Scandinavian Actuarial JournalPublished 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. all top 5 Latest Issues 2023, No. 10 (2023) 2023, No. 9 (2023) 2023, No. 8 (2023) 2023, No. 7 (2023) 2023, No. 6 (2023) 2023, No. 5 (2023) 2023, No. 4 (2023) 2023, No. 3 (2023) 2023, No. 2 (2023) 2023, No. 1 (2023) 2022, No. 10 (2022) 2022, No. 9 (2022) 2022, No. 8 (2022) 2022, No. 7 (2022) 2022, No. 6 (2022) 2022, No. 5 (2022) 2022, No. 4 (2022) 2022, No. 3 (2022) 2022, No. 2 (2022) 2022, No. 1 (2022) 2021, No. 10 (2021) 2021, No. 9 (2021) 2021, No. 8 (2021) 2021, No. 7 (2021) 2021, No. 6 (2021) 2021, No. 5 (2021) 2021, No. 4 (2021) 2021, No. 3 (2021) 2021, No. 2 (2021) 2021, No. 1 (2021) 2020, No. 10 (2020) 2020, No. 9 (2020) 2020, No. 8 (2020) 2020, No. 7 (2020) 2020, No. 6 (2020) 2020, No. 5 (2020) 2020, No. 4 (2020) 2020, No. 3 (2020) 2020, No. 2 (2020) 2020, No. 1 (2020) 2019, No. 10 (2019) 2019, No. 9 (2019) 2019, No. 8 (2019) 2019, No. 7 (2019) 2019, No. 6 (2019) 2019, No. 5 (2019) 2019, No. 4 (2019) 2019, No. 3 (2019) 2019, No. 2 (2019) 2019, No. 1 (2019) 2018, No. 10 (2018) 2018, No. 9 (2018) 2018, No. 8 (2018) 2018, No. 7 (2018) 2018, No. 6 (2018) 2018, No. 5 (2018) 2018, No. 4 (2018) 2018, No. 3 (2018) 2018, No. 2 (2018) 2018, No. 1 (2018) 2017, No. 10 (2017) 2017, No. 9 (2017) 2017, No. 8 (2017) 2017, No. 7 (2017) 2017, No. 6 (2017) 2017, No. 5 (2017) 2017, No. 4 (2017) 2017, No. 3 (2017) 2017, No. 2 (2017) 2017, No. 1 (2017) 2016, No. 10 (2016) 2016, No. 9 (2016) 2016, No. 8 (2016) 2016, No. 7 (2016) 2016, No. 6 (2016) 2016, No. 5 (2016) 2016, No. 4 (2016) 2016, No. 3 (2016) 2016, No. 2 (2016) 2016, No. 1 (2016) 2015, No. 8 (2015) 2015, No. 7 (2015) 2015, No. 6 (2015) 2015, No. 5 (2015) 2015, No. 4 (2015) 2015, No. 3 (2015) 2015, No. 2 (2015) 2015, No. 1 (2015) 2014, No. 8 (2014) 2014, No. 7 (2014) 2014, No. 6 (2014) 2014, No. 5 (2014) 2014, No. 4 (2014) 2014, No. 3 (2014) 2014, No. 2 (2014) 2014, No. 1 (2014) 2013, No. 6 (2013) 2013, No. 5 (2013) 2013, No. 4 (2013) 2013, No. 3 (2013) ...and 53 more Volumes all top 5 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 all top 5 Fields 632 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 305 Statistics (62-XX) 203 Probability theory and stochastic processes (60-XX) 31 Systems theory; control (93-XX) 17 Operations research, mathematical programming (90-XX) 15 Calculus of variations and optimal control; optimization (49-XX) 13 Biology and other natural sciences (92-XX) 8 Numerical analysis (65-XX) 7 Partial differential equations (35-XX) 6 Computer science (68-XX) 5 Integral equations (45-XX) 3 Approximations and expansions (41-XX) 3 Integral transforms, operational calculus (44-XX) 2 History and biography (01-XX) 2 Geophysics (86-XX) 1 Combinatorics (05-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Real functions (26-XX) 1 Special functions (33-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) Publications by Year all cited Publications top 5 cited Publications 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 0971.91039Schmidli, Hanspeter 124 2001 On a risk model with dependence between interclaim arrivals and claim sizes. Zbl 1145.91030Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne 97 2006 Extremes on the discounted aggregate claims in a time dependent risk model. Zbl 1224.91041Asimit, Alexandru V.; Badescu, Andrei L. 78 2010 Modeling and management of mortality risk: a review. Zbl 1224.91048Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 71 2008 Modelling actuarial data with a composite lognormal-Pareto model. Zbl 1143.91027Cooray, Kahadawala; Ananda, Malwane M. A. 59 2005 Bootstrapping the Poisson log-bilinear model for mortality forecasting. Zbl 1092.91038Brouhns, Natacha; Denuit, Michel; van Keilegom, Ingrid 59 2005 Optimal dynamic reinsurance with dependent risks: variance premium principle. Zbl 1401.91167Liang, Zhibin; Yuen, Kam Chuen 58 2016 The tail probability of discount sums of Pareto-like losses in insurance. Zbl 1144.91026Goovaerts, 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 1401.91089Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan 52 2013 Micro-level stochastic loss reserving for general insurance. Zbl 1401.91091Antonio, Katrien; Plat, Richard 48 2014 On composite lognormal-Pareto models. Zbl 1146.91028Scollnic, David P. M. 47 2007 Risk processes analyzed as fluid queues. Zbl 1092.91037Badescu, 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 1277.62249Czado, Claudia; Kastenmeier, Rainer; Brechmann, Eike Christian; Min, Aleksey 44 2012 Optimal reinsurance under general law-invariant risk measures. Zbl 1401.91110Cheung, 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 1401.91112Cheung, Ka Chun; Lo, Ambrose 44 2017 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022Albrecher, Hansjörg; Asmussen, Søren 43 2006 The distribution of the dividend payments in the compound Poisson risk model perturbed by diffusion. Zbl 1143.91032Li, Shuanming 41 2006 Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073Barrieu, 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 1224.91054Dahl, Mikkel; Melchior, Martin; Møller, Thomas 39 2008 Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria. Zbl 1401.91208Yi, Bo; Viens, Frederi; Li, Zhongfei; Zeng, Yan 39 2015 Guaranteed investment contracts: distributed and undistributed excess return. Zbl 1092.91053Miltersen, Kristian R.; Persson, Svein-Arne 38 2003 Ruin probabilities in the compound Markov binomial model. Zbl 1092.91040Cossette, Hélène; Landriault, David; Marceau, Étienne 38 2003 Stochastic mortality under measure changes. Zbl 1226.91022Biffis, Enrico; Denuit, Michel; Devolder, Pierre 37 2010 An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums. Zbl 1277.60042Korolev, Victor; Shevtsova, Irina 37 2012 Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Zbl 1416.91203Li, Danping; Zeng, Yan; Yang, Hailiang 36 2018 Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Zbl 1144.91030Tang, Qihe 36 2005 Pricing dynamic insurance risks using the principle of equivalent utility. Zbl 1039.91049Young, Virginia R.; Zariphopoulou, Thaleia 35 2002 Spatial modelling of claim frequency and claim size in non-life insurance. Zbl 1150.91026Gschlöß{l}, Susanne; Czado, Claudia 34 2007 Perspectives of risk sharing. Zbl 1015.62104Aase, Knut K. 34 2002 Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116Hipp, Christian; Schmidli, Hanspeter 34 2004 Multivariate Pareto portfolios: TCE-based capital allocation and dividend differences. Zbl 1164.91028Chiragiev, Arthur; Landsman, Zinoviy 33 2007 Estimation of the characteristics of the jumps of a general Poisson-diffusion model. Zbl 1114.62081Mancini, Cecilia 33 2004 The Gerber-Shiu function in Sparre Andersen risk process perturbed by diffusion. Zbl 1092.91049Li, Shuanming; Garrido, José 33 2005 Bivariate survival models for coupled lives. Zbl 0959.62094Carriere, Jacques F. 32 2000 Composite lognormal-Pareto model with random threshold. Zbl 1277.62258Pigeon, Mathieu; Denuit, Michel 32 2011 On the distribution of the deficit at ruin when claims are phase-type. Zbl 1142.62088Drekic, Steve; Dickson, David C. M.; Stanford, David A.; Willmot, Gordon E. 32 2004 Recursive moments of compound renewal sums with discounted claims. Zbl 0979.91048Léveillé, Ghislain; Garrido, José 30 2001 The fair value of guaranteed annuity options. Zbl 1142.91036Biffis, Enrico; Millossovich, Pietro 30 2006 On Fitting generalized linear and non-linear models of mortality. Zbl 1401.91123Currie, Iain D. 29 2016 Extending the Lee-Carter model: a three-way decomposition. Zbl 1277.62260Russolillo, Maria; Giordano, Giuseppe; Haberman, Steven 28 2011 On a class of discrete time renewal risk models. Zbl 1142.91043Li, Shuanming 28 2005 Minimum rate of return guarantees: the Danish case. Zbl 1039.91040Hansen, 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 1092.91036Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F. 28 2005 Two-sided bounds for the finite time probability of ruin. Zbl 0958.91030Ignatov, Z. G.; Kaishev, V. K. 27 2000 Ordering properties of the smallest and largest claim amounts in a general scale model. Zbl 1401.91096Barmalzan, Ghobad; Najafabadi, Amir T. Payandeh; Balakrishnan, Narayanaswamy 27 2017 On finite-time ruin probabilities for classical risk models. Zbl 1164.91033Lefèvre, Claude; Stéphane, Loisel 26 2008 Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024Cossette, Héléne; Marceau, Etienne; Marri, Fouad 26 2010 Criteria for the stochastic ordering of random sums, with actuarial applications. Zbl 1003.60022Denuit, Michel; Genest, Christian; Marceau, Étienne 26 2002 Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model. Zbl 1277.62096Shimizu, Yasutaka 26 2012 Mean-variance optimal reinsurance arrangements. Zbl 1117.62115Kaluszka, Marek 26 2004 Optimal dynamic premium control in non-life insurance. Maximizing dividend pay-outs. Zbl 1039.91042Højgaard, Bjarne 26 2002 Optimal reinsurance arrangements in the presence of two reinsurers. Zbl 1401.91113Chi, Yichun; Meng, Hui 26 2014 New composite models for the Danish fire insurance data. Zbl 1401.91177Nadarajah, S.; Bakar, S. A. A. 25 2014 The ruin probability of a discrete time risk model under constant interest rate with heavy tails. Zbl 1142.62094Tang, Qihe 24 2004 On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217Zhang, Zhimin; Yang, Hailiang; Yang, Hu 24 2014 Machine learning in individual claims reserving. Zbl 1416.91225Wüthrich, Mario V. 23 2018 Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145Eisenberg, Julia; Schmidli, Hanspeter 22 2011 Heterogeneity and the need for capital in the individual model. Zbl 1142.91039Denuit, Michel; Frostig, Esther 22 2006 Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav 21 2007 Folded and log-folded-\(t\) distributions as models for insurance loss data. Zbl 1277.62248Brazauskas, Vytaras; Kleefeld, Andreas 21 2011 Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks. Zbl 1401.91205Yang, Yang; Konstantinides, Dimitrios G. 21 2015 Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model. Zbl 1401.91168Lin, Xiang; Qian, Yiping 21 2016 On the analysis of a multi-threshold Markovian risk model. Zbl 1164.91025Badescu, Andrei; Drekic, Steve; Landriault, Daviv 20 2007 Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Zbl 1416.91153Balakrishnan, Narayanaswamy; Zhang, Yiying; Zhao, Peng 20 2018 Equilibrium compound distributions and stop-loss moments. Zbl 1144.91031Willmot, 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 1144.91025Dickson, David C. M.; Hughes, Barry D.; Lianzeng, Zhang 20 2005 The impact of multiple structural changes on mortality predictions. Zbl 1401.91221van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel 20 2016 Optimal reinsurance with expectile. Zbl 1401.91106Cai, Jun; Weng, Chengguo 20 2016 Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes. Zbl 1224.91043Bai, Lihua; Guo, Junyi 19 2010 On bonus and bonus prognoses in life insurance. Zbl 0979.91045Norberg, Ragnar 19 2001 On the distortion of a copula and its margins. Zbl 1277.62140Valdez, Emiliano A.; Xiao, Yugu 19 2011 Cash flows and policyholder behaviour in the semi-Markov life insurance setup. Zbl 1401.91105Buchardt, Kristian; Møller, Thomas; Schmidt, Kristian Bjerre 19 2015 Parisian ruin probability with a lower ultimate bankrupt barrier. Zbl 1401.91124Czarna, Irmina 19 2016 Modeling claims data with composite Stoppa models. Zbl 1401.62205Calderín-Ojeda, Enrique; Kwok, Chun Fung 19 2016 Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G. 19 2017 Gerber-Shiu analysis with a generalized penalty function. Zbl 1226.60123Cheung, 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 1277.60148Cheung, 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 1143.91033Li, Shuanming 18 2005 On semiparametric estimation of ruin probabilities in the classical risk model. Zbl 1401.62212Masiello, Esterina 18 2014 Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang 18 2017 Ruin probabilities and investment under interest force in the presence of regularly varying tails. Zbl 1091.62102Gaier, J.; Grandits, P. 18 2004 Analysis of a threshold dividend strategy for a MAP risk model. Zbl 1164.91024Badescu, Andrei; Drekic, Steve; Landriault, Daviv 17 2007 Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Zbl 1224.91093Weng, Chengguo; Zhang, Yi; Tan, Ken Seng 17 2009 Lapse rate modeling: a rational expectation approach. Zbl 1224.91150De Giovanni, Domenico 17 2010 A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229Zhang, Zhimin; Su, Wen 17 2018 The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Zbl 1401.91095Bacinello, Anna Rita; Millossovich, Pietro; Montealegre, Alvaro 17 2016 Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks. Zbl 1401.91204Yang, Haizhong; Gao, Wei; Li, Jinzhu 17 2016 A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints. Zbl 1402.91208Lo, Ambrose 17 2017 Semiparametric estimation for non-ruin probabilities. Zbl 1092.91054Politis, Konstadinos 17 2003 Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady 16 2011 Knowledge elicitation of Gompertz’ law of mortality. Zbl 0971.62073Willemse, W. J.; Koppelaar, H. 16 2000 Extending composite loss models using a general framework of advanced computational tools. Zbl 1422.91351Grün, Bettina; Miljkovic, Tatjana 16 2019 On accounting standards and fair valuation of life insurance and pension liabilities. Zbl 1087.62117Jørgensen, Peter Løchte 16 2004 Combining generalized linear models and credibility models in practice. Zbl 1224.91080Ohlsson, Esbjörn 15 2008 Erlangian approximation to finite time ruin probabilities in perturbed risk models. Zbl 1277.60128Stanford, David A.; Yu, Kaiqi; Ren, Jiandong 15 2011 Ruin problems for a discrete time risk model with non-homogeneous conditions. Zbl 1280.91091Castañer, Anna; Claramunt, M. Mercè; Gathy, Maude; Lefèvre, Claude; Mármol, Maite 15 2013 Lundberg parameters for non standard risk processes. Zbl 1143.91034Macci, Claudio; Stabile, Gabriele; Torrisi, Giovanni Luca 15 2005 Ruin estimation in multivariate models with Clayton dependence structure. Zbl 1145.91031Bregman, Yuliya; Klüppelberg, Claudia 15 2005 Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process. Zbl 1401.91213Zhang, Lianzeng; Hu, Xiang; Duan, Baige 15 2015 Optimal investment-consumption-insurance with random parameters. Zbl 1401.91193Shen, Yang; Wei, Jiaqin 15 2016 Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees. Zbl 1520.91334Kirkby, J. Lars; Aguilar, Jean-Philippe 2 2023 LocalGLMnet: interpretable deep learning for tabular data. Zbl 07656044Richman, Ronald; Wüthrich, Mario V. 1 2023 Finite-time ruin probabilities using bivariate Laguerre series. Zbl 1511.91114Cheung, 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 1511.91113Barigou, Karim; Linders, Daniël; Yang, Fan 1 2023 Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory. Zbl 1512.91111Xu, Zuo Quan 1 2023 Socioeconomic differentials in mortality: implications on index-based longevity hedges. Zbl 1520.91342Lyu, Pintao; Li, Johnny Siu-Hang; Zhou, Kenneth Q. 1 2023 Collective reserving using individual claims data. Zbl 1492.91285Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V. 5 2022 Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game. Zbl 1494.91128Yuan, Yu; Liang, Zhibin; Han, Xia 3 2022 Optimal reinsurance with model uncertainty and Stackelberg game. Zbl 1492.91292Gavagan, Joshua; Hu, Liang; Lee, Gee Y.; Liu, Haiyan; Weixel, Anna 3 2022 A perturbation approach to optimal investment, liability ratio, and dividend strategies. Zbl 1492.91301Jin, Zhuo; Zuo, Quan Xu; Zou, Bin 2 2022 Mortality forecasting using stacked regression ensembles. Zbl 1501.91156Kessy, 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 1492.91300Jiang, Zhengjun 1 2022 Group cohesion under individual regulatory constraints. Zbl 1492.91283Coculescu, Delia; Delbaen, Freddy 1 2022 Bowley reinsurance with asymmetric information: a first-best solution. Zbl 1498.91351Boonen, Tim J.; Zhang, Yiying 1 2022 Robust reinsurance contract with learning and ambiguity aversion. Zbl 1501.91154Hu, Duni; Wang, Hailong 1 2022 Variable annuity pricing, valuation, and risk management: a survey. Zbl 1510.91144Feng, Runhuan; Gan, Guojun; Zhang, Ning 1 2022 A general surplus decomposition principle in life insurance. Zbl 1510.91149Jetses, Julian; Christiansen, Marcus C. 1 2022 Time-series forecasting of mortality rates using deep learning. Zbl 1471.91480Perla, Francesca; Richman, Ronald; Scognamiglio, Salvatore; Wüthrich, Mario V. 8 2021 Robust optimal investment and reinsurance problems with learning. Zbl 1468.91121Bäuerle, Nicole; Leimcke, Gregor 5 2021 Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models. Zbl 1479.91327Hillairet, Caroline; Lopez, Olivier 5 2021 Optimal dividend strategy for an insurance group with contagious default risk. Zbl 1470.91229Jin, Zhuo; Liao, Huafu; Yang, Yue; Yu, Xiang 4 2021 Life expectancy and lifespan disparity forecasting: a long short-term memory approach. Zbl 1468.91128Nigri, Andrea; Levantesi, Susanna; Marino, Mario 4 2021 Optimal reinsurance and dividends with transaction costs and taxes under thinning structure. Zbl 1468.91122Chen, 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 1479.91315Cheung, Eric C. K.; Zhang, Zhimin 4 2021 Bowley reinsurance with asymmetric information on the insurer’s risk preferences. Zbl 1471.91448Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying 4 2021 Time-consistent and market-consistent actuarial valuation of the participating pension contract. Zbl 1475.91315Salahnejhad Ghalehjooghi, Ahmad; Pelsser, Antoon 3 2021 Matrix calculation for ultimate and 1-year risk in the semi-Markov individual loss reserving model. Zbl 1472.91038Bettonville, 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 1467.91148Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo 3 2021 A law of uniform seniority for dependent lives. Zbl 1480.91205Genest, Christian; Kolev, Nikolai 3 2021 Two-step risk analysis in insurance ratemaking. Zbl 1471.91464Ki Kang, Seul; Peng, Liang; Golub, Andrew 3 2021 Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays. Zbl 1468.91126Lopez, Olivier; Milhaud, Xavier 2 2021 Stochastic modelling and projection of mortality improvements using a hybrid parametric/semi-parametric age-period-cohort model. Zbl 1471.91457Dodd, 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 1467.91129Baione, Fabio; Biancalana, Davide 2 2021 Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach. Zbl 1479.91445Li, Peng; Feng, Runhuan 2 2021 A non-convex regularization approach for stable estimation of loss development factors. Zbl 1479.91329Jeong, Himchan; Chang, Hyunwoong; Valdez, Emiliano A. 2 2021 Retrospective reserves and bonus. Zbl 1471.91449Bruhn, Kenneth; Lollike, Alexander Sevel 2 2021 On \(s\)-convex bounds for Beta-unimodal distributions with applications to basis risk assessment. Zbl 1471.91467Lefèvre, Claude; Loisel, Stéphane; Montesinos, Pierre 2 2021 Household consumption-investment-insurance decisions with uncertain income and market ambiguity. Zbl 1485.91211Wang, Ning; Jin, Zhuo; Siu, Tak Kuen; Qiu, Ming 2 2021 Finite-time ruin probability for correlated Brownian motions. Zbl 1487.60075Dȩbicki, Krzysztof; Hashorva, Enkelejd; Krystecki, Konrad 2 2021 Age-coherent extensions of the Lee-Carter model. Zbl 1492.91291Gao, Guangyuan; Shi, Yanlin 2 2021 Grouping of contracts in insurance using neural networks. Zbl 1470.91231Kiermayer, Mark; Weiß, Christian 1 2021 Ruin probability in a two-dimensional model with correlated Brownian motions. Zbl 1470.91228Grandits, Peter; Klein, Maike 1 2021 Market pricing of longevity-linked securities. Zbl 1472.91041Tang, Sixian; Li, Jackie 1 2021 Tontines with mixed cohorts. Zbl 1470.91220Chen, An; Qian, Linyi; Yang, Zhixin 1 2021 Genetics, insurance and hypertrophic cardiomyopathy. Zbl 1466.91259Haçarız, Oytun; Kleinow, Torsten; Macdonald, Angus S. 1 2021 Ranking the extreme claim amounts in dependent individual risk models. Zbl 1466.91271Torrado, Nuria; Navarro, Jorge 1 2021 Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs. Zbl 1476.91119Avanzi, Benjamin; Lau, Hayden; Wong, Bernard 1 2021 Optimal contribution rate of PAYGO pension. Zbl 1471.91461He, Lin; Liang, Zongxia; Song, Yilun; Ye, Qi 1 2021 Structure of intergenerational risk-sharing plans: optimality and fairness. Zbl 1471.91493Zhu, Xiaobai; Hardy, Mary; Saunders, David 1 2021 Estimation of the Haezendonck-Goovaerts risk measure for extreme risks. Zbl 1471.91492Zhao, Yanchun; Mao, Tiantian; Yang, Fan 1 2021 Functional sensitivity analysis of ruin probability in the classical risk models. Zbl 1485.91054Cheurfa, Fatah; Takhedmit, Baya; Ouazine, Sofiane; Abbas, Karim 1 2021 Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework. Zbl 1491.91112Yang, Peng; Chen, Zhiping; Cui, Xiangyu 1 2021 Spatial Tweedie exponential dispersion models: an application to insurance rate-making. Zbl 1484.91385Halder, 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 1436.91104Sun, Zhongyang; Zhang, Xin; Yuen, Kam Chuen 14 2020 Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model. Zbl 1447.91139Gu, Ailing; Viens, Frederi G.; Shen, Yang 9 2020 Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle. Zbl 1454.91191Han, Xia; Liang, Zhibin; Young, Virginia R. 9 2020 Robust reinsurance contracts with risk constraint. Zbl 1447.91151Wang, Ning; Siu, Tak Kuen 8 2020 Neural network embedding of the over-dispersed Poisson reserving model. Zbl 1430.91076Gabrielli, Andrea; Richman, Ronald; Wüthrich, Mario V. 7 2020 Bonus-malus premiums under the dependent frequency-severity modeling. Zbl 1436.91103Oh, Rosy; Shi, Peng; Ahn, Jae Youn 6 2020 Cohort and value-based multi-country longevity risk management. Zbl 1448.91267Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan 6 2020 A ruin model with a resampled environment. Zbl 1447.91131Constantinescu, C.; Delsing, G.; Mandjes, M.; Rojas Nandayapa, L. 5 2020 Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach. Zbl 1454.91174Chen, Ze; Chen, Bingzheng; Dhaene, Jan 5 2020 Continuous chain-ladder with paid data. Zbl 1448.91254Bischofberger, Stephan M.; Hiabu, Munir; Isakson, Alex 4 2020 Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors. Zbl 1448.91261Hong, Liang; Martin, Ryan 4 2020 Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. Zbl 1451.91167Guan, Guohui; Wang, Xiaojun 4 2020 Multi-population mortality forecasting using tensor decomposition. Zbl 1454.91179Dong, Yumo; Huang, Fei; Yu, Honglin; Haberman, Steven 4 2020 On series expansions for scale functions and other ruin-related quantities. Zbl 1447.91142Landriault, David; Willmot, Gordon E. 3 2020 Combined tail estimation using censored data and expert information. Zbl 1448.91255Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan 3 2020 Continuous-time multi-cohort mortality modelling with affine processes. Zbl 1448.91270Xu, Yajing; Sherris, Michael; Ziveyi, Jonathan 3 2020 A Hermite-spline model of post-retirement mortality. Zbl 1433.91144Richards, Stephen J. 3 2020 Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates. Zbl 1433.91139Liu, Yuying; Liu, Zhaoyang; Liu, Guoxin 3 2020 Budget-constrained optimal retention with an upper limit on the retained loss. Zbl 1436.91102Ghossoub, Mario 2 2020 Proportional reinsurance and investment in multiple risky assets under borrowing constraint. Zbl 1447.91153Yener, Haluk 2 2020 Generalized log-normal chain-ladder. Zbl 1448.91263Kuang, D.; Nielsen, B. 2 2020 Weighted utility optimization of the participating endowment contract. Zbl 1448.91260He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming 2 2020 Optimal asset allocation for participating contracts under the VaR and PI constraint. Zbl 1433.91129Dong, Yinghui; Wu, Sang; Lv, Wenxin; Wang, Guojing 2 2020 Approximation of ruin probability and ruin time in discrete Brownian risk models. Zbl 1454.91193Jasnovidov, Grigori 2 2020 Cash flow techniques for asset liability management. Zbl 1436.91099Aguirre Nolsøe, Kim; Degrijse, Dieter; Ahm, Sofie; Brix, Kristoffer; Storgaard, Mads; Strodl, Jesper 1 2020 A multivariate Markov chain stock model. Zbl 1447.91133D’Amico, Guglielmo; De Blasis, Riccardo 1 2020 Nonlinearly transformed risk measures: properties and application to optimal reinsurance. Zbl 1447.91128Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert 1 2020 The Lee-Carter quantile mortality model. Zbl 1448.91265Santolino, Miguel 1 2020 Modelling seasonal mortality with individual data. Zbl 1454.91206Richards, Stephen J.; Ramonat, Stefan J.; Vesper, Gregory T.; Kleinow, Torsten 1 2020 Indifference pricing of pure endowments via BSDEs under partial information. Zbl 1454.91171Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 1 2020 On a discrete-time risk model with time-dependent claims and impulsive dividend payments. Zbl 1454.91211Zhang, Lianzeng; Liu, He 1 2020 Correction to: “On a discrete-time risk model with time-dependent claims and impulsive dividend payments”. Zbl 1470.91235Zhang, Lianzeng; Liu, He 1 2020 Incorporating structural changes in mortality improvements for mortality forecasting. Zbl 1454.91198Li, Jackie; Wong, Kenneth 1 2020 On the cumulative parisian ruin of multi-dimensional Brownian motion risk models. Zbl 1454.91196Ji, Lanpeng 1 2020 Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach. Zbl 1454.91172Chang, Le; Shi, Yanlin 1 2020 Extending composite loss models using a general framework of advanced computational tools. Zbl 1422.91351Grün, Bettina; Miljkovic, Tatjana 16 2019 Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264Barigou, Karim; Dhaene, Jan 13 2019 Computing the Gerber-Shiu function by frame duality projection. Zbl 1411.91320Wang, Wenyuan; Zhang, Zhimin 13 2019 Claims frequency modeling using telematics car driving data. Zbl 1411.91280Gao, Guangyuan; Meng, Shengwang; Wüthrich, Mario V. 12 2019 The expected discounted penalty function: from infinite time to finite time. Zbl 1411.91303Li, Shuanming; Lu, Yi; Sendova, Kristina P. 12 2019 Interplay of insurance and financial risks in a stochastic environment. Zbl 1411.91316Tang, Qihe; Yang, Yang 9 2019 Budget-constrained optimal reinsurance design under coherent risk measures. Zbl 1426.91209Cheung, Ka Chun; Chong, Wing Fung; Lo, Ambrose 9 2019 Periodic threshold-type dividend strategy in the compound Poisson risk model. Zbl 1418.91232Cheung, Eric C. K.; Zhang, Zhimin 7 2019 Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Zbl 1422.91354Hieber, Peter; Natolski, Jan; Werner, Ralf 6 2019 Parisian types of ruin probabilities for a class of dependent risk-reserve processes. Zbl 1418.91230Bladt, Mogens; Nielsen, Bo Friis; Peralta, Oscar 5 2019 A constraint-free approach to optimal reinsurance. Zbl 1418.91238Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 5 2019 A two-dimensional dividend problem for collaborating companies and an optimal stopping problem. Zbl 1418.91239Grandits, Peter 5 2019 ...and 431 more Documents all cited Publications top 5 cited Publications all top 5 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 ...and 3,031 more Authors all top 5 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. 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Series B 3 Journal of Theoretical Probability 3 Mathematical and Computer Modelling ...and 147 more Journals all top 5 Cited in 44 Fields 2,423 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,331 Statistics (62-XX) 1,187 Probability theory and stochastic processes (60-XX) 262 Systems theory; control (93-XX) 119 Operations research, mathematical programming (90-XX) 87 Numerical analysis (65-XX) 78 Calculus of variations and optimal control; optimization (49-XX) 34 Computer science (68-XX) 33 Integral equations (45-XX) 27 Biology and other natural sciences (92-XX) 24 Partial differential equations (35-XX) 20 Integral transforms, operational calculus (44-XX) 12 Ordinary differential equations (34-XX) 11 Real functions (26-XX) 11 Special functions (33-XX) 9 Approximations and expansions (41-XX) 8 Operator theory (47-XX) 7 Geophysics (86-XX) 6 General and overarching topics; collections (00-XX) 5 Combinatorics (05-XX) 5 Functional analysis (46-XX) 4 Global analysis, analysis on manifolds (58-XX) 4 Statistical mechanics, structure of matter (82-XX) 3 Field theory and polynomials (12-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Harmonic analysis on Euclidean spaces (42-XX) 3 Information and communication theory, circuits (94-XX) 3 Mathematics education (97-XX) 2 History and biography (01-XX) 2 Potential theory (31-XX) 2 Difference and functional equations (39-XX) 2 Mechanics of deformable solids (74-XX) 1 Mathematical logic and foundations (03-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Number theory (11-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 Fluid mechanics (76-XX) 1 Optics, electromagnetic theory (78-XX) 1 Quantum theory (81-XX) Citations by Year