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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: 920 Publications (since 1997)
References Indexed: 841 Publications with 23,676 References.
all top 5

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...and 8 more Volumes
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Authors

31 Gerber, Hans U.
26 Shiu, Elias S. W.
24 Tan, Ken Seng
18 Young, Virginia R.
15 Yang, Hailiang
14 Blake, David
13 Hardy, Mary Rosalyn
13 Li, Johnny Siu-Hang
13 Sherris, Michael
12 Frees, Edward W.
12 Haberman, Steven
12 Lin, X. Sheldon
11 Brown, Robert L.
11 Denuit, Michel M.
11 Tsai, Cary Chi-Liang
10 Boyle, Phelim P.
10 Brazauskas, Vytaras
10 Cairns, Andrew J. G.
10 Jones, Bruce L.
10 Rosenberg, Marjorie A.
9 Ren, Jiandong
9 Valdez, Emiliano A.
9 Zhu, Wenjun
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.
6 Bayraktar, Erhan
6 Bernard, Carole
6 Boucher, Jean-Philippe
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
5 Zitikis, Ričardas
4 Assa, Hirbod
4 Badescu, Andrei L.
4 Bauer, Daniel J.
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 Moenig, Thorsten
4 Moore, Kristen S.
4 Peng, Liang
4 Pigeon, Mathieu
4 Schmeiser, Hato
4 Shyamalkumar, Nariankadu D.
4 Taylor, Greg
4 Vanduffel, Steven
4 Villegas, Andrés M.
4 Wang, Ruodu
4 Wang, Shaun S.
4 Yue, Jack C.
3 Antonio, Katrien
3 Arnold-Gaille, Séverine
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.
...and 941 more Authors

Publications by Year

Citations contained in zbMATH Open

590 Publications have been cited 7,046 times in 4,128 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.
432
1998
Understanding relationships using copulas. Zbl 1081.62564
Frees, Edward W.; Valdez, Emiliano A.
307
1998
Minimizing the probability of ruin when claims follow Brownian motion with drift. Zbl 1141.91543
Promislow, S. David; Young, Virginia R.
187
2005
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
182
2009
Optimal dividends: analysis with Brownian motion. Zbl 1085.62122
Gerber, Hans U.; Shiu, Elias S. W.
165
2004
A regime-switching model of long-term stock returns. Zbl 1083.62530
Hardy, Mary R.
159
2001
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.
152
2005
Tail conditional expectations for elliptical distributions. Zbl 1084.62512
Landsman, Zinoviy M.; Valdez, Emiliano A.
152
2003
Strategies for dividend distribution: a review. Zbl 1483.91177
Avanzi, Benjamin
112
2009
Measuring basis risk involved in longevity hedges. Zbl 1228.91042
Li, Johnny Siu-Hang; Hardy, Mary R.
103
2011
On optimal dividend strategies in the compound Poisson model. Zbl 1479.91323
Gerber, Hans U.; Shiu, Elias S. W.
96
2006
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
93
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
75
2011
The Lee-Carter method for forecasting mortality, with various extensions and applications. Zbl 1083.62535
Lee, Ronald
73
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
65
1999
Optimal investment for an insurer to minimize its probability of ruin. Zbl 1085.60511
Liu, Chi Sang; Yang, Hailiang
59
2004
Natural hedging of life and annuity mortality risks. Zbl 1480.91196
Cox, Samuel H.; Lin, Yijia
56
2007
Empirical estimation of risk measures and related quantities. Zbl 1084.62537
Jones, Bruce L.; Zitikis, Ričardas
55
2003
On the class of Erlang mixtures with risk theoretic applications. Zbl 1480.91253
Willmot, Gordon E.; Woo, Jae-Kyung
55
2007
Valuing equity-indexed annuities. With discussion by G. Thomas Mitchell and Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.62545
Tiong, Serena
54
2000
Optimal reinsurance and investment for a jump diffusion risk process under the CEV model. Zbl 1291.91121
Lin, Xiang; Li, Yanfang
52
2011
Optimal investment strategy to minimize the probability of lifetime ruin. Zbl 1085.60514
Young, Virginia R.
51
2004
Economic capital allocation derived from risk measures. Zbl 1084.91515
Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob
49
2003
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
45
2014
Utility functions: from risk theory to finance. With discussion and a reply by the authors. Zbl 1081.91511
Gerber, Hans U.; Pafumi, Gérard
43
1998
Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530
Lin, X. Sheldon; Tan, Ken Seng
43
2003
An actuarial index of the right-tail risk. Zbl 1081.62570
Wang, Shaun
42
1998
Self-annuitization and ruin in retirement. With discussion. Zbl 1083.60515
Milevsky, Moshe Arye; Robinson, Chris
42
2000
Modeling with Weibull-Pareto models. Zbl 1291.62186
Scollnik, David P. M.; Sun, Chenchen
40
2012
On the expected discounted penalty function for Lévy risk processes. Zbl 1480.91076
Garrido, José; Morales, Manuel
40
2006
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
On a classical risk model with a constant dividend barrier. Zbl 1215.60051
Zhou, Xiaowen
38
2005
Pricing guaranteed life insurance participating policies with annual premiums and surrender option. Zbl 1084.62519
Bacinello, Anna Rita
33
2003
Robust and efficient estimation of the tail index of a single-parameter Pareto distribution. Zbl 1083.62505
Brazauskas, Vytaras; Serfling, Robert
32
2000
Catastrophe risk bonds. Zbl 1083.91534
Cox, Samuel H.; Pedersen, Hal W.
32
2000
Markov aging process and phase-type law of mortality. Zbl 1480.91221
Lin, X. Sheldon; Liu, Xiaoming
32
2007
A general procedure for constructing mortality models. Zbl 1412.91045
Hunt, Andrew; Blake, David
32
2014
Asymptotic analysis of multivariate tail conditional expectations. Zbl 1291.60108
Zhu, Li; Li, Haijun
31
2012
On a class of renewal risk processes. With discussion and a reply by the author. Zbl 1081.60549
Dickson, David C. M.
31
1998
Pricing annuity guarantees under a regime-switching model. Zbl 1483.91201
Lin, X. Sheldon; Tan, Ken Seng; Yang, Hailiang
31
2009
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
31
2007
Hedging equity-linked life insurance contracts. Zbl 1083.91546
Møller, Thomas
30
2001
Weighted pricing functionals with applications to insurance. Zbl 1483.91194
Furman, Edward; Zitikis, Ričardas
30
2009
Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest. Zbl 1479.91308
Cai, Jun; Gerber, Hans U.; Yang, Hailiang
30
2006
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
30
2014
Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038
Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan
29
2005
On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
29
2004
VaR and CTE criteria for optimal quota-share and stop-loss reinsurance. Zbl 1483.91208
Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
29
2009
A Bayesian log-normal model for multivariate loss reserving. Zbl 1291.91126
Shi, Peng; Basu, Sanjib; Meyers, Glenn G.
28
2012
Arrow’s theorem of the deductible with heterogeneous beliefs. Zbl 1414.91193
Ghossoub, Mario
28
2017
Mortality regimes and pricing. Zbl 1228.91043
Milidonis, Andreas; Lin, Yijia; Cox, Samuel H.
28
2011
Actuarial modeling with MCMC and BUGS. With a discussion by David Spiegelhalter. Zbl 1083.62543
Scollnik, David P. M.
27
2001
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.
27
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.
26
1998
Projecting mortality trends: recent developments in the United Kingdom and the United States. Zbl 1085.62517
Wong-Fupuy, Carlos; Haberman, Steven
26
2004
Credibility using copulas. Zbl 1085.62121
Frees, Edward W.; Wang, Ping
26
2005
A risk model with multilayer dividend strategy. Zbl 1480.91178
Albrecher, Hansjörg; Hartinger, Jürgen
26
2007
Absolute ruin probabilities in a jump diffusion risk model with investment. Zbl 1480.91208
Gerber, Hans U.; Yang, Hailiang
26
2007
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
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
24
2000
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
23
2010
Distortion risk measures and economic capital. Zbl 1085.91526
Hürlimann, Werner
23
2004
Pricing lookback options and dynamic guarantees. With discussion by Griselda Deelstra. Zbl 1084.91507
Gerber, Hans U.; Shiu, Elias S. W.
23
2003
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
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.
22
2003
Generalized Pareto fit to the society of actuaries’ large claims database. Zbl 1084.62108
Cebrián, Ana C.; Denuit, Michel; Lambert, Philippe
22
2003
Modeling severity and measuring tail risk of Norwegian fire claims. Zbl 1414.62415
Brazauskas, Vytaras; Kleefeld, Andreas
22
2016
The CBD mortality indexes: modeling and applications. Zbl 1412.91037
Chan, Wai-Sum; Li, Johnny Siu-Hang; Li, Jackie
22
2014
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
Efficient and robust fitting of lognormal distributions. Zbl 1084.62511
Serfling, Robert
21
2002
A Bayesian generalized linear model for the Bornhuetter-Ferguson method of claims reserving. Zbl 1085.62516
Verrall, R. J.
21
2004
The expected discounted penalty at ruin for a Markov-modulated risk process perturbed by diffusion. Zbl 1480.91226
Lu, Yi; Tsai, Cary Chi-Liang
21
2007
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176
Cui, Zhenyu; Feng, Runhuan; MacKay, Anne
21
2017
Modeling surrender and lapse rates with economic variables. Zbl 1215.91067
Kim, Changki
20
2005
Case studies using panel data models. Zbl 1083.91538
Frees, Edward W.; Young, Virginia R.; Luo, Yu
20
2001
Bayesian estimation of outstanding claim reserves. Zbl 1084.62554
de Alba, Enrique
20
2002
The management of decumulation risks in a defined contribution pension plan. Zbl 1479.91325
Gerrard, Russell; Haberman, Steven; Vigna, Elena
20
2006
Asymptotic analysis of the loss given default in the presence of multivariate regular variation. Zbl 1412.91056
Tang, Qihe; Yuan, Zhongyi
20
2013
Variance of the CTE estimator. Zbl 1085.62511
Manistre, B. John; Hancock, Geoffrey H.
19
2005
Note on the tail behavior of random walk maxima with heavy tails and negative drift. Zbl 1084.60515
Kaas, Rob; Tang, Qihe
19
2003
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.
19
2009
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
19
2007
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
Empirical approach for optimal reinsurance design. Zbl 1414.91234
Tan, Ken Seng; Weng, Chengguo
18
2014
Impact of counterparty risk on the reinsurance market. Zbl 1291.91091
Bernard, Carole; Ludkovski, Mike
17
2012
Actuarial applications of epidemiological models. Zbl 1213.91089
Feng, Runhuan; Garrido, Jose
17
2011
Conditional tail moments of the exponential family and its related distributions. Zbl 1219.91071
Kim, Joseph H. T.
17
2010
Pension fund dynamics and gains/losses due to random rates of investment return. Zbl 1082.62543
Owadally, M. Iqbal; Haberman, Steven
17
1999
Ruin minimization for insurers with borrowing constraints. Zbl 1481.91179
Luo, Shangzhen
17
2008
Stochastic life annuities. Zbl 1480.91199
Dufresne, Daniel
17
2007
Securitization of longevity risk in reverse mortgages. Zbl 1481.91189
Wang, Liang; Valdez, Emiliano A.; Piggott, John
17
2008
Multistate actuarial models of functional disability. Zbl 1414.91185
Fong, Joelle H.; Shao, Adam W.; Sherris, Michael
17
2015
Boosting insights in insurance tariff plans with tree-based machine learning methods. Zbl 1475.91306
Henckaerts, Roel; Côté, Marie-Pier; Antonio, Katrien; Verbelen, Roel
17
2021
Cybersecurity insurance: modeling and pricing. Zbl 1410.91291
Xu, Maochao; Hua, Lei
17
2019
“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
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
Regression modeling for the valuation of large variable annuity portfolios. Zbl 1393.91099
Gan, Guojun; Valdez, Emiliano A.
16
2018
Forecasting runoff triangles. Zbl 1479.91317
de Jong, Piet
16
2006
Flexible weather index insurance design with penalized splines. Zbl 1537.91268
Tan, Ken Seng; Zhang, Jinggong
1
2024
A reverse ES (CVaR) optimization formula. Zbl 07946151
Guan, Yuanying; Jiao, Zhanyi; Wang, Ruodu
1
2024
Non-life insurance risk classification using categorical embedding. Zbl 1527.91143
Shi, Peng; Shi, Kun
3
2023
Mixture composite regression models with multi-type feature selection. Zbl 1521.91314
Fung, Tsz Chai; Tzougas, George; Wüthrich, Mario V.
3
2023
A two-part beta regression approach for modeling surrenders and withdrawals in a life insurance portfolio. Zbl 1520.91306
Baione, Fabio; Biancalana, Davide; De Angelis, Paolo
2
2023
A neural approach to improve the Lee-Carter mortality density forecasts. Zbl 1520.91345
Marino, Mario; Levantesi, Susanna; Nigri, Andrea
2
2023
A tractable class of multivariate phase-type distributions for loss modeling. Zbl 1534.91108
Bladt, Martin
1
2023
Optimal portfolio choice with health-contingent income products: the value of life care annuities. Zbl 1520.91356
Wu, Shang; Bateman, Hazel; Stevens, Ralph
1
2023
On a risk model with dual seasonalities. Zbl 1520.91346
Miao, Yang; Sendova, Kristina P.; Jones, Bruce L.
1
2023
Bivariate mixed Poisson regression models with varying dispersion. Zbl 1521.91321
Tzougas, George; di Cerchiara, Alice Pignatelli
1
2023
Smoothed quantiles for measuring discrete risks. Zbl 1519.91289
Brazauskas, Vytaras; Ratnam, Ponmalar
1
2023
Time-consistent investment and reinsurance strategies for mean-variance insurers in \(n\)-agent and mean-field games. Zbl 1507.91180
Guan, Guohui; Hu, Xiang
7
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
4
2022
A stochastic control approach to defined contribution plan decumulation: “The nastiest, hardest problem in finance”. Zbl 1497.91264
Forsyth, Peter A.
3
2022
Tail moments of compound distributions. Zbl 1524.62516
Ren, Jiandong
2
2022
How much telematics information do insurers need for claim classification? Zbl 1507.91175
Duval, Francis; Boucher, Jean-Philippe; Pigeon, Mathieu
1
2022
A heavy-tailed and overdispersed collective risk model. Zbl 1503.91086
Chiroque-Solano, Pamela M.; Moura, Fernando Antônio da S.
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
Short- and long-term dynamics of cause-specific mortality rates using cointegration analysis. Zbl 1497.91231
Arnold, Séverine; Glushko, Viktoriya
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
17
2021
Basis risk in index-based longevity hedges: a guide for longevity hedgers. Zbl 1467.91137
Cairns, Andrew J. G.; El Boukfaoui, Ghali
11
2021
On the structure and classification of mortality models. Zbl 1461.91244
Hunt, Andrew; Blake, David
10
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
7
2021
Modeling malicious hacking data breach risks. Zbl 1491.91111
Sun, Hong; Xu, Maochao; Zhao, Peng
5
2021
Extreme data breach losses: an alternative approach to estimating probable maximum loss for data breach risk. Zbl 1484.91389
Jung, Kwangmin
5
2021
Real-time valuation of large variable annuity portfolios: a Green mesh approach. Zbl 1479.91335
Liu, Kai; Tan, Ken Seng
4
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
4
2021
Longevity Greeks: what do insurers and capital market investors need to know? Zbl 1465.91099
Zhou, Kenneth Q.; Li, Johnny Siu-Hang
4
2021
Fitting nonstationary Cox processes: an application to fire insurance data. Zbl 1481.91160
Albrecher, Hansjörg; Araujo-Acuna, José Carlos; Beirlant, Jan
4
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
Using model averaging to determine suitable risk measure estimates. Zbl 1483.91205
Miljkovic, Tatjana; Grün, Bettina
3
2021
The mathematical mechanism of biological aging. Zbl 1460.92042
Cheng, Boquan; Jones, Bruce; Liu, Xiaoming; Ren, Jiandong
3
2021
Optimal longevity risk transfer and investment strategies. Zbl 1465.91093
Cox, Samuel H.; Lin, Yijia; Liu, Sheen
3
2021
Mortality forecasts for long-term care subpopulations with longevity risk: a Bayesian approach. Zbl 1461.91249
Kogure, Atsuyuki; Fushimi, Takahiro; Kamiya, Shinichi
3
2021
Flexible and affordable methods of paying for long-term care insurance. Zbl 1461.91253
Mayhew, Les; Rickayzen, Ben; Smith, David
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
Valid model-free prediction of future insurance claims. Zbl 1491.91109
Hong, Liang; Martin, Ryan
2
2021
Data breach CAT bonds: modeling and pricing. Zbl 1484.91412
Xu, Maochao; Zhang, Yiying
2
2021
Discussion on “Size-biased risk measures of compound sums”. Zbl 1483.91193
Furman, Edward; Kye, Yisub; Su, Jianxi
2
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.
2
2021
Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
2
2021
Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. Zbl 1461.91247
Hunt, Andrew; Blake, David
2
2021
Rising inequality in life expectancy by socioeconomic status. Zbl 1461.91259
Sanzenbacher, Geoffrey T.; Webb, Anthony; Cosgrove, Candace M.; Orlova, Natalia
2
2021
Dynamic Bayesian ratemaking: a Markov chain approximation approach. Zbl 1475.91309
Li, Hong; Lu, Yang; Zhu, Wenjun
2
2021
Improving HMD mortality estimates with HFD fertility data. Zbl 1460.91211
Boumezoued, Alexandre
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
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
2
2021
Forward mortality rates in discrete time. I: Calibration and securities pricing. Zbl 1461.91246
Hunt, Andrew; Blake, David
2
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
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
Longevity risk and capital markets: the 2017–2018 update. Zbl 07341011
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
An investigation into inequalities in adult lifespan. Zbl 1461.91254
Mayhew, Les; Smith, David
1
2021
Optimal portfolio choice in retirement with participating life annuities. Zbl 1461.91258
Rogalla, Ralph
1
2021
Hedging longevity risk: does the structure of the financial instrument matter? Zbl 1461.91252
MacMinn, Richard D.; Zhu, Nan
1
2021
A synthesis mortality model for the elderly. Zbl 1461.91261
Su, Karen C.; Yue, Jack C.
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
12
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
9
2020
Size-biased risk measures of compound sums. Zbl 1461.91242
Denuit, Michel
8
2020
Data clustering with actuarial applications. Zbl 1454.91186
Gan, Guojun; Valdez, Emiliano A.
6
2020
Efficient nested simulation for conditional tail expectation of variable annuities. Zbl 1454.91176
Dang, Ou; Feng, Mingbin; Hardy, Mary R.
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
4
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
4
2020
Bühlmann credibility-based approaches to modeling mortality rates for multiple populations. Zbl 1455.91229
Tsai, Cary Chi-Liang; Wu, Adelaide Di
3
2020
Hedging mortality/longevity risks for multiple years. Zbl 1437.91397
Lin, Tzuling; Tsai, Cary Chi-Liang
3
2020
Efficient simulation designs for valuation of large variable annuity portfolios. Zbl 1454.91184
Feng, Ben Mingbin; Tan, Zhenni; Zheng, Jiayi
2
2020
Remote sensing applications for insurance: a predictive model for pasture yield in the presence of systemic weather. Zbl 1454.91205
Porth, C. Brock; Porth, Lysa; Zhu, Wenjun; Boyd, Milton; Tan, Ken Seng; Liu, Kai
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
Trends in Canadian mortality by pension level: evidence from the CPP and QPP. Zbl 1466.91273
Wen, Jie; Kleinow, Torsten; Cairns, Andrew J. G.
2
2020
Incorporating climate change projections into risk measures of index-based insurance. Zbl 1461.91248
Jin, Zhuoli; Erhardt, Robert J.
2
2020
Pricing flood insurance with a hierarchical physics-based model. Zbl 1454.91165
Boudreault, Mathieu; Grenier, Patrick; Pigeon, Mathieu; Potvin, Jean-Mathieu; Turcotte, Richard
1
2020
The design of weather index insurance using principal component regression and partial least squares regression: the case of forage crops. Zbl 1454.91166
Boyd, Milton; Porth, Brock; Porth, Lysa; Tan, Ken Seng; Wang, Shuo; Zhu, Wenjun
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 1454.91210
Yang, Charles C.
1
2020
Discussion on: “A general semi-Markov model for coupled lifetimes”. Zbl 1454.91187
Gerber, Hans U.; Shiu, Elias S. W.
1
2020
Cybersecurity insurance: modeling and pricing. Zbl 1410.91291
Xu, Maochao; Hua, Lei
17
2019
Management of portfolio depletion risk through optimal life cycle asset allocation. Zbl 1426.91218
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham
9
2019
Optimal control of DC pension plan management under two incentive schemes. Zbl 1411.91285
He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming
7
2019
Agricultural insurance ratemaking: development of a new premium principle. Zbl 1429.91286
Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa
7
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
7
2019
Statistical inference for Lee-Carter mortality model and corresponding forecasts. Zbl 1426.91227
Liu, Qing; Ling, Chen; Peng, Liang
5
2019
Regression tree credibility model. Zbl 1410.91264
Diao, Liqun; Weng, Chengguo
5
2019
Robust actuarial risk analysis. Zbl 1411.91266
Blanchet, Jose; Lam, Henry; Tang, Qihe; Yuan, Zhongyi
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
Improving the forecast of longevity by combining models. Zbl 1410.91253
Apicella, Giovanna; Dacorogna, Michel; Di Lorenzo, Emilia; Sibillo, Marilena
4
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.
4
2019
Life-cycle planning with ambiguous economics and mortality risks. Zbl 1429.91283
Shen, Yang; Su, Jianxi
4
2019
Predictive modeling of obesity prevalence for the U.S. population. Zbl 1411.91275
Daawin, Palma; Kim, Seonjin; Miljkovic, Tatjana
3
2019
The impact of spatial interpolation techniques on spatial basis risk for weather insurance: an application to forage crops. Zbl 1426.91204
Boyd, Milton; Porth, Brock; Porth, Lysa; Turenne, Daniel
2
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
2
2019
A relational data matching model for enhancing individual loss experience: an example from crop insurance. Zbl 1429.91282
Porth, Lysa; Tan, Ken Seng; Zhu, Wenjun
2
2019
...and 490 more Documents
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Cited by 4,208 Authors

60 Yang, Hailiang
58 Zhang, Zhimin
57 Young, Virginia R.
49 Siu, Tak Kuen
45 Denuit, Michel M.
45 Haberman, Steven
44 Li, Shuanming
41 Yuen, Kam Chuen
38 Albrecher, Hansjörg
38 Yin, Chuancun
37 Landsman, Zinoviy M.
36 Landriault, David
36 Willmot, Gordon E.
35 Gerber, Hans U.
32 Zitikis, Ričardas
31 Lin, X. Sheldon
31 Sherris, Michael
31 Tsai, Cary Chi-Liang
31 Valdez, Emiliano A.
30 Shiu, Elias S. W.
30 Tan, Ken Seng
29 Jin, Zhuo
29 Liang, Zhibin
28 Feng, Runhuan
28 Li, Johnny Siu-Hang
26 Cheung, Eric C. K.
26 Weng, Chengguo
26 Zhao, Hui
25 Blake, David
25 Dhaene, Jan
23 Cairns, Andrew J. G.
23 Forsyth, Peter A.
23 Li, Danping
23 Shen, Yang
22 Boonen, Tim J.
22 Brazauskas, Vytaras
22 Furman, Edward
22 Marceau, Étienne
22 Rong, Ximin
22 Zeng, Yan
21 Badescu, Andrei L.
21 Lu, Yi
21 Wu, Rong
20 Cossette, Hélène
20 Genest, Christian
20 Tang, Qihe
20 Woo, Jae-Kyung
19 Avanzi, Benjamin
19 Bayraktar, Erhan
19 Dickson, David C. M.
19 Dong, Yinghui
19 Ren, Jiandong
19 Wang, Guojing
19 Wang, Rongming
19 Wüthrich, Mario Valentin
18 Chi, Yichun
18 Guo, Junyi
18 Mamon, Rogemar S.
18 Palmowski, Zbigniew
18 Vanduffel, Steven
18 Yang, Hu
18 Zhou, Ming
17 Elliott, Robert James
17 Hardy, Mary Rosalyn
17 Hu, Yijun
17 Wong, Bernard
16 Antonio, Katrien
16 Cheung, Ka Chun
16 Jones, Bruce L.
16 Li, Zhongfei
16 Sendova, Kristina P.
16 Šiaulys, Jonas
16 Su, Jianxi
16 Yang, Yang
15 Cai, Jun
15 Goovaerts, Marc J.
15 Liang, Zongxia
15 Loisel, Stéphane
15 Macdonald, Angus S.
15 Wang, Wenyuan
14 Chen, Mi
14 Chen, Ping
14 Garrido, José
14 Li, Jackie
14 Liang, Xiaoqing
14 Qian, Linyi
13 Asimit, Alexandru V.
13 Devolder, Pierre
13 Dowd, Kevin
13 Frostig, Esther
13 Gan, Guojun
13 Jiang, Wenjun
13 Shi, Peng
13 Shushi, Tomer
13 Zhang, Yiying
13 Zhou, Xian
13 Ziveyi, Jonathan
12 Ahn, Jae Youn
12 Bernard, Carole
12 Bouzebda, Salim
...and 4,108 more Authors
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Cited in 318 Journals

1,018 Insurance Mathematics & Economics
450 North American Actuarial Journal
265 Scandinavian Actuarial Journal
199 ASTIN Bulletin
127 Journal of Computational and Applied Mathematics
100 Communications in Statistics. Theory and Methods
97 European Actuarial Journal
78 Methodology and Computing in Applied Probability
65 Statistics & Probability Letters
55 Applied Stochastic Models in Business and Industry
54 Quantitative Finance
52 Journal of Industrial and Management Optimization
49 European Journal of Operational Research
39 Mathematical Finance
36 Applied Mathematics and Computation
34 Journal of Applied Probability
34 Annals of Operations Research
32 Communications in Statistics. Simulation and Computation
30 International Journal of Theoretical and Applied Finance
30 Journal of Applied Statistics
29 Mathematical Problems in Engineering
28 Computational Statistics and Data Analysis
26 Acta Mathematicae Applicatae Sinica. English Series
25 Journal of Multivariate Analysis
23 Probability in the Engineering and Informational Sciences
21 Journal of Statistical Planning and Inference
21 Stochastic Models
19 Advances in Applied Probability
17 Finance and Stochastics
16 Journal of Optimization Theory and Applications
16 Journal of Economic Dynamics & Control
16 Extremes
16 Journal of Systems Science and Complexity
16 SIAM Journal on Financial Mathematics
15 Discrete Dynamics in Nature and Society
15 Dependence Modeling
14 Decisions in Economics and Finance
13 Journal of Statistical Computation and Simulation
12 Applied Mathematics and Optimization
12 Mathematics and Computers in Simulation
12 Computational Management Science
11 The Canadian Journal of Statistics
11 Lithuanian Mathematical Journal
11 Journal of Econometrics
11 Applied Mathematics. Series B (English Edition)
11 Lifetime Data Analysis
11 Mathematical Methods of Operations Research
11 Journal of the Korean Statistical Society
11 Modern Stochastics. Theory and Applications
10 Journal of Mathematical Analysis and Applications
10 SIAM Journal on Control and Optimization
10 Mathematical Methods of Statistics
10 Journal of Nonparametric Statistics
10 Journal of Probability and Statistics
9 Fuzzy Sets and Systems
9 Optimization
9 Stochastic Processes and their Applications
9 Statistical Papers
9 Frontiers of Mathematics in China
9 Mathematical Control and Related Fields
8 Physica A
8 Scandinavian Journal of Statistics
8 Stochastic Analysis and Applications
8 Statistics
8 Computational Statistics
8 Statistical Methods and Applications
8 Annals of Finance
7 International Journal of Control
7 Journal of the American Statistical Association
7 Economics Letters
7 Applied Mathematical Finance
7 Lobachevskii Journal of Mathematics
7 The ANZIAM Journal
7 Journal of Forecasting
7 Mathematics and Financial Economics
7 Journal of Statistical Theory and Practice
7 Journal of Business and Economic Statistics
7 Statistics & Risk Modeling
6 Annals of the Institute of Statistical Mathematics
6 Automatica
6 Operations Research Letters
6 Mathematical and Computer Modelling
6 The Annals of Applied Probability
6 International Journal of Computer Mathematics
6 Soft Computing
6 Acta Mathematica Sinica. English Series
6 Communications in Nonlinear Science and Numerical Simulation
6 Acta Mathematica Scientia. Series B. (English Edition)
6 Asia-Pacific Financial Markets
6 Statistical Methodology
6 AStA. Advances in Statistical Analysis
6 Electronic Journal of Statistics
6 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
6 The Annals of Applied Statistics
5 Computers & Mathematics with Applications
5 Information Sciences
5 Computational and Applied Mathematics
5 Abstract and Applied Analysis
5 CEJOR. Central European Journal of Operations Research
5 Journal of Applied Mathematics and Computing
...and 218 more Journals
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Cited in 39 Fields

3,329 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,745 Statistics (62-XX)
1,171 Probability theory and stochastic processes (60-XX)
366 Systems theory; control (93-XX)
155 Operations research, mathematical programming (90-XX)
153 Numerical analysis (65-XX)
121 Calculus of variations and optimal control; optimization (49-XX)
54 Partial differential equations (35-XX)
51 Integral equations (45-XX)
49 Biology and other natural sciences (92-XX)
48 Computer science (68-XX)
39 Integral transforms, operational calculus (44-XX)
14 Geophysics (86-XX)
13 Information and communication theory, circuits (94-XX)
11 Dynamical systems and ergodic theory (37-XX)
10 Ordinary differential equations (34-XX)
7 Real functions (26-XX)
6 General and overarching topics; collections (00-XX)
6 Statistical mechanics, structure of matter (82-XX)
6 Mathematics education (97-XX)
5 Mathematical logic and foundations (03-XX)
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3 History and biography (01-XX)
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