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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
Comments: Journal
Documents Indexed: 651 Publications (since 2000)
References Indexed: 633 Publications with 17,166 References.
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Authors

13 Denuit, Michel M.
13 Macdonald, Angus S.
12 Landriault, David
12 Willmot, Gordon E.
12 Wüthrich, Mario Valentin
11 Zhang, Zhimin
10 Cheung, Ka Chun
10 Li, Shuanming
9 Cheung, Eric C. K.
9 Sherris, Michael
7 Albrecher, Hansjörg
7 Badescu, Andrei L.
7 Christiansen, Marcus Christian
7 Dhaene, Jan
7 Dickson, David C. M.
7 Kleinow, Torsten
7 Landsman, Zinoviy M.
7 Nielsen, Jens Perch
7 Stanford, David A.
7 Waters, Howard R.
7 Yang, Hailiang
7 Young, Virginia R.
6 Drekic, Steve
6 Frostig, Esther
6 Hashorva, Enkelejd
6 Léveillé, Ghislain
6 Tsai, Cary Chi-Liang
6 Yuen, Kam Chuen
5 Cai, Jun
5 Devolder, Pierre
5 Grandits, Peter
5 Hong, Liang
5 Li, Jackie
5 Lindholm, Mathias
5 Lu, Yi
5 Richards, Stephen J.
5 Schmidli, Hanspeter
5 Siu, Tak Kuen
5 Steffensen, Mogens
5 Tang, Qihe
5 Trufin, Julien
5 Wang, Wenyuan
5 Woo, Jae-Kyung
5 Ziveyi, Jonathan
4 Alai, Daniel H.
4 Antonio, Katrien
4 Buchardt, Kristian
4 Chadjiconstantinidis, Stathis
4 Chen, An
4 Constantinescu, Corina D.
4 Feng, Runhuan
4 Hipp, Christian
4 Jarner, Søren Fiig
4 Lefèvre, Claude
4 Liang, Zhibin
4 Loisel, Stéphane
4 Marceau, Étienne
4 Møller, Thomas H.
4 Samorodnitsky, Gennady Pinkhosovich
4 Shen, Yang
4 Yam, Sheung Chi Phillip
4 Zhang, Lianzeng
4 Zhang, Yiying
3 Aas, Kjersti
3 Aase, Knut Kristian
3 Adékambi, Franck
3 Ahn, Jae Youn
3 Bäuerle, Nicole
3 Beirlant, Jan
3 Bladt, Martin
3 Bladt, Mogens
3 Boonen, Tim J.
3 Brazauskas, Vytaras
3 Breuer, Lothar
3 Cao, Jingyi
3 Cooray, Kahadawala
3 Cossette, Hélène
3 Czado, Claudia
3 Djehiche, Boualem
3 Eisenberg, Julia
3 Goovaerts, Marc J.
3 Guillen, Montserrat
3 Haberman, Steven
3 Han, Xia
3 Hardy, Mary Rosalyn
3 Hieber, Peter
3 Hu, Duni
3 Hu, Xiang
3 Jiang, Zhengjun
3 Jin, Zhuo
3 Li, Hong
3 Linders, Daniël
3 Lindskog, Filip
3 Lkabous, Mohamed Amine
3 Lo, Ambrose
3 Løchte Jørgensen, Peter
3 Lu, Baopeng
3 Lu, Yang
3 Luo, Shangzhen
3 Martin, Ryan
...and 815 more Authors

Publications by Year

Citations contained in zbMATH Open

531 Publications have been cited 4,994 times in 3,059 Documents Cited by Year
Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039
Schmidli, Hanspeter
124
2001
On a risk model with dependence between interclaim arrivals and claim sizes. Zbl 1145.91030
Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne
97
2006
Extremes on the discounted aggregate claims in a time dependent risk model. Zbl 1224.91041
Asimit, Alexandru V.; Badescu, Andrei L.
78
2010
Modeling and management of mortality risk: a review. Zbl 1224.91048
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
71
2008
Modelling actuarial data with a composite lognormal-Pareto model. Zbl 1143.91027
Cooray, Kahadawala; Ananda, Malwane M. A.
59
2005
Bootstrapping the Poisson log-bilinear model for mortality forecasting. Zbl 1092.91038
Brouhns, Natacha; Denuit, Michel; van Keilegom, Ingrid
59
2005
Optimal dynamic reinsurance with dependent risks: variance premium principle. Zbl 1401.91167
Liang, Zhibin; Yuen, Kam Chuen
58
2016
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
53
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
52
2013
Micro-level stochastic loss reserving for general insurance. Zbl 1401.91091
Antonio, Katrien; Plat, Richard
48
2014
On composite lognormal-Pareto models. Zbl 1146.91028
Scollnic, David P. M.
47
2007
Risk processes analyzed as fluid queues. Zbl 1092.91037
Badescu, Andrei; Breuer, Lothar; Da Silva Soares, Ana; Latouche, Guy; Remiche, Marie-Ange; Stanford, David
47
2005
A mixed copula model for insurance claims and claim sizes. Zbl 1277.62249
Czado, Claudia; Kastenmeier, Rainer; Brechmann, Eike Christian; Min, Aleksey
44
2012
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.
44
2014
Characterizations of optimal reinsurance treaties: a cost-benefit approach. Zbl 1401.91112
Cheung, Ka Chun; Lo, Ambrose
44
2017
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
43
2006
The distribution of the dividend payments in the compound Poisson risk model perturbed by diffusion. Zbl 1143.91032
Li, Shuanming
41
2006
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
40
2012
On systematic mortality risk and risk-minimization with survivor swaps. Zbl 1224.91054
Dahl, Mikkel; Melchior, Martin; Møller, Thomas
39
2008
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
39
2015
Guaranteed investment contracts: distributed and undistributed excess return. Zbl 1092.91053
Miltersen, Kristian R.; Persson, Svein-Arne
38
2003
Ruin probabilities in the compound Markov binomial model. Zbl 1092.91040
Cossette, Hélène; Landriault, David; Marceau, Étienne
38
2003
Stochastic mortality under measure changes. Zbl 1226.91022
Biffis, Enrico; Denuit, Michel; Devolder, Pierre
37
2010
An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums. Zbl 1277.60042
Korolev, Victor; Shevtsova, Irina
37
2012
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
36
2018
Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Zbl 1144.91030
Tang, Qihe
36
2005
Pricing dynamic insurance risks using the principle of equivalent utility. Zbl 1039.91049
Young, Virginia R.; Zariphopoulou, Thaleia
35
2002
Spatial modelling of claim frequency and claim size in non-life insurance. Zbl 1150.91026
Gschlöß{l}, Susanne; Czado, Claudia
34
2007
Perspectives of risk sharing. Zbl 1015.62104
Aase, Knut K.
34
2002
Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116
Hipp, Christian; Schmidli, Hanspeter
34
2004
Multivariate Pareto portfolios: TCE-based capital allocation and dividend differences. Zbl 1164.91028
Chiragiev, Arthur; Landsman, Zinoviy
33
2007
Estimation of the characteristics of the jumps of a general Poisson-diffusion model. Zbl 1114.62081
Mancini, Cecilia
33
2004
The Gerber-Shiu function in Sparre Andersen risk process perturbed by diffusion. Zbl 1092.91049
Li, Shuanming; Garrido, José
33
2005
Bivariate survival models for coupled lives. Zbl 0959.62094
Carriere, Jacques F.
32
2000
Composite lognormal-Pareto model with random threshold. Zbl 1277.62258
Pigeon, Mathieu; Denuit, Michel
32
2011
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.
32
2004
Recursive moments of compound renewal sums with discounted claims. Zbl 0979.91048
Léveillé, Ghislain; Garrido, José
30
2001
The fair value of guaranteed annuity options. Zbl 1142.91036
Biffis, Enrico; Millossovich, Pietro
30
2006
On Fitting generalized linear and non-linear models of mortality. Zbl 1401.91123
Currie, Iain D.
29
2016
Extending the Lee-Carter model: a three-way decomposition. Zbl 1277.62260
Russolillo, Maria; Giordano, Giuseppe; Haberman, Steven
28
2011
On a class of discrete time renewal risk models. Zbl 1142.91043
Li, Shuanming
28
2005
Minimum rate of return guarantees: the Danish case. Zbl 1039.91040
Hansen, Mette; Miltersen, Kristian R.
28
2002
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.
28
2005
Two-sided bounds for the finite time probability of ruin. Zbl 0958.91030
Ignatov, Z. G.; Kaishev, V. K.
27
2000
Ordering properties of the smallest and largest claim amounts in a general scale model. Zbl 1401.91096
Barmalzan, Ghobad; Najafabadi, Amir T. Payandeh; Balakrishnan, Narayanaswamy
27
2017
On finite-time ruin probabilities for classical risk models. Zbl 1164.91033
Lefèvre, Claude; Stéphane, Loisel
26
2008
Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024
Cossette, Héléne; Marceau, Etienne; Marri, Fouad
26
2010
Criteria for the stochastic ordering of random sums, with actuarial applications. Zbl 1003.60022
Denuit, Michel; Genest, Christian; Marceau, Étienne
26
2002
Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model. Zbl 1277.62096
Shimizu, Yasutaka
26
2012
Mean-variance optimal reinsurance arrangements. Zbl 1117.62115
Kaluszka, Marek
26
2004
Optimal dynamic premium control in non-life insurance. Maximizing dividend pay-outs. Zbl 1039.91042
Højgaard, Bjarne
26
2002
Optimal reinsurance arrangements in the presence of two reinsurers. Zbl 1401.91113
Chi, Yichun; Meng, Hui
26
2014
New composite models for the Danish fire insurance data. Zbl 1401.91177
Nadarajah, S.; Bakar, S. A. A.
25
2014
The ruin probability of a discrete time risk model under constant interest rate with heavy tails. Zbl 1142.62094
Tang, Qihe
24
2004
On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
24
2014
Machine learning in individual claims reserving. Zbl 1416.91225
Wüthrich, Mario V.
23
2018
Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145
Eisenberg, Julia; Schmidli, Hanspeter
22
2011
Heterogeneity and the need for capital in the individual model. Zbl 1142.91039
Denuit, Michel; Frostig, Esther
22
2006
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
21
2007
Folded and log-folded-\(t\) distributions as models for insurance loss data. Zbl 1277.62248
Brazauskas, Vytaras; Kleefeld, Andreas
21
2011
Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks. Zbl 1401.91205
Yang, Yang; Konstantinides, Dimitrios G.
21
2015
Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model. Zbl 1401.91168
Lin, Xiang; Qian, Yiping
21
2016
On the analysis of a multi-threshold Markovian risk model. Zbl 1164.91025
Badescu, Andrei; Drekic, Steve; Landriault, Daviv
20
2007
Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Zbl 1416.91153
Balakrishnan, Narayanaswamy; Zhang, Yiying; Zhao, Peng
20
2018
Equilibrium compound distributions and stop-loss moments. Zbl 1144.91031
Willmot, Gordon E.; Drekic, Steve; Cai, Jun
20
2005
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
20
2005
The impact of multiple structural changes on mortality predictions. Zbl 1401.91221
van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel
20
2016
Optimal reinsurance with expectile. Zbl 1401.91106
Cai, Jun; Weng, Chengguo
20
2016
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
19
2010
On bonus and bonus prognoses in life insurance. Zbl 0979.91045
Norberg, Ragnar
19
2001
On the distortion of a copula and its margins. Zbl 1277.62140
Valdez, Emiliano A.; Xiao, Yugu
19
2011
Cash flows and policyholder behaviour in the semi-Markov life insurance setup. Zbl 1401.91105
Buchardt, Kristian; Møller, Thomas; Schmidt, Kristian Bjerre
19
2015
Parisian ruin probability with a lower ultimate bankrupt barrier. Zbl 1401.91124
Czarna, Irmina
19
2016
Modeling claims data with composite Stoppa models. Zbl 1401.62205
Calderín-Ojeda, Enrique; Kwok, Chun Fung
19
2016
Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206
Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.
19
2017
Gerber-Shiu analysis with a generalized penalty function. Zbl 1226.60123
Cheung, Eric C. K.; Landriault, David; Willmot, Gordon E.; Woo, Jae-Kyung
18
2010
A unifying approach to the analysis of business with random gains. Zbl 1277.60148
Cheung, Eric C. K.
18
2012
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
18
2005
On semiparametric estimation of ruin probabilities in the classical risk model. Zbl 1401.62212
Masiello, Esterina
18
2014
Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
18
2017
Ruin probabilities and investment under interest force in the presence of regularly varying tails. Zbl 1091.62102
Gaier, J.; Grandits, P.
18
2004
Analysis of a threshold dividend strategy for a MAP risk model. Zbl 1164.91024
Badescu, Andrei; Drekic, Steve; Landriault, Daviv
17
2007
Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Zbl 1224.91093
Weng, Chengguo; Zhang, Yi; Tan, Ken Seng
17
2009
Lapse rate modeling: a rational expectation approach. Zbl 1224.91150
De Giovanni, Domenico
17
2010
A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229
Zhang, Zhimin; Su, Wen
17
2018
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Zbl 1401.91095
Bacinello, Anna Rita; Millossovich, Pietro; Montealegre, Alvaro
17
2016
Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks. Zbl 1401.91204
Yang, Haizhong; Gao, Wei; Li, Jinzhu
17
2016
A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints. Zbl 1402.91208
Lo, Ambrose
17
2017
Semiparametric estimation for non-ruin probabilities. Zbl 1092.91054
Politis, Konstadinos
17
2003
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
16
2011
Knowledge elicitation of Gompertz’ law of mortality. Zbl 0971.62073
Willemse, W. J.; Koppelaar, H.
16
2000
Extending composite loss models using a general framework of advanced computational tools. Zbl 1422.91351
Grün, Bettina; Miljkovic, Tatjana
16
2019
On accounting standards and fair valuation of life insurance and pension liabilities. Zbl 1087.62117
Jørgensen, Peter Løchte
16
2004
Combining generalized linear models and credibility models in practice. Zbl 1224.91080
Ohlsson, Esbjörn
15
2008
Erlangian approximation to finite time ruin probabilities in perturbed risk models. Zbl 1277.60128
Stanford, David A.; Yu, Kaiqi; Ren, Jiandong
15
2011
Ruin problems for a discrete time risk model with non-homogeneous conditions. Zbl 1280.91091
Castañer, Anna; Claramunt, M. Mercè; Gathy, Maude; Lefèvre, Claude; Mármol, Maite
15
2013
Lundberg parameters for non standard risk processes. Zbl 1143.91034
Macci, Claudio; Stabile, Gabriele; Torrisi, Giovanni Luca
15
2005
Ruin estimation in multivariate models with Clayton dependence structure. Zbl 1145.91031
Bregman, Yuliya; Klüppelberg, Claudia
15
2005
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
15
2015
Optimal investment-consumption-insurance with random parameters. Zbl 1401.91193
Shen, Yang; Wei, Jiaqin
15
2016
Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees. Zbl 1520.91334
Kirkby, J. Lars; Aguilar, Jean-Philippe
2
2023
LocalGLMnet: interpretable deep learning for tabular data. Zbl 07656044
Richman, Ronald; Wüthrich, Mario V.
1
2023
Finite-time ruin probabilities using bivariate Laguerre series. Zbl 1511.91114
Cheung, Eric C. K.; Lau, Hayden; Willmot, Gordon E.; Woo, Jae-Kyung
1
2023
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation. Zbl 1511.91113
Barigou, Karim; Linders, Daniël; Yang, Fan
1
2023
Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory. Zbl 1512.91111
Xu, Zuo Quan
1
2023
Socioeconomic differentials in mortality: implications on index-based longevity hedges. Zbl 1520.91342
Lyu, Pintao; Li, Johnny Siu-Hang; Zhou, Kenneth Q.
1
2023
Collective reserving using individual claims data. Zbl 1492.91285
Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V.
5
2022
Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game. Zbl 1494.91128
Yuan, Yu; Liang, Zhibin; Han, Xia
3
2022
Optimal reinsurance with model uncertainty and Stackelberg game. Zbl 1492.91292
Gavagan, Joshua; Hu, Liang; Lee, Gee Y.; Liu, Haiyan; Weixel, Anna
3
2022
A perturbation approach to optimal investment, liability ratio, and dividend strategies. Zbl 1492.91301
Jin, Zhuo; Zuo, Quan Xu; Zou, Bin
2
2022
Mortality forecasting using stacked regression ensembles. Zbl 1501.91156
Kessy, Salvatory R.; Sherris, Michael; Villegas, Andrés M.; Ziveyi, Jonathan
2
2022
Banach contraction principle, \(q\)-scale function and ultimate ruin probability under a Markov-modulated classical risk model. Zbl 1492.91300
Jiang, Zhengjun
1
2022
Group cohesion under individual regulatory constraints. Zbl 1492.91283
Coculescu, Delia; Delbaen, Freddy
1
2022
Bowley reinsurance with asymmetric information: a first-best solution. Zbl 1498.91351
Boonen, Tim J.; Zhang, Yiying
1
2022
Robust reinsurance contract with learning and ambiguity aversion. Zbl 1501.91154
Hu, Duni; Wang, Hailong
1
2022
Variable annuity pricing, valuation, and risk management: a survey. Zbl 1510.91144
Feng, Runhuan; Gan, Guojun; Zhang, Ning
1
2022
A general surplus decomposition principle in life insurance. Zbl 1510.91149
Jetses, Julian; Christiansen, Marcus C.
1
2022
Time-series forecasting of mortality rates using deep learning. Zbl 1471.91480
Perla, Francesca; Richman, Ronald; Scognamiglio, Salvatore; Wüthrich, Mario V.
8
2021
Robust optimal investment and reinsurance problems with learning. Zbl 1468.91121
Bäuerle, Nicole; Leimcke, Gregor
5
2021
Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models. Zbl 1479.91327
Hillairet, Caroline; Lopez, Olivier
5
2021
Optimal dividend strategy for an insurance group with contagious default risk. Zbl 1470.91229
Jin, Zhuo; Liao, Huafu; Yang, Yue; Yu, Xiang
4
2021
Life expectancy and lifespan disparity forecasting: a long short-term memory approach. Zbl 1468.91128
Nigri, Andrea; Levantesi, Susanna; Marino, Mario
4
2021
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure. Zbl 1468.91122
Chen, Mi; Yuen, Kam Chuen; Wang, Wenyuan
4
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
4
2021
Bowley reinsurance with asymmetric information on the insurer’s risk preferences. Zbl 1471.91448
Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying
4
2021
Time-consistent and market-consistent actuarial valuation of the participating pension contract. Zbl 1475.91315
Salahnejhad Ghalehjooghi, Ahmad; Pelsser, Antoon
3
2021
Matrix calculation for ultimate and 1-year risk in the semi-Markov individual loss reserving model. Zbl 1472.91038
Bettonville, Carole; d’Oultremont, Louise; Denuit, Michel; Trufin, Julien; Van Oirbeek, Robin
3
2021
On copula-based collective risk models: from elliptical copulas to vine copulas. Zbl 1467.91148
Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo
3
2021
A law of uniform seniority for dependent lives. Zbl 1480.91205
Genest, Christian; Kolev, Nikolai
3
2021
Two-step risk analysis in insurance ratemaking. Zbl 1471.91464
Ki Kang, Seul; Peng, Liang; Golub, Andrew
3
2021
Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays. Zbl 1468.91126
Lopez, Olivier; Milhaud, Xavier
2
2021
Stochastic modelling and projection of mortality improvements using a hybrid parametric/semi-parametric age-period-cohort model. Zbl 1471.91457
Dodd, Erengul; Forster, Jonathan J.; Bijak, Jakub; Smith, Peter W. F.
2
2021
An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking. Zbl 1467.91129
Baione, Fabio; Biancalana, Davide
2
2021
Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach. Zbl 1479.91445
Li, Peng; Feng, Runhuan
2
2021
A non-convex regularization approach for stable estimation of loss development factors. Zbl 1479.91329
Jeong, Himchan; Chang, Hyunwoong; Valdez, Emiliano A.
2
2021
Retrospective reserves and bonus. Zbl 1471.91449
Bruhn, Kenneth; Lollike, Alexander Sevel
2
2021
On \(s\)-convex bounds for Beta-unimodal distributions with applications to basis risk assessment. Zbl 1471.91467
Lefèvre, Claude; Loisel, Stéphane; Montesinos, Pierre
2
2021
Household consumption-investment-insurance decisions with uncertain income and market ambiguity. Zbl 1485.91211
Wang, Ning; Jin, Zhuo; Siu, Tak Kuen; Qiu, Ming
2
2021
Finite-time ruin probability for correlated Brownian motions. Zbl 1487.60075
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Krystecki, Konrad
2
2021
Age-coherent extensions of the Lee-Carter model. Zbl 1492.91291
Gao, Guangyuan; Shi, Yanlin
2
2021
Grouping of contracts in insurance using neural networks. Zbl 1470.91231
Kiermayer, Mark; Weiß, Christian
1
2021
Ruin probability in a two-dimensional model with correlated Brownian motions. Zbl 1470.91228
Grandits, Peter; Klein, Maike
1
2021
Market pricing of longevity-linked securities. Zbl 1472.91041
Tang, Sixian; Li, Jackie
1
2021
Tontines with mixed cohorts. Zbl 1470.91220
Chen, An; Qian, Linyi; Yang, Zhixin
1
2021
Genetics, insurance and hypertrophic cardiomyopathy. Zbl 1466.91259
Haçarız, Oytun; Kleinow, Torsten; Macdonald, Angus S.
1
2021
Ranking the extreme claim amounts in dependent individual risk models. Zbl 1466.91271
Torrado, Nuria; Navarro, Jorge
1
2021
Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs. Zbl 1476.91119
Avanzi, Benjamin; Lau, Hayden; Wong, Bernard
1
2021
Optimal contribution rate of PAYGO pension. Zbl 1471.91461
He, Lin; Liang, Zongxia; Song, Yilun; Ye, Qi
1
2021
Structure of intergenerational risk-sharing plans: optimality and fairness. Zbl 1471.91493
Zhu, Xiaobai; Hardy, Mary; Saunders, David
1
2021
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks. Zbl 1471.91492
Zhao, Yanchun; Mao, Tiantian; Yang, Fan
1
2021
Functional sensitivity analysis of ruin probability in the classical risk models. Zbl 1485.91054
Cheurfa, Fatah; Takhedmit, Baya; Ouazine, Sofiane; Abbas, Karim
1
2021
Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework. Zbl 1491.91112
Yang, Peng; Chen, Zhiping; Cui, Xiangyu
1
2021
Spatial Tweedie exponential dispersion models: an application to insurance rate-making. Zbl 1484.91385
Halder, Aritra; Mohammed, Shariq; Chen, Kun; Dey, Dipak K.
1
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
14
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
9
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.
9
2020
Robust reinsurance contracts with risk constraint. Zbl 1447.91151
Wang, Ning; Siu, Tak Kuen
8
2020
Neural network embedding of the over-dispersed Poisson reserving model. Zbl 1430.91076
Gabrielli, Andrea; Richman, Ronald; Wüthrich, Mario V.
7
2020
Bonus-malus premiums under the dependent frequency-severity modeling. Zbl 1436.91103
Oh, Rosy; Shi, Peng; Ahn, Jae Youn
6
2020
Cohort and value-based multi-country longevity risk management. Zbl 1448.91267
Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan
6
2020
A ruin model with a resampled environment. Zbl 1447.91131
Constantinescu, C.; Delsing, G.; Mandjes, M.; Rojas Nandayapa, L.
5
2020
Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach. Zbl 1454.91174
Chen, Ze; Chen, Bingzheng; Dhaene, Jan
5
2020
Continuous chain-ladder with paid data. Zbl 1448.91254
Bischofberger, Stephan M.; Hiabu, Munir; Isakson, Alex
4
2020
Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors. Zbl 1448.91261
Hong, Liang; Martin, Ryan
4
2020
Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. Zbl 1451.91167
Guan, Guohui; Wang, Xiaojun
4
2020
Multi-population mortality forecasting using tensor decomposition. Zbl 1454.91179
Dong, Yumo; Huang, Fei; Yu, Honglin; Haberman, Steven
4
2020
On series expansions for scale functions and other ruin-related quantities. Zbl 1447.91142
Landriault, David; Willmot, Gordon E.
3
2020
Combined tail estimation using censored data and expert information. Zbl 1448.91255
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
3
2020
Continuous-time multi-cohort mortality modelling with affine processes. Zbl 1448.91270
Xu, Yajing; Sherris, Michael; Ziveyi, Jonathan
3
2020
A Hermite-spline model of post-retirement mortality. Zbl 1433.91144
Richards, Stephen J.
3
2020
Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates. Zbl 1433.91139
Liu, Yuying; Liu, Zhaoyang; Liu, Guoxin
3
2020
Budget-constrained optimal retention with an upper limit on the retained loss. Zbl 1436.91102
Ghossoub, Mario
2
2020
Proportional reinsurance and investment in multiple risky assets under borrowing constraint. Zbl 1447.91153
Yener, Haluk
2
2020
Generalized log-normal chain-ladder. Zbl 1448.91263
Kuang, D.; Nielsen, B.
2
2020
Weighted utility optimization of the participating endowment contract. Zbl 1448.91260
He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming
2
2020
Optimal asset allocation for participating contracts under the VaR and PI constraint. Zbl 1433.91129
Dong, Yinghui; Wu, Sang; Lv, Wenxin; Wang, Guojing
2
2020
Approximation of ruin probability and ruin time in discrete Brownian risk models. Zbl 1454.91193
Jasnovidov, Grigori
2
2020
Cash flow techniques for asset liability management. Zbl 1436.91099
Aguirre Nolsøe, Kim; Degrijse, Dieter; Ahm, Sofie; Brix, Kristoffer; Storgaard, Mads; Strodl, Jesper
1
2020
A multivariate Markov chain stock model. Zbl 1447.91133
D’Amico, Guglielmo; De Blasis, Riccardo
1
2020
Nonlinearly transformed risk measures: properties and application to optimal reinsurance. Zbl 1447.91128
Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert
1
2020
The Lee-Carter quantile mortality model. Zbl 1448.91265
Santolino, Miguel
1
2020
Modelling seasonal mortality with individual data. Zbl 1454.91206
Richards, Stephen J.; Ramonat, Stefan J.; Vesper, Gregory T.; Kleinow, Torsten
1
2020
Indifference pricing of pure endowments via BSDEs under partial information. Zbl 1454.91171
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra
1
2020
On a discrete-time risk model with time-dependent claims and impulsive dividend payments. Zbl 1454.91211
Zhang, Lianzeng; Liu, He
1
2020
Correction to: “On a discrete-time risk model with time-dependent claims and impulsive dividend payments”. Zbl 1470.91235
Zhang, Lianzeng; Liu, He
1
2020
Incorporating structural changes in mortality improvements for mortality forecasting. Zbl 1454.91198
Li, Jackie; Wong, Kenneth
1
2020
On the cumulative parisian ruin of multi-dimensional Brownian motion risk models. Zbl 1454.91196
Ji, Lanpeng
1
2020
Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach. Zbl 1454.91172
Chang, Le; Shi, Yanlin
1
2020
Extending composite loss models using a general framework of advanced computational tools. Zbl 1422.91351
Grün, Bettina; Miljkovic, Tatjana
16
2019
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264
Barigou, Karim; Dhaene, Jan
13
2019
Computing the Gerber-Shiu function by frame duality projection. Zbl 1411.91320
Wang, Wenyuan; Zhang, Zhimin
13
2019
Claims frequency modeling using telematics car driving data. Zbl 1411.91280
Gao, Guangyuan; Meng, Shengwang; Wüthrich, Mario V.
12
2019
The expected discounted penalty function: from infinite time to finite time. Zbl 1411.91303
Li, Shuanming; Lu, Yi; Sendova, Kristina P.
12
2019
Interplay of insurance and financial risks in a stochastic environment. Zbl 1411.91316
Tang, Qihe; Yang, Yang
9
2019
Budget-constrained optimal reinsurance design under coherent risk measures. Zbl 1426.91209
Cheung, Ka Chun; Chong, Wing Fung; Lo, Ambrose
9
2019
Periodic threshold-type dividend strategy in the compound Poisson risk model. Zbl 1418.91232
Cheung, Eric C. K.; Zhang, Zhimin
7
2019
Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Zbl 1422.91354
Hieber, Peter; Natolski, Jan; Werner, Ralf
6
2019
Parisian types of ruin probabilities for a class of dependent risk-reserve processes. Zbl 1418.91230
Bladt, Mogens; Nielsen, Bo Friis; Peralta, Oscar
5
2019
A constraint-free approach to optimal reinsurance. Zbl 1418.91238
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
5
2019
A two-dimensional dividend problem for collaborating companies and an optimal stopping problem. Zbl 1418.91239
Grandits, Peter
5
2019
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Cited by 3,131 Authors

55 Zhang, Zhimin
39 Cheung, Eric C. K.
38 Landriault, David
38 Yuen, Kam Chuen
36 Willmot, Gordon E.
34 Yang, Yang
33 Yang, Hailiang
32 Albrecher, Hansjörg
32 Denuit, Michel M.
31 Li, Shuanming
30 Liang, Zhibin
27 Young, Virginia R.
26 Haberman, Steven
25 Badescu, Andrei L.
25 Woo, Jae-Kyung
23 Loisel, Stéphane
23 Marceau, Étienne
22 Cai, Jun
22 Cheung, Ka Chun
22 Cossette, Hélène
22 Guo, Junyi
22 Li, Johnny Siu-Hang
22 Tang, Qihe
21 Antonio, Katrien
21 Hashorva, Enkelejd
20 Boonen, Tim J.
20 Sherris, Michael
20 Tan, Ken Seng
20 Wüthrich, Mario Valentin
19 Christiansen, Marcus Christian
19 Nielsen, Jens Perch
19 Yang, Hu
18 Gao, Qingwu
18 Lefèvre, Claude
17 Asimit, Alexandru V.
17 Li, Danping
17 Weng, Chengguo
16 Dickson, David C. M.
16 Frostig, Esther
16 Jin, Zhuo
16 Macdonald, Angus S.
16 Ren, Jiandong
16 Zitikis, Ričardas
15 Chen, Mi
15 Li, Jinzhu
15 Šiaulys, Jonas
15 Steffensen, Mogens
15 Vernic, Raluca
15 Yam, Sheung Chi Phillip
15 Yin, Chuancun
15 Zhang, Yiying
14 Bäuerle, Nicole
14 Dhaene, Jan
14 Fu, Ke’ang
14 Gómez-Déniz, Emilio
14 Landsman, Zinoviy M.
14 Nadarajah, Saralees
14 Wang, Ruodu
14 Zhou, Ming
13 Furman, Edward
13 Li, Jackie
13 Palmowski, Zbigniew
13 Schmidli, Hanspeter
13 Shen, Yang
13 Wang, Wenyuan
13 Zeng, Yan
12 Blake, David
12 Chen, An
12 Drekic, Steve
12 Guillen, Montserrat
12 Ji, Lanpeng
12 Jiang, Wenjun
12 Kaishev, Vladimir K.
12 Lin, X. Sheldon
12 Lu, Yi
12 Shi, Peng
12 Siu, Tak Kuen
12 Zhao, Hui
11 Asmussen, Søren
11 Avram, Florin
11 Balakrishnan, Narayanaswamy
11 Chen, Yiqing
11 Kleinow, Torsten
11 Klüppelberg, Claudia
11 Kortschak, Dominik
11 Levantesi, Susanna
11 Léveillé, Ghislain
11 Mao, Tiantian
11 Sendova, Kristina P.
11 Trufin, Julien
11 Xu, Lin
11 Ziveyi, Jonathan
10 Avanzi, Benjamin
10 Bladt, Mogens
10 Cairns, Andrew J. G.
10 Constantinescu, Corina D.
10 Feng, Runhuan
10 Linders, Daniël
10 Liu, Haiyan
10 Meng, Hui
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Cited in 247 Journals

712 Insurance Mathematics & Economics
348 Scandinavian Actuarial Journal
159 North American Actuarial Journal
145 ASTIN Bulletin
122 Communications in Statistics. Theory and Methods
90 European Actuarial Journal
86 Journal of Computational and Applied Mathematics
83 Methodology and Computing in Applied Probability
64 Statistics & Probability Letters
46 European Journal of Operational Research
44 Journal of Applied Probability
43 Stochastic Models
43 Journal of Industrial and Management Optimization
34 Applied Mathematics and Computation
25 Probability in the Engineering and Informational Sciences
24 Advances in Applied Probability
24 Quantitative Finance
23 Communications in Statistics. Simulation and Computation
21 Lithuanian Mathematical Journal
21 Journal of Multivariate Analysis
21 Stochastic Processes and their Applications
20 Journal of Mathematical Analysis and Applications
20 Acta Mathematicae Applicatae Sinica. English Series
20 Annals of Operations Research
19 Mathematical Problems in Engineering
19 Stochastics
18 Finance and Stochastics
17 Computational Statistics and Data Analysis
17 Journal of Applied Statistics
16 Journal of the Korean Statistical Society
15 Extremes
15 Decisions in Economics and Finance
15 Dependence Modeling
14 Applied Stochastic Models in Business and Industry
13 Journal of Econometrics
13 Journal of Statistical Planning and Inference
12 Journal of Systems Science and Complexity
11 Queueing Systems
11 Mathematical Finance
11 Mathematical Methods of Operations Research
11 Discrete Dynamics in Nature and Society
10 Stochastic Analysis and Applications
10 Journal of Statistical Computation and Simulation
10 Test
10 Modern Stochastics. Theory and Applications
9 Theory of Probability and its Applications
9 Optimization
9 Applied Mathematics. Series B (English Edition)
9 Bernoulli
9 Advances in Difference Equations
9 Science China. Mathematics
8 The Annals of Applied Probability
8 Journal of Mathematical Sciences (New York)
8 Journal of Inequalities and Applications
8 Statistics & Risk Modeling
7 Journal of Economic Dynamics & Control
7 Journal of Statistical Theory and Practice
7 Journal of Probability and Statistics
6 Applied Mathematics and Optimization
6 Mathematics and Computers in Simulation
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 International Journal of Control
5 Journal of the American Statistical Association
5 Journal of Optimization Theory and Applications
5 Mathematics of Operations Research
5 Statistics
5 International Journal of Theoretical and Applied Finance
5 Hacettepe Journal of Mathematics and Statistics
5 Statistical Methods and Applications
5 Electronic Journal of Statistics
5 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
5 Statistical Theory and Related Fields
4 Physica A
4 Scandinavian Journal of Statistics
4 Operations Research
4 SIAM Journal on Control and Optimization
4 Computational Mathematics and Mathematical Physics
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 SIAM Journal on Financial Mathematics
4 Statistics and Computing
4 Communications in Mathematics and Statistics
4 Journal of Statistical Distributions and Applications
4 AIMS Mathematics
3 Computers & Mathematics with Applications
3 Metrika
3 The Annals of Statistics
3 Optimal Control Applications & Methods
3 Operations Research Letters
3 Probability and Mathematical Statistics
3 Chinese Annals of Mathematics. Series B
3 Journal of Theoretical Probability
3 Mathematical and Computer Modelling
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Cited in 44 Fields

2,423 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,331 Statistics (62-XX)
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262 Systems theory; control (93-XX)
119 Operations research, mathematical programming (90-XX)
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78 Calculus of variations and optimal control; optimization (49-XX)
34 Computer science (68-XX)
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27 Biology and other natural sciences (92-XX)
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20 Integral transforms, operational calculus (44-XX)
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11 Real functions (26-XX)
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7 Geophysics (86-XX)
6 General and overarching topics; collections (00-XX)
5 Combinatorics (05-XX)
5 Functional analysis (46-XX)
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3 Field theory and polynomials (12-XX)
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3 Information and communication theory, circuits (94-XX)
3 Mathematics education (97-XX)
2 History and biography (01-XX)
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