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: Journal; Indexed cover-to-cover Documents Indexed: 920 Publications (since 1997) References Indexed: 841 Publications with 23,676 References. all top 5 Latest Issues 28, No. 3 (2024) 28, No. 2 (2024) 28, No. 1 (2024) 27, No. 4 (2023) 27, No. 3 (2023) 27, No. 2 (2023) 27, No. 1 (2023) 26, No. 4 (2022) 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) ...and 8 more Volumes all top 5 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 all top 5 Fields 823 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 398 Statistics (62-XX) 117 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) 9 History and biography (01-XX) 8 Integral equations (45-XX) 7 Calculus of variations and optimal control; optimization (49-XX) 6 General and overarching topics; collections (00-XX) 3 Partial differential equations (35-XX) 3 Geophysics (86-XX) 2 Approximations and expansions (41-XX) 2 Computer science (68-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 Global analysis, analysis on manifolds (58-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications 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 all cited Publications top 5 cited Publications all top 5 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 all top 5 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. 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Central European Journal of Operations Research 5 Journal of Applied Mathematics and Computing ...and 218 more Journals all top 5 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) 5 Approximations and expansions (41-XX) 5 Functional analysis (46-XX) 4 Combinatorics (05-XX) 4 Special functions (33-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 4 Operator theory (47-XX) 3 History and biography (01-XX) 3 Number theory (11-XX) 3 Difference and functional equations (39-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Mechanics of deformable solids (74-XX) 2 Fluid mechanics (76-XX) 1 Field theory and polynomials (12-XX) 1 Measure and integration (28-XX) 1 Convex and discrete geometry (52-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Astronomy and astrophysics (85-XX) Citations by Year