ASTIN BulletinThe Journal of the International Actuarial Association Short Title: ASTIN Bull. Publisher: Cambridge University Press, Cambridge ISSN: 0515-0361; 1783-1350/e Online: https://www.cambridge.org/core/journals/astin-bulletin-journal-of-the-iaa/all-issueshttp://poj.peeters-leuven.be/content.php?url=journal&journal_code=ASThttp://www.casact.org/library/astin/ Comments: Journal Documents Indexed: 641 Publications (since 1998) References Indexed: 571 Publications with 14,875 References. all top 5 Latest Issues 53, No. 2 (2023) 53, No. 1 (2023) 52, No. 3 (2022) 52, No. 2 (2022) 52, No. 1 (2022) 51, No. 3 (2021) 51, No. 2 (2021) 51, No. 1 (2021) 50, No. 3 (2020) 50, No. 2 (2020) 50, No. 1 (2020) 49, No. 3 (2019) 49, No. 2 (2019) 49, No. 1 (2019) 48, No. 3 (2018) 48, No. 2 (2018) 48, No. 1 (2018) 47, No. 3 (2017) 47, No. 2 (2017) 47, No. 1 (2017) 46, No. 3 (2016) 46, No. 2 (2016) 46, No. 1 (2016) 45, No. 3 (2015) 45, No. 2 (2015) 45, No. 1 (2015) 44, No. 3 (2014) 44, No. 2 (2014) 44, No. 1 (2014) 43, No. 3 (2013) 43, No. 2 (2013) 43, No. 1 (2013) 42, No. 2 (2012) 42, No. 1 (2012) 41, No. 2 (2011) 41, No. 1 (2011) 40, No. 2 (2010) 40, No. 1 (2010) 39, No. 2 (2009) 39, No. 1 (2009) 38, No. 2 (2008) 38, No. 1 (2008) 37, No. 2 (2007) 37, No. 1 (2007) 36, No. 2 (2006) 36, No. 1 (2006) 35, No. 2 (2005) 35, No. 1 (2005) 34, No. 2 (2004) 34, No. 1 (2004) 33, No. 2 (2003) 33, No. 1 (2003) 32, No. 2 (2002) 32, No. 1 (2002) 31, No. 2 (2001) 31, No. 1 (2001) 30, No. 2 (2000) 30, No. 1 (2000) 29, No. 2 (1999) 29, No. 1 (1999) 28, No. 2 (1998) 28, No. 1 (1998) all top 5 Authors 18 Denuit, Michel M. 18 Wüthrich, Mario Valentin 11 Hürlimann, Werner 11 Yang, Hailiang 10 Bühlmann, Hans 10 Tan, Ken Seng 9 Taylor, Greg 8 Chi, Yichun 8 Haberman, Steven 8 Hardy, Mary Rosalyn 8 Lin, X. Sheldon 8 Walhin, Jean-François 7 Avanzi, Benjamin 7 Boonen, Tim J. 7 Nielsen, Jens Perch 7 Sherris, Michael 7 Tang, Qihe 7 Tsanakas, Andreas 6 Furman, Edward 6 Gómez-Déniz, Emilio 6 Landsman, Zinoviy M. 6 Macdonald, Angus S. 6 Mack, Thomas 6 Steffensen, Mogens 6 Venter, Gary G. 6 Wong, Bernard 5 Albrecher, Hansjörg 5 Antonio, Katrien 5 Boucher, Jean-Philippe 5 Chan, Jennifer So Kuen 5 Chen, An 5 Cheung, Ka Chun 5 Christiansen, Marcus Christian 5 Cossette, Hélène 5 Delong, Łukasz 5 Devolder, Pierre 5 Dickson, David C. M. 5 Embrechts, Paul 5 Gisler, Alois 5 Guillen, Montserrat 5 Hieber, Peter 5 Paris, Jose F. 5 Verrall, Richard J. 5 Waters, Howard R. 5 Willmot, Gordon E. 5 Young, Virginia R. 4 Aase, Knut Kristian 4 Avram, Florin 4 Badescu, Andrei L. 4 Cai, Jun 4 Cairns, Andrew J. G. 4 De Lourdes Centeno, Maria 4 Dhaene, Jan 4 Donnelly, Catherine 4 Egídio dos Reis, Alfredo D. 4 Hainaut, Donatien 4 Hofert, Marius 4 Kałuszka, Marek 4 Lemaire, Jean-Jacques 4 Marceau, Étienne 4 Meng, Shengwang 4 Pinquet, Jean 4 Riegel, Ulrich 4 Robert, Christian-Yann 4 Usábel, Miguel A. 4 Vernic, Raluca 4 Zitikis, Ričardas 3 Afonso, Lourdes B. 3 Bauer, Daniel J. 3 Beirlant, Jan 3 Blake, David 3 Brazauskas, Vytaras 3 Calderín Ojeda, Enrique 3 Cheung, Eric C. K. 3 Choy, S. T. Boris 3 de Jong, Piet 3 Deelstra, Griselda 3 Desjardins, Denise 3 Dionne, Georges 3 Drekic, Steve 3 Frangos, Nikos E. 3 Frees, Edward W. 3 Gao, Guangyuan 3 Gerber, Hans U. 3 Godin, Frédéric 3 Hamel, Emmanuel 3 Hössjer, Ola G. 3 Jiang, Wenjun 3 Joshi, Mark S. 3 Kleinow, Torsten 3 Kling, Alexander 3 Li, Johnny Siu-Hang 3 Li, Shuanming 3 Liang, Xiaoqing 3 Liu, Haiyan 3 Lu, Yang 3 Maurer, Raimond H. 3 Merz, Michael 3 Moriconi, Franco 3 Ohlsson, Esbjörn ...and 704 more Authors all top 5 Fields 582 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 301 Statistics (62-XX) 76 Probability theory and stochastic processes (60-XX) 19 Numerical analysis (65-XX) 19 Systems theory; control (93-XX) 10 History and biography (01-XX) 9 Computer science (68-XX) 8 Operations research, mathematical programming (90-XX) 6 Biology and other natural sciences (92-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 2 Combinatorics (05-XX) 2 Partial differential equations (35-XX) 2 Mathematics education (97-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 Geophysics (86-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 519 Publications have been cited 5,582 times in 3,412 Documents Cited by ▼ Year ▼ A primer on copulas for count data. Zbl 1274.62398Genest, Christian; Nešlehová, Johanna 134 2007 Some optimal dividends problems. Zbl 1097.91040Dickson, David C. M.; Waters, Howard R. 122 2004 Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 118 2006 Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures. Zbl 1162.91402Cai, Jun; Tan, Ken Seng 114 2007 A universal pricing framework for guaranteed minimum benefits in variable annuities. Zbl 1274.91399Bauer, Daniel; Kling, Alexander; Russ, Jochen 107 2008 Common Poisson shock models: applications to insurance and credit risk modelling. Zbl 1087.91030Lindskog, Filip; McNeil, Alexander J. 76 2003 Optimal reinsurance under VaR and CVaR risk measures a simplified approach. Zbl 1239.91078Chi, Yichun; Tan, Ken Seng 73 2011 Randomized onservation periods for the compound Poisson risk model: dividends. Zbl 1239.91072Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan 71 2011 Optimal reinsurance revisited - a geometric approach. Zbl 1230.91070Cheung, Ka Chun 71 2010 Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028Asmussen, Soren; Avram, Florin; Usabel, Miguel 69 2002 Risk-minimizing hedging strategies for unit-linked life insurance contracts. Zbl 1168.91417Møller, Thomas 63 1998 Fitting Tweedie’s compound Poisson model to insurance claims data: dispersion modelling. Zbl 1094.91514Smyth, Gordon K.; Jørgensen, Bent 63 2002 A universal framework for pricing financial and insurance risks. Zbl 1090.91555Wang, Shaun S. 63 2002 Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time. Zbl 1018.91028Cairns, Andrew 61 2000 Modelling and comparing dependencies in multivariable risk portfolios. Zbl 1137.91484Bäuerle, N.; Müller, A. 56 1998 Tail variance premium with applications for elliptical portfolio of risks. Zbl 1162.91373Furman, Edward; Landsman, Zinoviy 56 2006 Optimal dividends in the dual model with diffusion. Zbl 1274.91463Avanzi, Benjamin; Gerber, Hans U. 56 2008 A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374Gerber, Hans U.; Lin, X. Sheldon; Yang, Hailiang 54 2006 Modelling adult mortuality in small populations the saint model. Zbl 1239.91128Søren, Fiig Jarner; Kryger, Ebsen Masotti 49 2011 The density of the time to ruin in the classical Poisson risk model. Zbl 1097.62113Dickson, David C. M.; Willmot, Gordon E. 48 2005 Fair pricing of life insurance participating policies with a minimum interest rate guaranteed. Zbl 1098.91537Bacinello, Anna Rita 47 2001 On optimal dividends in the dual model. Zbl 1283.91192Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 46 2013 Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113Li, Johnny Siu-Hang; Hardy, Mary; Tan, Ken Seng 45 2009 Prediction of outstanding liabilities II model variations and extensions. Zbl 1162.91428Norberg, R. 39 1999 Optimal dynamic XL reinsurance. Zbl 1059.93135Hipp, Christian; Vogt, Michael 39 2003 On the tail behaviour of sums of dependent risks. Zbl 1162.91395Barbe, Philippe; Fougères, Anne-Laure; Genest, Christian 38 2006 Optimal reinsurance from the perspectives of both an insurer and a reinsurer. Zbl 1390.91167Cai, Jun; Lemieux, Christiane; Liu, Fangda 36 2016 On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer. Zbl 1390.91170Chen, Lv; Shen, Yang 35 2018 Tail conditional expectations for exponential dispersion models. Zbl 1099.62122Landsman, Zinoviy; Valdez, Emiliano A. 34 2005 On Esscher transforms in discrete finance models. Zbl 1162.91367Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N. 34 1998 Guaranteed annuity options. Zbl 1098.91527Boyle, Phelim; Hardy, Mary 34 2003 Optimal dividends and capital injections in the dual model with diffusion. Zbl 1242.91089Avanzi, Benjamin; Shen, Jonathan; Wong, Bernard 33 2011 The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. Zbl 1230.91181Donnelly, Catherine; Embrechts, Paul 31 2010 Maxima of sums of heavy-tailed random variables. Zbl 1098.60505Ng, K. W.; Tang, Q. H.; Yang, Hailiang 31 2002 Favorable estimators for fitting Pareto models: a study using goodness-of-fit measures with actual data. Zbl 1058.62030Brazauskas, Vytaras; Serfling, Robert 31 2003 Modeling dependent risks with multivariate Erlang mixtures. Zbl 1277.62255Lee, Simon C. K.; Lin, X. Sheldon 31 2012 A Neyman-Pearson perspective on optimal reinsurance with constraints. Zbl 1390.91199Lo, Ambrose 31 2017 The quantitative modeling of operational risk: between \(g\)-and-\(h\) and EVT. Zbl 1154.62077Degen, Matthias; Embrechts, Paul; Lambrigger, Dominik D. 30 2007 On the calculation of the solvency capital requirement based on nested simulations. Zbl 1277.91074Bauer, Daniel; Reuss, Andreas; Singer, Daniela 30 2012 Reinsurance arrangements minimizing the risk-adjusted value of an insurer’s liability. Zbl 1277.91077Chi, Yichun 30 2012 Design of optimal bonus-malus systems with a frequency and a severity component on an individual basis in automobile insurance. Zbl 1035.62108Frangos, Nicholas E.; Vrontos, Spyridon D. 29 2001 Individual loss reserving with the multivariate skew normal framework. Zbl 1284.91263Pigeon, Mathieu; Antonio, Katrien; Denuit, Michel 29 2013 The decompositions of the discounted penalty functions and dividends-penalty identity in a Markov-modulated risk model. Zbl 1169.91390Li, Shuanming; Lu, Yi 28 2008 A simple geometric proof that comonotonic risks have the convex-largest sum. Zbl 1061.62511Kaas, R.; Dhaene, J.; Vyncke, D.; Goovaerts, M. J.; Denuit, M. 28 2002 On the optimal dividend problem for a spectrally positive Lévy process. Zbl 1431.91430Yin, Chuancun; Wen, Yuzhen; Zhao, Yongxia 28 2014 A comparative study of two-population models for the assessment of basis risk in longevity hedges. Zbl 1390.91215Villegas, Andrés M.; Haberman, Steven; Kaishev, Vladimir K.; Millossovich, Pietro 28 2017 A review on phase-type distributions and their use in risk theory. Zbl 1123.62013Bladt, Mogens 27 2005 Model uncertainty in claims reserving within Tweedie’s compound Poisson models. Zbl 1203.91114Peters, Gareth W.; Shevchenko, Pavel V.; Wüthrich, Mario V. 27 2009 Risk measures and efficient use of capital. Zbl 1203.91110Artzner, Philippe; Delbaen, Freddy; Koch-Medina, Pablo 27 2009 Key q-duration: a framework for hedging longevity risk. Zbl 1277.91089Li, Johnny Siu-Hang; Luo, Ancheng 27 2012 Phase-type approximations to finite-time ruin probabilities in the Sparre Andersen and stationary renewal risk models. Zbl 1123.62078Stanford, D. A.; Avram, F.; Badescu, A. L.; Breuer, L.; da Silva Soares, A.; Latouche, G. 26 2005 On the density and moments of the time of ruin with exponential claims. Zbl 1062.60007Drekic, Steve; Willmot, Gordon E. 26 2003 On the maximisation of the adjustment coefficient under proportional reinsurance. Zbl 1095.91033Hald, Morten; Schmidli, Hanspeter 26 2004 Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm. Zbl 1390.62227Verbelen, Roel; Gong, Lan; Antonio, Katrien; Badescu, Andrei; Lin, Sheldon 26 2015 The mean square error of prediction in the chain ladder reserving method (Mack and Murphy revisited). Zbl 1162.91400Buchwalder, Markus; Bühlmann, Hans; Merz, Michael; Wütrich, Mario V. 25 2006 Double chain ladder. Zbl 1277.91092Martínez Miranda, Dolores María; Nielsen, Jens Perch; Verrall, Richard 25 2012 Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang 25 2015 Maximizing dividends without bankruptcy. Zbl 1162.91375Gerber, Hans U.; Shiu, Elias S. W.; Smith, Nathaniel 24 2006 On the distribution of the surplus prior to and at ruin. Zbl 1129.62425Schmidli, Hanspeter 24 1999 Option pricing in a jump-diffusion model with regime-switching. Zbl 1180.91298Yuen, Fei Lung; Yang, Hailiang 24 2009 From ruin to bankruptcy for compound Poisson surplus processes. Zbl 1283.91084Albrecher, Hansjörg; Lautscham, Volkmar 24 2013 On some properties of a class of multivariate Erlang mixtures with insurance applications. Zbl 1390.62092Willmot, Gordon E.; Woo, Jae-Kyung 24 2015 Prediction of RBNS and IBNR claims using claim amounts and claim counts. Zbl 1235.91109Verrall, Richard; Nielsen, Jens Perch; Jessen, Anders Hedegaard 23 2010 Analytic solution for return of premium and rollup guaranteed minimum death benefit options under some simple mortality laws. Zbl 1256.91035Ulm, Eric R. 22 2008 Economic capital allocations for non-negative portfolios of dependent risks. Zbl 1274.91379Furman, Edward; Landsman, Zinoviy 22 2008 On stop-loss order and the distortion pricing principle. Zbl 1168.91414Hürlimann, Werner 21 1998 An individual claims reserving model. Zbl 1162.91421Larsen, Christian Roholte 21 2007 Risk exchange with distorted probabilities. Zbl 1162.91439Tsanakas, Andreas; Christofides, Nicos 21 2006 Asymptotic value-at-risk estimates for sums of dependent random variables. Zbl 1098.62570Wüthrich, Mario V. 21 2003 Tonuity: a novel individual-oriented retirement plan. Zbl 1419.91352Chen, An; Hieber, Peter; Klein, Jakob K. 21 2019 Analysis of the expected shortfall of aggregate dependent risks. Zbl 1101.62092Alink, Stan; Löwe, Matthias; Wütherich, Mario V. 20 2005 Dividend moments in the dual risk model exact and approximate approaches. Zbl 1256.91026Cheung, Eric C. K.; Drekic, Steve 20 2008 Optimal reinsurance for variance related premium calculation principles. Zbl 1230.91073Guerra, Manuel; de Lourdes Centeno, Maria 20 2010 Optimal risk control for the excess of loss reinsurance policies. Zbl 1230.91079Meng, Hui; Zhang, Xin 20 2010 Stochastic mortality: the impact on target capital. Zbl 1179.91108Olivieri, Annamaria; Pitacco, Ermanno 20 2009 Pricing in reinsurance bargaining with comonotonic additive utility functions. Zbl 1390.91164Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao 20 2016 EM algorithm for mixed Poisson and other discrete distributions. Zbl 1100.62026Karlis, Dimitris 19 2005 Largest claims reinsurance premiums under possible claims dependence. Zbl 1162.91420Kremer, Erhard 19 1998 Credibility for the chain ladder reserving method. Zbl 1274.91486Gisler, Alois; Wüthrich, Mario V. 19 2008 Equilibrium pricing transforms: new results using Bühlmann’s 1980 economic model. Zbl 1098.91551Wang, Shaun S. 19 2003 The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor. Zbl 1277.62256Mack, Th. 19 1999 Optimal bonus-malus systems using finite mixture models. Zbl 1288.91120Tzougas, George; Vrontos, Spyridon; Frangos, Nicholas 19 2014 Actuarial fairness and solidarity in pooled annuity funds. Zbl 1390.91177Donnelly, Catherine 19 2015 Equitable retirement income tontines: mixing cohorts without discriminating. Zbl 1390.91201Milevsky, Moshe A.; Salisbury, Thomas S. 19 2016 Optimal consumption and insurance: a continuous-time Markov chain approach. Zbl 1169.91329Kraft, Holger; Steffensen, Mogens 18 2008 Designing optimal bonus-malus systems from different types of claims. Zbl 1162.91430Pinquet, Jean 18 1998 Dependence in dynamic claim frequency credibility models. Zbl 1098.62567Purcaru, Oana; Denuit, Michel 18 2003 A unified approach to generate risk measures. Zbl 1098.91539Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe 18 2003 The Markov chain market. Zbl 1098.91531Norberg, Ragnar 18 2003 Ruin probabilities and deficit for the renewal risk model with phase-type interarrival times. Zbl 1274.91244Avram, F.; Usábel, M. 17 2004 The prediction error of the chain ladder method applied to correlated run-off triangles. Zbl 1274.62689Braun, Christian 17 2004 Pricing general insurance using optimal control theory. Zbl 1155.91401Emms, Paul; Haberman, Steven 17 2005 Discrete-time risk models on time series for count random variables. Zbl 1230.91071Cossette, Hélène; Marceau, Etienne; Maume-Deschamps, Véronique 17 2010 Allowance for the age of claims in bonus-malus systems. Zbl 1098.91544Pinquet, Jean; Cuillén, Montserrat; Bolancé, Catalina 17 2001 Claims reserving using Tweedie’s compound Poisson model. Zbl 1095.91042Wüthrich, Mario V. 17 2003 Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171Chen, Shumin; Yang, Hailiang; Zeng, Yan 17 2018 On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model. Zbl 1158.62071Albrecher, Hansjörg; Hartinger, Jürgen; Thonhauser, Stefan 16 2007 Market-consistent valuation of insurance liabilities by cost of capital. Zbl 1239.91082Möhr, Christoph 16 2011 Optimal pricing of a heterogeneous portfolio for a given risk level. Zbl 1162.91390Zaks, Yaniv; Frostig, Esther; Levikson, Benny 16 2006 Market consistent pricing of insurance products. Zbl 1256.91018Malamud, Semyon; Trubowitz, Eugene; Wüthrich, Mario V. 16 2008 Point and interval forecasts of death rates using neural networks. Zbl 1484.91404Schnürch, Simon; Korn, Ralf 4 2022 Modern life-care tontines. Zbl 1492.91296Hieber, Peter; Lucas, Nathalie 4 2022 Mean-variance insurance design with counterparty risk and incentive compatibility. Zbl 1492.91272Boonen, Tim J.; Jiang, Wenjun 3 2022 Discrimination-free insurance pricing. Zbl 1484.91396Lindholm, M.; Richman, R.; Tsanakas, A.; Wüthrich, M. V. 2 2022 Joint model prediction and application to individual-level loss reserving. Zbl 1484.91401Okine, A. Nii-Armah; Frees, Edward W.; Shi, Peng 2 2022 A collective reserving model with claim openness. Zbl 1484.91395Lindholm, Mathias; Zakrisson, Henning 1 2022 A group regularisation approach for constructing generalised age-period-cohort mortality projection models. Zbl 1484.91405Sridaran, Dilan; Sherris, Michael; Villegas, Andrés M.; Ziveyi, Jonathan 1 2022 Computation of bonus in multi-state life insurance. Zbl 1484.91364Ahmad, Jamaal; Buchardt, Kristian; Furrer, Christian 1 2022 A new multivariate zero-inflated hurdle model with applications in automobile insurance. Zbl 1498.91373Zhang, Pengcheng; Pitt, David; Wu, Xueyuan 1 2022 Calibrating the Lee-Carter and the Poisson Lee-Carter models via neural networks. Zbl 1492.91314Scognamiglio, Salvatore 1 2022 Tree-based machine learning methods for modeling and forecasting mortality. Zbl 1504.91242Bjerre, Dorethe Skovgaard 1 2022 Mortality credits within large survivor funds. Zbl 1506.91151Denuit, Michel; Hieber, Peter; Robert, Christian Y. 1 2022 Optimal incentive-compatible insurance with background risk. Zbl 1478.91163Chi, Yichun; Tan, Ken Seng 5 2021 Addressing imbalanced insurance data through zero-inflated Poisson regression with boosting. Zbl 1471.91466Lee, Simon C. K. 5 2021 Predictive claim scores for dynamic multi-product risk classification in insurance. Zbl 1472.91042Verschuren, Robert Matthijs 3 2021 The impacts of individual information on loss reserving. Zbl 1471.91487Wang, Zhigao; Wu, Xianyi; Qiu, Chunjuan 3 2021 Neighbouring prediction for mortality. Zbl 1480.91248Wang, Chou-Wen; Zhang, Jinggong; Zhu, Wenjun 3 2021 Geographical diversification and longevity risk mitigation in annuity portfolios. Zbl 1471.91456De Rosa, Clemente; Luciano, Elisa; Regis, Luca 2 2021 Asymptotics for systemic risk with dependent heavy-tailed losses. Zbl 1471.91610Liu, Jiajun; Yang, Yang 2 2021 Optimal reinsurance from the viewpoints of both an insurer and a reinsurer under the CVaR risk measure and Vajda condition. Zbl 1479.91313Chen, Yanhong 2 2021 Mortality forecasting with a spatially penalized smoothed VAR model. Zbl 1471.91452Chang, Le; Shi, Yanlin 2 2021 Universally marketable insurance under multivariate mixtures. Zbl 1471.91472Lo, Ambrose; Tang, Qihe; Tang, Zhaofeng 2 2021 Applying economic measures to lapse risk management with machine learning approaches. Zbl 1480.91224Loisel, Stéphane; Piette, Pierrick; Tsai, Cheng-Hsien Jason 2 2021 Robust estimation of loss models for lognormal insurance payment severity data. Zbl 1479.91339Poudyal, Chudamani 1 2021 Optimal reinsurance design with distortion risk measures and asymmetric information. Zbl 1478.91161Boonen, Tim J.; Zhang, Yiying 1 2021 Generalizing the log-Moyal distribution and regression models for heavy-tailed loss data. Zbl 1472.91039Li, Zhengxiao; Beirlant, Jan; Meng, Shengwang 1 2021 Quantifying the trade-off between income stability and the number of members in a pooled annuity fund. Zbl 1471.91447Bernhardt, Thomas; Donnelly, Catherine 1 2021 A mixed bond and equity fund model for the valuation of variable annuities. Zbl 1471.91444Augustyniak, Maciej; Godin, Frédéric; Hamel, Emmanuel 1 2021 Why does a human die? A structural approach to cohort-wise mortality prediction under survival energy hypothesis. Zbl 1471.91482Shimizu, Yasutaka; Minami, Yuki; Ito, Ryunosuke 1 2021 Cost-sensitive multi-class AdaBoost for understanding driving behavior based on telematics. Zbl 1480.91243So, Banghee; Boucher, Jean-Philippe; Valdez, Emiliano A. 1 2021 Diversification in catastrophe insurance markets. Zbl 1480.91197Cui, Hengxin; Tan, Ken Seng; Yang, Fan 1 2021 On the optimal combination of annuities and tontines. Zbl 1431.91320Chen, An; Rach, Manuel; Sehner, Thorsten 7 2020 Distortion riskmetrics on general spaces. Zbl 1454.91208Wang, Qiuqi; Wang, Ruodu; Wei, Yunran 7 2020 A neural network boosted double overdispersed Poisson claims reserving model. Zbl 1431.91328Gabrielli, Andrea 6 2020 Bilateral risk sharing with heterogeneous beliefs and exposure constraints. Zbl 1431.91094Boonen, Tim J.; Ghossoub, Mario 5 2020 An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion. Zbl 1447.91149Tzougas, George; Karlis, Dimitris 5 2020 Poisson models with dynamic random effects and nonnegative credibilities per period. Zbl 1447.91145Pinquet, Jean 5 2020 Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method. Zbl 1454.91177Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; Hieber, Peter 5 2020 Large-loss behavior of conditional mean risk sharing. Zbl 1454.91178Denuit, Michel; Robert, Christian Y. 5 2020 Multivariate long-memory cohort mortality models. Zbl 1431.91346Yan, Hongxuan; Peters, Gareth W.; Chan, Jennifer S. K. 4 2020 Risk measures derived from a regulator’s perspective on the regulatory capital requirements for insurers. Zbl 1454.91169Cai, Jun; Mao, Tiantian 4 2020 Actuarial applications of word embedding models. Zbl 1431.91337Lee, Gee Y.; Manski, Scott; Maiti, Tapabrata 3 2020 Multivariate geometric tail- and range-value-at-risk. Zbl 1431.91441Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina 3 2020 A new inference strategy for general population mortality tables. Zbl 1444.91190Boumezoued, Alexandre; Hoffmann, Marc; Jeunesse, Paulien 3 2020 Forecasting multiple functional time series in a group structure: an application to mortality. Zbl 1447.91148Shang, Han Lin; Haberman, Steven 3 2020 Wavelet-based feature extraction for mortality projection. Zbl 1454.91190Hainaut, Donatien; Denuit, Michel 3 2020 The effect of the assumed interest rate and smoothing on variable annuities. Zbl 1431.91316Balter, Anne G.; Werker, Bas J. M. 2 2020 Natural hedges with immunization strategies of mortality and interest rates. Zbl 1431.91339Lin, Tzuling; Tsai, Cary Chi-liang 2 2020 Reaching a bequest goal with life insurance: ambiguity about the risky asset’s drift and mortality’s hazard rate. Zbl 1431.91338Liang, Xiaoqing; Young, Virginia R. 2 2020 Optimal asset allocation for DC pension decumulation with a variable spending rule. Zbl 1447.91138Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham 2 2020 Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach. Zbl 1447.91129Cheng, Xiang; Jin, Zhuo; Yang, Hailiang 2 2020 A generalised property exposure rating framework that incorporates scale-independent losses and maximum possible loss uncertainty. Zbl 1447.91144Parodi, Pietro 2 2020 Optimal insurance contracts under distortion risk measures with ambiguity aversion. Zbl 1447.91140Jiang, Wenjun; Escobar-Anel, Marcos; Ren, Jiandong 2 2020 Testing for random effects in compound risk models via Bregman divergence. Zbl 1454.91194Jeong, Himchan 2 2020 An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. Zbl 1454.91189Gweon, Hyukjun; Li, Shu; Mamon, Rogemar 2 2020 Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets. Zbl 1454.91202Lin, X. Sheldon; Yang, Shuai 2 2020 Weighted comonotonic risk sharing under heterogeneous beliefs. Zbl 1447.91143Liu, Haiyan 1 2020 Joint optimization of transition rules and the premium scale in a bonus-malus system. Zbl 1454.91164Ágoston, Kolos Csaba; Gyetvai, Márton 1 2020 Risk-based capital for variable annuity under stochastic interest rate. Zbl 1454.91207Wang, Jindong; Xu, Wei 1 2020 A method for constructing and interpreting some weighted premium principles. Zbl 1454.91170Castaño-Martínez, Antonia; López-Blazquez, Fernando; Pigueiras, Gema; Sordo, Miguel Á. 1 2020 Tonuity: a novel individual-oriented retirement plan. Zbl 1419.91352Chen, An; Hieber, Peter; Klein, Jakob K. 21 2019 On the optimality of a straight deductible under belief heterogeneity. Zbl 1419.91353Chi, Yichun 13 2019 Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines. Zbl 1427.91225Denuit, Michel 12 2019 A marked Cox model for the number of IBNR claims: estimation and application. Zbl 1427.91218Badescu, Andrei L.; Chen, Tianle; Lin, X. Sheldon; Tang, Dameng 12 2019 Fair valuation of insurance liability cash-flow streams in continuous time: applications. Zbl 1410.91262Delong, Łukasz; Dhaene, Jan; Barigou, Karim 11 2019 A class of mixture of experts models for general insurance: application to correlated claim frequencies. Zbl 1427.91227Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 11 2019 Ordering properties of extreme claim amounts from heterogeneous portfolios. Zbl 1410.91296Zhang, Yiying; Cai, Xiong; Zhao, Peng 10 2019 Modelling socio-economic differences in mortality using a new affluence index. Zbl 1427.91201Cairns, Andrew J. G.; Kallestrup-Lamb, Malene; Rosenskjold, Carsten; Blake, David; Dowd, Kevin 9 2019 A tree-based algorithm adapted to microlevel reserving and long development claims. Zbl 1427.91238Lopez, Olivier; Milhaud, Xavier; Thérond, Pierre-E. 9 2019 The reserve uncertainties in the chain ladder model of Mack revisited. Zbl 1427.91231Gisler, Alois 6 2019 Joint life insurance pricing using extended Marshall-Olkin models. Zbl 1410.91267Gobbi, Fabio; Kolev, Nikolai; Mulinacci, Sabrina 5 2019 Dynamic principal component regression: application to age-specific mortality forecasting. Zbl 1427.91241Shang, Han Lin 5 2019 Deriving robust Bayesian premiums under bands of prior distributions with applications. Zbl 1415.62081Sánchez-Sánchez, M.; Sordo, M. A.; Suárez-Llorens, A.; Gómez-Déniz, E. 4 2019 Bias-corrected inference for a modified Lee-Carter mortality model. Zbl 1410.91277Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang 4 2019 Personal non-life insurance decisions and the welfare loss from flat deductibles. Zbl 1419.91384Steffensen, Mogens; Thøgersen, Julie 3 2019 Modelling mortality dependence with regime-switching copulas. Zbl 1458.91187Rui, Zhou 3 2019 CAT bond pricing under a product probability measure with pot risk characterization. Zbl 1410.91288Tang, Qihe; Yuan, Zhongyi 3 2019 Modelling zero-inflated count data with a special case of the generalised Poisson distribution. Zbl 1427.91220Calderín-Ojeda, Enrique; Gómez-Déniz, Emilio; Barranco-Chamorro, Inmaculada 3 2019 Analyzing mortality bond indexes via hierarchical forecast reconciliation. Zbl 1427.91236Li, Han; Tang, Qihe 3 2019 Compatibility and attainability of matrices of correlation-based measures of concordance. Zbl 1427.62051Hofert, Marius; Koike, Takaaki 3 2019 Frequentist inference in insurance ratemaking models adjusting for misrepresentation. Zbl 1419.91345Akakpo, Rexford M.; Xia, Michelle; Polansky, Alan M. 2 2019 New results on the distribution of discounted compound Poisson sums. Zbl 1419.91389Zhang, Zhehao 2 2019 Valuation of contingent guarantees using least-squares Monte Carlo. Zbl 1419.91348Bienek, T.; Scherer, M. 1 2019 Property graphs – a statistical model for fire and explosion losses based on graph theory. Zbl 1410.91281Parodi, Pietro; Watson, Peter 1 2019 Economic scenario generator and parameter uncertainty: a Bayesian approach. Zbl 1410.91256Bégin, Jean-François 1 2019 Index insurance design. Zbl 1410.91293Zhang, Jinggong; Tan, Ken Seng; Weng, Chengguo 1 2019 Calendar year effect modeling for claims reserving in HGLM. Zbl 1427.91230Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano 1 2019 Minimizing the probability of lifetime ruin: two riskless assets with transaction costs. Zbl 1429.49021Liang, Xiaoqing; Young, Virginia R. 1 2019 On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer. Zbl 1390.91170Chen, Lv; Shen, Yang 35 2018 Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171Chen, Shumin; Yang, Hailiang; Zeng, Yan 17 2018 A neural-network analyzer for mortality forecast. Zbl 1390.91186Hainaut, Donatien 16 2018 On the compound Poisson risk model with periodic capital injections. Zbl 1390.91220Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang 15 2018 Pricing of cyber insurance contracts in a network model. Zbl 1416.91175Fahrenwaldt, Matthias A.; Weber, Stefan; Weske, Kerstin 12 2018 On heterogeneity in the individual model with both dependent claim occurrences and severities. Zbl 1390.91219Zhang, Yiying; Li, Xiaohu; Cheung, Ka Chun 10 2018 Aggregation of dependent risks in mixtures of exponential distributions and extensions. Zbl 1404.62116Sarabia, José María; Gómez-Déniz, Emilio; Prieto, Faustino; Jordá, Vanesa 10 2018 Local hedging of variable annuities in the presence of basis risk. Zbl 1390.91213Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, Emmanuel 8 2018 Systemic risk: an asymptotic evaluation. Zbl 1390.91157Asimit, Alexandru V.; Li, Jinzhu 8 2018 Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality. Zbl 1390.91190Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan 7 2018 Robust and efficient fitting of severity models and the method of winsorized moments. Zbl 1390.62230Zhao, Qian; Brazauskas, Vytaras; Ghorai, Jugal 6 2018 Modelling insurance losses using contaminated generalised beta type-II distribution. Zbl 1390.62204Chan, J. S. K.; Choy, S. T. B.; Makov, U. E.; Landsman, Z. 6 2018 ...and 419 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,386 Authors 49 Wüthrich, Mario Valentin 48 Yang, Hailiang 47 Denuit, Michel M. 40 Zhang, Zhimin 38 Siu, Tak Kuen 34 Albrecher, Hansjörg 33 Cheung, Eric C. K. 33 Cheung, Ka Chun 32 Dhaene, Jan 32 Tan, Ken Seng 30 Li, Shuanming 30 Tang, Qihe 29 Boonen, Tim J. 29 Haberman, Steven 26 Landsman, Zinoviy M. 26 Yuen, Kam Chuen 25 Furman, Edward 25 Landriault, David 25 Lin, X. Sheldon 24 Jin, Zhuo 23 Blake, David 23 Willmot, Gordon E. 23 Zitikis, Ričardas 22 Feng, Runhuan 22 Yamazaki, Kazutoshi 22 Young, Virginia R. 21 Chi, Yichun 21 Li, Johnny Siu-Hang 21 Marceau, Étienne 21 Valdez, Emiliano A. 20 Cairns, Andrew J. G. 20 Weng, Chengguo 19 Badescu, Andrei L. 19 Chen, An 19 Cossette, Hélène 19 Frostig, Esther 19 Genest, Christian 19 Nielsen, Jens Perch 18 Tsai, Cary Chi-Liang 18 Vernic, Raluca 18 Wang, Rongming 18 Wong, Bernard 18 Yin, Chuancun 17 Asimit, Alexandru V. 17 Avanzi, Benjamin 17 Cai, Jun 17 Guo, Junyi 17 Liang, Zhibin 17 Ren, Jiandong 17 Steffensen, Mogens 17 Wang, Wenyuan 17 Woo, Jae-Kyung 16 Antonio, Katrien 16 Dong, Yinghui 16 Embrechts, Paul 16 Pantelous, Athanasios A. 16 Pérez Garmendia, Jose Luis 16 Shi, Peng 16 Wang, Guojing 16 Wang, Ruodu 15 Dickson, David C. M. 15 Gerber, Hans U. 15 Gómez-Déniz, Emilio 15 Guillen, Montserrat 15 Hürlimann, Werner 15 Karlis, Dimitris 15 Mao, Tiantian 15 Qian, Linyi 15 Schmidli, Hanspeter 15 Shen, Yang 15 Taylor, Greg 15 Zhang, Yiying 14 Ahn, Jae Youn 14 Devolder, Pierre 14 Goovaerts, Marc J. 14 Loisel, Stéphane 14 Su, Jianxi 14 Yam, Sheung Chi Phillip 13 Avram, Florin 13 Hu, Yijun 13 Jiang, Wenjun 13 Kim, Joseph Hyun Tae 13 Palmowski, Zbigniew 13 Šiaulys, Jonas 12 Chen, Ping 12 Drekic, Steve 12 Durante, Fabrizio 12 Hu, Xiang 12 Lefèvre, Claude 12 Li, Jackie 12 Lindholm, Mathias 12 Lu, Yi 12 Scherer, Matthias 12 Sherris, Michael 12 Shiu, Elias S. W. 12 Zhou, Ming 12 Zhou, Xiaowen 12 Ziveyi, Jonathan 11 Calderín Ojeda, Enrique 11 Chan, Jennifer So Kuen ...and 3,286 more Authors all top 5 Cited in 258 Journals 901 Insurance Mathematics & Economics 300 ASTIN Bulletin 267 Scandinavian Actuarial Journal 214 North American Actuarial Journal 115 European Actuarial Journal 92 Communications in Statistics. Theory and Methods 89 Journal of Computational and Applied Mathematics 63 Methodology and Computing in Applied Probability 49 Journal of Multivariate Analysis 45 European Journal of Operational Research 43 Statistics & Probability Letters 39 Journal of Applied Probability 36 Journal of Industrial and Management Optimization 33 Applied Mathematics and Computation 33 Quantitative Finance 30 Probability in the Engineering and Informational Sciences 29 Stochastic Models 27 Journal of Statistical Computation and Simulation 23 Mathematical Problems in Engineering 21 Advances in Applied Probability 20 Annals of Operations Research 20 Extremes 19 Stochastic Analysis and Applications 19 Communications in Statistics. Simulation and Computation 18 Finance and Stochastics 18 International Journal of Theoretical and Applied Finance 17 Computational Statistics and Data Analysis 17 Journal of Applied Statistics 17 Dependence Modeling 16 Lithuanian Mathematical Journal 15 Journal of Statistical Planning and Inference 15 Acta Mathematicae Applicatae Sinica. English Series 14 Stochastic Processes and their Applications 13 Journal of Economic Dynamics & Control 13 Mathematical Methods of Operations Research 13 Decisions in Economics and Finance 12 Discrete Dynamics in Nature and Society 11 Blätter (Deutsche Gesellschaft für Versicherungsmathematik) 11 Applied Stochastic Models in Business and Industry 11 Modern Stochastics. Theory and Applications 10 Journal of Mathematical Analysis and Applications 10 Journal of the American Statistical Association 10 Journal of Optimization Theory and Applications 10 Bernoulli 10 Journal of Systems Science and Complexity 10 Frontiers of Mathematics in China 10 Mathematics and Financial Economics 10 Statistics & Risk Modeling 9 Computational Statistics 9 Applied Mathematics. Series B (English Edition) 9 Applied Mathematical Finance 9 Mathematical Finance 9 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) 8 Moscow University Mathematics Bulletin 8 Fuzzy Sets and Systems 8 Journal of the Korean Statistical Society 8 SIAM Journal on Financial Mathematics 7 Metrika 7 Operations Research 7 Test 7 Abstract and Applied Analysis 7 Asia-Pacific Financial Markets 7 Journal of Probability and Statistics 6 Applied Mathematics and Optimization 6 Journal of Mathematical Economics 6 Mathematics of Operations Research 6 International Journal of Approximate Reasoning 6 Automation and Remote Control 6 The ANZIAM Journal 6 Journal of Statistical Theory and Practice 6 Statistics and Computing 6 Annals of Finance 5 Journal of the Franklin Institute 5 Mathematics and Computers in Simulation 5 SIAM Journal on Control and Optimization 5 Statistics 5 The Annals of Applied Probability 5 Statistical Papers 5 Journal of Inequalities and Applications 5 Journal of Applied Mathematics and Computing 5 Computational Management Science 5 Science China. Mathematics 5 Statistical Theory and Related Fields 4 Physica A 4 Theory of Probability and its Applications 4 Annals of the Institute of Statistical Mathematics 4 Metron 4 Operations Research Letters 4 Statistical Science 4 Queueing Systems 4 Mathematical Methods of Statistics 4 Journal of Mathematical Sciences (New York) 4 Acta Mathematica Sinica. English Series 4 Statistical Methods and Applications 4 AStA. Advances in Statistical Analysis 4 Electronic Journal of Statistics 4 The Annals of Applied Statistics 3 The Canadian Journal of Statistics 3 Mathematica Slovaca 3 Statistica ...and 158 more Journals all top 5 Cited in 38 Fields 2,731 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,480 Statistics (62-XX) 1,022 Probability theory and stochastic processes (60-XX) 246 Systems theory; control (93-XX) 128 Operations research, mathematical programming (90-XX) 119 Numerical analysis (65-XX) 87 Calculus of variations and optimal control; optimization (49-XX) 49 Computer science (68-XX) 25 Integral equations (45-XX) 25 Biology and other natural sciences (92-XX) 24 Partial differential equations (35-XX) 20 Integral transforms, operational calculus (44-XX) 11 Functional analysis (46-XX) 8 General and overarching topics; collections (00-XX) 8 Real functions (26-XX) 6 Special functions (33-XX) 6 Approximations and expansions (41-XX) 6 Operator theory (47-XX) 5 Combinatorics (05-XX) 5 Linear and multilinear algebra; matrix theory (15-XX) 5 Measure and integration (28-XX) 5 Ordinary differential equations (34-XX) 5 Mathematics education (97-XX) 4 Statistical mechanics, structure of matter (82-XX) 4 Geophysics (86-XX) 3 History and biography (01-XX) 2 Mathematical logic and foundations (03-XX) 2 Number theory (11-XX) 2 Field theory and polynomials (12-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Convex and discrete geometry (52-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Information and communication theory, circuits (94-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 General topology (54-XX) 1 Fluid mechanics (76-XX) 1 Classical thermodynamics, heat transfer (80-XX) Citations by Year