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North American Actuarial Journal

The Official Journal of the Society of Actuaries

Short Title: N. Am. Actuar. J.
Publisher: Taylor & Francis (Routledge)
ISSN: 1092-0277; 2325-0453/e
Online: http://www.tandfonline.com/loi/uaaj20
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 895 Publications (since 1997)
References Indexed: 816 Publications with 22,445 References.
all top 5

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...and 5 more Volumes
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Authors

32 Gerber, Hans U.
26 Shiu, Elias S. W.
22 Tan, Ken Seng
18 Young, Virginia R.
15 Yang, Hailiang
14 Blake, David
13 Hardy, Mary Rosalyn
13 Li, Johnny Siu-Hang
12 Frees, Edward W.
12 Sherris, Michael
11 Brown, Robert L.
11 Denuit, Michel M.
11 Haberman, Steven
11 Tsai, Cary Chi-Liang
10 Boyle, Phelim P.
10 Cairns, Andrew J. G.
10 Jones, Bruce L.
10 Lin, X. Sheldon
10 Rosenberg, Marjorie A.
9 Ren, Jiandong
9 Valdez, Emiliano A.
8 Brazauskas, Vytaras
8 Cox, Samuel H. jun.
8 Hickman, James Charles
8 Weng, Chengguo
8 Willmot, Gordon E.
7 Albrecher, Hansjörg
7 Macdonald, Angus S.
7 Porth, Lysa
7 Ramsay, Colin M.
7 Siu, Tak Kuen
7 Yang, Charles C.
7 Zhu, Wenjun
6 Bayraktar, Erhan
6 Bernard, Carole L.
6 Brockett, Patrick L.
6 Gan, Guojun
6 Hong, Liang
6 Hunt, Andrew
6 Lin, Yijia
5 Cai, Jun
5 Carriere, Jacques F.
5 Chan, Wai-Sum
5 Dowd, Kevin
5 Goovaerts, Marc J.
5 Heacox, Linda
5 Kolkiewicz, Adam W.
5 Landriault, David
5 Landsman, Zinoviy M.
5 Li, Shuanming
5 Lu, Yi
5 MacMinn, Richard D.
5 Ng, Andrew Cheuk-Yin
5 Oguledo, Victor I.
5 Tang, Qihe
5 Wüthrich, Mario Valentin
5 Zhou, Xiaowen
5 Zhu, Nan
4 Badescu, Andrei L.
4 Bauer, Daniel J.
4 Boucher, Jean-Philippe
4 Chan, Beda S. C.
4 Dhaene, Jan
4 Dickson, David C. M.
4 Drekic, Steve
4 Furman, Edward
4 Gold, Jeremy
4 Gutterman, Sam
4 Kamiya, Shinichi
4 Ko, Bangwon
4 Lin, Tzuling
4 Liu, Xiaoming
4 Milevsky, Moshe Arye
4 Moore, Kristen S.
4 Peng, Liang
4 Schmeiser, Hato
4 Shyamalkumar, Nariankadu D.
4 Taylor, Greg
4 Vanduffel, Steven
4 Wang, Shaun S.
4 Yue, Jack C.
4 Zitikis, Ričardas
3 Antonio, Katrien
3 Arnold-Gaille, Séverine
3 Assa, Hirbod
3 Baione, Fabio
3 Beekman, John A.
3 Beirlant, Jan
3 Bolnick, Howard J.
3 Boyd, Milton S.
3 Chi, Yichun
3 Cossette, Hélène
3 Derrig, Richard A.
3 Diao, Liqun
3 Emms, Paul
3 Erhardt, Robert J.
3 Feng, Runhuan
3 Forsyth, Peter A.
3 Frostig, Esther
3 Fung, Tsz Chai
...and 905 more Authors

Publications by Year

Citations contained in zbMATH Open

554 Publications have been cited 6,047 times in 3,602 Documents Cited by Year
On the time value of ruin. With discussion and a reply by the authors. Zbl 1081.60550
Gerber, Hans U.; Shiu, Elias S. W.
417
1998
Understanding relationships using copulas. Zbl 1081.62564
Frees, Edward W.; Valdez, Emiliano A.
274
1998
Optimal dividends: analysis with Brownian motion. Zbl 1085.62122
Gerber, Hans U.; Shiu, Elias S. W.
161
2004
Minimizing the probability of ruin when claims follow Brownian motion with drift. Zbl 1141.91543
Promislow, S. David; Young, Virginia R.
155
2005
The time value of ruin in a Sparre Andersen model. With discussion and a reply by the authors. Zbl 1085.62508
Gerber, Hans U.; Shiu, Elias S. W.
150
2005
A regime-switching model of long-term stock returns. Zbl 1083.62530
Hardy, Mary R.
146
2001
Tail conditional expectations for elliptical distributions. Zbl 1084.62512
Landsman, Zinoviy M.; Valdez, Emiliano A.
140
2003
A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. Zbl 1484.91376
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin; Coughlan, Guy D.; Epstein, David; Ong, Alen; Balevich, Igor
106
2009
Measuring basis risk involved in longevity hedges. Zbl 1228.91042
Li, Johnny Siu-Hang; Hardy, Mary R.
99
2011
Application of coherent risk measures to capital requirements in insurance. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). Zbl 1082.91525
Artzner, Philippe
88
1999
A gravity model of mortality rates for two related populations. Zbl 1228.91032
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Khalaf-Allah, Marwa
82
2011
Strategies for dividend distribution: a review. Zbl 1483.91177
Avanzi, Benjamin
79
2009
On optimal dividend strategies in the compound Poisson model. Zbl 1479.91323
Gerber, Hans U.; Shiu, Elias S. W.
72
2006
The Lee-Carter method for forecasting mortality, with various extensions and applications. Zbl 1083.62535
Lee, Ronald
68
2000
Extreme value theory as a risk management tool. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). Zbl 1082.91530
Embrechts, Paul; Resnick, Sidney I.; Samorodnitsky, Gennady
58
1999
Optimal investment for an insurer to minimize its probability of ruin. Zbl 1085.60511
Liu, Chi Sang; Yang, Hailiang
57
2004
Valuing equity-indexed annuities. With discussion by G. Thomas Mitchell and Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.62545
Tiong, Serena
56
2000
Empirical estimation of risk measures and related quantities. Zbl 1084.62537
Jones, Bruce L.; Zitikis, Ričardas
50
2003
Economic capital allocation derived from risk measures. Zbl 1084.91515
Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob
49
2003
Optimal investment strategy to minimize the probability of lifetime ruin. Zbl 1085.60514
Young, Virginia R.
49
2004
Optimal reinsurance and investment for a jump diffusion risk process under the CEV model. Zbl 1291.91121
Lin, Xiang; Li, Yanfang
44
2011
On the class of Erlang mixtures with risk theoretic applications. Zbl 1480.91253
Willmot, Gordon E.; Woo, Jae-Kyung
43
2007
Self-annuitization and ruin in retirement. With discussion. Zbl 1083.60515
Milevsky, Moshe Arye; Robinson, Chris
42
2000
Natural hedging of life and annuity mortality risks. Zbl 1480.91196
Cox, Samuel H.; Lin, Yijia
40
2007
Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530
Lin, X. Sheldon; Tan, Ken Seng
40
2003
Utility functions: from risk theory to finance. With discussion and a reply by the authors. Zbl 1081.91511
Gerber, Hans U.; Pafumi, Gérard
40
1998
Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process. Zbl 1084.60544
Cheng, Yebin; Tang, Qihe
39
2003
An actuarial index of the right-tail risk. Zbl 1081.62570
Wang, Shaun
39
1998
On a classical risk model with a constant dividend barrier. Zbl 1215.60051
Zhou, Xiaowen
38
2005
On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England. Zbl 1412.91057
Villegas, Andrés M.; Haberman, Steven
36
2014
Modeling with Weibull-Pareto models. Zbl 1291.62186
Scollnik, David P. M.; Sun, Chenchen
33
2012
On a class of renewal risk processes. With discussion and a reply by the author. Zbl 1081.60549
Dickson, David C. M.
32
1998
Pricing guaranteed life insurance participating policies with annual premiums and surrender option. Zbl 1084.62519
Bacinello, Anna Rita
31
2003
Robust and efficient estimation of the tail index of a single-parameter Pareto distribution. Zbl 1083.62505
Brazauskas, Vytaras; Serfling, Robert
31
2000
Catastrophe risk bonds. Zbl 1083.91534
Cox, Samuel H.; Pedersen, Hal W.
30
2000
Asymptotic analysis of multivariate tail conditional expectations. Zbl 1291.60108
Zhu, Li; Li, Haijun
29
2012
Hedging equity-linked life insurance contracts. Zbl 1083.91546
Møller, Thomas
29
2001
Mortality regimes and pricing. Zbl 1228.91043
Milidonis, Andreas; Lin, Yijia; Cox, Samuel H.
28
2011
On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
28
2004
Actuarial modeling with MCMC and BUGS. With a discussion by David Spiegelhalter. Zbl 1083.62543
Scollnik, David P. M.
28
2001
Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038
Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan
27
2005
A Bayesian log-normal model for multivariate loss reserving. Zbl 1291.91126
Shi, Peng; Basu, Sanjib; Meyers, Glenn G.
26
2012
Projecting mortality trends: recent developments in the United Kingdom and the United States. Zbl 1085.62517
Wong-Fupuy, Carlos; Haberman, Steven
26
2004
On the expected discounted penalty function for Lévy risk processes. Zbl 1480.91076
Garrido, José; Morales, Manuel
26
2006
Risk classification for claim counts: a comparative analysis of various zero-inflated mixed Poisson and hurdle models. Zbl 1480.91187
Boucher, Jean-Philippe; Denuit, Michel; Guillén, Montserrat
25
2007
Geometric Brownian motion models for assets and liabilities: from pension funding to optimal dividends. With discussion by X. Sheldon Lin, Marc Decamps and Marc Goovaerts and a reply by the authors. Zbl 1084.91517
Gerber, Hans U.; Shiu, Elias S. W.
25
2003
Pricing perpetual options for jump processes. With discussion by X. Sheldon Lin and Xiaolan Zhang and a reply by the authors. Zbl 1081.91528
Gerber, Hans U.; Shiu, Elias S. W.
25
1998
Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest. Zbl 1479.91308
Cai, Jun; Gerber, Hans U.; Yang, Hailiang
25
2006
A general procedure for constructing mortality models. Zbl 1412.91045
Hunt, Andrew; Blake, David
25
2014
Bayesian modelling of outstanding liabilities incorporating claim count uncertainty. Zbl 1084.62544
Ntzoufras, Ioannis; Dellaportas, Petros
24
2002
Equity-indexed life insurance: pricing and reserving using the principle of equivalent utility. Zbl 1084.91521
Young, Virginia R.
24
2003
Modeling period effects in multi-population mortality models: applications to Solvency II. Zbl 1412.91060
Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng
24
2014
Pricing lookback options and dynamic guarantees. With discussion by Griselda Deelstra. Zbl 1084.91507
Gerber, Hans U.; Shiu, Elias S. W.
23
2003
Pricing perpetual fund protection with withdrawal option (With discussion and a reply by the authors). Zbl 1084.60512
Gerber, Hans U.; Shiu, Elias S. W.
23
2003
Credibility using copulas. Zbl 1085.62121
Frees, Edward W.; Wang, Ping
23
2005
Pricing dynamic investment fund protection (With discussion by Terence Chan, François-Serge Lhabitant and Svein-Arne Persson and a reply by the authors). Zbl 1083.91516
Gerber, Hans U.; Pafumi, Gérard
23
2000
Arrow’s theorem of the deductible with heterogeneous beliefs. Zbl 1414.91193
Ghossoub, Mario
23
2017
A risk model with multilayer dividend strategy. Zbl 1480.91178
Albrecher, Hansjörg; Hartinger, Jürgen
22
2007
Stochastic analysis of the interaction between investment and insurance risks. With discussion and a reply by the author. Zbl 1080.91530
Parker, Gary
22
1997
VaR and CTE criteria for optimal quota-share and stop-loss reinsurance. Zbl 1483.91208
Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
22
2009
Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method. Zbl 1219.91145
Yuen, Fei Lung; Yang, Hailiang
21
2010
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
21
2010
Bayesian estimation of outstanding claim reserves. Zbl 1084.62554
de Alba, Enrique
21
2002
A Bayesian generalized linear model for the Bornhuetter-Ferguson method of claims reserving. Zbl 1085.62516
Verrall, R. J.
21
2004
Absolute ruin probabilities in a jump diffusion risk model with investment. Zbl 1480.91208
Gerber, Hans U.; Yang, Hailiang
20
2007
Distortion risk measures and economic capital. Zbl 1085.91526
Hürlimann, Werner
20
2004
Weighted pricing functionals with applications to insurance. Zbl 1483.91194
Furman, Edward; Zitikis, Ričardas
20
2009
Efficient and robust fitting of lognormal distributions. Zbl 1084.62511
Serfling, Robert
19
2002
Modeling surrender and lapse rates with economic variables. Zbl 1215.91067
Kim, Changki
18
2005
The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model. Zbl 1480.91079
Ren, Jiandong
18
2007
Generalized Pareto fit to the society of actuaries’ large claims database. Zbl 1084.62108
Cebrián, Ana C.; Denuit, Michel; Lambert, Philippe
18
2003
Note on the tail behavior of random walk maxima with heavy tails and negative drift. Zbl 1084.60515
Kaas, Rob; Tang, Qihe
18
2003
Variance of the CTE estimator. Zbl 1085.62511
Manistre, B. John; Hancock, Geoffrey H.
18
2005
Dynamic fund protection. With a discussion by Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.60513
Imai, Junichi; Boyle, Phelim P.
18
2001
Case studies using panel data models. Zbl 1083.91538
Frees, Edward W.; Young, Virginia R.; Luo, Yu
18
2001
The CBD mortality indexes: modeling and applications. Zbl 1412.91037
Chan, Wai-Sum; Li, Johnny Siu-Hang; Li, Jackie
18
2014
Markov aging process and phase-type law of mortality. Zbl 1480.91221
Lin, X. Sheldon; Liu, Xiaoming
17
2007
Pension fund dynamics and gains/losses due to random rates of investment return. Zbl 1082.62543
Owadally, M. Iqbal; Haberman, Steven
17
1999
Modeling severity and measuring tail risk of Norwegian fire claims. Zbl 1414.62415
Brazauskas, Vytaras; Kleefeld, Andreas
17
2016
On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model. Zbl 1483.91199
Landriault, David; Willmot, Gordon E.
17
2009
Stochastic life annuities. Zbl 1480.91199
Dufresne, Daniel
16
2007
“Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60545
Gerber, Hans U.; Shiu, Elias S. W.
16
2003
“Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60546
Gerber, Hans U.; Shiu, Elias S. W.
16
2003
The iterated CTE: a dynamic risk measure. Zbl 1085.91524
Hardy, Mary R.; Wirch, Julia L.
16
2004
Optimal annuitization policies: analysis of the options. Zbl 1083.91522
Milevsky, Moshe Arye
16
2001
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176
Cui, Zhenyu; Feng, Runhuan; MacKay, Anne
16
2017
Capital allocation survey with commentary. Zbl 1085.91517
Venter, Gary G.
15
2004
Asymptotic analysis of the loss given default in the presence of multivariate regular variation. Zbl 1412.91056
Tang, Qihe; Yuan, Zhongyi
15
2013
Empirical approach for optimal reinsurance design. Zbl 1414.91234
Tan, Ken Seng; Weng, Chengguo
15
2014
Pricing annuity guarantees under a regime-switching model. Zbl 1483.91201
Lin, X. Sheldon; Tan, Ken Seng; Yang, Hailiang
15
2009
Actuarial applications of epidemiological models. Zbl 1213.91089
Feng, Runhuan; Garrido, Jose
14
2011
Semi-static hedging for GMWB in variable annuities. Zbl 1291.91205
Kolkiewicz, Adam; Liu, Yan
14
2012
The expected discounted penalty at ruin for a Markov-modulated risk process perturbed by diffusion. Zbl 1480.91226
Lu, Yi; Tsai, Cary Chi-Liang
14
2007
Bayesian risk measures for derivatives via random Esscher transform. Zbl 1083.62544
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
14
2001
Principal applications of Bayesian methods in actuarial science: a perspective. Zbl 1083.62538
Makov, Udi E.
14
2001
Securitization of longevity risk in reverse mortgages. Zbl 1481.91189
Wang, Liang; Valdez, Emiliano A.; Piggott, John
14
2008
Conditional tail moments of the exponential family and its related distributions. Zbl 1219.91071
Kim, Joseph H. T.
13
2010
Impact of counterparty risk on the reinsurance market. Zbl 1291.91091
Bernard, Carole; Ludkovski, Mike
13
2012
A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization. Zbl 1291.91128
Tang, Qihe; Yuan, Zhongyi
13
2012
Investing for retirement: optimal capital growth and dynamic asset allocation. With discussion by Phelim P. Boyle and Gérard Pafumi and a reply by the authors. Zbl 1083.91517
Gerber, Hans U.; Shiu, Elias S. W.
13
2000
Bivariate mixed Poisson regression models with varying dispersion. Zbl 1521.91321
Tzougas, George; di Cerchiara, Alice Pignatelli
1
2023
A stochastic control approach to defined contribution plan decumulation: “The nastiest, hardest problem in finance”. Zbl 1497.91264
Forsyth, Peter A.
2
2022
Fitting censored and truncated regression data using the mixture of experts models. Zbl 1507.91176
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
1
2022
Short- and long-term dynamics of cause-specific mortality rates using cointegration analysis. Zbl 1497.91231
Arnold, Séverine; Glushko, Viktoriya
1
2022
Distributionally robust goal-reaching optimization in the presence of background risk. Zbl 1500.91113
Chi, Yichun; Xu, Zuo Quan; Zhuang, Sheng Chao
1
2022
Semiparametric regression for dual population mortality. Zbl 1500.91116
Venter, Gary; Şahin, Şule
1
2022
Boosting insights in insurance tariff plans with tree-based machine learning methods. Zbl 1475.91306
Henckaerts, Roel; Côté, Marie-Pier; Antonio, Katrien; Verbelen, Roel
12
2021
Basis risk in index-based longevity hedges: a guide for longevity hedgers. Zbl 1467.91137
Cairns, Andrew J. G.; El Boukfaoui, Ghali
7
2021
On the structure and classification of mortality models. Zbl 1461.91244
Hunt, Andrew; Blake, David
6
2021
Fitting nonstationary Cox processes: an application to fire insurance data. Zbl 1481.91160
Albrecher, Hansjörg; Araujo-Acuna, José Carlos; Beirlant, Jan
4
2021
A new class of severity regression models with an application to IBNR prediction. Zbl 1475.91299
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
4
2021
Longevity Greeks: what do insurers and capital market investors need to know? Zbl 1465.91099
Zhou, Kenneth Q.; Li, Johnny Siu-Hang
3
2021
A Bayesian approach to modeling and projecting cohort effects. Zbl 1461.91245
Hunt, Andrew; Blake, David
3
2021
An efficient method for mitigating longevity value-at-risk. Zbl 1465.91097
Liu, Yanxin; Li, Johnny Siu-Hang
3
2021
The valuation of a guaranteed minimum maturity benefit under a regime-switching framework. Zbl 1479.91336
Mamon, Rogemar; Xiong, Heng; Zhao, Yixing
3
2021
A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited. Zbl 1479.91321
Furman, Edward; Kye, Yisub; Su, Jianxi
3
2021
Optimal longevity risk transfer and investment strategies. Zbl 1465.91093
Cox, Samuel H.; Lin, Yijia; Liu, Sheen
2
2021
Flexible and affordable methods of paying for long-term care insurance. Zbl 1461.91253
Mayhew, Les; Rickayzen, Ben; Smith, David
2
2021
Constructing out-of-the-money longevity hedges using parametric mortality indexes. Zbl 1461.91250
Li, Johnny Siu-Hang; Li, Jackie; Balasooriya, Uditha; Zhou, Kenneth Q.
2
2021
An analysis of period and cohort mortality shocks in international data. Zbl 1461.91255
McCarthy, David; Wang, Po-Lin
2
2021
Using graduation to modify the estimation of Lee-Carter model for small populations. Zbl 1461.91263
Yue, Jack C.; Wang, Hsin-Chung; Wang, Tzu-Yu
2
2021
Mortality forecasts for long-term care subpopulations with longevity risk: a Bayesian approach. Zbl 1461.91249
Kogure, Atsuyuki; Fushimi, Takahiro; Kamiya, Shinichi
2
2021
Real-time valuation of large variable annuity portfolios: a Green mesh approach. Zbl 1479.91335
Liu, Kai; Tan, Ken Seng
2
2021
Valid model-free prediction of future insurance claims. Zbl 1491.91109
Hong, Liang; Martin, Ryan
2
2021
Modeling malicious hacking data breach risks. Zbl 1491.91111
Sun, Hong; Xu, Maochao; Zhao, Peng
2
2021
Extreme data breach losses: an alternative approach to estimating probable maximum loss for data breach risk. Zbl 1484.91389
Jung, Kwangmin
2
2021
Discussion on “Size-biased risk measures of compound sums”. Zbl 1483.91193
Furman, Edward; Kye, Yisub; Su, Jianxi
2
2021
The mathematical mechanism of biological aging. Zbl 1460.92042
Cheng, Boquan; Jones, Bruce; Liu, Xiaoming; Ren, Jiandong
1
2021
A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty. Zbl 1461.91260
Sherris, Michael; Wei, Pengyu
1
2021
Longevity risk and capital markets: the 2017–2018 update. Zbl 07341011
1
2021
Mortality risk management under the factor copula framework – with applications to insurance policy pools. Zbl 1466.91263
Hsieh, Ming-Hua; Tsai, Chenghsien Jason; Wang, Jennifer L.
1
2021
Understanding patterns of mortality homogeneity and heterogeneity across countries and their role in modeling mortality dynamics and hedging longevity risk. Zbl 1465.91098
Yang, Sharon S.; Yeh, Yu-Yun; Yue, Jack C.; Huang, Hong Chih
1
2021
Different shades of risk: mortality trends implied by term insurance prices. Zbl 1467.91140
Guo, Qiheng; Bauer, Daniel
1
2021
Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
1
2021
Optimal portfolio choice in retirement with participating life annuities. Zbl 1461.91258
Rogalla, Ralph
1
2021
Improving HMD mortality estimates with HFD fertility data. Zbl 1460.91211
Boumezoued, Alexandre
1
2021
Hedging longevity risk: does the structure of the financial instrument matter? Zbl 1461.91252
MacMinn, Richard D.; Zhu, Nan
1
2021
A multi-population approach to forecasting all-cause mortality using cause-of-death mortality data. Zbl 1460.91231
Lyu, Pintao; De Waegenaere, Anja; Melenberg, Bertrand
1
2021
A synthesis mortality model for the elderly. Zbl 1461.91261
Su, Karen C.; Yue, Jack C.
1
2021
Forward mortality rates in discrete time. I: Calibration and securities pricing. Zbl 1461.91246
Hunt, Andrew; Blake, David
1
2021
Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. Zbl 1461.91247
Hunt, Andrew; Blake, David
1
2021
An investigation into inequalities in adult lifespan. Zbl 1461.91254
Mayhew, Les; Smith, David
1
2021
Rising inequality in life expectancy by socioeconomic status. Zbl 1461.91259
Sanzenbacher, Geoffrey T.; Webb, Anthony; Cosgrove, Candace M.; Orlova, Natalia
1
2021
A semiparametric method for assessing life expectancy evaluations. Zbl 1479.91334
Lim, Hong Beng; Shyamalkumar, Nariankadu D.
1
2021
Optimal dividends paid in a foreign currency for a Lévy insurance risk model. Zbl 1479.91320
Eisenberg, Julia; Palmowski, Zbigniew
1
2021
A DSA algorithm for mortality forecasting. Zbl 1479.91318
Diao, Liqun; Meng, Yechao; Weng, Chengguo
1
2021
Data breach CAT bonds: modeling and pricing. Zbl 1484.91412
Xu, Maochao; Zhang, Yiying
1
2021
Using model averaging to determine suitable risk measure estimates. Zbl 1483.91205
Miljkovic, Tatjana; Grün, Bettina
1
2021
Reply to Edward Furman, Yisub Kye, and Jianxi Su on their discussion on the paper titled “Size-biased risk measures of compound sums”. Zbl 1483.91186
Denuit, Michel
1
2021
Discussion on “Size-biased risk measures of compound sums”. Zbl 1483.91206
Ren, Jiandong
1
2021
Stochastic comparisons between the extreme claim amounts from two heterogeneous portfolios in the case of transmuted-G model. Zbl 1454.91203
Nadeb, Hossein; Torabi, Hamzeh; Dolati, Ali
10
2020
Can automobile insurance telematics predict the risk of near-miss events? Zbl 1437.91392
Guillen, Montserrat; Nielsen, Jens Perch; Pérez-Marín, Ana M.; Elpidorou, Valandis
6
2020
Size-biased risk measures of compound sums. Zbl 1461.91242
Denuit, Michel
5
2020
Data clustering with actuarial applications. Zbl 1454.91186
Gan, Guojun; Valdez, Emiliano A.
4
2020
Drivers of mortality dynamics: identifying age/period/cohort components of historical U.S. mortality improvements. Zbl 1454.91199
Li, Johnny S.-H.; Zhou, Rui; Liu, Yanxin; Graziani, George; Hall, R. Dale; Haid, Jennifer; Peterson, Andrew; Pinzur, Laurence
3
2020
Bühlmann credibility-based approaches to modeling mortality rates for multiple populations. Zbl 1455.91229
Tsai, Cary Chi-Liang; Wu, Adelaide Di
2
2020
Capital requirements for cyber risk and cyber risk insurance: an analysis of Solvency II, the U.S. Risk-Based Capital Standards, and the Swiss Solvency Test. Zbl 1454.91181
Eling, Martin; Schnell, Werner
2
2020
The affordability of the individual markets in the affordable care act: analyses of premium increases and cost reductions from an expanded cross-subsidization perspective. Zbl 1454.91210
Yang, Charles C.
2
2020
Dating death: an empirical comparison of medical underwriters in the U.S. life settlements market. Zbl 1437.91401
Xu, Jiahua
2
2020
Doubly enhanced annuities (DEANs) and the impact of quality of long-term care under a multi-state model of activities of daily living (ADL). Zbl 1437.91399
Ramsay, Colin M.; Oguledo, Victor I.
2
2020
Hedging mortality/longevity risks for multiple years. Zbl 1437.91397
Lin, Tzuling; Tsai, Cary Chi-Liang
2
2020
Efficient nested simulation for conditional tail expectation of variable annuities. Zbl 1454.91176
Dang, Ou; Feng, Mingbin; Hardy, Mary R.
1
2020
Efficient simulation designs for valuation of large variable annuity portfolios. Zbl 1454.91184
Feng, Ben Mingbin; Tan, Zhenni; Zheng, Jiayi
1
2020
Discussion on: “A general semi-Markov model for coupled lifetimes”. Zbl 1454.91187
Gerber, Hans U.; Shiu, Elias S. W.
1
2020
Trends in Canadian mortality by pension level: evidence from the CPP and QPP. Zbl 1466.91273
Wen, Jie; Kleinow, Torsten; Cairns, Andrew J. G.
1
2020
Cybersecurity insurance: modeling and pricing. Zbl 1410.91291
Xu, Maochao; Hua, Lei
9
2019
Management of portfolio depletion risk through optimal life cycle asset allocation. Zbl 1426.91218
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham
6
2019
Improving the forecast of longevity by combining models. Zbl 1410.91253
Apicella, Giovanna; Dacorogna, Michel; Di Lorenzo, Emilia; Sibillo, Marilena
4
2019
An individual risk model for premium calculation based on quantile: a comparison between generalized linear models and quantile regression. Zbl 1429.91275
Baione, Fabio; Biancalana, Davide
4
2019
Statistical inference for Lee-Carter mortality model and corresponding forecasts. Zbl 1426.91227
Liu, Qing; Ling, Chen; Peng, Liang
4
2019
Capital allocation for a sum of dependent compound mixed Poisson variables: a recursive algorithm approach. Zbl 1417.62300
Kim, Joseph H. T.; Jang, Jiwook; Pyun, Chaehyun
4
2019
Optimal control of DC pension plan management under two incentive schemes. Zbl 1411.91285
He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming
4
2019
Regression tree credibility model. Zbl 1410.91264
Diao, Liqun; Weng, Chengguo
3
2019
Agricultural insurance ratemaking: development of a new premium principle. Zbl 1429.91286
Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa
3
2019
Life-cycle planning with ambiguous economics and mortality risks. Zbl 1429.91283
Shen, Yang; Su, Jianxi
3
2019
Deep learning at the interface of agricultural insurance risk and spatio-temporal uncertainty in weather extremes. Zbl 1429.91278
Ghahari, Azar; Newlands, Nathaniel K.; Lyubchich, Vyacheslav; Gel, Yulia R.
2
2019
Robust actuarial risk analysis. Zbl 1411.91266
Blanchet, Jose; Lam, Henry; Tang, Qihe; Yuan, Zhongyi
2
2019
Efficiency analysis of health insurers’ scale of operations and group affiliation with a perspective toward health insurers’ mergers and acquisitions effects. Zbl 1429.91279
Golden, Linda L.; Yang, Charles C.
1
2019
Minimum death rates and maximum life expectancy: the role of concordant ages. Zbl 1426.91207
Canudas-Romo, Vladimir; Booth, Heather; Bergeron-Boucher, Marie-Pier
1
2019
Using parametric bootstrap to introduce and manage uncertainty: replicated loaded insurance life tables. Zbl 1426.91231
Pavía, Jose M.; Morillas, Francisco G.; Bosch-Rodríguez, Juan Carlos
1
2019
Statistical implications of the revenue transfer methodology in the Affordable Care Act. Zbl 1411.91301
Li, Michelle; Richards, Donald
1
2019
Predictive modeling of obesity prevalence for the U.S. population. Zbl 1411.91275
Daawin, Palma; Kim, Seonjin; Miljkovic, Tatjana
1
2019
Regression modeling for the valuation of large variable annuity portfolios. Zbl 1393.91099
Gan, Guojun; Valdez, Emiliano A.
12
2018
Bonus-malus systems with two-component mixture models arising from different parametric families. Zbl 1393.62048
Tzougas, George; Vrontos, Spyridon; Frangos, Nicholas
8
2018
Optimal risk transfer: a numerical optimization approach. Zbl 1416.91149
Asimit, Alexandru V.; Gao, Tao; Hu, Junlei; Kim, Eun-Seok
5
2018
Delta boosting machine with application to general insurance. Zbl 1416.91199
Lee, Simon C. K.; Lin, Sheldon
5
2018
Around the life cycle: deterministic consumption-investment strategies. Zbl 1416.91345
Christiansen, Marcus C.; Steffensen, Mogens
5
2018
Fat-tailed regression modeling with spliced distributions. Zbl 1417.62299
Gan, Guojun; Valdez, Emiliano A.
5
2018
Updating Wilkie’s economic scenario generator for U.S. applications. Zbl 1411.91415
Zhang, Saisai; Hardy, Mary; Saunders, David
4
2018
Evaluating life expectancy evaluations. Zbl 1393.91098
Bauer, Daniel; Fasano, Michael V.; Russ, Jochen; Zhu, Nan
4
2018
Coherent modeling and forecasting of mortality patterns for subpopulations using multiway analysis of compositions: an application to Canadian provinces and territories. Zbl 1393.62043
Bergeron-Boucher, Marie-Pier; Simonacci, Violetta; Oeppen, Jim; Gallo, Michele
4
2018
Physiological age, health costs, and their interrelation. Zbl 1403.62188
Govorun, M.; Jones, B. L.; Liu, X.; Stanford, D. A.
3
2018
The annuity puzzle and an outline of its solution. Zbl 1411.91311
Ramsay, Colin M.; Oguledo, Victor I.
3
2018
Mind the gap: a study of cause-specific mortality by socioeconomic circumstances. Zbl 1393.91096
Alai, Daniel H.; Arnold-Gaille, Séverine; Bajekal, Madhavi; Villegas, Andrés M.
3
2018
Solvency II is not risk-based – could it be? Evidence from non-life calibrations. Zbl 1416.91176
Frezal, Sylvestre
2
2018
The utility value of longevity risk pooling: analytic insights. Zbl 1411.91307
Milevsky, Moshe A.; Huang, Huaxiong
2
2018
Claims reserving with a stochastic vector projection. Zbl 1393.62046
Portugal, Luís; Pantelous, Athanasios A.; Assa, Hirbod
2
2018
Exploring the optimal design of an employer-sponsored sickness-disability compensation insurance plan when sickness presenteeism is penalized. Zbl 1416.91218
Ramsay, Colin M.; Oguledo, Victor I.; Krutto, Annika
1
2018
An extension of spatial dependence models for estimating short-term temperature portfolio risk. Zbl 1416.91174
Erhardt, Robert; Engler, David
1
2018
Application of relational models in mortality immunization. Zbl 1411.91273
Chi-Liang Tsai, Cary; Liang, Xinying
1
2018
...and 454 more Documents
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Cited by 3,673 Authors

60 Yang, Hailiang
55 Young, Virginia R.
48 Zhang, Zhimin
45 Haberman, Steven
45 Siu, Tak Kuen
42 Denuit, Michel M.
41 Li, Shuanming
38 Yuen, Kam Chuen
37 Landsman, Zinoviy M.
36 Willmot, Gordon E.
35 Gerber, Hans U.
35 Landriault, David
33 Albrecher, Hansjörg
32 Yin, Chuancun
30 Shiu, Elias S. W.
29 Tsai, Cary Chi-Liang
29 Valdez, Emiliano A.
28 Lin, X. Sheldon
28 Zitikis, Ričardas
27 Tan, Ken Seng
26 Jin, Zhuo
25 Blake, David
25 Feng, Runhuan
25 Sherris, Michael
24 Cheung, Eric C. K.
24 Dhaene, Jan
24 Li, Johnny Siu-Hang
23 Liang, Zhibin
23 Zhao, Hui
22 Weng, Chengguo
21 Forsyth, Peter A.
21 Furman, Edward
21 Marceau, Étienne
21 Wu, Rong
21 Zeng, Yan
20 Cairns, Andrew J. G.
20 Genest, Christian
20 Lu, Yi
20 Shen, Yang
19 Badescu, Andrei L.
19 Bayraktar, Erhan
19 Cossette, Hélène
19 Dickson, David C. M.
19 Rong, Ximin
19 Woo, Jae-Kyung
18 Brazauskas, Vytaras
18 Dong, Yinghui
18 Li, Danping
18 Ren, Jiandong
18 Tang, Qihe
18 Wang, Guojing
18 Yang, Hu
17 Boonen, Tim J.
17 Elliott, Robert James
17 Guo, Junyi
17 Hardy, Mary Rosalyn
17 Vanduffel, Steven
17 Wang, Rongming
17 Wüthrich, Mario Valentin
16 Hu, Yijun
16 Šiaulys, Jonas
16 Zhou, Ming
15 Avanzi, Benjamin
15 Cai, Jun
15 Chi, Yichun
15 Goovaerts, Marc J.
15 Jones, Bruce L.
15 Loisel, Stéphane
15 Palmowski, Zbigniew
15 Sendova, Kristina P.
15 Su, Jianxi
14 Cheung, Ka Chun
14 Li, Zhongfei
14 Macdonald, Angus S.
14 Wong, Bernard
13 Antonio, Katrien
13 Asimit, Alexandru V.
13 Chen, Mi
13 Li, Jackie
13 Liang, Xiaoqing
13 Mamon, Rogemar S.
13 Zhou, Xian
12 Chen, Ping
12 Dowd, Kevin
12 Frees, Edward W.
12 Gan, Guojun
12 Jiang, Wenjun
12 Liang, Zongxia
12 Nadarajah, Saralees
12 Shi, Peng
12 Shushi, Tomer
12 Yang, Yang
11 Ahn, Jae Youn
11 Bouzebda, Salim
11 Boyle, Phelim P.
11 Devolder, Pierre
11 Frostig, Esther
11 Lefèvre, Claude
11 Makov, Udi E.
11 Qian, Linyi
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Cited in 282 Journals

950 Insurance Mathematics & Economics
419 North American Actuarial Journal
216 Scandinavian Actuarial Journal
158 ASTIN Bulletin
118 Journal of Computational and Applied Mathematics
83 European Actuarial Journal
82 Communications in Statistics. Theory and Methods
69 Methodology and Computing in Applied Probability
63 Statistics & Probability Letters
50 Quantitative Finance
46 European Journal of Operational Research
41 Journal of Industrial and Management Optimization
33 Applied Mathematics and Computation
32 Journal of Applied Probability
32 Mathematical Finance
32 Applied Stochastic Models in Business and Industry
30 Communications in Statistics. Simulation and Computation
29 International Journal of Theoretical and Applied Finance
25 Computational Statistics and Data Analysis
24 Acta Mathematicae Applicatae Sinica. English Series
24 Annals of Operations Research
23 Journal of Applied Statistics
23 Probability in the Engineering and Informational Sciences
22 Journal of Multivariate Analysis
20 Stochastic Models
18 Advances in Applied Probability
18 Journal of Statistical Planning and Inference
18 Mathematical Problems in Engineering
15 Discrete Dynamics in Nature and Society
15 Extremes
14 Journal of Optimization Theory and Applications
14 Journal of Economic Dynamics & Control
14 Finance and Stochastics
14 Journal of Systems Science and Complexity
14 Decisions in Economics and Finance
14 Dependence Modeling
13 The Canadian Journal of Statistics
13 Journal of Statistical Computation and Simulation
12 SIAM Journal on Financial Mathematics
11 Lithuanian Mathematical Journal
11 Applied Mathematics and Optimization
11 Applied Mathematics. Series B (English Edition)
11 Computational Management Science
11 Journal of the Korean Statistical Society
10 Journal of Econometrics
10 Mathematical Methods of Operations Research
10 Journal of Probability and Statistics
9 Journal of Mathematical Analysis and Applications
9 Fuzzy Sets and Systems
9 Optimization
9 Stochastic Processes and their Applications
9 Lifetime Data Analysis
9 Frontiers of Mathematics in China
9 Modern Stochastics. Theory and Applications
8 Mathematics and Computers in Simulation
8 Stochastic Analysis and Applications
8 Statistical Papers
8 Journal of Nonparametric Statistics
8 Annals of Finance
7 Physica A
7 Mathematical Methods of Statistics
7 The ANZIAM Journal
7 Statistics & Risk Modeling
6 International Journal of Control
6 Scandinavian Journal of Statistics
6 Annals of the Institute of Statistical Mathematics
6 SIAM Journal on Control and Optimization
6 Operations Research Letters
6 The Annals of Applied Probability
6 Computational Statistics
6 International Journal of Computer Mathematics
6 Applied Mathematical Finance
6 Soft Computing
6 Acta Mathematica Sinica. English Series
6 Asia-Pacific Financial Markets
6 Statistical Methods and Applications
6 Statistical Methodology
6 Electronic Journal of Statistics
6 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
5 Computers & Mathematics with Applications
5 Automatica
5 Information Sciences
5 Journal of the American Statistical Association
5 Statistics
5 Mathematical and Computer Modelling
5 Abstract and Applied Analysis
5 CEJOR. Central European Journal of Operations Research
5 Stochastics
5 Mathematics and Financial Economics
5 Journal of Statistical Theory and Practice
5 AStA. Advances in Statistical Analysis
5 The Annals of Applied Statistics
5 Mathematical Control and Related Fields
4 Metrika
4 The Annals of Statistics
4 Mathematics of Operations Research
4 Operations Research
4 Queueing Systems
4 Economics Letters
4 Automation and Remote Control
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Cited in 39 Fields

2,932 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,507 Statistics (62-XX)
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317 Systems theory; control (93-XX)
140 Numerical analysis (65-XX)
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96 Calculus of variations and optimal control; optimization (49-XX)
46 Integral equations (45-XX)
43 Biology and other natural sciences (92-XX)
41 Partial differential equations (35-XX)
36 Computer science (68-XX)
33 Integral transforms, operational calculus (44-XX)
11 Information and communication theory, circuits (94-XX)
10 Dynamical systems and ergodic theory (37-XX)
10 Geophysics (86-XX)
9 Ordinary differential equations (34-XX)
6 General and overarching topics; collections (00-XX)
6 Real functions (26-XX)
6 Statistical mechanics, structure of matter (82-XX)
5 Mathematical logic and foundations (03-XX)
5 Functional analysis (46-XX)
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