## Scandinavian Actuarial Journal

### Published for The Danish Society of Actuaries, The Actuarial Society of Finland, The Norwegian Society of Actuaries and The Swedish Society of Actuaries

 Short Title: Scand. Actuar. J. Publisher: Taylor & Francis, Abingdon, Oxfordshire ISSN: 0346-1238; 1651-2030/e Online: http://www.tandfonline.com/loi/sact20 Predecessor: Scandinavian Actuarial Journal
 Documents Indexed: 596 Publications (since 2000) References Indexed: 579 Publications with 15,210 References.
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### Authors

 13 Macdonald, Angus S. 12 Denuit, Michel M. 11 Landriault, David 11 Willmot, Gordon E. 11 Wüthrich, Mario Valentin 10 Cheung, Ka Chun 10 Li, Shuanming 8 Cheung, Eric C. K. 8 Sherris, Michael 8 Zhang, Zhimin 7 Badescu, Andrei L. 7 Dickson, David C. M. 7 Kleinow, Torsten 7 Landsman, Zinoviy M. 7 Stanford, David A. 7 Waters, Howard R. 7 Yang, Hailiang 6 Albrecher, Hansjörg 6 Dhaene, Jan 6 Drekic, Steve 6 Frostig, Esther 6 Hashorva, Enkelejd 6 Nielsen, Jens Perch 6 Tsai, Cary Chi-Liang 6 Yuen, Kam Chuen 5 Cai, Jun 5 Christiansen, Marcus Christian 5 Devolder, Pierre 5 Grandits, Peter 5 Hong, Liang 5 Léveillé, Ghislain 5 Li, Jackie Ji 5 Lu, Yi 5 Schmidli, Hanspeter 5 Siu, Tak Kuen 5 Steffensen, Mogens 5 Tang, Qihe 4 Alai, Daniel H. 4 Chadjiconstantinidis, Stathis 4 Chen, An 4 Constantinescu, Corina D. 4 Hipp, Christian 4 Jarner, Søren Fiig 4 Lefèvre, Claude 4 Liang, Zhibin 4 Lindholm, Mathias 4 Loisel, Stéphane 4 Marceau, Étienne 4 Møller, Thomas H. 4 Richards, Stephen J. 4 Samorodnitsky, Gennady Pinkhosovich 4 Trufin, Julien 4 Woo, Jae-Kyung 4 Yam, Sheung Chi Phillip 4 Young, Virginia R. 4 Zhang, Lianzeng 4 Zhang, Yiying 4 Ziveyi, Jonathan 3 Aas, Kjersti 3 Aase, Knut Kristian 3 Adékambi, Franck 3 Antonio, Katrien 3 Bäuerle, Nicole 3 Beirlant, Jan 3 Bladt, Mogens 3 Boonen, Tim J. 3 Brazauskas, Vytaras 3 Breuer, Lothar 3 Buchardt, Kristian 3 Cooray, Kahadawala 3 Cossette, Hélène 3 Czado, Claudia 3 Djehiche, Boualem 3 Feng, Runhuan 3 Goovaerts, Marc J. 3 Guillen, Montserrat 3 Haberman, Steven 3 Han, Xia 3 Hardy, Mary Rosalyn 3 Hieber, Peter 3 Hu, Xiang 3 Jin, Zhuo 3 Lo, Ambrose 3 Løchte Jørgensen, Peter 3 Lu, Baopeng 3 Luo, Shangzhen 3 Martin, Ryan 3 Merz, Michael 3 Nadarajah, Saralees 3 Norberg, Ragnar 3 Ohlsson, Esbjörn 3 Peng, Liang 3 Pennanen, Teemu 3 Politis, Konstadinos 3 Ren, Jiandong 3 Rosenlund, Stig I. 3 Sendova, Kristina P. 3 Shen, Yang 3 Valdez, Emiliano A. 3 Vernic, Raluca ...and 747 more Authors
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### Fields

 578 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 297 Statistics (62-XX) 191 Probability theory and stochastic processes (60-XX) 28 Systems theory; control (93-XX) 17 Operations research, mathematical programming (90-XX) 13 Biology and other natural sciences (92-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 7 Numerical analysis (65-XX) 4 Partial differential equations (35-XX) 4 Integral equations (45-XX) 3 Approximations and expansions (41-XX) 3 Integral transforms, operational calculus (44-XX) 3 Computer science (68-XX) 2 History and biography (01-XX) 2 Geophysics (86-XX) 1 Combinatorics (05-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Special functions (33-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX)

### Citations contained in zbMATH Open

488 Publications have been cited 4,383 times in 2,718 Documents Cited by Year
Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039
Schmidli, Hanspeter
2001
On a risk model with dependence between interclaim arrivals and claim sizes. Zbl 1145.91030
Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne
2006
Extremes on the discounted aggregate claims in a time dependent risk model. Zbl 1224.91041
Asimit, Alexandru V.; Badescu, Andrei L.
2010
Modeling and management of mortality risk: a review. Zbl 1224.91048
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
2008
Bootstrapping the Poisson log-bilinear model for mortality forecasting. Zbl 1092.91038
Brouhns, Natacha; Denuit, Michel; van Keilegom, Ingrid
2005
The tail probability of discount sums of Pareto-like losses in insurance. Zbl 1144.91026
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe; Vernic, Raluca
2005
Modelling actuarial data with a composite lognormal-Pareto model. Zbl 1143.91027
Cooray, Kahadawala; Ananda, Malwane M. A.
2005
Optimal dynamic reinsurance with dependent risks: variance premium principle. Zbl 1401.91167
Liang, Zhibin; Yuen, Kam Chuen
2016
Risk processes analyzed as fluid queues. Zbl 1092.91037
Badescu, Andrei; Breuer, Lothar; Da Silva Soares, Ana; Latouches, Guy; Remiche, Marie-Ange; Stanford, David
2005
Randomized observation periods for the compound Poisson risk model: the discounted penalty function. Zbl 1401.91089
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan
2013
Micro-level stochastic loss reserving for general insurance. Zbl 1401.91091
Antonio, Katrien; Plat, Richard
2014
Optimal reinsurance under general law-invariant risk measures. Zbl 1401.91110
Cheung, K. C.; Sung, K. C. J.; Yam, S. C. P.; Yung, S. P.
2014
A mixed copula model for insurance claims and claim sizes. Zbl 1277.62249
Czado, Claudia; Kastenmeier, Rainer; Brechmann, Eike Christian; Min, Aleksey
2012
Guaranteed investment contracts: distributed and undistributed excess return. Zbl 1092.91053
2003
On systematic mortality risk and risk-minimization with survivor swaps. Zbl 1224.91054
Dahl, Mikkel; Melchior, Martin; Møller, Thomas
2008
The distribution of the dividend payments in the compound Poisson risk model perturbed by diffusion. Zbl 1143.91032
Li, Shuanming
2006
Ruin probabilities in the compound Markov binomial model. Zbl 1092.91040
Cossette, Hélène; Landriault, David; Marceau, Étienne
2003
On composite lognormal-Pareto models. Zbl 1146.91028
Scollnic, David P. M.
2007
Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073
Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia
2012
Pricing dynamic insurance risks using the principle of equivalent utility. Zbl 1039.91049
Young, Virginia R.; Zariphopoulou, Thaleia
2002
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
2006
Stochastic mortality under measure changes. Zbl 1226.91022
Biffis, Enrico; Denuit, Michel; Devolder, Pierre
2010
Characterizations of optimal reinsurance treaties: a cost-benefit approach. Zbl 1401.91112
Cheung, Ka Chun; Lo, Ambrose
2017
Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria. Zbl 1401.91208
Yi, Bo; Viens, Frederi; Li, Zhongfei; Zeng, Yan
2015
Perspectives of risk sharing. Zbl 1015.62104
Aase, Knut K.
2002
Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Zbl 1144.91030
Tang, Qihe
2005
Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116
Hipp, Christian; Schmidli, Hanspeter
2004
An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums. Zbl 1277.60042
Korolev, Victor; Shevtsova, Irina
2012
Estimation of the characteristics of the jumps of a general Poisson-diffusion model. Zbl 1114.62081
Mancini, Cecilia
2004
Spatial modelling of claim frequency and claim size in non-life insurance. Zbl 1150.91026
2007
Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Zbl 1416.91203
Li, Danping; Zeng, Yan; Yang, Hailiang
2018
Multivariate Pareto portfolios: TCE-based capital allocation and dividend differences. Zbl 1164.91028
Chiragiev, Arthur; Landsman, Zinoviy
2007
The fair value of guaranteed annuity options. Zbl 1142.91036
Biffis, Enrico; Millossovich, Pietro
2006
On the distribution of the deficit at ruin when claims are phase-type. Zbl 1142.62088
Drekic, Steve; Dickson, David C. M.; Stanford, David A.; Willmot, Gordon E.
2004
The Gerber-Shiu function in Sparre Andersen risk process perturbed by diffusion. Zbl 1092.91049
Li, Shuanming; Garrido, José
2005
Bivariate survival models for coupled lives. Zbl 0959.62094
Carriere, Jacques F.
2000
On a class of discrete time renewal risk models. Zbl 1142.91043
Li, Shuanming
2005
Two-sided bounds for the finite time probability of ruin. Zbl 0958.91030
Ignatov, Z. G.; Kaishev, V. K.
2000
Recursive moments of compound renewal sums with discounted claims. Zbl 0979.91048
Léveillé, Ghislain; Garrido, José
2001
Minimum rate of return guarantees: the Danish case. Zbl 1039.91040
Hansen, Mette; Miltersen, Kristian R.
2002
Mean-variance optimal reinsurance arrangements. Zbl 1117.62115
Kaluszka, Marek
2004
Criteria for the stochastic ordering of random sums, with actuarial applications. Zbl 1003.60022
Denuit, Michel; Genest, Christian; Marceau, Étienne
2002
Composite lognormal-Pareto model with random threshold. Zbl 1277.62258
Pigeon, Mathieu; Denuit, Michel
2011
On Fitting generalized linear and non-linear models of mortality. Zbl 1401.91123
Currie, Iain D.
2016
Optimal dynamic premium control in non-life insurance. Maximizing dividend pay-outs. Zbl 1039.91042
Højgaard, Bjarne
2002
Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024
Cossette, Héléne; Marceau, Etienne; Marri, Fouad
2010
On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier. Zbl 1092.91036
Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F.
2005
On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
2014
On finite-time ruin probabilities for classical risk models. Zbl 1164.91033
Lefèvre, Claude; Stéphane, Loisel
2008
The ruin probability of a discrete time risk model under constant interest rate with heavy tails. Zbl 1142.62094
Tang, Qihe
2004
Extending the Lee-Carter model: a three-way decomposition. Zbl 1277.62260
Russolillo, Maria; Giordano, Giuseppe; Haberman, Steven
2011
Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model. Zbl 1277.62096
Shimizu, Yasutaka
2012
Optimal reinsurance arrangements in the presence of two reinsurers. Zbl 1401.91113
Chi, Yichun; Meng, Hui
2014
Heterogeneity and the need for capital in the individual model. Zbl 1142.91039
Denuit, Michel; Frostig, Esther
2006
New composite models for the Danish fire insurance data. Zbl 1401.91177
Nadarajah, S.; Bakar, S. A. A.
2014
Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model. Zbl 1401.91168
Lin, Xiang; Qian, Yiping
2016
On bonus and bonus prognoses in life insurance. Zbl 0979.91045
Norberg, Ragnar
2001
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
2007
On the analysis of a multi-threshold Markovian risk model. Zbl 1164.91025
Badescu, Andrei; Drekic, Steve; Landriault, Daviv
2007
The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims. Zbl 1144.91025
Dickson, David C. M.; Hughes, Barry D.; Lianzeng, Zhang
2005
Machine learning in individual claims reserving. Zbl 1416.91225
Wüthrich, Mario V.
2018
The impact of multiple structural changes on mortality predictions. Zbl 1401.91221
van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel
2016
Ordering properties of the smallest and largest claim amounts in a general scale model. Zbl 1401.91096
2017
On semiparametric estimation of ruin probabilities in the classical risk model. Zbl 1401.62212
Masiello, Esterina
2014
Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks. Zbl 1401.91205
Yang, Yang; Konstantinides, Dimitrios G.
2015
Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes. Zbl 1224.91043
Bai, Lihua; Guo, Junyi
2010
Equilibrium compound distributions and stop-loss moments. Zbl 1144.91031
Willmot, Gordon E.; Drekic, Steve; Cai, Jun
2005
Ruin probabilities and investment under interest force in the presence of regularly varying tails. Zbl 1091.62102
Gaier, J.; Grandits, P.
2004
Folded and log-folded-$$t$$ distributions as models for insurance loss data. Zbl 1277.62248
Brazauskas, Vytaras; Kleefeld, Andreas
2011
Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145
Eisenberg, Julia; Schmidli, Hanspeter
2011
On the distortion of a copula and its margins. Zbl 1277.62140
Valdez, Emiliano A.; Xiao, Yugu
2011
Optimal reinsurance with expectile. Zbl 1401.91106
Cai, Jun; Weng, Chengguo
2016
Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
2017
Parisian ruin probability with a lower ultimate bankrupt barrier. Zbl 1401.91124
Czarna, Irmina
2016
Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Zbl 1224.91093
Weng, Chengguo; Zhang, Yi; Tan, Ken Seng
2009
Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models. Zbl 1143.91033
Li, Shuanming
2005
Gerber-Shiu analysis with a generalized penalty function. Zbl 1226.60123
Cheung, Eric C. K.; Landriault, David; Willmot, Gordon E.; Woo, Jae-Kyung
2010
Semiparametric estimation for non-ruin probabilities. Zbl 1092.91054
2003
Modeling claims data with composite Stoppa models. Zbl 1401.62205
Calderín-Ojeda, Enrique; Kwok, Chun Fung
2016
Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206
Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.
2017
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Zbl 1401.91095
Bacinello, Anna Rita; Millossovich, Pietro; Montealegre, Alvaro
2016
Analysis of a threshold dividend strategy for a MAP risk model. Zbl 1164.91024
Badescu, Andrei; Drekic, Steve; Landriault, Daviv
2007
On accounting standards and fair valuation of life insurance and pension liabilities. Zbl 1087.62117
Jørgensen, Peter Løchte
2004
Cash flows and policyholder behaviour in the semi-Markov life insurance setup. Zbl 1401.91105
Buchardt, Kristian; Møller, Thomas; Schmidt, Kristian Bjerre
2015
Lapse rate modeling: a rational expectation approach. Zbl 1224.91150
De Giovanni, Domenico
2010
Lundberg parameters for non standard risk processes. Zbl 1143.91034
Macci, Claudio; Stabile, Gabriele; Torrisi, Giovanni Luca
2005
Ruin estimation in multivariate models with Clayton dependence structure. Zbl 1145.91031
Bregman, Yuliya; Klüppelberg, Claudia
2005
Erlangian approximation to finite time ruin probabilities in perturbed risk models. Zbl 1277.60128
Stanford, David A.; Yu, Kaiqi; Ren, Jiandong
2011
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
2011
A unifying approach to the analysis of business with random gains. Zbl 1277.60148
Cheung, Eric C. K.
2012
Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks. Zbl 1401.91204
Yang, Haizhong; Gao, Wei; Li, Jinzhu
2016
Knowledge elicitation of Gompertz’ law of mortality. Zbl 0971.62073
Willemse, W. J.; Koppelaar, H.
2000
Combining generalized linear models and credibility models in practice. Zbl 1224.91080
Ohlsson, Esbjörn
2008
The surplus prior to ruin and the deficit at ruin for a correlated risk process. Zbl 1143.91025
Badescu, Andrei L.; Breuer, Lothar; Drekic, Steve; Latouche, Guy; Stanford, David A.
2005
Asymptotic theory for a risk process with high dividend barrier. Zbl 1092.91043
Irbäck, Johan
2003
A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229
Zhang, Zhimin; Su, Wen
2018
General convex order on risk aggregation. Zbl 1401.91148
Jakobsons, Edgars; Han, Xiaoying; Wang, Ruodu
2016
Reduction of value-at-risk bounds via independence and variance information. Zbl 1401.91185
Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; Vanduffel, Steven
2017
Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process. Zbl 1401.91213
Zhang, Lianzeng; Hu, Xiang; Duan, Baige
2015
Optimal investment-consumption-insurance with random parameters. Zbl 1401.91193
Shen, Yang; Wei, Jiaqin
2016
Collective reserving using individual claims data. Zbl 07544483
Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V.
2022
Optimal dividend strategy for an insurance group with contagious default risk. Zbl 1470.91229
Jin, Zhuo; Liao, Huafu; Yang, Yue; Yu, Xiang
2021
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure. Zbl 1468.91122
Chen, Mi; Yuen, Kam Chuen; Wang, Wenyuan
2021
Time-series forecasting of mortality rates using deep learning. Zbl 1471.91480
Perla, Francesca; Richman, Ronald; Scognamiglio, Salvatore; Wüthrich, Mario V.
2021
Bowley reinsurance with asymmetric information on the insurer’s risk preferences. Zbl 1471.91448
Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying
2021
On copula-based collective risk models: from elliptical copulas to vine copulas. Zbl 1467.91148
Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo
2021
Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays. Zbl 1468.91126
Lopez, Olivier; Milhaud, Xavier
2021
Time-consistent and market-consistent actuarial valuation of the participating pension contract. Zbl 1475.91315
2021
Two-step risk analysis in insurance ratemaking. Zbl 1471.91464
Ki Kang, Seul; Peng, Liang; Golub, Andrew
2021
Finite-time ruin probability for correlated Brownian motions. Zbl 1487.60075
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Krystecki, Konrad
2021
Functional sensitivity analysis of ruin probability in the classical risk models. Zbl 1485.91054
Cheurfa, Fatah; Takhedmit, Baya; Ouazine, Sofiane; Abbas, Karim
2021
Age-coherent extensions of the Lee-Carter model. Zbl 07483116
Gao, Guangyuan; Shi, Yanlin
2021
Genetics, insurance and hypertrophic cardiomyopathy. Zbl 1466.91259
Haçarız, Oytun; Kleinow, Torsten; Macdonald, Angus S.
2021
Robust optimal investment and reinsurance problems with learning. Zbl 1468.91121
Bäuerle, Nicole; Leimcke, Gregor
2021
Life expectancy and lifespan disparity forecasting: a long short-term memory approach. Zbl 1468.91128
Nigri, Andrea; Levantesi, Susanna; Marino, Mario
2021
An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking. Zbl 1467.91129
Baione, Fabio; Biancalana, Davide
2021
Matrix calculation for ultimate and 1-year risk in the semi-Markov individual loss reserving model. Zbl 1472.91038
Bettonville, Carole; d&rsquo;Oultremont, Louise; Denuit, Michel; Trufin, Julien; Van Oirbeek, Robin
2021
Market pricing of longevity-linked securities. Zbl 1472.91041
Tang, Sixian; Li, Jackie
2021
Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models. Zbl 1479.91327
Hillairet, Caroline; Lopez, Olivier
2021
A law of uniform seniority for dependent lives. Zbl 1480.91205
Genest, Christian; Kolev, Nikolai
2021
Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach. Zbl 1479.91445
Li, Peng; Feng, Runhuan
2021
Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion. Zbl 1479.91315
Cheung, Eric C. K.; Zhang, Zhimin
2021
Retrospective reserves and bonus. Zbl 1471.91449
Bruhn, Kenneth; Lollike, Alexander Sevel
2021
On $$s$$-convex bounds for Beta-unimodal distributions with applications to basis risk assessment. Zbl 1471.91467
Lefèvre, Claude; Loisel, Stéphane; Montesinos, Pierre
2021
Optimal contribution rate of PAYGO pension. Zbl 1471.91461
He, Lin; Liang, Zongxia; Song, Yilun; Ye, Qi
2021
Structure of intergenerational risk-sharing plans: optimality and fairness. Zbl 1471.91493
Zhu, Xiaobai; Hardy, Mary; Saunders, David
2021
Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option. Zbl 1436.91104
Sun, Zhongyang; Zhang, Xin; Yuen, Kam Chuen
2020
Neural network embedding of the over-dispersed Poisson reserving model. Zbl 1430.91076
Gabrielli, Andrea; Richman, Ronald; Wüthrich, Mario V.
2020
Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model. Zbl 1447.91139
Gu, Ailing; Viens, Frederi G.; Shen, Yang
2020
Robust reinsurance contracts with risk constraint. Zbl 1447.91151
Wang, Ning; Siu, Tak Kuen
2020
Cohort and value-based multi-country longevity risk management. Zbl 1448.91267
Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan
2020
Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle. Zbl 1454.91191
Han, Xia; Liang, Zhibin; Young, Virginia R.
2020
Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach. Zbl 1454.91174
Chen, Ze; Chen, Bingzheng; Dhaene, Jan
2020
A ruin model with a resampled environment. Zbl 1447.91131
Constantinescu, C.; Delsing, G.; Mandjes, M.; Rojas Nandayapa, L.
2020
Bonus-malus premiums under the dependent frequency-severity modeling. Zbl 1436.91103
Oh, Rosy; Shi, Peng; Ahn, Jae Youn
2020
Continuous chain-ladder with paid data. Zbl 1448.91254
Bischofberger, Stephan M.; Hiabu, Munir; Isakson, Alex
2020
Combined tail estimation using censored data and expert information. Zbl 1448.91255
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
2020
A Hermite-spline model of post-retirement mortality. Zbl 1433.91144
Richards, Stephen J.
2020
Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates. Zbl 1433.91139
Liu, Yuying; Liu, Zhaoyang; Liu, Guoxin
2020
Budget-constrained optimal retention with an upper limit on the retained loss. Zbl 1436.91102
Ghossoub, Mario
2020
On series expansions for scale functions and other ruin-related quantities. Zbl 1447.91142
Landriault, David; Willmot, Gordon E.
2020
Weighted utility optimization of the participating endowment contract. Zbl 1448.91260
He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming
2020
Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors. Zbl 1448.91261
Hong, Liang; Martin, Ryan
2020
Optimal asset allocation for participating contracts under the VaR and PI constraint. Zbl 1433.91129
Dong, Yinghui; Wu, Sang; Lv, Wenxin; Wang, Guojing
2020
Cash flow techniques for asset liability management. Zbl 1436.91099
Aguirre Nolsøe, Kim; Degrijse, Dieter; Ahm, Sofie; Brix, Kristoffer; Storgaard, Mads; Strodl, Jesper
2020
A multivariate Markov chain stock model. Zbl 1447.91133
D&rsquo;Amico, Guglielmo; De Blasis, Riccardo
2020
Nonlinearly transformed risk measures: properties and application to optimal reinsurance. Zbl 1447.91128
Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert
2020
Proportional reinsurance and investment in multiple risky assets under borrowing constraint. Zbl 1447.91153
Yener, Haluk
2020
Kuang, D.; Nielsen, B.
2020
The Lee-Carter quantile mortality model. Zbl 1448.91265
Santolino, Miguel
2020
Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. Zbl 1451.91167
Guan, Guohui; Wang, Xiaojun
2020
Approximation of ruin probability and ruin time in discrete Brownian risk models. Zbl 1454.91193
Jasnovidov, Grigori
2020
On a discrete-time risk model with time-dependent claims and impulsive dividend payments. Zbl 1454.91211
Zhang, Lianzeng; Liu, He
2020
Multi-population mortality forecasting using tensor decomposition. Zbl 1454.91179
Dong, Yumo; Huang, Fei; Yu, Honglin; Haberman, Steven
2020
Incorporating structural changes in mortality improvements for mortality forecasting. Zbl 1454.91198
Li, Jackie; Wong, Kenneth
2020
On the cumulative parisian ruin of multi-dimensional Brownian motion risk models. Zbl 1454.91196
Ji, Lanpeng
2020
Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach. Zbl 1454.91172
Chang, Le; Shi, Yanlin
2020
Computing the Gerber-Shiu function by frame duality projection. Zbl 1411.91320
Wang, Wenyuan; Zhang, Zhimin
2019
Claims frequency modeling using telematics car driving data. Zbl 1411.91280
Gao, Guangyuan; Meng, Shengwang; Wüthrich, Mario V.
2019
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264
Barigou, Karim; Dhaene, Jan
2019
Extending composite loss models using a general framework of advanced computational tools. Zbl 1422.91351
Grün, Bettina; Miljkovic, Tatjana
2019
The expected discounted penalty function: from infinite time to finite time. Zbl 1411.91303
Li, Shuanming; Lu, Yi; Sendova, Kristina P.
2019
Interplay of insurance and financial risks in a stochastic environment. Zbl 1411.91316
Tang, Qihe; Yang, Yang
2019
Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Zbl 1422.91354
Hieber, Peter; Natolski, Jan; Werner, Ralf
2019
A constraint-free approach to optimal reinsurance. Zbl 1418.91238
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
2019
Budget-constrained optimal reinsurance design under coherent risk measures. Zbl 1426.91209
Cheung, Ka Chun; Chong, Wing Fung; Lo, Ambrose
2019
Periodic threshold-type dividend strategy in the compound Poisson risk model. Zbl 1418.91232
Cheung, Eric C. K.; Zhang, Zhimin
2019
Parisian types of ruin probabilities for a class of dependent risk-reserve processes. Zbl 1418.91230
Bladt, Mogens; Nielsen, Bo Friis; Peralta, Oscar
2019
A two-dimensional dividend problem for collaborating companies and an optimal stopping problem. Zbl 1418.91239
Grandits, Peter
2019
A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates. Zbl 1411.91317
Tsai, Cary Chi-Liang; Zhang, Ying
2019
Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
2019
Modeling cause-of-death mortality using hierarchical Archimedean copula. Zbl 1411.91299
Li, Hong; Lu, Yang
2019
A logistic two-population mortality projection model for modelling mortality at advanced ages for both sexes. Zbl 1411.91300
Li, Jackie; Liu, Jia
2019
Insurance loss coverage and social welfare. Zbl 1411.91284
2019
Gibbs posterior inference on value-at-risk. Zbl 1422.91376
Syring, Nicholas; Hong, Liang; Martin, Ryan
2019
A unified approach to ruin probabilities with delays for spectrally negative Lévy processes. Zbl 1422.91361
Lkabous, Mohamed Amine; Renaud, Jean-François
2019
Optimal proportional reinsurance with a loss-dependent premium principle. Zbl 1426.91223
Hu, Duni; Wang, Hailong
2019
Reinsurance contract design with adverse selection. Zbl 1426.91211
Cheung, K. C.; Yam, S. C. P.; Yuen, F. L.
2019
On additivity of tail comonotonic risks. Zbl 1426.91210
Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung Chi Phillip; Yuen, Fei Lung
2019
Life insurance decisions under recursive utility. Zbl 1411.91288
Jensen, Ninna Reitzel
2019
Compound trend renewal process with discounted claims: a unified approach. Zbl 1411.91295
Léveillé, Ghislain; Hamel, Emmanuel
2019
Comparisons of aggregate claim numbers and amounts: a study of heterogeneity. Zbl 1411.91327
Zhang, Yiying; Zhao, Peng; Cheung, Ka Chun
2019
Approximation methods for piecewise deterministic Markov processes and their costs. Zbl 1411.91294
Kritzer, Peter; Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
2019
Survival analysis of pension scheme mortality when data are missing. Zbl 1422.91379
Ungolo, Francesco; Christiansen, Marcus C.; Kleinow, Torsten; MacDonald, Angus S.
2019
The maximum entropy mortality model: forecasting mortality using statistical moments. Zbl 1422.91370
2019
A Pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time. Zbl 1426.91292
Avram, Florin; Goreac, Dan
2019
Concordance-based predictive measures in regression models for discrete responses. Zbl 1426.91213
Denuit, Michel; Mesfioui, Mhamed; Trufin, Julien
2019
Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure. Zbl 1426.91216
Fergusson, K.
2019
Reinsurance premium principles based on weighted loss functions. Zbl 1426.91206
Cai, Jun; Wang, Ying
2019
Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Zbl 1416.91203
Li, Danping; Zeng, Yan; Yang, Hailiang
2018
Machine learning in individual claims reserving. Zbl 1416.91225
Wüthrich, Mario V.
2018
A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229
Zhang, Zhimin; Su, Wen
2018
Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Zbl 1416.91153
Balakrishnan, Narayanaswamy; Zhang, Yiying; Zhao, Peng
2018
A data driven binning strategy for the construction of insurance tariff classes. Zbl 1418.91241
Henckaerts, Roel; Antonio, Katrien; Clijsters, Maxime; Verbelen, Roel
2018
Randomly weighted sums of dependent subexponential random variables with applications to risk theory. Zbl 1396.62021
Cheng, Fengyang; Cheng, Dongya
2018
An application of two-stage quantile regression to insurance ratemaking. Zbl 1418.91242
Heras, Antonio; Moreno, Ignacio; Vilar-Zanón, José L.
2018
Robust reinsurance contracts in continuous time. Zbl 1416.91189
Hu, Duni; Chen, Shou; Wang, Hailong
2018
Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure. Zbl 1418.91240
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen
2018
Ruin probabilities in classical risk models with gamma claims. Zbl 1416.91166
Constantinescu, Corina; Samorodnitsky, Gennady; Zhu, Wei
2018
Optimal retirement time under habit persistence: what makes individuals retire early? Zbl 1396.91681
Chen, An; Hentschel, Felix; Xu, Xian
2018
...and 388 more Documents
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### Cited by 2,781 Authors

 45 Zhang, Zhimin 37 Landriault, David 36 Yuen, Kam Chuen 35 Cheung, Eric C. K. 35 Willmot, Gordon E. 33 Yang, Hailiang 30 Denuit, Michel M. 29 Albrecher, Hansjörg 29 Yang, Yang 28 Li, Shuanming 27 Liang, Zhibin 24 Badescu, Andrei L. 24 Haberman, Steven 23 Woo, Jae-Kyung 23 Young, Virginia R. 22 Cheung, Ka Chun 22 Guo, Junyi 22 Loisel, Stéphane 22 Marceau, Étienne 21 Cai, Jun 21 Cossette, Hélène 21 Hashorva, Enkelejd 21 Tang, Qihe 20 Li, Johnny Siu-Hang 20 Tan, Ken Seng 19 Yang, Hu 18 Antonio, Katrien 18 Nielsen, Jens Perch 18 Sherris, Michael 17 Asimit, Alexandru V. 17 Christiansen, Marcus Christian 17 Weng, Chengguo 17 Wüthrich, Mario Valentin 16 Boonen, Tim J. 16 Dickson, David C. M. 16 Frostig, Esther 16 Gao, Qingwu 16 Lefèvre, Claude 16 Macdonald, Angus S. 15 Jin, Zhuo 15 Li, Danping 15 Vernic, Raluca 15 Yam, Sheung Chi Phillip 15 Zitikis, Ričardas 14 Bäuerle, Nicole 14 Chen, Mi 14 Gómez-Déniz, Emilio 14 Landsman, Zinoviy M. 14 Li, Jinzhu 14 Ren, Jiandong 14 Šiaulys, Jonas 14 Steffensen, Mogens 14 Yin, Chuancun 14 Zhang, Yiying 13 Furman, Edward 13 Li, Jackie Ji 13 Palmowski, Zbigniew 13 Shen, Yang 13 Wang, Ruodu 13 Zeng, Yan 13 Zhou, Ming 12 Blake, David 12 Chen, An 12 Dhaene, Jan 12 Drekic, Steve 12 Fu, Ke’ang 12 Guillen, Montserrat 12 Ji, Lanpeng 12 Kaishev, Vladimir K. 12 Lu, Yi 12 Schmidli, Hanspeter 12 Siu, Tak Kuen 11 Kortschak, Dominik 11 Lin, X. Sheldon 11 Nadarajah, Saralees 11 Trufin, Julien 11 Wang, Wenyuan 11 Zhao, Hui 10 Asmussen, Søren 10 Avanzi, Benjamin 10 Avram, Florin 10 Chen, Ping 10 Chen, Yiqing 10 Constantinescu, Corina D. 10 Léveillé, Ghislain 10 Sendova, Kristina P. 10 Stanford, David A. 10 Tsai, Cary Chi-Liang 10 Valdez, Emiliano A. 10 Wang, Yuebao 10 Ziveyi, Jonathan 9 Breuer, Lothar 9 Cairns, Andrew J. G. 9 Czado, Claudia 9 Dębicki, Krzysztof 9 Kleinow, Torsten 9 Klüppelberg, Claudia 9 Li, Bin 9 Liang, Zongxia 9 Meng, Hui ...and 2,681 more Authors
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### Cited in 230 Journals

 672 Insurance Mathematics & Economics 318 Scandinavian Actuarial Journal 140 North American Actuarial Journal 128 ASTIN Bulletin 87 Communications in Statistics. Theory and Methods 80 Journal of Computational and Applied Mathematics 76 European Actuarial Journal 74 Methodology and Computing in Applied Probability 64 Statistics & Probability Letters 42 Journal of Applied Probability 39 Stochastic Models 37 European Journal of Operational Research 35 Journal of Industrial and Management Optimization 30 Applied Mathematics and Computation 23 Advances in Applied Probability 23 Quantitative Finance 21 Stochastic Processes and their Applications 20 Lithuanian Mathematical Journal 20 Journal of Multivariate Analysis 20 Acta Mathematicae Applicatae Sinica. English Series 20 Annals of Operations Research 19 Communications in Statistics. Simulation and Computation 18 Journal of Mathematical Analysis and Applications 17 Finance and Stochastics 16 Mathematical Problems in Engineering 16 Stochastics 16 Journal of the Korean Statistical Society 15 Journal of Applied Statistics 14 Computational Statistics and Data Analysis 14 Applied Stochastic Models in Business and Industry 13 Extremes 12 Journal of Systems Science and Complexity 12 Dependence Modeling 11 Journal of Econometrics 11 Queueing Systems 11 Discrete Dynamics in Nature and Society 10 Journal of Statistical Planning and Inference 10 Stochastic Analysis and Applications 10 Mathematical Methods of Operations Research 10 Probability in the Engineering and Informational Sciences 10 Decisions in Economics and Finance 9 Journal of Statistical Computation and Simulation 9 Test 9 Applied Mathematics. Series B (English Edition) 9 Bernoulli 9 Mathematical Finance 9 Advances in Difference Equations 9 Science China. Mathematics 9 Modern Stochastics. Theory and Applications 8 Theory of Probability and its Applications 8 The Annals of Applied Probability 8 Journal of Inequalities and Applications 8 Statistics & Risk Modeling 7 Journal of Probability and Statistics 6 Applied Mathematics and Optimization 6 Optimization 6 Journal of Economic Dynamics & Control 6 Japan Journal of Industrial and Applied Mathematics 6 Lifetime Data Analysis 6 Acta Mathematica Sinica. English Series 6 The ANZIAM Journal 6 Frontiers of Mathematics in China 5 Journal of Optimization Theory and Applications 5 Mathematics of Operations Research 5 Statistics 5 Journal of Mathematical Sciences (New York) 5 International Journal of Theoretical and Applied Finance 5 Journal of Statistical Theory and Practice 5 Electronic Journal of Statistics 5 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) 4 Statistical Papers 4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 4 Soft Computing 4 Journal of Applied Mathematics and Computing 4 Mathematics and Financial Economics 4 Communications in Mathematics and Statistics 3 Metrika 3 Physica A 3 Scandinavian Journal of Statistics 3 The Annals of Statistics 3 Mathematics and Computers in Simulation 3 Operations Research 3 SIAM Journal on Control and Optimization 3 Optimal Control Applications & Methods 3 Operations Research Letters 3 Probability and Mathematical Statistics 3 Chinese Annals of Mathematics. Series B 3 Mathematical and Computer Modelling 3 Computational Mathematics and Mathematical Physics 3 Cybernetics and Systems Analysis 3 Opuscula Mathematica 3 Abstract and Applied Analysis 3 Statistical Inference for Stochastic Processes 3 Nonlinear Analysis. Modelling and Control 3 Advances and Applications in Statistics 3 Acta Mathematica Scientia. Series B. (English Edition) 3 Entropy 3 Hacettepe Journal of Mathematics and Statistics 3 SORT. Statistics and Operations Research Transactions 3 Computational Management Science ...and 130 more Journals
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### Cited in 43 Fields

 2,159 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,188 Statistics (62-XX) 1,080 Probability theory and stochastic processes (60-XX) 223 Systems theory; control (93-XX) 105 Operations research, mathematical programming (90-XX) 85 Numerical analysis (65-XX) 61 Calculus of variations and optimal control; optimization (49-XX) 28 Integral equations (45-XX) 27 Computer science (68-XX) 22 Biology and other natural sciences (92-XX) 19 Integral transforms, operational calculus (44-XX) 17 Partial differential equations (35-XX) 11 Special functions (33-XX) 9 Real functions (26-XX) 9 Ordinary differential equations (34-XX) 8 Approximations and expansions (41-XX) 8 Operator theory (47-XX) 7 General and overarching topics; collections (00-XX) 6 Geophysics (86-XX) 5 Combinatorics (05-XX) 5 Functional analysis (46-XX) 5 Mathematics education (97-XX) 4 Global analysis, analysis on manifolds (58-XX) 3 Field theory and polynomials (12-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Difference and functional equations (39-XX) 3 Information and communication theory, circuits (94-XX) 2 History and biography (01-XX) 2 Potential theory (31-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Mathematical logic and foundations (03-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Algebraic geometry (14-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Measure and integration (28-XX) 1 Functions of a complex variable (30-XX) 1 Differential geometry (53-XX) 1 General topology (54-XX) 1 Mechanics of deformable solids (74-XX) 1 Fluid mechanics (76-XX) 1 Optics, electromagnetic theory (78-XX) 1 Quantum theory (81-XX)