# zbMATH — the first resource for mathematics

## 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: 554 Publications (since 2000) References Indexed: 537 Publications with 13,785 References.
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#### Authors

 12 Denuit, Michel M. 12 Macdonald, Angus S. 11 Landriault, David 11 Willmot, Gordon E. 10 Cheung, Ka Chun 10 Li, Shuanming 10 Wüthrich, Mario Valentin 7 Badescu, Andrei L. 7 Cheung, Eric C. K. 7 Dickson, David C. M. 7 Landsman, Zinoviy M. 7 Sherris, Michael 7 Stanford, David A. 7 Waters, Howard R. 7 Yang, Hailiang 7 Zhang, Zhimin 6 Albrecher, Hansjörg 6 Dhaene, Jan 6 Drekic, Steve 6 Frostig, Esther 6 Kleinow, Torsten 6 Nielsen, Jens Perch 6 Yuen, Kam Chuen 5 Christiansen, Marcus Christian 5 Grandits, Peter 5 Hashorva, Enkelejd 5 Hong, Liang 5 Léveillé, Ghislain 5 Lu, Yi 5 Steffensen, Mogens 5 Tang, Qihe 5 Tsai, Cary Chi-Liang 4 Alai, Daniel H. 4 Cai, Jun 4 Chadjiconstantinidis, Stathis 4 Devolder, Pierre 4 Hipp, Christian 4 Jarner, Søren Fiig 4 Lefèvre, Claude 4 Li, Jackie Ji 4 Loisel, Stéphane 4 Marceau, Étienne 4 Møller, Thomas H. 4 Richards, Stephen J. 4 Samorodnitsky, Gennady Pinkhosovich 4 Schmidli, Hanspeter 4 Siu, Tak Kuen 4 Trufin, Julien 4 Woo, Jae-Kyung 4 Yam, Sheung Chi Phillip 4 Young, Virginia R. 4 Zhang, Lianzeng 3 Aase, Knut Kristian 3 Adékambi, Franck 3 Antonio, Katrien 3 Bäuerle, Nicole 3 Beirlant, Jan 3 Bladt, Mogens 3 Brazauskas, Vytaras 3 Breuer, Lothar 3 Buchardt, Kristian 3 Chen, An 3 Cooray, Kahadawala 3 Cossette, Hélène 3 Czado, Claudia 3 Djehiche, Boualem 3 Goovaerts, Marc J. 3 Guillen, Montserrat 3 Haberman, Steven 3 Hardy, Mary R. 3 Liang, Zhibin 3 Lo, Ambrose 3 Løchte Jørgensen, Peter 3 Lu, Baopeng 3 Luo, Shangzhen 3 Martin, Ryan R. 3 Merz, Michael 3 Nadarajah, Saralees 3 Norberg, Ragnar 3 Ohlsson, Esbjörn 3 Peng, Liang 3 Politis, Konstadinos 3 Ren, Jiandong 3 Sendova, Kristina P. 3 Shen, Yang 3 Vernic, Raluca 3 Walhin, Jean-François 3 Wang, Wenyuan 3 Wekwete, Chessman T. 3 Weng, Chengguo 3 Yener, Haluk 3 Zadeh, Amin Hassan 3 Zhang, Yiying 3 Zhu, Jinxia 3 Ziveyi, Jonathan 2 Aas, Kjersti 2 Adamic, Peter F. 2 Ahn, Jae Youn 2 Alm, Jonas 2 Antzoulakos, Demetrios L. ...and 693 more Authors
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#### Fields

 537 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 291 Statistics (62-XX) 184 Probability theory and stochastic processes (60-XX) 26 Systems theory; control (93-XX) 15 Operations research, mathematical programming (90-XX) 10 Biology and other natural sciences (92-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 6 Numerical analysis (65-XX) 4 Partial differential equations (35-XX) 3 Approximations and expansions (41-XX) 3 Integral transforms, operational calculus (44-XX) 3 Integral equations (45-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

429 Publications have been cited 3,544 times in 2,249 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
Modeling and management of mortality risk: a review. Zbl 1224.91048
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
2008
Extremes on the discounted aggregate claims in a time dependent risk model. Zbl 1224.91041
Asimit, Alexandru V.; Badescu, Andrei L.
2010
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
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
Optimal dynamic reinsurance with dependent risks: variance premium principle. Zbl 1401.91167
Liang, Zhibin; Yuen, Kam Chuen
2016
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
Guaranteed investment contracts: distributed and undistributed excess return. Zbl 1092.91053
Miltersen, Kristian R.; Persson, Svein-Arne
2003
Stochastic mortality under measure changes. Zbl 1226.91022
Biffis, Enrico; Denuit, Michel; Devolder, Pierre
2010
Ruin probabilities in the compound Markov binomial model. Zbl 1092.91040
Cossette, Hélène; Landriault, David; Marceau, Étienne
2003
Perspectives of risk sharing. Zbl 1015.62104
Aase, Knut K.
2002
Pricing dynamic insurance risks using the principle of equivalent utility. Zbl 1039.91049
Young, Virginia R.; Zariphopoulou, Thaleia
2002
Modelling actuarial data with a composite lognormal-Pareto model. Zbl 1143.91027
Cooray, Kahadawala; Ananda, Malwane M. A.
2005
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
Micro-level stochastic loss reserving for general insurance. Zbl 1401.91091
Antonio, Katrien; Plat, Richard
2014
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
Estimation of the characteristics of the jumps of a general Poisson-diffusion model. Zbl 1114.62081
Mancini, Cecilia
2004
The Gerber-Shiu function in Sparre Andersen risk process perturbed by diffusion. Zbl 1092.91049
Li, Shuanming; Garrido, José
2005
Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116
Hipp, Christian; Schmidli, Hanspeter
2004
Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Zbl 1144.91030
Tang, Qihe
2005
The fair value of guaranteed annuity options. Zbl 1142.91036
Biffis, Enrico; Millossovich, Pietro
2006
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
2006
Multivariate Pareto portfolios: TCE-based capital allocation and dividend differences. Zbl 1164.91028
Chiragiev, Arthur; Landsman, Zinoviy
2007
A mixed copula model for insurance claims and claim sizes. Zbl 1277.62249
Czado, Claudia; Kastenmeier, Rainer; Brechmann, Eike Christian; Min, Aleksey
2012
On composite lognormal-Pareto models. Zbl 1146.91028
Scollnic, David P. M.
2007
An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums. Zbl 1277.60042
Korolev, Victor; Shevtsova, Irina
2012
On a class of discrete time renewal risk models. Zbl 1142.91043
Li, Shuanming
2005
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
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
Criteria for the stochastic ordering of random sums, with actuarial applications. Zbl 1003.60022
Denuit, Michel; Genest, Christian; Marceau, Étienne
2002
Bivariate survival models for coupled lives. Zbl 0959.62094
Carriere, Jacques F.
2000
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
The ruin probability of a discrete time risk model under constant interest rate with heavy tails. Zbl 1142.62094
Tang, Qihe
2004
On finite-time ruin probabilities for classical risk models. Zbl 1164.91033
Lefèvre, Claude; Stéphane, Loisel
2008
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
On Fitting generalized linear and non-linear models of mortality. Zbl 1401.91123
Currie, Iain D.
2016
Spatial modelling of claim frequency and claim size in non-life insurance. Zbl 1150.91026
Gschlöß{l}, Susanne; Czado, Claudia
2007
Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024
Cossette, Héléne; Marceau, Etienne; Marri, Fouad
2010
Characterizations of optimal reinsurance treaties: a cost-benefit approach. Zbl 1401.91112
Cheung, Ka Chun; Lo, Ambrose
2017
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
Extending the Lee-Carter model: a three-way decomposition. Zbl 1277.62260
Russolillo, Maria; Giordano, Giuseppe; Haberman, Steven
2011
On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
2014
Optimal reinsurance arrangements in the presence of two reinsurers. Zbl 1401.91113
Chi, Yichun; Meng, Hui
2014
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
Optimal dynamic premium control in non-life insurance. Maximizing dividend pay-outs. Zbl 1039.91042
Højgaard, Bjarne
2002
Heterogeneity and the need for capital in the individual model. Zbl 1142.91039
Denuit, Michel; Frostig, Esther
2006
Composite lognormal-Pareto model with random threshold. Zbl 1277.62258
Pigeon, Mathieu; Denuit, Michel
2011
Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model. Zbl 1277.62096
Shimizu, Yasutaka
2012
On bonus and bonus prognoses in life insurance. Zbl 0979.91045
Norberg, Ragnar
2001
The impact of multiple structural changes on mortality predictions. Zbl 1401.91221
van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel
2016
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
2007
Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145
Eisenberg, Julia; Schmidli, Hanspeter
2011
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
New composite models for the Danish fire insurance data. Zbl 1401.91177
Nadarajah, S.; Bakar, S. A. A.
2014
On accounting standards and fair valuation of life insurance and pension liabilities. Zbl 1087.62117
Jørgensen, Peter Løchte
2004
Equilibrium compound distributions and stop-loss moments. Zbl 1144.91031
Willmot, Gordon E.; Drekic, Steve; Cai, Jun
2005
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
Folded and log-folded-$$t$$ distributions as models for insurance loss data. Zbl 1277.62248
Brazauskas, Vytaras; Kleefeld, Andreas
2011
Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model. Zbl 1401.91168
Lin, Xiang; Qian, Yiping
2016
Gerber-Shiu analysis with a generalized penalty function. Zbl 1226.60123
Cheung, Eric C. K.; Landriault, David; Willmot, Gordon E.; Woo, Jae-Kyung
2010
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
Lapse rate modeling: a rational expectation approach. Zbl 1224.91150
De Giovanni, Domenico
2010
Erlangian approximation to finite time ruin probabilities in perturbed risk models. Zbl 1277.60128
Stanford, David A.; Yu, Kaiqi; Ren, Jiandong
2011
On the distortion of a copula and its margins. Zbl 1277.62140
Valdez, Emiliano A.; Xiao, Yugu
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.
2015
Parisian ruin probability with a lower ultimate bankrupt barrier. Zbl 1401.91124
Czarna, Irmina
2016
Ruin probabilities and investment under interest force in the presence of regularly varying tails. Zbl 1091.62102
Gaier, J.; Grandits, P.
2004
Semiparametric estimation for non-ruin probabilities. Zbl 1092.91054
Politis, Konstadinos
2003
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
On the analysis of a multi-threshold Markovian risk model. Zbl 1164.91025
Badescu, Andrei; Drekic, Steve; Landriault, Daviv
2007
A unifying approach to the analysis of business with random gains. Zbl 1277.60148
Cheung, Eric C. K.
2012
On semiparametric estimation of ruin probabilities in the classical risk model. Zbl 1401.62212
Masiello, Esterina
2014
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
Asymptotic theory for a risk process with high dividend barrier. Zbl 1092.91043
Irbäck, Johan
2003
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
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
Moment generating functions of compound renewal sums with discounted claims. Zbl 1226.91027
Léveillé, Ghislain; Garrido, José; Wang, Ya Fang
2010
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
2017
Cash flows and policyholder behaviour in the semi-Markov life insurance setup. Zbl 1401.91105
Buchardt, Kristian; Møller, Thomas; Schmidt, Kristian Bjerre
2015
Statistical estimate of the proportional hazard premium of loss. Zbl 1150.91027
Necir, Abdelhakim; Meraghni, Djamel; Meddi, Fatima
2007
On discrete-time dynamic programming in insurance: exponential utility and minimizing the ruin probability. Zbl 1141.91031
Schäl, Manfred
2004
Analysis of a threshold dividend strategy for a MAP risk model. Zbl 1164.91024
Badescu, Andrei; Drekic, Steve; Landriault, Daviv
2007
The Nash bargaining solution vs. equilibrium in a reinsurance syndicate. Zbl 1224.91035
Aase, Knut K.
2009
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
2011
Some results on the compound Markov binomial model. Zbl 1144.91036
Yuen, Kam-Chuen; Guo, Junyi
2006
Rethinking age-period-cohort mortality trend models. Zbl 1401.91088
Alai, Daniel H.; Sherris, Michael
2014
General convex order on risk aggregation. Zbl 1401.91148
Jakobsons, Edgars; Han, Xiaoying; Wang, Ruodu
2016
Modeling claims data with composite Stoppa models. Zbl 1401.62205
Calderín-Ojeda, Enrique; Kwok, Chun Fung
2016
Reduction of value-at-risk bounds via independence and variance information. Zbl 1401.91185
Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; Vanduffel, Steven
2017
Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206
Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.
2017
Gaussian risk models with financial constraints. Zbl 1401.91130
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Ji, Lanpeng
2015
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Zbl 1401.91095
Bacinello, Anna Rita; Millossovich, Pietro; Montealegre, Alvaro
2016
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 07352450
Lopez, Olivier; Milhaud, Xavier
2021
Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach. Zbl 1454.91174
Chen, Ze; Chen, Bingzheng; Dhaene, Jan
2020
Neural network embedding of the over-dispersed Poisson reserving model. Zbl 1430.91076
Gabrielli, Andrea; Richman, Ronald; Wüthrich, Mario V.
2020
A Hermite-spline model of post-retirement mortality. Zbl 1433.91144
Richards, Stephen J.
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
Cohort and value-based multi-country longevity risk management. Zbl 1448.91267
Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan
2020
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
A multivariate Markov chain stock model. Zbl 1447.91133
D&rsquo;Amico, Guglielmo; De Blasis, Riccardo
2020
A ruin model with a resampled environment. Zbl 1447.91131
Constantinescu, C.; Delsing, G.; Mandjes, M.; Rojas Nandayapa, L.
2020
Robust reinsurance contracts with risk constraint. Zbl 1447.91151
Wang, Ning; Siu, Tak Kuen
2020
Weighted utility optimization of the participating endowment contract. Zbl 1448.91260
He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming
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
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
Incorporating structural changes in mortality improvements for mortality forecasting. Zbl 1454.91198
Li, Jackie; Wong, Kenneth
2020
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264
Barigou, Karim; Dhaene, Jan
2019
Computing the Gerber-Shiu function by frame duality projection. Zbl 1411.91320
Wang, Wenyuan; Zhang, Zhimin
2019
Interplay of insurance and financial risks in a stochastic environment. Zbl 1411.91316
Tang, Qihe; Yang, Yang
2019
Claims frequency modeling using telematics car driving data. Zbl 1411.91280
Gao, Guangyuan; Meng, Shengwang; Wüthrich, Mario V.
2019
The expected discounted penalty function: from infinite time to finite time. Zbl 1411.91303
Li, Shuanming; Lu, Yi; Sendova, Kristina P.
2019
Periodic threshold-type dividend strategy in the compound Poisson risk model. Zbl 1418.91232
Cheung, Eric C. K.; Zhang, Zhimin
2019
A two-dimensional dividend problem for collaborating companies and an optimal stopping problem. Zbl 1418.91239
Grandits, Peter
2019
Budget-constrained optimal reinsurance design under coherent risk measures. Zbl 1426.91209
Cheung, Ka Chun; Chong, Wing Fung; Lo, Ambrose
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
A constraint-free approach to optimal reinsurance. Zbl 1418.91238
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
2019
Life insurance decisions under recursive utility. Zbl 1411.91288
Jensen, Ninna Reitzel
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
Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Zbl 1422.91354
Hieber, Peter; Natolski, Jan; Werner, Ralf
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
Gibbs posterior inference on value-at-risk. Zbl 1422.91376
Syring, Nicholas; Hong, Liang; Martin, Ryan
2019
Extending composite loss models using a general framework of advanced computational tools. Zbl 1422.91351
Grün, Bettina; Miljkovic, Tatjana
2019
The maximum entropy mortality model: forecasting mortality using statistical moments. Zbl 1422.91370
Pascariu, Marius D.; Lenart, Adam; Canudas-Romo, Vladimir
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
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
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
Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure. Zbl 1426.91216
Fergusson, K.
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
Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Zbl 1416.91153
Balakrishnan, Narayanaswamy; Zhang, Yiying; Zhao, Peng
2018
A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229
Zhang, Zhimin; Su, Wen
2018
Machine learning in individual claims reserving. Zbl 1416.91225
Wüthrich, Mario V.
2018
Robust reinsurance contracts in continuous time. Zbl 1416.91189
Hu, Duni; Chen, Shou; Wang, Hailong
2018
Randomly weighted sums of dependent subexponential random variables with applications to risk theory. Zbl 1396.62021
Cheng, Fengyang; Cheng, Dongya
2018
Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. Zbl 1418.91259
Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang
2018
Linking dividends and capital injections – a probabilistic approach. Zbl 1416.91146
Albrecher, Hansjörg; Ivanovs, Jevgenijs
2018
Ruin probabilities in classical risk models with gamma claims. Zbl 1416.91166
Constantinescu, Corina; Samorodnitsky, Gennady; Zhu, Wei
2018
Multivariate geometric expectiles. Zbl 1398.62302
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina
2018
Optimal retirement time under habit persistence: what makes individuals retire early? Zbl 1396.91681
Chen, An; Hentschel, Felix; Xu, Xian
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
An application of two-stage quantile regression to insurance ratemaking. Zbl 1418.91242
Heras, Antonio; Moreno, Ignacio; Vilar-Zanón, José L.
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
A note on optimal expected utility of dividend payments with proportional reinsurance. Zbl 1416.91201
Liang, Xiaoqing; Palmowski, Zbigniew
2018
Conditional risk measures in a bipartite market structure. Zbl 1416.91194
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine
2018
Mathematical foundation of the replicating portfolio approach. Zbl 1416.91211
Natolski, Jan; Werner, Ralf
2018
A dynamic bivariate common shock model with cumulative effect and its actuarial application. Zbl 1418.91247
Lee, Hyunju; Cha, Ji Hwan
2018
Lifetime asset allocation with idiosyncratic and systematic mortality risks. Zbl 1416.91221
Shen, Yang; Sherris, Michael
2018
Automatic balancing mechanisms for notional defined contribution accounts in the presence of uncertainty. Zbl 1416.91147
Alonso-García, Jennifer; Boado-Penas, María del Carmen; Devolder, Pierre
2018
Third cumulant for multivariate aggregate claim models. Zbl 1398.62315
Loperfido, Nicola; Mazur, Stepan; Podgórski, Krzysztof
2018
A note on Mossin’s theorem for deductible insurance given random initial wealth. Zbl 1416.91187
Hong, Liang
2018
Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations. Zbl 1416.91190
Hu, Xiang; Zhang, Lianzeng; Sun, Weiwei
2018
Ruin under stochastic dependence between premium and claim arrivals. Zbl 1416.91223
Vidmar, Matija
2018
Dirichlet process mixture models for insurance loss data. Zbl 1416.91188
Hong, Liang; Martin, Ryan
2018
Valuation of an early exercise defined benefit underpin hybrid pension. Zbl 1418.91261
Zhu, Xiaobai; Hardy, Mary; Saunders, David
2018
Odd Pareto families of distributions for modeling loss payment data. Zbl 1416.91208
Mdziniso, Nonhle Channon; Cooray, Kahadawala
2018
Sharp bounds on change in expected values and variances for single risk analysis in the flood catastrophe model. Zbl 1416.91210
Miziuła, Patryk; Solnický, Radek
2018
Confidence intervals of the premiums of optimal bonus malus systems. Zbl 1416.91193
Karlis, Dimitris; Tzougas, George; Frangos, Nicholas
2018
Separation of small and large claims on the basis of collective models. Zbl 1416.91182
Gütschow, Tobias; Hess, Klaus Th.; Schmidt, Klaus D.
2018
A Bayesian non-parametric model for small population mortality. Zbl 1416.91204
Li, Hong; Lu, Yang
2018
Interest rate model comparisons for participating products under Solvency II. Zbl 1396.91289
Aas, Kjersti; Neef, Linda R.; Williams, Lloyd; Raabe, Dag
2018
A proposition of generalized stochastic Milevsky-Promislov mortality models. Zbl 1418.91258
\`Sliwka, Piotr; Socha, Lesław
2018
Optimal investment and risk control for an insurer with partial information in an anticipating environment. Zbl 1418.91255
Peng, Xingchun; Chen, Fenge; Wang, Wenyuan
2018
Characterizations of optimal reinsurance treaties: a cost-benefit approach. Zbl 1401.91112
Cheung, Ka Chun; Lo, Ambrose
2017
Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
2017
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
2017
Reduction of value-at-risk bounds via independence and variance information. Zbl 1401.91185
Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; Vanduffel, Steven
2017
Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206
Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.
2017
Estimating the Gerber-Shiu function by Fourier-Sinc series expansion. Zbl 1402.91219
Zhang, Zhimin
2017
A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints. Zbl 1402.91208
Lo, Ambrose
2017
Basis risk in static versus dynamic longevity-risk hedging. Zbl 1401.91129
De Rosa, Clemente; Luciano, Elisa; Regis, Luca
2017
Product pricing and solvency capital requirements for long-term care insurance. Zbl 1401.91192
Shao, Adam W.; Sherris, Michael; Fong, Joelle H.
2017
A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model. Zbl 1401.91121
Costabile, M.
2017
Incorporating the Bühlmann credibility into mortality models to improve forecasting performances. Zbl 1401.91198
Tsai, Cary Chi-Liang; Lin, Tzuling
2017
Nonparametric estimation of the finite time ruin probability in the classical risk model. Zbl 1401.91215
Zhang, Zhimin
2017
On capital injections and dividends with tax in a diffusion approximation. Zbl 1402.91991
Schmidli, Hanspeter
2017
Forecasting disability: application of a frailty model. Zbl 1401.91137
Fong, Joelle H.; Sherris, Michael; Yap, James
2017
Valuing variable annuity guarantees on multiple assets. Zbl 1401.91127
Da Fonseca, José; Ziveyi, Jonathan
2017
CDF formulation for solving an optimal reinsurance problem. Zbl 1401.91200
Weng, Chengguo; Zhuang, Sheng Chao
2017
A class of nonzero-sum investment and reinsurance games subject to systematic risks. Zbl 1402.91215
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; Zhao, Hui
2017
Ruin probabilities in multivariate risk models with periodic common shock. Zbl 1401.91119
Cojocaru, Ionica
2017
Drawdown analysis for the renewal insurance risk process. Zbl 1401.91159
Landriault, David; Li, Bin; Li, Shu
2017
Optimal insurance in the presence of reinsurance. Zbl 1402.91221
Zhuang, Sheng Chao; Boonen, Tim J.; Tan, Ken Seng; Xu, Zuo Quan
2017
On the relationship between classical chain ladder and granular reserving. Zbl 1402.91199
Hiabu, M.
2017
A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics. Zbl 1403.62189
Hendriks, Harrie; Landsman, Zinoviy
2017
Discrete time ruin probability with Parisian delay. Zbl 1402.91188
Czarna, Irmina; Palmowski, Zbigniew; Świątek, Przemysław
2017
Integral and differential equations for the moments of multistate models in health insurance. Zbl 1401.91086
Adékambi, Franck; Christiansen, Marcus C.
2017
...and 329 more Documents
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#### Cited by 2,363 Authors

 43 Zhang, Zhimin 34 Landriault, David 32 Yang, Hailiang 31 Willmot, Gordon E. 30 Yuen, Kam Chuen 28 Cheung, Eric C. K. 27 Denuit, Michel M. 25 Albrecher, Hansjörg 24 Li, Shuanming 22 Badescu, Andrei L. 22 Haberman, Steven 21 Cheung, Ka Chun 21 Liang, Zhibin 21 Loisel, Stéphane 20 Guo, Junyi 20 Hashorva, Enkelejd 19 Marceau, Étienne 19 Tang, Qihe 19 Yang, Hu 19 Young, Virginia R. 18 Cai, Jun 18 Cossette, Hélène 18 Nielsen, Jens Perch 18 Woo, Jae-Kyung 17 Li, Johnny Siu-Hang 17 Sherris, Michael 16 Asimit, Alexandru V. 16 Christiansen, Marcus Christian 16 Lefèvre, Claude 14 Antonio, Katrien 14 Dickson, David C. M. 14 Frostig, Esther 14 Weng, Chengguo 14 Yam, Sheung Chi Phillip 14 Yin, Chuancun 14 Zitikis, Ričardas 13 Gao, Qingwu 13 Li, Jinzhu 13 Macdonald, Angus S. 13 Ren, Jiandong 13 Steffensen, Mogens 13 Tan, Ken Seng 13 Vernic, Raluca 12 Gómez-Déniz, Emilio 12 Guillen, Montserrat 12 Jin, Zhuo 12 Kaishev, Vladimir K. 12 Landsman, Zinoviy M. 12 Palmowski, Zbigniew 12 Schmidli, Hanspeter 12 Šiaulys, Jonas 12 Wüthrich, Mario Valentin 11 Blake, David 11 Chen, An 11 Furman, Edward 11 Ji, Lanpeng 11 Kortschak, Dominik 11 Li, Danping 11 Li, Jackie Ji 11 Lin, X. Sheldon 11 Shen, Yang 11 Zeng, Yan 11 Zhou, Ming 10 Avram, Florin 10 Bäuerle, Nicole 10 Chen, Yiqing 10 Dhaene, Jan 10 Fu, Ke’ang 10 Léveillé, Ghislain 10 Lu, Yi 10 Nadarajah, Saralees 10 Sendova, Kristina P. 10 Siu, Tak Kuen 10 Trufin, Julien 10 Wang, Ruodu 9 Asmussen, Søren 9 Boonen, Tim J. 9 Breuer, Lothar 9 Constantinescu, Corina D. 9 Czado, Claudia 9 Drekic, Steve 9 Klüppelberg, Claudia 9 Li, Bin 9 Meng, Hui 9 Stanford, David A. 9 Wang, Yuebao 9 Waters, Howard R. 9 Wu, Rong 9 Zhang, Yi 9 Zhang, Yiying 8 Bai, Lihua 8 Cairns, Andrew J. G. 8 Chen, Mi 8 Chen, Ping 8 Dębicki, Krzysztof 8 Gatzert, Nadine 8 Kleinow, Torsten 8 Salhi, Yahia 8 Valdez, Emiliano A. 8 Wang, Kaiyong ...and 2,263 more Authors
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#### Cited in 200 Journals

 610 Insurance Mathematics & Economics 292 Scandinavian Actuarial Journal 94 North American Actuarial Journal 93 ASTIN Bulletin 77 Journal of Computational and Applied Mathematics 58 European Actuarial Journal 57 Statistics & Probability Letters 54 Methodology and Computing in Applied Probability 36 Journal of Applied Probability 36 Stochastic Models 31 Communications in Statistics. Theory and Methods 25 European Journal of Operational Research 23 Advances in Applied Probability 23 Journal of Industrial and Management Optimization 20 Acta Mathematicae Applicatae Sinica. English Series 19 Applied Mathematics and Computation 18 Journal of Mathematical Analysis and Applications 18 Lithuanian Mathematical Journal 18 Journal of Multivariate Analysis 18 Quantitative Finance 17 Annals of Operations Research 17 Mathematical Problems in Engineering 15 Stochastic Processes and their Applications 14 Finance and Stochastics 14 Applied Stochastic Models in Business and Industry 13 Computational Statistics and Data Analysis 13 Journal of the Korean Statistical Society 11 Discrete Dynamics in Nature and Society 11 Extremes 11 Journal of Systems Science and Complexity 11 Dependence Modeling 10 Journal of Econometrics 10 Stochastic Analysis and Applications 10 Probability in the Engineering and Informational Sciences 9 Journal of Statistical Planning and Inference 9 Applied Mathematics. Series B (English Edition) 9 Mathematical Finance 9 Mathematical Methods of Operations Research 9 Journal of Applied Statistics 9 Decisions in Economics and Finance 9 Stochastics 9 Science China. Mathematics 9 Modern Stochastics. Theory and Applications 8 Theory of Probability and its Applications 8 Bernoulli 7 Queueing Systems 7 The Annals of Applied Probability 7 Journal of Statistical Computation and Simulation 7 Test 7 Advances in Difference Equations 7 Journal of Probability and Statistics 7 Statistics & Risk Modeling 6 Journal of Economic Dynamics & Control 6 Acta Mathematica Sinica. English Series 6 Frontiers of Mathematics in China 5 Japan Journal of Industrial and Applied Mathematics 5 Communications in Statistics. Simulation and Computation 5 Journal of Mathematical Sciences (New York) 5 Lifetime Data Analysis 5 Journal of Inequalities and Applications 5 The ANZIAM Journal 5 Journal of Statistical Theory and Practice 5 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) 4 Journal of Optimization Theory and Applications 4 Statistics 4 Optimization 4 Statistical Papers 4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 4 Journal of Applied Mathematics and Computing 4 Mathematics and Financial Economics 4 Electronic Journal of Statistics 4 Communications in Mathematics and Statistics 3 Metrika 3 Scandinavian Journal of Statistics 3 Mathematics of Operations Research 3 Optimal Control Applications & Methods 3 Operations Research Letters 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 International Journal of Theoretical and Applied Finance 3 Statistical Inference for Stochastic Processes 3 Advances and Applications in Statistics 3 Entropy 3 Computational Management Science 3 Statistical Methods and Applications 3 The Annals of Applied Statistics 3 Journal of Statistical Distributions and Applications 3 Journal of Function Spaces 2 Computers & Mathematics with Applications 2 Annals of the Institute of Statistical Mathematics 2 The Annals of Statistics 2 Applied Mathematics and Optimization 2 Fuzzy Sets and Systems 2 Journal of Mathematical Economics 2 Mathematics and Computers in Simulation 2 Operations Research ...and 100 more Journals
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#### Cited in 41 Fields

 1,829 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 993 Statistics (62-XX) 947 Probability theory and stochastic processes (60-XX) 184 Systems theory; control (93-XX) 76 Numerical analysis (65-XX) 76 Operations research, mathematical programming (90-XX) 50 Calculus of variations and optimal control; optimization (49-XX) 19 Integral equations (45-XX) 19 Biology and other natural sciences (92-XX) 16 Integral transforms, operational calculus (44-XX) 14 Partial differential equations (35-XX) 14 Computer science (68-XX) 7 General and overarching topics; collections (00-XX) 7 Special functions (33-XX) 7 Approximations and expansions (41-XX) 7 Operator theory (47-XX) 6 Real functions (26-XX) 6 Geophysics (86-XX) 5 Functional analysis (46-XX) 4 Combinatorics (05-XX) 4 Ordinary differential equations (34-XX) 4 Global analysis, analysis on manifolds (58-XX) 3 Field theory and polynomials (12-XX) 3 Information and communication theory, circuits (94-XX) 2 History and biography (01-XX) 2 Potential theory (31-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Difference and functional equations (39-XX) 2 Harmonic analysis on Euclidean spaces (42-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 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) 1 Statistical mechanics, structure of matter (82-XX) 1 Mathematics education (97-XX)