Full Text: DOI
Hu, Changyue; Quan, Zhiyu; Chong, Wing Fung Imbalanced learning for insurance using modified loss functions in tree-based models. (English) Zbl 1498.91360 Insur. Math. Econ. 106, 13-32 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{C. Hu} et al., Insur. Math. Econ. 106, 13--32 (2022; Zbl 1498.91360) Full Text: DOI
Pai, Jeffrey; Li, Yunxian; Yang, Aijun; Li, Chenxu Earthquake parametric insurance with Bayesian spatial quantile regression. (English) Zbl 1498.91366 Insur. Math. Econ. 106, 1-12 (2022). MSC: 91G05 62P05 62G08 PDFBibTeX XMLCite \textit{J. Pai} et al., Insur. Math. Econ. 106, 1--12 (2022; Zbl 1498.91366) Full Text: DOI
Boratyńska, Agata; Zielińska-Kolasińska, Zofia Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves. (English) Zbl 1493.62579 Insur. Math. Econ. 105, 194-202 (2022). MSC: 62P05 62F15 62F35 91G05 PDFBibTeX XMLCite \textit{A. Boratyńska} and \textit{Z. Zielińska-Kolasińska}, Insur. Math. Econ. 105, 194--202 (2022; Zbl 1493.62579) Full Text: DOI
Gómez-Déniz, Emilio; Vázquez-Polo, Francisco J. Exact credibility reference Bayesian premiums. (English) Zbl 1493.62583 Insur. Math. Econ. 105, 128-143 (2022). MSC: 62P05 62F15 91G05 PDFBibTeX XMLCite \textit{E. Gómez-Déniz} and \textit{F. J. Vázquez-Polo}, Insur. Math. Econ. 105, 128--143 (2022; Zbl 1493.62583) Full Text: DOI
Ang, Zi Qing; Lee, See Keong Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels. (English) Zbl 1493.62577 Insur. Math. Econ. 105, 54-63 (2022). MSC: 62P05 62M30 91G05 PDFBibTeX XMLCite \textit{Z. Q. Ang} and \textit{S. K. Lee}, Insur. Math. Econ. 105, 54--63 (2022; Zbl 1493.62577) Full Text: DOI
Hou, Yanxi; Kang, Seul Ki; Lo, Chia Chun; Peng, Liang Three-step risk inference in insurance ratemaking. (English) Zbl 1493.62584 Insur. Math. Econ. 105, 1-13 (2022). MSC: 62P05 62G08 62J12 62G09 91G05 PDFBibTeX XMLCite \textit{Y. Hou} et al., Insur. Math. Econ. 105, 1--13 (2022; Zbl 1493.62584) Full Text: DOI
Li, Zhengxiao; Beirlant, Jan; Yang, Liang A new class of copula regression models for modelling multivariate heavy-tailed data. (English) Zbl 1490.91176 Insur. Math. Econ. 104, 243-261 (2022). MSC: 91G05 62P05 62H05 62G32 PDFBibTeX XMLCite \textit{Z. Li} et al., Insur. Math. Econ. 104, 243--261 (2022; Zbl 1490.91176) Full Text: DOI arXiv
Eling, Martin; Jung, Kwangmin; Shim, Jeungbo Unraveling heterogeneity in cyber risks using quantile regressions. (English) Zbl 1490.91172 Insur. Math. Econ. 104, 222-242 (2022). MSC: 91G05 62P05 62G08 PDFBibTeX XMLCite \textit{M. Eling} et al., Insur. Math. Econ. 104, 222--242 (2022; Zbl 1490.91172) Full Text: DOI
Wang, Wenyuan; Xie, Jiayi; Zhang, Zhimin Estimating the time value of ruin in a Lévy risk model under low-frequency observation. (English) Zbl 1490.91178 Insur. Math. Econ. 104, 133-157 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{W. Wang} et al., Insur. Math. Econ. 104, 133--157 (2022; Zbl 1490.91178) Full Text: DOI
Meng, Jin; Chan, Kung-Sik Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses. (English) Zbl 1515.62098 Insur. Math. Econ. 104, 60-75 (2022). Reviewer: Hanspeter Schmidli (Köln) MSC: 62P05 62G32 62F10 PDFBibTeX XMLCite \textit{J. Meng} and \textit{K.-S. Chan}, Insur. Math. Econ. 104, 60--75 (2022; Zbl 1515.62098) Full Text: DOI
Pitera, Marcin; Schmidt, Thorsten Estimating and backtesting risk under heavy tails. (English) Zbl 1490.91250 Insur. Math. Econ. 104, 1-14 (2022). MSC: 91G70 62G32 PDFBibTeX XMLCite \textit{M. Pitera} and \textit{T. Schmidt}, Insur. Math. Econ. 104, 1--14 (2022; Zbl 1490.91250) Full Text: DOI arXiv
Badescu, Alexandru; Quaye, Enoch; Tunaru, Radu On non-negative equity guarantee calculations with macroeconomic variables related to house prices. (English) Zbl 1484.91368 Insur. Math. Econ. 103, 119-138 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{A. Badescu} et al., Insur. Math. Econ. 103, 119--138 (2022; Zbl 1484.91368) Full Text: DOI
Sun, Hongfang; Chen, Yu; Hu, Taizhong Statistical inference for tail-based cumulative residual entropy. (English) Zbl 1484.91406 Insur. Math. Econ. 103, 66-95 (2022). MSC: 91G05 62G32 62H05 PDFBibTeX XMLCite \textit{H. Sun} et al., Insur. Math. Econ. 103, 66--95 (2022; Zbl 1484.91406) Full Text: DOI
Kung, Ko-Lun; MacMinn, Richard D.; Kuo, Weiyu; Tsai, Chenghsien Jason Multi-population mortality modeling: when the data is too much and not enough. (English) Zbl 1484.91391 Insur. Math. Econ. 103, 41-55 (2022). MSC: 91G05 91D20 62P05 PDFBibTeX XMLCite \textit{K.-L. Kung} et al., Insur. Math. Econ. 103, 41--55 (2022; Zbl 1484.91391) Full Text: DOI
Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying Systemic risk: conditional distortion risk measures. (English) Zbl 1484.91504 Insur. Math. Econ. 102, 126-145 (2022). MSC: 91G45 91G70 62H05 PDFBibTeX XMLCite \textit{J. Dhaene} et al., Insur. Math. Econ. 102, 126--145 (2022; Zbl 1484.91504) Full Text: DOI arXiv
Vernic, Raluca; Bolancé, Catalina; Alemany, Ramon Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims. (English) Zbl 1484.91410 Insur. Math. Econ. 102, 111-125 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{R. Vernic} et al., Insur. Math. Econ. 102, 111--125 (2022; Zbl 1484.91410) Full Text: DOI
Marri, Fouad; Moutanabbir, Khouzeima Risk aggregation and capital allocation using a new generalized Archimedean copula. (English) Zbl 1484.91398 Insur. Math. Econ. 102, 75-90 (2022). MSC: 91G05 91G70 62H05 PDFBibTeX XMLCite \textit{F. Marri} and \textit{K. Moutanabbir}, Insur. Math. Econ. 102, 75--90 (2022; Zbl 1484.91398) Full Text: DOI arXiv
Aigner, Maximilian; Chavez-Demoulin, Valérie; Guillou, Armelle Measuring and comparing risks of different types. (English) Zbl 1484.91365 Insur. Math. Econ. 102, 1-21 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{M. Aigner} et al., Insur. Math. Econ. 102, 1--21 (2022; Zbl 1484.91365) Full Text: DOI HAL
Lledó, Josep; Pavía, Jose M.; Morillas-Jurado, Francisco G. Corrigendum to: “Incorporating big microdata in life table construction: a hypothesis-free estimator”. (English) Zbl 1474.91156 Insur. Math. Econ. 101, 639 (2021). MSC: 91G05 62P05 91D20 PDFBibTeX XMLCite \textit{J. Lledó} et al., Insur. Math. Econ. 101, 639 (2021; Zbl 1474.91156) Full Text: DOI
Tzougas, George; Pignatelli di Cerchiara, Alice The multivariate mixed negative binomial regression model with an application to insurance a posteriori ratemaking. (English) Zbl 1475.91319 Insur. Math. Econ. 101, 602-625 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{G. Tzougas} and \textit{A. Pignatelli di Cerchiara}, Insur. Math. Econ. 101, 602--625 (2021; Zbl 1475.91319) Full Text: DOI
Gao, Guangyuan; Meng, Shengwang; Shi, Yanlin Dispersion modelling of outstanding claims with double Poisson regression models. (English) Zbl 1475.91300 Insur. Math. Econ. 101, 572-586 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{G. Gao} et al., Insur. Math. Econ. 101, 572--586 (2021; Zbl 1475.91300) Full Text: DOI
Denuit, Michel; Trufin, Julien; Verdebout, Thomas Testing for more positive expectation dependence with application to model comparison. (English) Zbl 1479.62089 Insur. Math. Econ. 101, 163-172 (2021). MSC: 62P20 62H15 PDFBibTeX XMLCite \textit{M. Denuit} et al., Insur. Math. Econ. 101, 163--172 (2021; Zbl 1479.62089) Full Text: DOI Link
Makam, Vaishno Devi; Millossovich, Pietro; Tsanakas, Andreas Sensitivity analysis with \(\chi^2\)-divergences. (English) Zbl 1471.91475 Insur. Math. Econ. 100, 372-383 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{V. D. Makam} et al., Insur. Math. Econ. 100, 372--383 (2021; Zbl 1471.91475) Full Text: DOI
Goffard, Pierre-Olivier; Laub, Patrick J. Approximate Bayesian computations to fit and compare insurance loss models. (English) Zbl 1471.91459 Insur. Math. Econ. 100, 350-371 (2021). MSC: 91G05 62P05 91G60 PDFBibTeX XMLCite \textit{P.-O. Goffard} and \textit{P. J. Laub}, Insur. Math. Econ. 100, 350--371 (2021; Zbl 1471.91459) Full Text: DOI arXiv HAL
Oh, Rosy; Jeong, Himchan; Ahn, Jae Youn; Valdez, Emiliano A. A multi-year microlevel collective risk model. (English) Zbl 1471.91479 Insur. Math. Econ. 100, 309-328 (2021). MSC: 91G05 62H05 PDFBibTeX XMLCite \textit{R. Oh} et al., Insur. Math. Econ. 100, 309--328 (2021; Zbl 1471.91479) Full Text: DOI arXiv
Cheung, Eric C. K.; Ni, Weihong; Oh, Rosy; Woo, Jae-Kyung Bayesian credibility under a bivariate prior on the frequency and the severity of claims. (English) Zbl 1471.91453 Insur. Math. Econ. 100, 274-295 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{E. C. K. Cheung} et al., Insur. Math. Econ. 100, 274--295 (2021; Zbl 1471.91453) Full Text: DOI
Li, Hong; Shi, Yanlin Forecasting mortality with international linkages: a global vector-autoregression approach. (English) Zbl 1471.91470 Insur. Math. Econ. 100, 59-75 (2021). MSC: 91G05 91D20 62P05 PDFBibTeX XMLCite \textit{H. Li} and \textit{Y. Shi}, Insur. Math. Econ. 100, 59--75 (2021; Zbl 1471.91470) Full Text: DOI
Maciak, Matúš; Okhrin, Ostap; Pešta, Michal Infinitely stochastic micro reserving. (English) Zbl 1471.91474 Insur. Math. Econ. 100, 30-58 (2021). MSC: 91G05 60G25 60G55 62M20 62P05 PDFBibTeX XMLCite \textit{M. Maciak} et al., Insur. Math. Econ. 100, 30--58 (2021; Zbl 1471.91474) Full Text: DOI
McCarthy, David G.; Wang, Po-Lin Pooling mortality risk in eurozone state pension liabilities: an application of a Bayesian coherent multi-population cohort-based mortality model. (English) Zbl 1464.62421 Insur. Math. Econ. 99, 459-485 (2021). MSC: 62P05 91G05 PDFBibTeX XMLCite \textit{D. G. McCarthy} and \textit{P.-L. Wang}, Insur. Math. Econ. 99, 459--485 (2021; Zbl 1464.62421) Full Text: DOI
Balter, Anne G.; Kallestrup-Lamb, Malene; Rangvid, Jesper Macro longevity risk and the choice between annuity products: evidence from Denmark. (English) Zbl 1467.91130 Insur. Math. Econ. 99, 355-362 (2021). MSC: 91G05 62C12 62P05 PDFBibTeX XMLCite \textit{A. G. Balter} et al., Insur. Math. Econ. 99, 355--362 (2021; Zbl 1467.91130) Full Text: DOI
Kung, Ko-Lun; Liu, I-Chien; Wang, Chou-Wen Modeling and pricing longevity derivatives using Skellam distribution. (English) Zbl 1467.91143 Insur. Math. Econ. 99, 341-354 (2021). MSC: 91G05 91G20 62P05 PDFBibTeX XMLCite \textit{K.-L. Kung} et al., Insur. Math. Econ. 99, 341--354 (2021; Zbl 1467.91143) Full Text: DOI
Arnold, Séverine; Glushko, Viktoriya Cause-specific mortality rates: common trends and differences. (English) Zbl 1467.91127 Insur. Math. Econ. 99, 294-308 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{S. Arnold} and \textit{V. Glushko}, Insur. Math. Econ. 99, 294--308 (2021; Zbl 1467.91127) Full Text: DOI
Ji, Liuyan; Tan, Ken Seng; Yang, Fan Tail dependence and heavy tailedness in extreme risks. (English) Zbl 1467.91142 Insur. Math. Econ. 99, 282-293 (2021). MSC: 91G05 62P05 62H05 62G32 PDFBibTeX XMLCite \textit{L. Ji} et al., Insur. Math. Econ. 99, 282--293 (2021; Zbl 1467.91142) Full Text: DOI Link
Zhou, Rui; Ji, Min Modelling mortality dependence: an application of dynamic vine copula. (English) Zbl 1467.91155 Insur. Math. Econ. 99, 241-255 (2021). MSC: 91G05 62P05 62H05 PDFBibTeX XMLCite \textit{R. Zhou} and \textit{M. Ji}, Insur. Math. Econ. 99, 241--255 (2021; Zbl 1467.91155) Full Text: DOI
Redondo Lourés, Cristian; Cairns, Andrew J. G. Cause of death specific cohort effects in U.S. mortality. (English) Zbl 1467.91149 Insur. Math. Econ. 99, 190-199 (2021). MSC: 91G05 62P05 62M20 PDFBibTeX XMLCite \textit{C. Redondo Lourés} and \textit{A. J. G. Cairns}, Insur. Math. Econ. 99, 190--199 (2021; Zbl 1467.91149) Full Text: DOI
Souto Arias, Luis A.; Cirillo, Pasquale Joint and survivor annuity valuation with a bivariate reinforced urn process. (English) Zbl 1467.91151 Insur. Math. Econ. 99, 174-189 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{L. A. Souto Arias} and \textit{P. Cirillo}, Insur. Math. Econ. 99, 174--189 (2021; Zbl 1467.91151) Full Text: DOI
Bhattacharyya, Dhrubasish; Khan, Ruhul Ali; Mitra, Murari Tests for Laplace order dominance with applications to insurance data. (English) Zbl 1464.62268 Insur. Math. Econ. 99, 163-173 (2021). MSC: 62G10 62G30 62P05 PDFBibTeX XMLCite \textit{D. Bhattacharyya} et al., Insur. Math. Econ. 99, 163--173 (2021; Zbl 1464.62268) Full Text: DOI
Hofert, Marius Right-truncated Archimedean and related copulas. (English) Zbl 1468.62288 Insur. Math. Econ. 99, 79-91 (2021). MSC: 62H05 62H10 PDFBibTeX XMLCite \textit{M. Hofert}, Insur. Math. Econ. 99, 79--91 (2021; Zbl 1468.62288) Full Text: DOI arXiv
Tsai, Cary Chi-Liang; Cheng, Echo Sihan Incorporating statistical clustering methods into mortality models to improve forecasting performances. (English) Zbl 1467.91153 Insur. Math. Econ. 99, 42-62 (2021). MSC: 91G05 62P05 62H30 PDFBibTeX XMLCite \textit{C. C. L. Tsai} and \textit{E. S. Cheng}, Insur. Math. Econ. 99, 42--62 (2021; Zbl 1467.91153) Full Text: DOI Link
Avanzi, Benjamin; Taylor, Greg; Wong, Bernard; Yang, Xinda On the modelling of multivariate counts with Cox processes and dependent shot noise intensities. (English) Zbl 1467.91128 Insur. Math. Econ. 99, 9-24 (2021). Reviewer: Klaus D. Schmidt (Dresden) MSC: 91G05 91G60 62P05 62H05 PDFBibTeX XMLCite \textit{B. Avanzi} et al., Insur. Math. Econ. 99, 9--24 (2021; Zbl 1467.91128) Full Text: DOI arXiv
Guillen, Montserrat; Bermúdez, Lluís; Pitarque, Albert Joint generalized quantile and conditional tail expectation regression for insurance risk analysis. (English) Zbl 1467.91139 Insur. Math. Econ. 99, 1-8 (2021). MSC: 91G05 62P05 62G08 PDFBibTeX XMLCite \textit{M. Guillen} et al., Insur. Math. Econ. 99, 1--8 (2021; Zbl 1467.91139) Full Text: DOI
Farkas, Sébastien; Lopez, Olivier; Thomas, Maud Cyber claim analysis using generalized Pareto regression trees with applications to insurance. (English) Zbl 1466.91255 Insur. Math. Econ. 98, 92-105 (2021). MSC: 91G05 62P05 60G70 PDFBibTeX XMLCite \textit{S. Farkas} et al., Insur. Math. Econ. 98, 92--105 (2021; Zbl 1466.91255) Full Text: DOI
He, Lingyu; Huang, Fei; Shi, Jianjie; Yang, Yanrong Mortality forecasting using factor models: time-varying or time-invariant factor loadings? (English) Zbl 1466.91262 Insur. Math. Econ. 98, 14-34 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{L. He} et al., Insur. Math. Econ. 98, 14--34 (2021; Zbl 1466.91262) Full Text: DOI arXiv
Portugal, Luís; Pantelous, Athanasios A.; Verrall, Richard Univariate and multivariate claims reserving with generalized link ratios. (English) Zbl 1460.91237 Insur. Math. Econ. 97, 57-67 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{L. Portugal} et al., Insur. Math. Econ. 97, 57--67 (2021; Zbl 1460.91237) Full Text: DOI
Koike, Takaaki; Hofert, Marius Modality for scenario analysis and maximum likelihood allocation. (English) Zbl 1460.91227 Insur. Math. Econ. 97, 24-43 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{T. Koike} and \textit{M. Hofert}, Insur. Math. Econ. 97, 24--43 (2021; Zbl 1460.91227) Full Text: DOI arXiv
Goegebeur, Yuri; Guillou, Armelle; Qin, Jing Extreme value estimation of the conditional risk premium in reinsurance. (English) Zbl 1460.91223 Insur. Math. Econ. 96, 68-80 (2021). Reviewer: Klaus D. Schmidt (Dresden) MSC: 91G05 62P05 62G32 PDFBibTeX XMLCite \textit{Y. Goegebeur} et al., Insur. Math. Econ. 96, 68--80 (2021; Zbl 1460.91223) Full Text: DOI HAL
Mammen, Enno; Martínez-Miranda, María Dolores; Nielsen, Jens Perch; Vogt, Michael Calendar effect and in-sample forecasting. (English) Zbl 1471.91476 Insur. Math. Econ. 96, 31-52 (2021). Reviewer: Peter Kischka (Jena) MSC: 91G05 62P20 62P05 PDFBibTeX XMLCite \textit{E. Mammen} et al., Insur. Math. Econ. 96, 31--52 (2021; Zbl 1471.91476) Full Text: DOI
Pinquet, Jean Positivity properties of the ARFIMA\((0,d,0)\) specifications and credibility analysis of frequency risks. (English) Zbl 1452.91279 Insur. Math. Econ. 95, 159-165 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{J. Pinquet}, Insur. Math. Econ. 95, 159--165 (2020; Zbl 1452.91279) Full Text: DOI
Xie, Jiayi; Zhang, Zhimin Statistical estimation for some dividend problems under the compound Poisson risk model. (English) Zbl 1452.91284 Insur. Math. Econ. 95, 101-115 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{J. Xie} and \textit{Z. Zhang}, Insur. Math. Econ. 95, 101--115 (2020; Zbl 1452.91284) Full Text: DOI
Beirlant, Jan; Buitendag, Sven; del Barrio, E.; Hallin, M.; Kamper, Francois Center-outward quantiles and the measurement of multivariate risk. (English) Zbl 1452.91074 Insur. Math. Econ. 95, 79-100 (2020). MSC: 91B05 62P20 PDFBibTeX XMLCite \textit{J. Beirlant} et al., Insur. Math. Econ. 95, 79--100 (2020; Zbl 1452.91074) Full Text: DOI arXiv
Gerhart, Christoph; Lütkebohmert, Eva Empirical analysis and forecasting of multiple yield curves. (English) Zbl 1452.91316 Insur. Math. Econ. 95, 59-78 (2020). MSC: 91G30 91G05 62P05 62H25 PDFBibTeX XMLCite \textit{C. Gerhart} and \textit{E. Lütkebohmert}, Insur. Math. Econ. 95, 59--78 (2020; Zbl 1452.91316) Full Text: DOI
Jeong, Himchan; Valdez, Emiliano A. Predictive compound risk models with dependence. (English) Zbl 1454.91195 Insur. Math. Econ. 94, 182-195 (2020). Reviewer: Klaus D. Schmidt (Dresden) MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{H. Jeong} and \textit{E. A. Valdez}, Insur. Math. Econ. 94, 182--195 (2020; Zbl 1454.91195) Full Text: DOI
Lindholm, Mathias; Verrall, Richard Regression based reserving models and partial information. (English) Zbl 1454.91201 Insur. Math. Econ. 94, 109-124 (2020). Reviewer: Klaus D. Schmidt (Dresden) MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{M. Lindholm} and \textit{R. Verrall}, Insur. Math. Econ. 94, 109--124 (2020; Zbl 1454.91201) Full Text: DOI
Počuča, Nikola; Jevtić, Petar; McNicholas, Paul D.; Miljkovic, Tatjana Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted models. (English) Zbl 1452.91280 Insur. Math. Econ. 94, 79-93 (2020). MSC: 91G05 62P05 62H30 PDFBibTeX XMLCite \textit{N. Počuča} et al., Insur. Math. Econ. 94, 79--93 (2020; Zbl 1452.91280) Full Text: DOI arXiv
Njenga, Carolyn Ndigwako; Sherris, Michael Modeling mortality with a Bayesian vector autoregression. (English) Zbl 1452.91244 Insur. Math. Econ. 94, 40-57 (2020). MSC: 91D20 91G05 62P05 PDFBibTeX XMLCite \textit{C. N. Njenga} and \textit{M. Sherris}, Insur. Math. Econ. 94, 40--57 (2020; Zbl 1452.91244) Full Text: DOI Link
Tadese, Mekonnen; Drapeau, Samuel Relative bound and asymptotic comparison of expectile with respect to expected shortfall. (English) Zbl 1448.62064 Insur. Math. Econ. 93, 387-399 (2020). MSC: 62G32 62P05 91G05 PDFBibTeX XMLCite \textit{M. Tadese} and \textit{S. Drapeau}, Insur. Math. Econ. 93, 387--399 (2020; Zbl 1448.62064) Full Text: DOI arXiv
Lehtomaa, Jaakko; Resnick, Sidney I. Asymptotic independence and support detection techniques for heavy-tailed multivariate data. (English) Zbl 1448.62074 Insur. Math. Econ. 93, 262-277 (2020). MSC: 62H12 62E20 62G32 62G05 60G70 60G57 PDFBibTeX XMLCite \textit{J. Lehtomaa} and \textit{S. I. Resnick}, Insur. Math. Econ. 93, 262--277 (2020; Zbl 1448.62074) Full Text: DOI arXiv
Huang, Yifan; Meng, Shengwang A Bayesian nonparametric model and its application in insurance loss prediction. (English) Zbl 1446.91063 Insur. Math. Econ. 93, 84-94 (2020). MSC: 91G05 62P05 62G08 PDFBibTeX XMLCite \textit{Y. Huang} and \textit{S. Meng}, Insur. Math. Econ. 93, 84--94 (2020; Zbl 1446.91063) Full Text: DOI
Pitselis, Georgios Multi-stage nested classification credibility quantile regression model. (English) Zbl 1446.91071 Insur. Math. Econ. 92, 162-176 (2020). MSC: 91G05 62P05 62G08 PDFBibTeX XMLCite \textit{G. Pitselis}, Insur. Math. Econ. 92, 162--176 (2020; Zbl 1446.91071) Full Text: DOI
Gerrard, Russell; Hiabu, Munir; Nielsen, Jens Perch; Vodička, Peter Long-term real dynamic investment planning. (English) Zbl 1445.91058 Insur. Math. Econ. 92, 90-103 (2020). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{R. Gerrard} et al., Insur. Math. Econ. 92, 90--103 (2020; Zbl 1445.91058) Full Text: DOI
Chen, Zhiping; Yang, Peng Robust optimal reinsurance-investment strategy with price jumps and correlated claims. (English) Zbl 1445.91051 Insur. Math. Econ. 92, 27-46 (2020). MSC: 91G05 62P05 91G10 90C15 90C39 PDFBibTeX XMLCite \textit{Z. Chen} and \textit{P. Yang}, Insur. Math. Econ. 92, 27--46 (2020; Zbl 1445.91051) Full Text: DOI
Wang, Yinzhi; Hobæk Haff, Ingrid; Huseby, Arne Modelling extreme claims via composite models and threshold selection methods. (English) Zbl 1435.91163 Insur. Math. Econ. 91, 257-268 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{Y. Wang} et al., Insur. Math. Econ. 91, 257--268 (2020; Zbl 1435.91163) Full Text: DOI arXiv
Wei, Jiaqin; Cheng, Xiang; Jin, Zhuo; Wang, Hao Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes. (English) Zbl 1435.91164 Insur. Math. Econ. 91, 244-256 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{J. Wei} et al., Insur. Math. Econ. 91, 244--256 (2020; Zbl 1435.91164) Full Text: DOI
Kang, Seul Ki; Peng, Liang; Xiao, Hongmin Risk analysis with categorical explanatory variables. (English) Zbl 1435.91155 Insur. Math. Econ. 91, 238-243 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{S. K. Kang} et al., Insur. Math. Econ. 91, 238--243 (2020; Zbl 1435.91155) Full Text: DOI
Fang, Jun; Jiang, Fan; Liu, Yong; Yang, Jingping Copula-based Markov process. (English) Zbl 1435.62177 Insur. Math. Econ. 91, 166-187 (2020). MSC: 62H05 62M02 PDFBibTeX XMLCite \textit{J. Fang} et al., Insur. Math. Econ. 91, 166--187 (2020; Zbl 1435.62177) Full Text: DOI
Basellini, Ugofilippo; Kjærgaard, Søren; Camarda, Carlo Giovanni An age-at-death distribution approach to forecast cohort mortality. (English) Zbl 1435.91140 Insur. Math. Econ. 91, 129-143 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{U. Basellini} et al., Insur. Math. Econ. 91, 129--143 (2020; Zbl 1435.91140) Full Text: DOI
Lin, X. Sheldon; Yang, Shuai Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach. (English) Zbl 1435.91158 Insur. Math. Econ. 91, 85-103 (2020). MSC: 91G05 62P05 62J02 PDFBibTeX XMLCite \textit{X. S. Lin} and \textit{S. Yang}, Insur. Math. Econ. 91, 85--103 (2020; Zbl 1435.91158) Full Text: DOI
Ungolo, Francesco; Kleinow, Torsten; Macdonald, Angus S. A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates. (English) Zbl 1435.91161 Insur. Math. Econ. 91, 68-84 (2020). MSC: 91G05 62P05 62F15 PDFBibTeX XMLCite \textit{F. Ungolo} et al., Insur. Math. Econ. 91, 68--84 (2020; Zbl 1435.91161) Full Text: DOI
Ćmiel, Bogdan; Ledwina, Teresa Validation of association. (English) Zbl 1435.91145 Insur. Math. Econ. 91, 55-67 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{B. Ćmiel} and \textit{T. Ledwina}, Insur. Math. Econ. 91, 55--67 (2020; Zbl 1435.91145) Full Text: DOI
Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey On log-normal convolutions: an analytical-numerical method with applications to economic capital determination. (English) Zbl 1431.91327 Insur. Math. Econ. 90, 120-134 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{E. Furman} et al., Insur. Math. Econ. 90, 120--134 (2020; Zbl 1431.91327) Full Text: DOI
Pai, Jeffrey; Ravishanker, Nalini Livestock mortality catastrophe insurance using fatal shock process. (English) Zbl 1431.91341 Insur. Math. Econ. 90, 58-65 (2020). MSC: 91G05 62P05 62H10 PDFBibTeX XMLCite \textit{J. Pai} and \textit{N. Ravishanker}, Insur. Math. Econ. 90, 58--65 (2020; Zbl 1431.91341) Full Text: DOI
Zhang, Pengcheng; Calderin, Enrique; Li, Shuanming; Wu, Xueyuan On the type I multivariate zero-truncated hurdle model with applications in health insurance. (English) Zbl 1431.91348 Insur. Math. Econ. 90, 35-45 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{P. Zhang} et al., Insur. Math. Econ. 90, 35--45 (2020; Zbl 1431.91348) Full Text: DOI Link