North American Actuarial JournalThe 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: Indexed cover-to-cover Documents Indexed: 857 Publications (since 1997) References Indexed: 779 Publications with 21,039 References. all top 5 Latest Issues 26, No. 3 (2022) 26, No. 2 (2022) 25, No. 4 (2021) 25, No. 3 (2021) 25, No. 2 (2021) 25, No. 1 (2021) 25, Suppl. 1 (2021) 24, No. 4 (2020) 24, No. 3 (2020) 24, No. 2 (2020) 24, No. 1 (2020) 23, No. 4 (2019) 23, No. 3 (2019) 23, No. 2 (2019) 23, No. 1 (2019) 22, No. 4 (2018) 22, No. 3 (2018) 22, No. 2 (2018) 22, No. 1 (2018) 21, No. 4 (2017) 21, No. 3 (2017) 21, No. 2 (2017) 21, No. 1 (2017) 20, No. 4 (2016) 20, No. 3 (2016) 20, No. 2 (2016) 20, No. 1 (2016) 19, No. 4 (2015) 19, No. 3 (2015) 19, No. 2 (2015) 19, No. 1 (2015) 18, No. 4 (2014) 18, No. 3 (2014) 18, No. 2 (2014) 18, No. 1 (2014) 17, No. 3 (2013) 17, No. 2 (2013) 17, No. 1 (2013) 16, No. 4 (2012) 16, No. 3 (2012) 16, No. 2 (2012) 16, No. 1 (2012) 15, No. 4 (2011) 15, No. 3 (2011) 15, No. 2 (2011) 15, No. 1 (2011) 14, No. 4 (2010) 14, No. 3 (2010) 14, No. 2 (2010) 14, No. 1 (2010) 13, No. 4 (2009) 13, No. 3 (2009) 13, No. 2 (2009) 13, No. 1 (2009) 12, No. 4 (2008) 12, No. 3 (2008) 12, No. 2 (2008) 12, No. 1 (2008) 11, No. 4 (2007) 11, No. 3 (2007) 11, No. 2 (2007) 11, No. 1 (2007) 10, No. 4 (2006) 10, No. 3 (2006) 10, No. 2 (2006) 10, No. 1 (2006) 9, No. 4 (2005) 9, No. 3 (2005) 9, No. 2 (2005) 9, No. 1 (2005) 8, No. 4 (2004) 8, No. 3 (2004) 8, No. 2 (2004) 8, No. 1 (2004) 7, No. 4 (2003) 7, No. 3 (2003) 7, No. 2 (2003) 7, No. 1 (2003) 6, No. 4 (2002) 6, No. 3 (2002) 6, No. 2 (2002) 6, No. 1 (2002) 5, No. 4 (2001) 5, No. 3 (2001) 5, No. 2 (2001) 5, No. 1 (2001) 4, No. 4 (2000) 4, No. 3 (2000) 4, No. 2 (2000) 4, No. 1 (2000) 3, No. 4 (1999) 3, No. 3 (1999) 3, No. 2 (1999) 3, No. 1 (1999) 2, No. 4 (1998) 2, No. 3 (1998) 2, No. 2 (1998) 2, No. 1 (1998) 1, No. 4 (1997) 1, No. 3 (1997) all top 5 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 10 Boyle, Phelim P. 10 Cairns, Andrew J. G. 10 Rosenberg, Marjorie A. 10 Tsai, Cary Chi-Liang 9 Lin, X. Sheldon 9 Ren, Jiandong 9 Valdez, Emiliano A. 8 Cox, Samuel H. jun. 8 Hickman, James Charles 8 Jones, Bruce L. 8 Willmot, Gordon E. 7 Albrecher, Hansjörg 7 Macdonald, Angus S. 7 Porth, Lysa 7 Siu, Tak Kuen 7 Weng, Chengguo 7 Yang, Charles C. 7 Zhu, Wenjun 6 Bayraktar, Erhan 6 Bernard, Carole L. 6 Brazauskas, Vytaras 6 Cheung, Eric C. K. 6 Gan, Guojun 6 Ramsay, Colin M. 5 Brockett, Patrick L. 5 Cai, Jun 5 Carriere, Jacques F. 5 Chan, Wai-Sum 5 Goovaerts, Marc J. 5 Heacox, Linda 5 Hunt, Andrew 5 Kolkiewicz, Adam W. 5 Landriault, David 5 Landsman, Zinoviy M. 5 Lin, Yijia 5 Lu, Yi 5 MacMinn, Richard D. 5 Ng, Andrew Cheuk-Yin 5 Tang, Qihe 5 Zhou, Xiaowen 5 Zhu, Nan 4 Bauer, Daniel J. 4 Chan, Beda S. C. 4 Dhaene, Jan 4 Dickson, David C. M. 4 Dowd, Kevin 4 Drekic, Steve 4 Furman, Edward 4 Gold, Jeremy 4 Gutterman, Sam 4 Hong, Liang 4 Ko, Bangwon 4 Li, Shuanming 4 Milevsky, Moshe Arye 4 Moore, Kristen S. 4 Oguledo, Victor I. 4 Peng, Liang 4 Schmeiser, Hato 4 Shyamalkumar, Nariankadu D. 4 Taylor, Greg 4 Vanduffel, Steven 4 Wang, Shaun S. 4 Wüthrich, Mario Valentin 4 Yue, Jack C. 4 Zitikis, Ričardas 3 Antonio, Katrien 3 Arnold-Gaille, Séverine 3 Assa, Hirbod 3 Badescu, Andrei L. 3 Beekman, John A. 3 Beirlant, Jan 3 Bolnick, Howard J. 3 Boucher, Jean-Philippe 3 Boyd, Milton S. 3 Chi, Yichun 3 Cossette, Hélène 3 Derrig, Richard A. 3 Emms, Paul 3 Erhardt, Robert J. 3 Feng, Runhuan 3 Forsyth, Peter A. 3 Frostig, Esther 3 Golden, Linda L. 3 Hartman, Brian M. 3 Hoedemakers, Tom 3 Hua, Lei 3 Hürlimann, Werner ...and 856 more Authors all top 5 Fields 761 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 376 Statistics (62-XX) 114 Probability theory and stochastic processes (60-XX) 15 Biology and other natural sciences (92-XX) 12 Systems theory; control (93-XX) 11 Integral transforms, operational calculus (44-XX) 11 Numerical analysis (65-XX) 10 Operations research, mathematical programming (90-XX) 8 History and biography (01-XX) 8 Integral equations (45-XX) 6 General and overarching topics; collections (00-XX) 6 Calculus of variations and optimal control; optimization (49-XX) 3 Partial differential equations (35-XX) 3 Geophysics (86-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Computer science (68-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 457 Publications have been cited 4,682 times in 3,060 Documents Cited by ▼ Year ▼ On the time value of ruin. With discussion and a reply by the authors. Zbl 1081.60550Gerber, Hans U.; Shiu, Elias S. W. 388 1998 Understanding relationships using copulas. Zbl 1081.62564Frees, Edward W.; Valdez, Emiliano A. 262 1998 Optimal dividends: analysis with Brownian motion. Zbl 1085.62122Gerber, Hans U.; Shiu, Elias S. W. 152 2004 Minimizing the probability of ruin when claims follow Brownian motion with drift. Zbl 1141.91543Promislow, S. David; Young, Virginia R. 143 2005 A regime-switching model of long-term stock returns. Zbl 1083.62530Hardy, Mary R. 139 2001 Tail conditional expectations for elliptical distributions. Zbl 1084.62512Landsman, Zinoviy M.; Valdez, Emiliano A. 132 2003 The time value of ruin in a Sparre Andersen model. With discussion and a reply by the authors. Zbl 1085.62508Gerber, Hans U.; Shiu, Elias S. W. 122 2005 Measuring basis risk involved in longevity hedges. Zbl 1228.91042Li, Johnny Siu-Hang; Hardy, Mary R. 96 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 1082.91525Artzner, Philippe 86 1999 A gravity model of mortality rates for two related populations. Zbl 1228.91032Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Khalaf-Allah, Marwa 75 2011 The Lee-Carter method for forecasting mortality, with various extensions and applications. Zbl 1083.62535Lee, Ronald 67 2000 Valuing equity-indexed annuities. With discussion by G. Thomas Mitchell and Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.62545Tiong, Serena 55 2000 Optimal investment for an insurer to minimize its probability of ruin. Zbl 1085.60511Liu, Chi Sang; Yang, Hailiang 54 2004 Economic capital allocation derived from risk measures. Zbl 1084.91515Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob 49 2003 Extreme value theory as a risk management tool. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). Zbl 1082.91530Embrechts, Paul; Resnick, Sidney I.; Samorodnitsky, Gennady 49 1999 Optimal investment strategy to minimize the probability of lifetime ruin. Zbl 1085.60514Young, Virginia R. 48 2004 Empirical estimation of risk measures and related quantities. Zbl 1084.62537Jones, Bruce L.; Zitikis, Ričardas 46 2003 Optimal reinsurance and investment for a jump diffusion risk process under the CEV model. Zbl 1291.91121Lin, Xiang; Li, Yanfang 41 2011 Self-annuitization and ruin in retirement. With discussion. Zbl 1083.60515Milevsky, Moshe Arye; Robinson, Chris 41 2000 Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530Lin, X. Sheldon; Tan, Ken Seng 39 2003 Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process. Zbl 1084.60544Cheng, Yebin; Tang, Qihe 38 2003 On a classical risk model with a constant dividend barrier. Zbl 1215.60051Zhou, Xiaowen 38 2005 An actuarial index of the right-tail risk. Zbl 1081.62570Wang, Shaun 37 1998 Utility functions: from risk theory to finance. With discussion and a reply by the authors. Zbl 1081.91511Gerber, Hans U.; Pafumi, Gérard 37 1998 Catastrophe risk bonds. Zbl 1083.91534Cox, Samuel H.; Pedersen, Hal W. 30 2000 On a class of renewal risk processes. With discussion and a reply by the author. Zbl 1081.60549Dickson, David C. M. 30 1998 Pricing guaranteed life insurance participating policies with annual premiums and surrender option. Zbl 1084.62519Bacinello, Anna Rita 29 2003 On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England. Zbl 1412.91057Villegas, Andrés M.; Haberman, Steven 29 2014 Modeling with Weibull-Pareto models. Zbl 1291.62186Scollnik, David P. M.; Sun, Chenchen 28 2012 Asymptotic analysis of multivariate tail conditional expectations. Zbl 1291.60108Zhu, Li; Li, Haijun 27 2012 On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 27 2004 Robust and efficient estimation of the tail index of a single-parameter Pareto distribution. Zbl 1083.62505Brazauskas, Vytaras; Serfling, Robert 27 2000 Hedging equity-linked life insurance contracts. Zbl 1083.91546Møller, Thomas 27 2001 Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan 27 2005 Mortality regimes and pricing. Zbl 1228.91043Milidonis, Andreas; Lin, Yijia; Cox, Samuel H. 27 2011 A Bayesian log-normal model for multivariate loss reserving. Zbl 1291.91126Shi, Peng; Basu, Sanjib; Meyers, Glenn G. 26 2012 Projecting mortality trends: recent developments in the United Kingdom and the United States. Zbl 1085.62517Wong-Fupuy, Carlos; Haberman, Steven 26 2004 Actuarial modeling with MCMC and BUGS. With a discussion by David Spiegelhalter. Zbl 1083.62543Scollnik, David P. M. 25 2001 Equity-indexed life insurance: pricing and reserving using the principle of equivalent utility. Zbl 1084.91521Young, Virginia R. 24 2003 Bayesian modelling of outstanding liabilities incorporating claim count uncertainty. Zbl 1084.62544Ntzoufras, Ioannis; Dellaportas, Petros 23 2002 Pricing lookback options and dynamic guarantees. With discussion by Griselda Deelstra. Zbl 1084.91507Gerber, Hans U.; Shiu, Elias S. W. 23 2003 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 1084.91517Gerber, Hans U.; Shiu, Elias S. W. 23 2003 Pricing perpetual options for jump processes. With discussion by X. Sheldon Lin and Xiaolan Zhang and a reply by the authors. Zbl 1081.91528Gerber, Hans U.; Shiu, Elias S. W. 23 1998 Credibility using copulas. Zbl 1085.62121Frees, Edward W.; Wang, Ping 22 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 1083.91516Gerber, Hans U.; Pafumi, Gérard 22 2000 Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method. Zbl 1219.91145Yuen, Fei Lung; Yang, Hailiang 21 2010 Bayesian estimation of outstanding claim reserves. Zbl 1084.62554de Alba, Enrique 21 2002 A Bayesian generalized linear model for the Bornhuetter-Ferguson method of claims reserving. Zbl 1085.62516Verrall, R. J. 21 2004 Stochastic analysis of the interaction between investment and insurance risks. With discussion and a reply by the author. Zbl 1080.91530Parker, Gary 21 1997 A general procedure for constructing mortality models. Zbl 1412.91045Hunt, Andrew; Blake, David 21 2014 Pricing perpetual fund protection with withdrawal option (With discussion and a reply by the authors). Zbl 1084.60512Gerber, Hans U.; Shiu, Elias S. W. 20 2003 Distortion risk measures and economic capital. Zbl 1085.91526Hürlimann, Werner 20 2004 A direct approach to the discounted penalty function. Zbl 1219.91063Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang 19 2010 Efficient and robust fitting of lognormal distributions. Zbl 1084.62511Serfling, Robert 18 2002 Generalized Pareto fit to the society of actuaries’ large claims database. Zbl 1084.62108Cebrián, Ana C.; Denuit, Michel; Lambert, Philippe 18 2003 Note on the tail behavior of random walk maxima with heavy tails and negative drift. Zbl 1084.60515Kaas, Rob; Tang, Qihe 18 2003 Variance of the CTE estimator. Zbl 1085.62511Manistre, B. John; Hancock, Geoffrey H. 17 2005 Dynamic fund protection. With a discussion by Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.60513Imai, Junichi; Boyle, Phelim P. 17 2001 Pension fund dynamics and gains/losses due to random rates of investment return. Zbl 1082.62543Owadally, M. Iqbal; Haberman, Steven 17 1999 Modeling period effects in multi-population mortality models: applications to Solvency II. Zbl 1412.91060Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng 17 2014 Modeling surrender and lapse rates with economic variables. Zbl 1215.91067Kim, Changki 17 2005 “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 1084.60545Gerber, Hans U.; Shiu, Elias S. W. 16 2003 The iterated CTE: a dynamic risk measure. Zbl 1085.91524Hardy, Mary R.; Wirch, Julia L. 16 2004 Optimal annuitization policies: analysis of the options. Zbl 1083.91522Milevsky, Moshe Arye 16 2001 Case studies using panel data models. Zbl 1083.91538Frees, Edward W.; Young, Virginia R.; Luo, Yu 16 2001 “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 1084.60546Gerber, Hans U.; Shiu, Elias S. W. 15 2003 Capital allocation survey with commentary. Zbl 1085.91517Venter, Gary G. 15 2004 The CBD mortality indexes: modeling and applications. Zbl 1412.91037Chan, Wai-Sum; Li, Johnny Siu-Hang; Li, Jackie 15 2014 Semi-static hedging for GMWB in variable annuities. Zbl 1291.91205Kolkiewicz, Adam; Liu, Yan 14 2012 Bayesian risk measures for derivatives via random Esscher transform. Zbl 1083.62544Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 14 2001 Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176Cui, Zhenyu; Feng, Runhuan; MacKay, Anne 13 2017 Principal applications of Bayesian methods in actuarial science: a perspective. Zbl 1083.62538Makov, Udi E. 13 2001 A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization. Zbl 1291.91128Tang, Qihe; Yuan, Zhongyi 12 2012 Modeling severity and measuring tail risk of Norwegian fire claims. Zbl 1414.62415Brazauskas, Vytaras; Kleefeld, Andreas 12 2016 Arrow’s theorem of the deductible with heterogeneous beliefs. Zbl 1414.91193Ghossoub, Mario 12 2017 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 1083.91517Gerber, Hans U.; Shiu, Elias S. W. 12 2000 Hedging and reserving for single-premium segregated fund contracts. Zbl 1083.91518Hardy, Mary R. 12 2000 Genetics, Alzheimer’s disease, and long-term care insurance. Zbl 1083.62537Macdonald, Angus; Pritchard, Delme 12 2001 Statistical independence and fractional age assumptions. With discussion and a reply by the author. Zbl 1080.62549Willmot, Gordon E. 12 1997 Fuzzy financial pricing of property-liability insurance. With discussion by David Appel and Lawrence A. Berger, Krzysztof M. Ostaszewski and Oakley E. Van Slyke and a reply by the authors. Zbl 1080.62542Cummins, J. David; Derrig, Richard A. 12 1997 Actuarial applications of epidemiological models. Zbl 1213.91089Feng, Runhuan; Garrido, Jose 12 2011 A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks. Zbl 1228.91031Dowd, Kevin; Blake, David; Cairns, Andrew J. G. 12 2011 A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. Zbl 1484.91376Cairns, Andrew J. G.; Blake, David; Dowd, Kevin; Coughlan, Guy D.; Epstein, David; Ong, Alen; Balevich, Igor 12 2009 Conditional tail moments of the exponential family and its related distributions. Zbl 1219.91071Kim, Joseph H. T. 11 2010 Regression modeling for the valuation of large variable annuity portfolios. Zbl 1393.91099Gan, Guojun; Valdez, Emiliano A. 11 2018 Impact of counterparty risk on the reinsurance market. Zbl 1291.91091Bernard, Carole; Ludkovski, Mike 11 2012 Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach. Zbl 1414.91188Gan, Guojun; Lin, X. Sheldon 11 2017 Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 11 2001 Complex dynamics, market mediation and stock price behavior. (With discussion by Irwin T. Vanderhoof). Zbl 1080.91537Day, Richard H. 11 1997 A cautionary note on natural hedging of longevity risk. Zbl 1412.91061Zhu, Nan; Bauer, Daniel 11 2014 Developing equity release markets: risk analysis for reverse mortgages and home reversions. Zbl 1412.91028Alai, Daniel H.; Chen, Hua; Cho, Daniel; Hanewald, Katja; Sherris, Michael 11 2014 A Bayesian multivariate risk-neutral method for pricing reverse mortgages. Zbl 1412.91047Kogure, Atsuyuki; Li, Jackie; Kamiya, Shinichi 11 2014 Longevity-indexed life annuities. Zbl 1213.91088Denuit, Michel; Haberman, Steven; Renshaw, Arthur 11 2011 Strategies for dividend distribution: a review. Zbl 1483.91177Avanzi, Benjamin 11 2009 Empirical approach for optimal reinsurance design. Zbl 1414.91234Tan, Ken Seng; Weng, Chengguo 10 2014 Policyholder exercise behavior in life insurance: the state of affairs. Zbl 1414.91161Bauer, Daniel; Gao, Jin; Moenig, Thorsten; Ulm, Eric R.; Zhu, Nan 10 2017 Approaches and experiences in projecting mortality patterns for the oldest-old. Zbl 1084.62524Buettner, Thomas 10 2002 The joint distribution of surplus immediately before ruin and the deficit at ruin under interest force. Zbl 1083.62547Yang, Hailiang; Zhang, Lihong 10 2001 Forecasting changes in mortality: a search for a law of causes and effects. Zbl 1081.91602Gutterman, Sam; Vanderhoof, Irwin T. 10 1998 Downside risk management of a defined benefit plan considering longevity basis risk. Zbl 1412.91048Lin, Yijia; Tan, Ken Seng; Tian, Ruilin; Yu, Jifeng 10 2014 A stochastic control approach to defined contribution plan decumulation: “The nastiest, hardest problem in finance”. Zbl 1497.91264Forsyth, Peter A. 1 2022 Boosting insights in insurance tariff plans with tree-based machine learning methods. Zbl 1475.91306Henckaerts, Roel; Côté, Marie-Pier; Antonio, Katrien; Verbelen, Roel 7 2021 Basis risk in index-based longevity hedges: a guide for longevity hedgers. Zbl 1467.91137Cairns, Andrew J. G.; El Boukfaoui, Ghali 5 2021 On the structure and classification of mortality models. Zbl 1461.91244Hunt, Andrew; Blake, David 4 2021 Longevity Greeks: what do insurers and capital market investors need to know? Zbl 1465.91099Zhou, Kenneth Q.; Li, Johnny Siu-Hang 2 2021 A Bayesian approach to modeling and projecting cohort effects. Zbl 1461.91245Hunt, Andrew; Blake, David 2 2021 An efficient method for mitigating longevity value-at-risk. Zbl 1465.91097Liu, Yanxin; Li, Johnny Siu-Hang 2 2021 Constructing out-of-the-money longevity hedges using parametric mortality indexes. Zbl 1461.91250Li, Johnny Siu-Hang; Li, Jackie; Balasooriya, Uditha; Zhou, Kenneth Q. 2 2021 An analysis of period and cohort mortality shocks in international data. Zbl 1461.91255McCarthy, David; Wang, Po-Lin 2 2021 Using graduation to modify the estimation of Lee-Carter model for small populations. Zbl 1461.91263Yue, Jack C.; Wang, Hsin-Chung; Wang, Tzu-Yu 2 2021 Mortality forecasts for long-term care subpopulations with longevity risk: a Bayesian approach. Zbl 1461.91249Kogure, Atsuyuki; Fushimi, Takahiro; Kamiya, Shinichi 2 2021 A new class of severity regression models with an application to IBNR prediction. Zbl 1475.91299Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 2 2021 Real-time valuation of large variable annuity portfolios: a Green mesh approach. Zbl 1479.91335Liu, Kai; Tan, Ken Seng 2 2021 The valuation of a guaranteed minimum maturity benefit under a regime-switching framework. Zbl 1479.91336Mamon, Rogemar; Xiong, Heng; Zhao, Yixing 2 2021 A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited. Zbl 1479.91321Furman, Edward; Kye, Yisub; Su, Jianxi 2 2021 Extreme data breach losses: an alternative approach to estimating probable maximum loss for data breach risk. Zbl 1484.91389Jung, Kwangmin 2 2021 A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty. Zbl 1461.91260Sherris, Michael; Wei, Pengyu 1 2021 Longevity risk and capital markets: the 2017–2018 update. Zbl 07341011 1 2021 Optimal longevity risk transfer and investment strategies. Zbl 1465.91093Cox, Samuel H.; Lin, Yijia; Liu, Sheen 1 2021 Mortality risk management under the factor copula framework – with applications to insurance policy pools. Zbl 1466.91263Hsieh, 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 1465.91098Yang, 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 1467.91140Guo, Qiheng; Bauer, Daniel 1 2021 Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243Dowd, Kevin; Cairns, Andrew J. G.; Blake, David 1 2021 Optimal portfolio choice in retirement with participating life annuities. Zbl 1461.91258Rogalla, Ralph 1 2021 Flexible and affordable methods of paying for long-term care insurance. Zbl 1461.91253Mayhew, Les; Rickayzen, Ben; Smith, David 1 2021 Improving HMD mortality estimates with HFD fertility data. Zbl 1460.91211Boumezoued, Alexandre 1 2021 Hedging longevity risk: does the structure of the financial instrument matter? Zbl 1461.91252MacMinn, Richard D.; Zhu, Nan 1 2021 A multi-population approach to forecasting all-cause mortality using cause-of-death mortality data. Zbl 1460.91231Lyu, Pintao; De Waegenaere, Anja; Melenberg, Bertrand 1 2021 A synthesis mortality model for the elderly. Zbl 1461.91261Su, Karen C.; Yue, Jack C. 1 2021 Forward mortality rates in discrete time. I: Calibration and securities pricing. Zbl 1461.91246Hunt, Andrew; Blake, David 1 2021 Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. Zbl 1461.91247Hunt, Andrew; Blake, David 1 2021 An investigation into inequalities in adult lifespan. Zbl 1461.91254Mayhew, Les; Smith, David 1 2021 Rising inequality in life expectancy by socioeconomic status. Zbl 1461.91259Sanzenbacher, Geoffrey T.; Webb, Anthony; Cosgrove, Candace M.; Orlova, Natalia 1 2021 Optimal dividends paid in a foreign currency for a Lévy insurance risk model. Zbl 1479.91320Eisenberg, Julia; Palmowski, Zbigniew 1 2021 Discussion on “Size-biased risk measures of compound sums”. Zbl 1483.91193Furman, Edward; Kye, Yisub; Su, Jianxi 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 1483.91186Denuit, Michel 1 2021 Size-biased risk measures of compound sums. Zbl 1461.91242Denuit, Michel 5 2020 Stochastic comparisons between the extreme claim amounts from two heterogeneous portfolios in the case of transmuted-G model. Zbl 1454.91203Nadeb, Hossein; Torabi, Hamzeh; Dolati, Ali 5 2020 Can automobile insurance telematics predict the risk of near-miss events? Zbl 1437.91392Guillen, Montserrat; Nielsen, Jens Perch; Pérez-Marín, Ana M.; Elpidorou, Valandis 4 2020 Data clustering with actuarial applications. Zbl 1454.91186Gan, Guojun; Valdez, Emiliano A. 3 2020 Dating death: an empirical comparison of medical underwriters in the U.S. life settlements market. Zbl 1437.91401Xu, Jiahua 2 2020 Drivers of mortality dynamics: identifying age/period/cohort components of historical U.S. mortality improvements. Zbl 1454.91199Li, Johnny S.-H.; Zhou, Rui; Liu, Yanxin; Graziani, George; Hall, R. Dale; Haid, Jennifer; Peterson, Andrew; Pinzur, Laurence 2 2020 Trends in Canadian mortality by pension level: evidence from the CPP and QPP. Zbl 1466.91273Wen, Jie; Kleinow, Torsten; Cairns, Andrew J. G. 1 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 1437.91399Ramsay, Colin M.; Oguledo, Victor I. 1 2020 Hedging mortality/longevity risks for multiple years. Zbl 1437.91397Lin, Tzuling; Tsai, Cary Chi-Liang 1 2020 Efficient nested simulation for conditional tail expectation of variable annuities. Zbl 1454.91176Dang, Ou; Feng, Mingbin; Hardy, Mary R. 1 2020 Efficient simulation designs for valuation of large variable annuity portfolios. Zbl 1454.91184Feng, Ben Mingbin; Tan, Zhenni; Zheng, Jiayi 1 2020 Bühlmann credibility-based approaches to modeling mortality rates for multiple populations. Zbl 1455.91229Tsai, Cary Chi-Liang; Wu, Adelaide Di 1 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 1454.91181Eling, Martin; Schnell, Werner 1 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 1454.91210Yang, Charles C. 1 2020 Discussion on: “A general semi-Markov model for coupled lifetimes”. Zbl 1454.91187Gerber, Hans U.; Shiu, Elias S. W. 1 2020 Cybersecurity insurance: modeling and pricing. Zbl 1410.91291Xu, Maochao; Hua, Lei 7 2019 Capital allocation for a sum of dependent compound mixed Poisson variables: a recursive algorithm approach. Zbl 1417.62300Kim, Joseph H. T.; Jang, Jiwook; Pyun, Chaehyun 4 2019 Optimal control of DC pension plan management under two incentive schemes. Zbl 1411.91285He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming 4 2019 An individual risk model for premium calculation based on quantile: a comparison between generalized linear models and quantile regression. Zbl 1429.91275Baione, Fabio; Biancalana, Davide 4 2019 Regression tree credibility model. Zbl 1410.91264Diao, Liqun; Weng, Chengguo 3 2019 Improving the forecast of longevity by combining models. Zbl 1410.91253Apicella, Giovanna; Dacorogna, Michel; Di Lorenzo, Emilia; Sibillo, Marilena 3 2019 Management of portfolio depletion risk through optimal life cycle asset allocation. Zbl 1426.91218Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham 3 2019 Agricultural insurance ratemaking: development of a new premium principle. Zbl 1429.91286Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa 3 2019 Life-cycle planning with ambiguous economics and mortality risks. Zbl 1429.91283Shen, Yang; Su, Jianxi 3 2019 Statistical inference for Lee-Carter mortality model and corresponding forecasts. Zbl 1426.91227Liu, Qing; Ling, Chen; Peng, Liang 2 2019 Statistical implications of the revenue transfer methodology in the Affordable Care Act. Zbl 1411.91301Li, Michelle; Richards, Donald 1 2019 Robust actuarial risk analysis. Zbl 1411.91266Blanchet, Jose; Lam, Henry; Tang, Qihe; Yuan, Zhongyi 1 2019 Minimum death rates and maximum life expectancy: the role of concordant ages. Zbl 1426.91207Canudas-Romo, Vladimir; Booth, Heather; Bergeron-Boucher, Marie-Pier 1 2019 Deep learning at the interface of agricultural insurance risk and spatio-temporal uncertainty in weather extremes. Zbl 1429.91278Ghahari, Azar; Newlands, Nathaniel K.; Lyubchich, Vyacheslav; Gel, Yulia R. 1 2019 Efficiency analysis of health insurers’ scale of operations and group affiliation with a perspective toward health insurers’ mergers and acquisitions effects. Zbl 1429.91279Golden, Linda L.; Yang, Charles C. 1 2019 Regression modeling for the valuation of large variable annuity portfolios. Zbl 1393.91099Gan, Guojun; Valdez, Emiliano A. 11 2018 Around the life cycle: deterministic consumption-investment strategies. Zbl 1416.91345Christiansen, Marcus C.; Steffensen, Mogens 5 2018 Optimal risk transfer: a numerical optimization approach. Zbl 1416.91149Asimit, Alexandru V.; Gao, Tao; Hu, Junlei; Kim, Eun-Seok 4 2018 Delta boosting machine with application to general insurance. Zbl 1416.91199Lee, Simon C. K.; Lin, Sheldon 4 2018 Evaluating life expectancy evaluations. Zbl 1393.91098Bauer, Daniel; Fasano, Michael V.; Russ, Jochen; Zhu, Nan 4 2018 Bonus-malus systems with two-component mixture models arising from different parametric families. Zbl 1393.62048Tzougas, George; Vrontos, Spyridon; Frangos, Nicholas 4 2018 Fat-tailed regression modeling with spliced distributions. Zbl 1417.62299Gan, Guojun; Valdez, Emiliano A. 4 2018 Physiological age, health costs, and their interrelation. Zbl 1403.62188Govorun, M.; Jones, B. L.; Liu, X.; Stanford, D. A. 3 2018 Mind the gap: a study of cause-specific mortality by socioeconomic circumstances. Zbl 1393.91096Alai, Daniel H.; Arnold-Gaille, Séverine; Bajekal, Madhavi; Villegas, Andrés M. 3 2018 Coherent modeling and forecasting of mortality patterns for subpopulations using multiway analysis of compositions: an application to Canadian provinces and territories. Zbl 1393.62043Bergeron-Boucher, Marie-Pier; Simonacci, Violetta; Oeppen, Jim; Gallo, Michele 3 2018 Solvency II is not risk-based – could it be? Evidence from non-life calibrations. Zbl 1416.91176Frezal, Sylvestre 2 2018 Claims reserving with a stochastic vector projection. Zbl 1393.62046Portugal, Luís; Pantelous, Athanasios A.; Assa, Hirbod 2 2018 Updating Wilkie’s economic scenario generator for U.S. applications. Zbl 1411.91415Zhang, Saisai; Hardy, Mary; Saunders, David 2 2018 The annuity puzzle and an outline of its solution. Zbl 1411.91311Ramsay, Colin M.; Oguledo, Victor I. 2 2018 Exploring the optimal design of an employer-sponsored sickness-disability compensation insurance plan when sickness presenteeism is penalized. Zbl 1416.91218Ramsay, Colin M.; Oguledo, Victor I.; Krutto, Annika 1 2018 An extension of spatial dependence models for estimating short-term temperature portfolio risk. Zbl 1416.91174Erhardt, Robert; Engler, David 1 2018 Short positions in the first principal component portfolio. Zbl 1393.91129Boyle, Phelim; Feng, Shui; Melkuev, David; Yang, Shuai; Zhang, Johnew 1 2018 The role of unhealthy behaviors on an individual’s self-reported perceived health status. Zbl 1393.62133Kim, Kyeonghee; Rosenberg, Marjorie A. 1 2018 A hidden Markov approach to disability insurance. Zbl 1393.62044Djehiche, Boualem; Löfdahl, Björn 1 2018 Application of relational models in mortality immunization. Zbl 1411.91273Chi-Liang Tsai, Cary; Liang, Xinying 1 2018 The utility value of longevity risk pooling: analytic insights. Zbl 1411.91307Milevsky, Moshe A.; Huang, Huaxiong 1 2018 Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176Cui, Zhenyu; Feng, Runhuan; MacKay, Anne 13 2017 Arrow’s theorem of the deductible with heterogeneous beliefs. Zbl 1414.91193Ghossoub, Mario 12 2017 Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach. Zbl 1414.91188Gan, Guojun; Lin, X. Sheldon 11 2017 Policyholder exercise behavior in life insurance: the state of affairs. Zbl 1414.91161Bauer, Daniel; Gao, Jin; Moenig, Thorsten; Ulm, Eric R.; Zhu, Nan 10 2017 A Bühlmann credibility approach to modeling mortality rates. Zbl 1414.91237Tsai, Cary Chi-Liang; Lin, Tzuling 9 2017 Mean-variance asset liability management with state-dependent risk aversion. Zbl 1414.91247Zhang, Yan; Wu, Yonghong; Li, Shuang; Wiwatanapataphee, Benchawan 8 2017 A flexible Bayesian nonparametric model for predicting future insurance claims prediction. Zbl 1414.91201Hong, Liang; Martin, Ryan 6 2017 Optimal reinsurance under the risk-adjusted value of an insurer’s liability and an economic reinsurance premium principle. Zbl 1414.91174Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng 6 2017 Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes. Zbl 1414.91414Kolkiewicz, Adam W.; Lin, Fangyuan Sally 6 2017 Optimal reinsurance design: a mean-variance approach. Zbl 1414.91175Chi, Yichun; Zhou, Ming 5 2017 Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death. Zbl 1414.91190Gbari, Samuel; Poulain, Michel; Dal, Luc; Denuit, Michel 5 2017 The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates. Zbl 1414.91216Li, Zixi; Shao, Adam W.; Sherris, Michael 4 2017 Beyond the Tweedie reserving model: the collective approach to loss development. Zbl 1414.91178Denuit, Michel; Trufin, Julien 4 2017 ...and 357 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,219 Authors 52 Yang, Hailiang 49 Young, Virginia R. 42 Siu, Tak Kuen 38 Denuit, Michel M. 37 Haberman, Steven 37 Landsman, Zinoviy M. 37 Li, Shuanming 36 Cheung, Eric C. K. 36 Zhang, Zhimin 34 Gerber, Hans U. 34 Yuen, Kam Chuen 33 Willmot, Gordon E. 30 Landriault, David 30 Shiu, Elias S. W. 29 Yin, Chuancun 28 Valdez, Emiliano A. 26 Tsai, Cary Chi-Liang 25 Jin, Zhuo 24 Albrecher, Hansjörg 23 Lin, X. Sheldon 23 Sherris, Michael 22 Dhaene, Jan 22 Zhao, Hui 21 Blake, David 20 Li, Johnny Siu-Hang 20 Liang, Zhibin 20 Shen, Yang 20 Tan, Ken Seng 20 Wu, Rong 19 Feng, Runhuan 19 Genest, Christian 19 Lu, Yi 19 Wang, Guojing 19 Zeng, Yan 18 Dong, Yinghui 18 Forsyth, Peter A. 18 Furman, Edward 18 Li, Danping 17 Bayraktar, Erhan 17 Chen, Ping 17 Elliott, Robert James 17 Marceau, Étienne 17 Rong, Ximin 17 Vanduffel, Steven 17 Zitikis, Ričardas 16 Brazauskas, Vytaras 16 Cairns, Andrew J. G. 16 Dickson, David C. M. 16 Hardy, Mary Rosalyn 16 Šiaulys, Jonas 16 Tang, Qihe 16 Woo, Jae-Kyung 16 Yang, Hu 15 Boonen, Tim J. 15 Goovaerts, Marc J. 15 Guo, Junyi 15 Palmowski, Zbigniew 15 Wang, Rongming 14 Badescu, Andrei L. 14 Cai, Jun 14 Cossette, Hélène 14 Hu, Yijun 14 Macdonald, Angus S. 14 Ren, Jiandong 14 Weng, Chengguo 14 Zhou, Ming 13 Cheung, Ka Chun 13 Jones, Bruce L. 12 Asimit, Alexandru V. 12 Frees, Edward W. 12 Li, Jackie Ji 12 Loisel, Stéphane 12 Sendova, Kristina P. 12 Shushi, Tomer 12 Su, Jianxi 11 Ahn, Jae Youn 11 Bouzebda, Salim 11 Boyle, Phelim P. 11 Devolder, Pierre 11 Gan, Guojun 11 Li, Zhongfei 11 Liang, Xiaoqing 11 Liang, Zongxia 11 Makov, Udi E. 11 Mamon, Rogemar S. 11 Nadarajah, Saralees 11 Qian, Linyi 11 Wüthrich, Mario Valentin 10 Antonio, Katrien 10 Chen, Mi 10 Frostig, Esther 10 Lefèvre, Claude 10 Wang, Chou-Wen 10 Wang, Wenyuan 10 Yam, Sheung Chi Phillip 10 Yang, Yang 10 Zhou, Xian 9 Beirlant, Jan 9 Bernard, Carole L. 9 Dowd, Kevin ...and 3,119 more Authors all top 5 Cited in 254 Journals 817 Insurance Mathematics & Economics 354 North American Actuarial Journal 188 Scandinavian Actuarial Journal 142 ASTIN Bulletin 95 Journal of Computational and Applied Mathematics 71 European Actuarial Journal 68 Communications in Statistics. 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