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Insurance Mathematics & Economics

Short Title: Insur. Math. Econ.
Publisher: Elsevier (North-Holland), Amsterdam
ISSN: 0167-6687
Online: http://www.sciencedirect.com/science/journal/01676687
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 2,824 Publications (since 1982)
References Indexed: 2,786 Publications with 73,715 References.
all top 5

Authors

77 Goovaerts, Marc J.
55 Haberman, Steven
45 Denuit, Michel M.
41 Young, Virginia R.
40 Dhaene, Jan
37 Gerber, Hans U.
37 Kaas, Rob
37 Willmot, Gordon E.
35 de Vylder, Florent Etienne
31 Marceau, Étienne
30 Yang, Hailiang
28 Cheung, Ka Chun
26 Landriault, David
25 Liang, Zongxia
24 Guillen, Montserrat
23 Cossette, Hélène
23 Landsman, Zinoviy M.
22 Shiu, Elias S. W.
21 Dickson, David C. M.
20 Tang, Qihe
19 Laeven, Roger J. A.
19 Lefèvre, Claude
19 Sherris, Michael
18 Albrecher, Hansjörg
18 Chi, Yichun
17 Hürlimann, Werner
17 Li, Shuanming
17 Loisel, Stéphane
17 Sundt, Bjørn Rosted
17 Tan, Ken Seng
17 Verrall, Richard J.
17 Zeng, Yan
16 Cai, Jun
16 De Waegenaere, Anja
16 Hu, Taizhong
16 Siu, Tak Kuen
15 Li, Johnny Siu-Hang
15 Li, Zhongfei
15 Lin, X. Sheldon
15 Shen, Yang
15 Tsai, Cary Chi-Liang
15 Wüthrich, Mario Valentin
14 Delbaen, Freddy
14 Furman, Edward
14 Haezendonck, Jean
14 Milevsky, Moshe Arye
14 Sordo, Miguel Ángel
14 Wang, Ruodu
13 Asimit, Alexandru V.
13 Avanzi, Benjamin
13 Beirlant, Jan
13 Boonen, Tim J.
13 Cairns, Andrew J. G.
13 Feng, Runhuan
13 Frostig, Esther
13 Gatzert, Nadine
13 Jin, Zhuo
13 Weng, Chengguo
13 Wong, Bernard
13 Wong, Hoi Ying
13 Yuen, Kam Chuen
12 Blake, David
12 Hainaut, Donatien
12 Nielsen, Jens Perch
12 Schmidli, Hanspeter
12 Valdez, Emiliano A.
12 Woo, Jae-Kyung
12 Yam, Sheung Chi Phillip
11 Malinovskiĭ, Vsevolod Konstantinovich
11 Mao, Tiantian
11 Shapiro, Arnold F.
11 Yang, Jingping
11 Zitikis, Ričardas
10 Chen, An
10 Christiansen, Marcus Christian
10 De Schepper, Ann
10 Deelstra, Griselda
10 Guillou, Armelle
10 Hashorva, Enkelejd
10 Jones, Bruce L.
10 Li, Bin
10 Li, Danping
10 Peng, Liang
10 Pitselis, Georgios
10 Ramsay, Colin M.
10 Renshaw, Arthur E.
10 Taksar, Michael I.
10 Taylor, Greg
10 Teugels, Jozef L.
10 Trufin, Julien
10 Wang, Shaun S.
9 Bayraktar, Erhan
9 Boyle, Phelim P.
9 Cheung, Eric C. K.
9 Ghossoub, Mario
9 Guan, Guohui
9 He, Lin
9 Lu, Yi
9 Pelsser, Antoon A. J.
9 Ruß, Jochen
...and 2,624 more Authors

Publications by Year

Citations contained in zbMATH Open

2,507 Publications have been cited 36,601 times in 11,117 Documents Cited by Year
The concept of comonotonicity in actuarial science and finance: theory. Zbl 1051.62107
Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D.
297
2002
Pair-copula constructions of multiple dependence. Zbl 1165.60009
Aas, Kjersti; Czado, Claudia; Frigessi, Arnoldo; Bakken, Henrik
271
2009
Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529
Asmussen, Søren; Taksar, Michael
228
1997
A Poisson log-bilinear regression approach to the construction of projected lifetables. Zbl 1074.62524
Brouhns, Natacha; Denuit, Michel; Vermunt, Jeroen K.
202
2002
Axiomatic characterization of insurance prices. Zbl 0959.62099
Wang, Shaun S.; Young, Virginia R.; Panjer, Harry H.
201
1997
A cohort-based extension to the Lee-Carter model for mortality reduction factors. Zbl 1168.91418
Renshaw, A. E.; Haberman, S.
194
2006
Goodness-of-fit tests for copulas: A review and a power study. Zbl 1161.91416
Genest, Christian; Rémillard, Bruno; Beaudoin, David
192
2009
Optimal investment for insurer with jump-diffusion risk process. Zbl 1129.91020
Yang, Hailiang; Zhang, Lihong
179
2005
Estimates for the probability of ruin with special emphasis on the possibility of large claims. Zbl 0518.62083
Embrechts, P.; Veraverbeke, N.
175
1982
Risk theory for the compound Poisson process that is perturbed by diffusion. Zbl 0723.62065
Dufresne, François; Gerber, Hans U.
173
1991
The concept of comonotonicity in actuarial science and finance: applications. Zbl 1037.62107
Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D.
168
2002
Optimal investment for insurers. Zbl 1007.91025
Hipp, Christian; Plum, Michael
164
2000
On the time to ruin for Erlang(2) risk processes. Zbl 1074.91549
Dickson, David C. M.; Hipp, Christian
160
2001
On ruin for the Erlang \((n)\) risk process. Zbl 1188.91089
Li, Shuanming; Garrido, José
151
2004
Risk measures via \(g\)-expectations. Zbl 1147.91346
Rosazza Gianin, Emanuela
147
2006
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Zbl 1147.93046
Bai, Lihua; Guo, Junyi
140
2008
Affine processes for dynamic mortality and actuarial valuations. Zbl 1129.91024
Biffis, Enrico
134
2005
Valuation of the early-exercise price for options using simulations and nonparametric regression. Zbl 0894.62109
Carriere, Jacques F.
131
1996
Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts. Zbl 1075.62095
Dahl, Mikkel
127
2004
The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. Zbl 1103.91369
Lin, X. Sheldon; Willmot, Gordon E.; Drekic, Steve
125
2003
Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Zbl 1218.91167
Zeng, Yan; Li, Zhongfei
125
2011
Mortality derivatives and the option to annuitise. Zbl 1074.62530
Milevsky, Moshe A.; Promislow, S. David
122
2001
Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417
Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
121
2008
Lee-Carter mortality forecasting with age-specific enhancement. Zbl 1103.91371
Renshaw, A. E.; Haberman, S.
119
2003
Insurance pricing and increased limits ratemaking by proportional hazards transforms. Zbl 0837.62088
Wang, Shaun
117
1995
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Zbl 0894.90047
Gerber, Hans U.; Shiu, Elias S. W.
115
1997
Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Zbl 0977.62108
Grosen, Anders; Jørgensen, Peter Løchte
107
2000
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Zbl 0924.60075
Gerber, Hans U.; Landry, Bruno
105
1998
Optimal dividends in the dual model. Zbl 1131.91026
Avanzi, Benjamin; Gerber, Hans U.; Shiu, Elias S. W.
104
2007
Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. Zbl 1290.91103
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan
100
2013
Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. Zbl 0976.91034
Boulier, Jean-François; Huang, ShaoJuan; Taillard, Grégory
98
2001
Generalized quantiles as risk measures. Zbl 1303.91089
Bellini, Fabio; Klar, Bernhard; Müller, Alfred; Rosazza Gianin, Emanuela
94
2014
On convex principles of premium calculation. Zbl 0579.62090
Deprez, Olivier; Gerber, Hans U.
94
1985
The moments of the time of ruin, the surplus before ruin, and the deficit at ruin. Zbl 0971.91031
Lin, X. Sheldon; Willmot, Gordon E.
93
2000
Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556
Lin, X. Sheldon; Willmot, Gordon E.
92
1999
Optimal insurance under Wang’s premium principle. Zbl 1156.62364
Young, Virginia R.
92
1999
Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. Zbl 1284.91250
Li, Zhongfei; Zeng, Yan; Lai, Yongzeng
91
2012
The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383
Lin, X. Sheldon; Pavlova, Kristina P.
90
2006
Valuation and hedging of life insurance liabilities with systematic mortality risk. Zbl 1201.91089
Dahl, Mikkel; Møller, Thomas
90
2006
Optimal reinsurance under mean-variance premium principles. Zbl 1009.62096
Kaluszka, Marek
89
2001
Ruin estimates under interest force. Zbl 0838.62098
Sundt, Bjørn; Teugels, Jozef L.
88
1995
Upper and lower bounds for sums of random variables. Zbl 0989.60019
Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J.
86
2000
Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075
Kulenko, Natalie; Schmidli, Hanspeter
84
2008
Financial valuation of guaranteed minimum withdrawal benefits. Zbl 1116.91048
Milevsky, Moshe A.; Salisbury, Thomas S.
81
2006
Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496
Chen, Ping; Yang, Hailiang; Yin, George
81
2008
Asset and liability management under a continuous-time mean-variance optimization framework. Zbl 1151.91493
Chiu, Mei Choi; Li, Duan
79
2006
Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps. Zbl 1348.91192
Zeng, Yan; Li, Danping; Gu, Ailing
79
2016
Optimal reinsurance in relation to ordering of risks. Zbl 0683.62060
van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J.
78
1989
On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula. Zbl 1151.91565
Cossette, Hélène; Marceau, Etienne; Marri, Fouad
78
2008
Optimal investment strategies in the presence of a minimum guarantee. Zbl 1074.91013
Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François
77
2003
Pricing exotic options under regime switching. Zbl 1141.91420
Boyle, Phelim; Draviam, Thangaraj
76
2007
Weighted premium calculation principles. Zbl 1141.91509
Furman, Edward; Zitikis, Ričardas
75
2008
Stop-loss order for portfolios of dependent risks. Zbl 0894.90022
Müller, Alfred
75
1997
On stochastic mortality modeling. Zbl 1231.91227
Plat, Richard
73
2009
Affine stochastic mortality. Zbl 1103.60063
Schrager, David F.
72
2006
Ordering risks: expected utility theory versus Yaari’s dual theory of risk. Zbl 0907.90102
Wang, Shaun S.; Young, Virginia R.
71
1998
A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048
Albrecher, Hansjörg; Boxma, Onno J.
70
2004
A generalized defective renewal equation for the surplus process perturbed by diffusion. Zbl 1074.91563
Tsai, Cary Chi-Liang; Willmot, Gordon E.
70
2002
Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. Zbl 1285.91057
Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan
70
2012
Optimal reinsurance with general risk measures. Zbl 1162.91394
Balbás, Alejandro; Balbás, Beatriz; Heras, Antonio
70
2009
Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process. Zbl 1318.91123
Shen, Yang; Zeng, Yan
69
2015
Fitting bivariate loss distributions with copulas. Zbl 0931.62044
Klugman, Stuart A.; Parsa, Rahul
68
1999
Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps. Zbl 1284.91282
Zeng, Yan; Li, Zhongfei; Lai, Yongzeng
68
2013
Optimal choice of dividend barriers for a risk process with stochastic return on investments. Zbl 0894.90048
Paulsen, Jostein; Gjessing, Håkon K.
68
1997
On the discounted penalty function in a Markov-dependent risk model. Zbl 1129.91023
Albrecher, Hansjörg; Boxma, Onno J.
67
2005
Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles. Zbl 1284.91222
Cui, Wei; Yang, Jingping; Wu, Lan
67
2013
On reinsurance and investment for large insurance portfolios. Zbl 1141.91532
Luo, Shangzhen; Taksar, Michael; Tsoi, Allanus
66
2008
On a class of renewal risk models with a constant dividend barrier. Zbl 1122.91345
Li, Shuanming; Garrido, José
65
2004
Optimal pension management in a stochastic framework. Zbl 1068.91028
Battocchio, Paolo; Menoncin, Francesco
64
2004
Constant elasticity of variance model for proportional reinsurance and investment strategies. Zbl 1231.91193
Gu, Mengdi; Yang, Yipeng; Li, Shoude; Zhang, Jingyi
64
2010
Weighted risk capital allocations. Zbl 1189.62163
Furman, Edward; Zitikis, Ričardas
63
2008
Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model. Zbl 1290.91106
Zhao, Hui; Rong, Ximin; Zhao, Yonggan
63
2013
Optimal dividend problem with a terminal value for spectrally positive Lévy processes. Zbl 1290.91176
Yin, Chuancun; Wen, Yuzhen
63
2013
On the construction of copulas and quasi-copulas with given diagonal sections. Zbl 1152.60311
Nelsen, Roger B.; Quesada-Molina, José Juan; Rodríguez-Lallena, José Antonio; Úbeda-Flores, Manuel
63
2008
Comonotonicity, correlation order and premium principles. Zbl 0909.62110
Wang, Shaun; Dhaene, Jan
63
1998
Evaluating and extending the Lee-Carter model for mortality forecasting: bootstrap confidence interval. Zbl 1098.62138
Koissi, Marie-Claire; Shapiro, Arnold F.; Högnäs, Göran
62
2006
Optimal asset allocation for DC pension plans under inflation. Zbl 1284.91520
Han, Nan-Wei; Hung, Mao-Wei
62
2012
The safest dependence structure among risks. Zbl 1072.62651
Dhaene, Jan; Denuit, Michel
61
1999
A synthesis of risk measures for capital adequacy. Zbl 0951.91032
Wirch, Julia Lynn; Hardy, Mary R.
61
1999
Actuarial bridges to dynamic hedging and option pricing. Zbl 0896.62112
Gerber, Hans U.; Shiu, Elias S. W.
61
1996
Ruin probabilities in the compound binomial model. Zbl 0778.62099
Willmot, Gordon E.
60
1993
Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process. Zbl 1218.91084
Liang, Zhibin; Yuen, Kam Chuen; Guo, Junyi
60
2011
The surpluses immediately before and at ruin, and the amount of the claim causing ruin. Zbl 0674.62072
Dufresne, François; Gerber, Hans U.
60
1988
Optimal control of risk exposure, reinsurance and investments for insurance portfolios. Zbl 1052.62107
Irgens, Christian; Paulsen, Jostein
59
2004
Ruin probabilities for time-correlated claims in the compound binomial model. Zbl 1074.91032
Yuen, K. C.; Guo, J. Y.
59
2001
Second order regular variation and conditional tail expectation of multiple risks. Zbl 1228.91039
Hua, Lei; Joe, Harry
59
2011
Optimal investment and reinsurance of an insurer with model uncertainty. Zbl 1231.91257
Zhang, Xin; Siu, Tak Kuen
59
2009
Discounted probabilities and ruin theory in the compound binomial model. Zbl 1013.91063
Cheng, Shixue; Gerber, Hans U.; Shiu, Elias S. W.
59
2000
Marginal indemnification function formulation for optimal reinsurance. Zbl 1348.91196
Zhuang, Sheng Chao; Weng, Chengguo; Tan, Ken Seng; Assa, Hirbod
59
2016
Estimating the tail-dependence coefficient: properties and pitfalls. Zbl 1101.62012
Frahm, Gabriel; Junker, Markus; Schmidt, Rafael
59
2005
On the distribution of the surplus prior to ruin. Zbl 0770.62090
Dickson, David C. M.
58
1992
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010
Schachermayer, W.
58
1992
On the discounted penalty function in the renewal risk model with general interclaim times. Zbl 1119.91058
Willmot, Gordon E.
58
2007
Optimal investment for an insurer: the martingale approach. Zbl 1141.91470
Wang, Zengwu; Xia, Jianming; Zhang, Lihong
58
2007
Optimal investment-reinsurance policy for an insurance company with VaR constraint. Zbl 1231.91155
Chen, Shumin; Li, Zhongfei; Li, Kemian
58
2010
Risk aggregation with dependence uncertainty. Zbl 1291.91090
Bernard, Carole; Jiang, Xiao; Wang, Ruodu
58
2014
A uniform asymptotic estimate for discounted aggregate claims with subexponential tails. Zbl 1142.62090
Hao, Xuemiao; Tang, Qihe
58
2008
Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails. Zbl 1074.91029
Konstantinides, Dimitrios; Tang, Qihe; Tsitsiashvili, Gurami
57
2002
Asymptotics for risk capital allocations based on conditional tail expectation. Zbl 1228.91029
Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; Vernic, Raluca
56
2011
Some results on ruin probabilities in a two-dimensional risk model. Zbl 1055.91041
Chan, Wai-Sum; Yang, Hailiang; Zhang, Lianzeng
55
2003
Probability equivalent level of value at risk and higher-order expected shortfalls. Zbl 1507.91240
Barczy, Mátyás; K. Nedényi, Fanni; Sütő, László
3
2023
Risk aggregation with FGM copulas. Zbl 1520.91312
Blier-Wong, Christopher; Cossette, Hélène; Marceau, Etienne
2
2023
Robust retirement and life insurance with inflation risk and model ambiguity. Zbl 1517.91193
Park, Kyunghyun; Wong, Hoi Ying; Yan, Tingjin
2
2023
Dynamic asset-liability management with frictions. Zbl 1520.91359
Yan, Tingjin; Han, Jinhui; Ma, Guiyuan; Siu, Chi Chung
1
2023
Pairwise counter-monotonicity. Zbl 1520.91336
Lauzier, Jean-Gabriel; Lin, Liyuan; Wang, Ruodu
1
2023
Valuation of general GMWB annuities in a low interest rate environment. Zbl 1528.91062
Fontana, Claudio; Rotondi, Francesco
1
2023
Pricing extreme mortality risk in the wake of the COVID-19 pandemic. Zbl 1507.91185
Li, Han; Liu, Haibo; Tang, Qihe; Yuan, Zhongyi
1
2023
Inf-convolution and optimal allocations for mixed-VaRs. Zbl 1507.91242
Xia, Zichao; Zou, Zhenfeng; Hu, Taizhong
1
2023
A new stochastic dominance criterion for dependent random variables with applications. Zbl 1507.91197
Belzunce, Félix; Martínez-Riquelme, Carolina
1
2023
Dependence modeling of frequency-severity of insurance claims using waiting time. Zbl 1508.91471
Gao, Guangyuan; Li, Jiahong
1
2023
Deep quantile and deep composite triplet regression. Zbl 1508.91470
Fissler, Tobias; Merz, Michael; Wüthrich, Mario V.
1
2023
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory. Zbl 1512.91124
Mi, Hui; Xu, Zuo Quan
1
2023
Stackelberg differential game for reinsurance: mean-variance framework and random horizon. Zbl 1484.91392
Li, Danping; Young, Virginia R.
10
2022
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method. Zbl 1492.91303
Kang, Boda; Shen, Yang; Zhu, Dan; Ziveyi, Jonathan
9
2022
Systemic risk: conditional distortion risk measures. Zbl 1484.91504
Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying
5
2022
Stackelberg differential game for insurance under model ambiguity. Zbl 1498.91352
Cao, Jingyi; Li, Dongchen; Young, Virginia R.; Zou, Bin
5
2022
Parametric measures of variability induced by risk measures. Zbl 1498.91502
Bellini, Fabio; Fadina, Tolulope; Wang, Ruodu; Wei, Yunran
5
2022
Optimal insurance to maximize RDEU under a distortion-deviation premium principle. Zbl 1492.91304
Liang, Xiaoqing; Wang, Ruodu; Young, Virginia R.
4
2022
Risk transference constraints in optimal reinsurance. Zbl 1484.91370
Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel; Heras, Antonio
4
2022
Risk measures induced by efficient insurance contracts. Zbl 1484.91411
Wang, Qiuqi; Wang, Ruodu; Zitikis, Ričardas
4
2022
Mortality modeling and regression with matrix distributions. Zbl 1515.62096
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge
4
2022
A hierarchical reserving model for reported non-life insurance claims. Zbl 1492.91284
Crevecoeur, Jonas; Robben, Jens; Antonio, Katrien
3
2022
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. Zbl 1484.91366
Albrecher, Hansjörg; Cheung, Eric C. K.; Liu, Haibo; Woo, Jae-Kyung
3
2022
An asymptotic study of systemic expected shortfall and marginal expected shortfall. Zbl 1492.91406
Chen, Yiqing; Liu, Jiajun
3
2022
Care-dependent tontines. Zbl 1503.91085
Chen, An; Chen, Yusha; Xu, Xian
3
2022
A two-stage model for high-risk prediction in insurance ratemaking: asymptotics and inference. Zbl 1490.91174
Hou, Yanxi
2
2022
Regret-based optimal insurance design. Zbl 1484.91380
Chi, Yichun; Zhuang, Sheng Chao
2
2022
Risk aggregation and capital allocation using a new generalized Archimedean copula. Zbl 1484.91398
Marri, Fouad; Moutanabbir, Khouzeima
2
2022
Asymptotic results on marginal expected shortfalls for dependent risks. Zbl 1484.91393
Li, Jinzhu
2
2022
Optimal asset allocation, consumption and retirement time with the variation in habitual persistence. Zbl 1484.91386
He, Lin; Liang, Zongxia; Song, Yilun; Ye, Qi
2
2022
Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. Zbl 1484.91387
Huang, Yiming; Mamon, Rogemar; Xiong, Heng
2
2022
Statistical inference for tail-based cumulative residual entropy. Zbl 1484.91406
Sun, Hongfang; Chen, Yu; Hu, Taizhong
2
2022
Annuity and insurance choice under habit formation. Zbl 1492.91273
Boyle, Phelim; Tan, Ken Seng; Wei, Pengyu; Zhuang, Sheng Chao
2
2022
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets. Zbl 1492.91276
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra
2
2022
Sample recycling method – a new approach to efficient nested Monte Carlo simulations. Zbl 1492.91423
Feng, Runhuan; Li, Peng
2
2022
Modeling pandemic mortality risk and its application to mortality-linked security pricing. Zbl 1498.91353
Chen, Fen-Ying; Yang, Sharon S.; Huang, Hong-Chih
2
2022
Multivariate matrix-exponential affine mixtures and their applications in risk theory. Zbl 1498.91354
Cheung, Eric C. K.; Peralta, Oscar; Woo, Jae-Kyung
2
2022
Cyber-contagion model with network structure applied to insurance. Zbl 1507.91182
Hillairet, Caroline; Lopez, Olivier; d’Oultremont, Louise; Spoorenberg, Brieuc
2
2022
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating. Zbl 1510.91145
Goegebeur, Yuri; Guillou, Armelle; Pedersen, Tine; Qin, Jing
2
2022
Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns. Zbl 1511.91115
Gao, Lisa; Shi, Peng
2
2022
Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants. Zbl 1507.91179
Gribkova, N. V.; Su, J.; Zitikis, R.
2
2022
Estimating and backtesting risk under heavy tails. Zbl 1490.91250
Pitera, Marcin; Schmidt, Thorsten
1
2022
COVID-19 and credit risk: a long memory perspective. Zbl 1490.91231
Yin, Jie; Han, Bingyan; Wong, Hoi Ying
1
2022
Optimal long-term contracts with disability insurance under limited commitment. Zbl 1492.91281
Choi, Kyoung Jin; Jeon, Junkee; Lee, Ho-Seok; Lin, Hsuan-Chih
1
2022
Estimating the time value of ruin in a Lévy risk model under low-frequency observation. Zbl 1490.91178
Wang, Wenyuan; Xie, Jiayi; Zhang, Zhimin
1
2022
Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation. Zbl 1491.91110
Liang, Zhihang; Zou, Jushen; Jiang, Wenjun
1
2022
Unraveling heterogeneity in cyber risks using quantile regressions. Zbl 1490.91172
Eling, Martin; Jung, Kwangmin; Shim, Jeungbo
1
2022
Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims. Zbl 1484.91410
Vernic, Raluca; Bolancé, Catalina; Alemany, Ramon
1
2022
On non-negative equity guarantee calculations with macroeconomic variables related to house prices. Zbl 1484.91368
Badescu, Alexandru; Quaye, Enoch; Tunaru, Radu
1
2022
Three-step risk inference in insurance ratemaking. Zbl 1493.62584
Hou, Yanxi; Kang, Seul Ki; Lo, Chia Chun; Peng, Liang
1
2022
Automatic Fatou property of law-invariant risk measures. Zbl 1492.91279
Chen, Shengzhong; Gao, Niushan; Leung, Denny H.; Li, Lei
1
2022
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves. Zbl 1493.62579
Boratyńska, Agata; Zielińska-Kolasińska, Zofia
1
2022
S-shaped narrow framing, skewness and the demand for insurance. Zbl 1492.91280
Chi, Yichun; Zheng, Jiakun; Zhuang, Shengchao
1
2022
Imbalanced learning for insurance using modified loss functions in tree-based models. Zbl 1498.91360
Hu, Changyue; Quan, Zhiyu; Chong, Wing Fung
1
2022
Actuarial intelligence in auto insurance: claim frequency modeling with driving behavior features and improved boosted trees. Zbl 1503.91092
Meng, Shengwang; Gao, Yaqian; Huang, Yifan
1
2022
Optimal dividends under Markov-modulated bankruptcy level. Zbl 1503.91088
Ferrari, Giorgio; Schuhmann, Patrick; Zhu, Shihao
1
2022
Avoiding zero probability events when computing value at risk contributions. Zbl 1498.91504
Koike, Takaaki; Saporito, Yuri; Targino, Rodrigo
1
2022
Robust equilibrium strategies in a defined benefit pension plan game. Zbl 1498.91358
Guan, Guohui; Hu, Jiaqi; Liang, Zongxia
1
2022
Asymptotic analysis of portfolio diversification. Zbl 1498.91381
Cui, Hengxin; Tan, Ken Seng; Yang, Fan; Zhou, Chen
1
2022
Copula-based inference for bivariate survival data with left truncation and dependent censoring. Zbl 1510.91143
Deresa, N. W.; Van Keilegom, I.; Antonio, K.
1
2022
The Parisian and ultimate drawdowns of Lévy insurance models. Zbl 1508.91478
Li, Shu; Zhou, Xiaowen
1
2022
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models. Zbl 1514.91170
Fung, Tsz Chai
1
2022
Asymptotic theory for Mack’s model. Zbl 1507.91191
Steinmetz, Julia; Jentsch, Carsten
1
2022
Frequency-severity experience rating based on latent Markovian risk profiles. Zbl 1507.91192
Verschuren, Robert Matthijs
1
2022
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk. Zbl 1507.91187
Liu, Haiyan; Mao, Tiantian
1
2022
Equity-linked guaranteed minimum death benefits with dollar cost averaging. Zbl 1471.91465
Kirkby, J. Lars; Nguyen, Duy
15
2021
From risk sharing to pure premium for a large number of heterogeneous losses. Zbl 1465.91094
Denuit, Michel; Robert, Christian Y.
10
2021
Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type. Zbl 1460.91221
Furman, Edward; Kye, Yisub; Su, Jianxi
10
2021
Sparse regression with multi-type regularized feature modeling. Zbl 1460.91218
Devriendt, Sander; Antonio, Katrien; Reynkens, Tom; Verbelen, Roel
9
2021
Law-invariant functionals that collapse to the mean. Zbl 1466.91250
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor
9
2021
Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs. Zbl 1475.91285
Boonen, Tim J.; Ghossoub, Mario
8
2021
Volterra mortality model: actuarial valuation and risk management with long-range dependence. Zbl 1460.91240
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying
8
2021
Cyber claim analysis using generalized Pareto regression trees with applications to insurance. Zbl 1466.91255
Farkas, Sébastien; Lopez, Olivier; Thomas, Maud
8
2021
Robust optimal investment and reinsurance for an insurer with inside information. Zbl 1460.91236
Peng, Xingchun; Chen, Fenge; Wang, Wenyuan
7
2021
Autocalibration and Tweedie-dominance for insurance pricing with machine learning. Zbl 1475.91295
Denuit, Michel; Charpentier, Arthur; Trufin, Julien
6
2021
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times. Zbl 1460.91215
Chen, Yiqing; White, Toby; Yuen, Kam Chuen
6
2021
A Fourier-cosine method for finite-time ruin probabilities. Zbl 1467.91144
Lee, Wing Yan; Li, Xiaolong; Liu, Fangda; Shi, Yifan; Yam, Sheung Chi Phillip
6
2021
Equilibrium investment strategy for a DC pension plan with learning about stock return predictability. Zbl 1471.91486
Wang, Pei; Shen, Yang; Zhang, Ling; Kang, Yuxin
5
2021
Demand for non-life insurance under habit formation. Zbl 1475.91311
Li, Wenyuan; Tan, Ken Seng; Wei, Pengyu
5
2021
The multivariate mixed negative binomial regression model with an application to insurance a posteriori ratemaking. Zbl 1475.91319
Tzougas, George; Pignatelli di Cerchiara, Alice
5
2021
Pricing longevity derivatives via Fourier transforms. Zbl 1460.91212
Bravo, Jorge M.; Nunes, João Pedro Vidal
5
2021
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints. Zbl 1460.91241
Wang, Ning; Zhang, Nan; Jin, Zhuo; Qian, Linyi
5
2021
Deep hedging of long-term financial derivatives. Zbl 1467.91138
Carbonneau, Alexandre
5
2021
A decomposition of general premium principles into risk and deviation. Zbl 1471.91477
Nendel, Max; Riedel, Frank; Schmeck, Maren Diane
4
2021
Stop-loss protection for a large P2P insurance pool. Zbl 1471.91455
Denuit, Michel; Robert, Christian Y.
4
2021
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. Zbl 1471.91451
Cai, Jun; Wang, Ying
4
2021
Hawkes processes in insurance: risk model, application to empirical data and optimal investment. Zbl 1475.91317
Swishchuk, Anatoliy; Zagst, Rudi; Zeller, Gabriela
4
2021
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. Zbl 1475.91313
Mohammed, Nawaf; Furman, Edward; Su, Jianxi
4
2021
Pareto-optimal reinsurance policies with maximal synergy. Zbl 1460.91225
Jiang, Wenjun; Hong, Hanping; Ren, Jiandong
4
2021
Stochastic orders and multivariate measures of risk contagion. Zbl 1460.91252
Ortega-Jiménez, P.; Sordo, M. A.; Suárez-Llorens, A.
4
2021
Mean-variance investment and risk control strategies – a time-consistent approach via a forward auxiliary process. Zbl 1460.91239
Shen, Yang; Zou, Bin
4
2021
Bowley solution of a mean-variance game in insurance. Zbl 1466.91264
Li, Danping; Young, Virginia R.
4
2021
Addressing the life expectancy gap in pension policy. Zbl 1467.91135
Bravo, Jorge M.; Ayuso, Mercedes; Holzmann, Robert; Palmer, Edward
4
2021
It takes two: why mortality trend modeling is more than modeling one mortality trend. Zbl 1467.91133
Börger, Matthias; Russ, Jochen; Schupp, Johannes
4
2021
Infinitely stochastic micro reserving. Zbl 1471.91474
Maciak, Matúš; Okhrin, Ostap; Pešta, Michal
3
2021
Bayesian credibility under a bivariate prior on the frequency and the severity of claims. Zbl 1471.91453
Cheung, Eric C. K.; Ni, Weihong; Oh, Rosy; Woo, Jae-Kyung
3
2021
Approximate Bayesian computations to fit and compare insurance loss models. Zbl 1471.91459
Goffard, Pierre-Olivier; Laub, Patrick J.
3
2021
Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance. Zbl 1475.91301
Ghossoub, Mario; He, Xue Dong
3
2021
Optimal retirement products under subjective mortality beliefs. Zbl 1475.91291
Chen, An; Hieber, Peter; Rach, Manuel
3
2021
Return smoothing in life insurance from a client perspective. Zbl 1475.91314
Ruß, Jochen; Schelling, Stefan
3
2021
...and 1672 more Documents
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Cited by 9,470 Authors

120 Denuit, Michel M.
105 Yang, Hailiang
90 Goovaerts, Marc J.
82 Young, Virginia R.
79 Haberman, Steven
78 Siu, Tak Kuen
75 Yuen, Kam Chuen
74 Dhaene, Jan
73 Zhang, Zhimin
67 Albrecher, Hansjörg
67 Willmot, Gordon E.
64 Tang, Qihe
59 Yang, Yang
56 Landriault, David
55 Wang, Ruodu
53 Li, Shuanming
53 Yin, Chuancun
51 Durante, Fabrizio
51 Hashorva, Enkelejd
50 Hu, Yijun
49 Cheung, Ka Chun
48 Jin, Zhuo
48 Lefèvre, Claude
48 Marceau, Étienne
47 Guo, Junyi
45 Gerber, Hans U.
44 Cossette, Hélène
44 Fernández-Sánchez, Juan
44 Hu, Taizhong
44 Loisel, Stéphane
44 Wang, Rongming
43 Li, Xiaohu
43 Tan, Ken Seng
42 Li, Zhongfei
41 Wu, Rong
40 Cai, Jun
40 Forsyth, Peter A.
40 Zitikis, Ričardas
39 Boonen, Tim J.
39 Palmowski, Zbigniew
39 Sherris, Michael
38 Wong, Hoi Ying
38 Zhao, Hui
37 Elliott, Robert James
37 Guillen, Montserrat
37 Rong, Ximin
37 Zeng, Yan
36 Frostig, Esther
36 Hürlimann, Werner
36 Shen, Yang
36 Shiu, Elias S. W.
36 Tsai, Cary Chi-Liang
36 Weng, Chengguo
35 Czado, Claudia
35 Mao, Tiantian
35 Peng, Liang
35 Wang, Guojing
35 Wüthrich, Mario Valentin
34 Landsman, Zinoviy M.
34 Liang, Zhibin
34 Liang, Zongxia
34 Šiaulys, Jonas
34 Wei, Jiaqin
33 Blake, David
33 Dickson, David C. M.
33 Genest, Christian
33 Kaas, Rob
33 Sordo, Miguel Ángel
32 de Vylder, Florent Etienne
32 Li, Danping
32 Li, Jinzhu
32 Nielsen, Jens Perch
32 Úbeda-Flores, Manuel
32 Vanduffel, Steven
32 Wang, Wenyuan
31 Kremer, Erhard K.
30 Balakrishnan, Narayanaswamy
30 Chi, Yichun
30 Feng, Runhuan
30 Gómez-Déniz, Emilio
30 Li, Johnny Siu-Hang
30 Schmidli, Hanspeter
29 Bernard, Carole
29 Cairns, Andrew J. G.
29 Cheung, Eric C. K.
29 Klüppelberg, Claudia
29 Lin, X. Sheldon
29 Nadarajah, Saralees
29 Yang, Jingping
28 Badescu, Andrei L.
28 Christiansen, Marcus Christian
28 Steffensen, Mogens
28 Valdez, Emiliano A.
28 Wang, Kaiyong
28 Wang, Yuebao
28 Woo, Jae-Kyung
28 Yam, Sheung Chi Phillip
27 Avram, Florin
27 Ding, Feng
27 Embrechts, Paul
...and 9,370 more Authors
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Cited in 508 Journals

2,342 Insurance Mathematics & Economics
515 Scandinavian Actuarial Journal
444 North American Actuarial Journal
345 Communications in Statistics. Theory and Methods
283 Statistics & Probability Letters
282 Journal of Computational and Applied Mathematics
280 ASTIN Bulletin
226 European Journal of Operational Research
196 Methodology and Computing in Applied Probability
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161 Journal of Multivariate Analysis
153 Journal of Applied Probability
135 Journal of Industrial and Management Optimization
114 International Journal of Theoretical and Applied Finance
98 Applied Mathematics and Computation
93 Annals of Operations Research
92 Stochastic Processes and their Applications
92 Finance and Stochastics
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85 Advances in Applied Probability
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82 Journal of Mathematical Analysis and Applications
78 Mathematical Problems in Engineering
75 Scandinavian Actuarial Journal
75 Communications in Statistics. Simulation and Computation
73 Computational Statistics and Data Analysis
71 Journal of Economic Dynamics & Control
71 Dependence Modeling
68 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
68 Probability in the Engineering and Informational Sciences
63 Acta Mathematicae Applicatae Sinica. English Series
62 The Annals of Applied Probability
61 Fuzzy Sets and Systems
61 Mathematics and Financial Economics
58 Journal of Statistical Planning and Inference
58 Journal of Applied Statistics
56 Decisions in Economics and Finance
55 SIAM Journal on Financial Mathematics
54 Lithuanian Mathematical Journal
53 Mathematical Methods of Operations Research
53 Extremes
52 Stochastic Analysis and Applications
49 Discrete Dynamics in Nature and Society
49 Applied Stochastic Models in Business and Industry
44 Journal of Mathematical Economics
44 Journal of Statistical Computation and Simulation
43 Statistical Papers
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41 Stochastics
40 Bernoulli
40 Journal of Systems Science and Complexity
37 Journal of Optimization Theory and Applications
37 SIAM Journal on Control and Optimization
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33 Statistics
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26 Abstract and Applied Analysis
26 Acta Mathematica Sinica. English Series
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23 Physica A
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22 Journal of the American Statistical Association
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20 Computational Statistics
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19 The Canadian Journal of Statistics
19 Economics Letters
19 Applied Mathematical Modelling
19 Computational Management Science
18 Chaos, Solitons and Fractals
18 Journal of Economic Theory
18 International Journal of Approximate Reasoning
18 International Journal of Computer Mathematics
17 International Journal of Control
17 Kybernetika
17 Journal of Mathematical Sciences (New York)
...and 408 more Journals
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Cited in 55 Fields

7,691 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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