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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
Documents Indexed: 610 Publications (since 2000)
References Indexed: 593 Publications with 15,821 References.
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Authors

13 Denuit, Michel M.
13 Macdonald, Angus S.
11 Landriault, David
11 Willmot, Gordon E.
11 Wüthrich, Mario Valentin
10 Cheung, Ka Chun
10 Li, Shuanming
9 Sherris, Michael
8 Cheung, Eric C. K.
8 Zhang, Zhimin
7 Badescu, Andrei L.
7 Dickson, David C. M.
7 Kleinow, Torsten
7 Landsman, Zinoviy M.
7 Stanford, David A.
7 Waters, Howard R.
7 Yang, Hailiang
6 Albrecher, Hansjörg
6 Christiansen, Marcus Christian
6 Dhaene, Jan
6 Drekic, Steve
6 Frostig, Esther
6 Hashorva, Enkelejd
6 Nielsen, Jens Perch
6 Tsai, Cary Chi-Liang
6 Yuen, Kam Chuen
5 Cai, Jun
5 Devolder, Pierre
5 Grandits, Peter
5 Hong, Liang
5 Léveillé, Ghislain
5 Li, Jackie Ji
5 Lu, Yi
5 Richards, Stephen J.
5 Schmidli, Hanspeter
5 Siu, Tak Kuen
5 Steffensen, Mogens
5 Tang, Qihe
5 Trufin, Julien
5 Ziveyi, Jonathan
4 Alai, Daniel H.
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 Lindholm, Mathias
4 Loisel, Stéphane
4 Marceau, Étienne
4 Møller, Thomas H.
4 Samorodnitsky, Gennady Pinkhosovich
4 Woo, Jae-Kyung
4 Yam, Sheung Chi Phillip
4 Young, Virginia R.
4 Zhang, Lianzeng
4 Zhang, Yiying
3 Aas, Kjersti
3 Aase, Knut Kristian
3 Adékambi, Franck
3 Antonio, Katrien
3 Bäuerle, Nicole
3 Beirlant, Jan
3 Bladt, Mogens
3 Boonen, Tim J.
3 Brazauskas, Vytaras
3 Breuer, Lothar
3 Buchardt, Kristian
3 Cooray, Kahadawala
3 Cossette, Hélène
3 Czado, Claudia
3 Djehiche, Boualem
3 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 Jin, Zhuo
3 Li, Hong
3 Lo, Ambrose
3 Løchte Jørgensen, Peter
3 Lu, Baopeng
3 Luo, Shangzhen
3 Martin, Ryan
3 Merz, Michael
3 Nadarajah, Saralees
3 Norberg, Ragnar
3 Ohlsson, Esbjörn
3 Palmowski, Zbigniew
3 Peng, Liang
3 Pennanen, Teemu
3 Politis, Konstadinos
3 Ren, Jiandong
3 Rosenlund, Stig I.
3 Schumacher, Johannes M.
...and 767 more Authors

Publications by Year

Citations contained in zbMATH Open

497 Publications have been cited 4,566 times in 2,805 Documents Cited by Year
Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039
Schmidli, Hanspeter
118
2001
On a risk model with dependence between interclaim arrivals and claim sizes. Zbl 1145.91030
Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne
94
2006
Extremes on the discounted aggregate claims in a time dependent risk model. Zbl 1224.91041
Asimit, Alexandru V.; Badescu, Andrei L.
72
2010
Modeling and management of mortality risk: a review. Zbl 1224.91048
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
68
2008
Bootstrapping the Poisson log-bilinear model for mortality forecasting. Zbl 1092.91038
Brouhns, Natacha; Denuit, Michel; van Keilegom, Ingrid
56
2005
Optimal dynamic reinsurance with dependent risks: variance premium principle. Zbl 1401.91167
Liang, Zhibin; Yuen, Kam Chuen
51
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
51
2005
Modelling actuarial data with a composite lognormal-Pareto model. Zbl 1143.91027
Cooray, Kahadawala; Ananda, Malwane M. A.
50
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
47
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
46
2013
Micro-level stochastic loss reserving for general insurance. Zbl 1401.91091
Antonio, Katrien; Plat, Richard
45
2014
A mixed copula model for insurance claims and claim sizes. Zbl 1277.62249
Czado, Claudia; Kastenmeier, Rainer; Brechmann, Eike Christian; Min, Aleksey
42
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.
40
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
39
2012
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
The distribution of the dividend payments in the compound Poisson risk model perturbed by diffusion. Zbl 1143.91032
Li, Shuanming
38
2006
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
38
2006
On systematic mortality risk and risk-minimization with survivor swaps. Zbl 1224.91054
Dahl, Mikkel; Melchior, Martin; Møller, Thomas
37
2008
On composite lognormal-Pareto models. Zbl 1146.91028
Scollnic, David P. M.
37
2007
Characterizations of optimal reinsurance treaties: a cost-benefit approach. Zbl 1401.91112
Cheung, Ka Chun; Lo, Ambrose
36
2017
Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria. Zbl 1401.91208
Yi, Bo; Viens, Frederi; Li, Zhongfei; Zeng, Yan
36
2015
Stochastic mortality under measure changes. Zbl 1226.91022
Biffis, Enrico; Denuit, Michel; Devolder, Pierre
36
2010
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
33
2004
An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums. Zbl 1277.60042
Korolev, Victor; Shevtsova, Irina
33
2012
Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Zbl 1144.91030
Tang, Qihe
33
2005
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
32
2018
Estimation of the characteristics of the jumps of a general Poisson-diffusion model. Zbl 1114.62081
Mancini, Cecilia
31
2004
Multivariate Pareto portfolios: TCE-based capital allocation and dividend differences. Zbl 1164.91028
Chiragiev, Arthur; Landsman, Zinoviy
31
2007
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.
31
2004
The Gerber-Shiu function in Sparre Andersen risk process perturbed by diffusion. Zbl 1092.91049
Li, Shuanming; Garrido, José
30
2005
The fair value of guaranteed annuity options. Zbl 1142.91036
Biffis, Enrico; Millossovich, Pietro
30
2006
Bivariate survival models for coupled lives. Zbl 0959.62094
Carriere, Jacques F.
30
2000
On a class of discrete time renewal risk models. Zbl 1142.91043
Li, Shuanming
28
2005
Recursive moments of compound renewal sums with discounted claims. Zbl 0979.91048
Léveillé, Ghislain; Garrido, José
28
2001
Minimum rate of return guarantees: the Danish case. Zbl 1039.91040
Hansen, Mette; Miltersen, Kristian R.
27
2002
On Fitting generalized linear and non-linear models of mortality. Zbl 1401.91123
Currie, Iain D.
27
2016
Mean-variance optimal reinsurance arrangements. Zbl 1117.62115
Kaluszka, Marek
27
2004
Two-sided bounds for the finite time probability of ruin. Zbl 0958.91030
Ignatov, Z. G.; Kaishev, V. K.
27
2000
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.
26
2005
Composite lognormal-Pareto model with random threshold. Zbl 1277.62258
Pigeon, Mathieu; Denuit, Michel
26
2011
Criteria for the stochastic ordering of random sums, with actuarial applications. Zbl 1003.60022
Denuit, Michel; Genest, Christian; Marceau, Étienne
26
2002
Optimal dynamic premium control in non-life insurance. Maximizing dividend pay-outs. Zbl 1039.91042
Højgaard, Bjarne
25
2002
Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024
Cossette, Héléne; Marceau, Etienne; Marri, Fouad
25
2010
On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
24
2014
On finite-time ruin probabilities for classical risk models. Zbl 1164.91033
Lefèvre, Claude; Stéphane, Loisel
24
2008
Extending the Lee-Carter model: a three-way decomposition. Zbl 1277.62260
Russolillo, Maria; Giordano, Giuseppe; Haberman, Steven
24
2011
The ruin probability of a discrete time risk model under constant interest rate with heavy tails. Zbl 1142.62094
Tang, Qihe
24
2004
Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model. Zbl 1277.62096
Shimizu, Yasutaka
23
2012
New composite models for the Danish fire insurance data. Zbl 1401.91177
Nadarajah, S.; Bakar, S. A. A.
22
2014
Optimal reinsurance arrangements in the presence of two reinsurers. Zbl 1401.91113
Chi, Yichun; Meng, Hui
22
2014
Machine learning in individual claims reserving. Zbl 1416.91225
Wüthrich, Mario V.
22
2018
Heterogeneity and the need for capital in the individual model. Zbl 1142.91039
Denuit, Michel; Frostig, Esther
22
2006
On the analysis of a multi-threshold Markovian risk model. Zbl 1164.91025
Badescu, Andrei; Drekic, Steve; Landriault, Daviv
20
2007
Folded and log-folded-\(t\) distributions as models for insurance loss data. Zbl 1277.62248
Brazauskas, Vytaras; Kleefeld, Andreas
20
2011
The impact of multiple structural changes on mortality predictions. Zbl 1401.91221
van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel
19
2016
Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model. Zbl 1401.91168
Lin, Xiang; Qian, Yiping
19
2016
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
19
2017
Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks. Zbl 1401.91205
Yang, Yang; Konstantinides, Dimitrios G.
19
2015
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
19
2007
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
Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145
Eisenberg, Julia; Schmidli, Hanspeter
19
2011
On the distortion of a copula and its margins. Zbl 1277.62140
Valdez, Emiliano A.; Xiao, Yugu
19
2011
Equilibrium compound distributions and stop-loss moments. Zbl 1144.91031
Willmot, Gordon E.; Drekic, Steve; Cai, Jun
19
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
19
2005
Optimal reinsurance with expectile. Zbl 1401.91106
Cai, Jun; Weng, Chengguo
18
2016
On semiparametric estimation of ruin probabilities in the classical risk model. Zbl 1401.62212
Masiello, Esterina
18
2014
Cash flows and policyholder behaviour in the semi-Markov life insurance setup. Zbl 1401.91105
Buchardt, Kristian; Møller, Thomas; Schmidt, Kristian Bjerre
18
2015
Parisian ruin probability with a lower ultimate bankrupt barrier. Zbl 1401.91124
Czarna, Irmina
18
2016
Ruin probabilities and investment under interest force in the presence of regularly varying tails. Zbl 1091.62102
Gaier, J.; Grandits, P.
18
2004
Modeling claims data with composite Stoppa models. Zbl 1401.62205
Calderín-Ojeda, Enrique; Kwok, Chun Fung
17
2016
Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
17
2017
Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206
Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.
17
2017
Semiparametric estimation for non-ruin probabilities. Zbl 1092.91054
Politis, Konstadinos
17
2003
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
17
2005
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
Gerber-Shiu analysis with a generalized penalty function. Zbl 1226.60123
Cheung, Eric C. K.; Landriault, David; Willmot, Gordon E.; Woo, Jae-Kyung
17
2010
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Zbl 1401.91095
Bacinello, Anna Rita; Millossovich, Pietro; Montealegre, Alvaro
16
2016
On accounting standards and fair valuation of life insurance and pension liabilities. Zbl 1087.62117
Jørgensen, Peter Løchte
16
2004
Analysis of a threshold dividend strategy for a MAP risk model. Zbl 1164.91024
Badescu, Andrei; Drekic, Steve; Landriault, Daviv
16
2007
A unifying approach to the analysis of business with random gains. Zbl 1277.60148
Cheung, Eric C. K.
16
2012
Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks. Zbl 1401.91204
Yang, Haizhong; Gao, Wei; Li, Jinzhu
15
2016
Erlangian approximation to finite time ruin probabilities in perturbed risk models. Zbl 1277.60128
Stanford, David A.; Yu, Kaiqi; Ren, Jiandong
15
2011
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
15
2011
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
Bayesian premium rating with latent structure. Zbl 1039.91039
Dimakos, Xeni K.; Di Rattalma, Arnoldo Frigessi
14
2002
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
14
2015
A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229
Zhang, Zhimin; Su, Wen
14
2018
Asymptotic theory for a risk process with high dividend barrier. Zbl 1092.91043
Irbäck, Johan
14
2003
Statistical estimate of the proportional hazard premium of loss. Zbl 1150.91027
Necir, Abdelhakim; Meraghni, Djamel; Meddi, Fatima
14
2007
Combining generalized linear models and credibility models in practice. Zbl 1224.91080
Ohlsson, Esbjörn
14
2008
Knowledge elicitation of Gompertz’ law of mortality. Zbl 0971.62073
Willemse, W. J.; Koppelaar, H.
14
2000
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.
14
2005
General convex order on risk aggregation. Zbl 1401.91148
Jakobsons, Edgars; Han, Xiaoying; Wang, Ruodu
13
2016
Collective reserving using individual claims data. Zbl 1492.91285
Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V.
2
2022
Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game. Zbl 1494.91128
Yuan, Yu; Liang, Zhibin; Han, Xia
1
2022
Optimal reinsurance with model uncertainty and Stackelberg game. Zbl 1492.91292
Gavagan, Joshua; Hu, Liang; Lee, Gee Y.; Liu, Haiyan; Weixel, Anna
1
2022
Time-series forecasting of mortality rates using deep learning. Zbl 1471.91480
Perla, Francesca; Richman, Ronald; Scognamiglio, Salvatore; Wüthrich, Mario V.
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
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
Bowley reinsurance with asymmetric information on the insurer’s risk preferences. Zbl 1471.91448
Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying
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
Life expectancy and lifespan disparity forecasting: a long short-term memory approach. Zbl 1468.91128
Nigri, Andrea; Levantesi, Susanna; Marino, Mario
3
2021
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure. Zbl 1468.91122
Chen, Mi; Yuen, Kam Chuen; Wang, Wenyuan
3
2021
Time-consistent and market-consistent actuarial valuation of the participating pension contract. Zbl 1475.91315
Salahnejhad Ghalehjooghi, Ahmad; Pelsser, Antoon
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
Two-step risk analysis in insurance ratemaking. Zbl 1471.91464
Ki Kang, Seul; Peng, Liang; Golub, Andrew
2
2021
Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays. Zbl 1468.91126
Lopez, Olivier; Milhaud, Xavier
2
2021
Robust optimal investment and reinsurance problems with learning. Zbl 1468.91121
Bäuerle, Nicole; Leimcke, Gregor
2
2021
Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models. Zbl 1479.91327
Hillairet, Caroline; Lopez, Olivier
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
Grouping of contracts in insurance using neural networks. Zbl 1470.91231
Kiermayer, Mark; Weiß, Christian
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
Retrospective reserves and bonus. Zbl 1471.91449
Bruhn, Kenneth; Lollike, Alexander Sevel
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
Genetics, insurance and hypertrophic cardiomyopathy. Zbl 1466.91259
Haçarız, Oytun; Kleinow, Torsten; Macdonald, Angus S.
1
2021
An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking. Zbl 1467.91129
Baione, Fabio; Biancalana, Davide
1
2021
A law of uniform seniority for dependent lives. Zbl 1480.91205
Genest, Christian; Kolev, Nikolai
1
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
1
2021
Finite-time ruin probability for correlated Brownian motions. Zbl 1487.60075
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Krystecki, Konrad
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
Age-coherent extensions of the Lee-Carter model. Zbl 1492.91291
Gao, Guangyuan; Shi, Yanlin
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
10
2020
Neural network embedding of the over-dispersed Poisson reserving model. Zbl 1430.91076
Gabrielli, Andrea; Richman, Ronald; Wüthrich, Mario V.
7
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
7
2020
Robust reinsurance contracts with risk constraint. Zbl 1447.91151
Wang, Ning; Siu, Tak Kuen
7
2020
Cohort and value-based multi-country longevity risk management. Zbl 1448.91267
Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan
5
2020
Bonus-malus premiums under the dependent frequency-severity modeling. Zbl 1436.91103
Oh, Rosy; Shi, Peng; Ahn, Jae Youn
5
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.
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
A ruin model with a resampled environment. Zbl 1447.91131
Constantinescu, C.; Delsing, G.; Mandjes, M.; Rojas Nandayapa, L.
4
2020
Continuous chain-ladder with paid data. Zbl 1448.91254
Bischofberger, Stephan M.; Hiabu, Munir; Isakson, Alex
3
2020
Combined tail estimation using censored data and expert information. Zbl 1448.91255
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
3
2020
A Hermite-spline model of post-retirement mortality. Zbl 1433.91144
Richards, Stephen J.
3
2020
Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. Zbl 1451.91167
Guan, Guohui; Wang, Xiaojun
3
2020
Continuous-time multi-cohort mortality modelling with affine processes. Zbl 1448.91270
Xu, Yajing; Sherris, Michael; Ziveyi, Jonathan
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
Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors. Zbl 1448.91261
Hong, Liang; Martin, Ryan
2
2020
Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates. Zbl 1433.91139
Liu, Yuying; Liu, Zhaoyang; Liu, Guoxin
2
2020
Budget-constrained optimal retention with an upper limit on the retained loss. Zbl 1436.91102
Ghossoub, Mario
2
2020
On series expansions for scale functions and other ruin-related quantities. Zbl 1447.91142
Landriault, David; Willmot, Gordon E.
2
2020
Approximation of ruin probability and ruin time in discrete Brownian risk models. Zbl 1454.91193
Jasnovidov, Grigori
2
2020
The Lee-Carter quantile mortality model. Zbl 1448.91265
Santolino, Miguel
1
2020
Optimal asset allocation for participating contracts under the VaR and PI constraint. Zbl 1433.91129
Dong, Yinghui; Wu, Sang; Lv, Wenxin; Wang, Guojing
1
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
Proportional reinsurance and investment in multiple risky assets under borrowing constraint. Zbl 1447.91153
Yener, Haluk
1
2020
Modelling seasonal mortality with individual data. Zbl 1454.91206
Richards, Stephen J.; Ramonat, Stefan J.; Vesper, Gregory T.; Kleinow, Torsten
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
Multi-population mortality forecasting using tensor decomposition. Zbl 1454.91179
Dong, Yumo; Huang, Fei; Yu, Honglin; Haberman, Steven
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
11
2019
Claims frequency modeling using telematics car driving data. Zbl 1411.91280
Gao, Guangyuan; Meng, Shengwang; Wüthrich, Mario V.
11
2019
Computing the Gerber-Shiu function by frame duality projection. Zbl 1411.91320
Wang, Wenyuan; Zhang, Zhimin
11
2019
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264
Barigou, Karim; Dhaene, Jan
9
2019
Budget-constrained optimal reinsurance design under coherent risk measures. Zbl 1426.91209
Cheung, Ka Chun; Chong, Wing Fung; Lo, Ambrose
7
2019
The expected discounted penalty function: from infinite time to finite time. Zbl 1411.91303
Li, Shuanming; Lu, Yi; Sendova, Kristina P.
7
2019
Interplay of insurance and financial risks in a stochastic environment. Zbl 1411.91316
Tang, Qihe; Yang, Yang
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
5
2019
A constraint-free approach to optimal reinsurance. Zbl 1418.91238
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
5
2019
Periodic threshold-type dividend strategy in the compound Poisson risk model. Zbl 1418.91232
Cheung, Eric C. K.; Zhang, Zhimin
4
2019
Parisian types of ruin probabilities for a class of dependent risk-reserve processes. Zbl 1418.91230
Bladt, Mogens; Nielsen, Bo Friis; Peralta, Oscar
4
2019
A two-dimensional dividend problem for collaborating companies and an optimal stopping problem. Zbl 1418.91239
Grandits, Peter
4
2019
Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
3
2019
A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates. Zbl 1411.91317
Tsai, Cary Chi-Liang; Zhang, Ying
3
2019
Optimal proportional reinsurance with a loss-dependent premium principle. Zbl 1426.91223
Hu, Duni; Wang, Hailong
2
2019
Reinsurance contract design with adverse selection. Zbl 1426.91211
Cheung, K. C.; Yam, S. C. P.; Yuen, F. L.
2
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
2
2019
Gibbs posterior inference on value-at-risk. Zbl 1422.91376
Syring, Nicholas; Hong, Liang; Martin, Ryan
2
2019
A unified approach to ruin probabilities with delays for spectrally negative Lévy processes. Zbl 1422.91361
Lkabous, Mohamed Amine; Renaud, Jean-François
2
2019
Life insurance decisions under recursive utility. Zbl 1411.91288
Jensen, Ninna Reitzel
2
2019
Modeling cause-of-death mortality using hierarchical Archimedean copula. Zbl 1411.91299
Li, Hong; Lu, Yang
2
2019
A logistic two-population mortality projection model for modelling mortality at advanced ages for both sexes. Zbl 1411.91300
Li, Jackie; Liu, Jia
2
2019
Insurance loss coverage and social welfare. Zbl 1411.91284
Hao, MingJie; Macdonald, Angus S.; Tapadar, Pradip; Thomas, R. Guy
2
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
1
2019
Concordance-based predictive measures in regression models for discrete responses. Zbl 1426.91213
Denuit, Michel; Mesfioui, Mhamed; Trufin, Julien
1
2019
Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure. Zbl 1426.91216
Fergusson, K.
1
2019
Reinsurance premium principles based on weighted loss functions. Zbl 1426.91206
Cai, Jun; Wang, Ying
1
2019
Survival analysis of pension scheme mortality when data are missing. Zbl 1422.91379
Ungolo, Francesco; Christiansen, Marcus C.; Kleinow, Torsten; MacDonald, Angus S.
1
2019
A general class of distortion operators for pricing contingent claims with applications to CAT bonds. Zbl 1422.91695
Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre
1
2019
The maximum entropy mortality model: forecasting mortality using statistical moments. Zbl 1422.91370
Pascariu, Marius D.; Lenart, Adam; Canudas-Romo, Vladimir
1
2019
Compound trend renewal process with discounted claims: a unified approach. Zbl 1411.91295
Léveillé, Ghislain; Hamel, Emmanuel
1
2019
Comparisons of aggregate claim numbers and amounts: a study of heterogeneity. Zbl 1411.91327
Zhang, Yiying; Zhao, Peng; Cheung, Ka Chun
1
2019
Approximation methods for piecewise deterministic Markov processes and their costs. Zbl 1411.91294
Kritzer, Peter; Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
1
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
32
2018
Machine learning in individual claims reserving. Zbl 1416.91225
Wüthrich, Mario V.
22
2018
A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229
Zhang, Zhimin; Su, Wen
14
2018
Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Zbl 1416.91153
Balakrishnan, Narayanaswamy; Zhang, Yiying; Zhao, Peng
13
2018
...and 397 more Documents
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Cited by 2,873 Authors

46 Zhang, Zhimin
37 Landriault, David
37 Yuen, Kam Chuen
35 Cheung, Eric C. K.
35 Willmot, Gordon E.
33 Yang, Hailiang
31 Denuit, Michel M.
31 Yang, Yang
30 Albrecher, Hansjörg
29 Li, Shuanming
29 Liang, Zhibin
25 Haberman, Steven
24 Badescu, Andrei L.
23 Loisel, Stéphane
23 Woo, Jae-Kyung
23 Young, Virginia R.
22 Cheung, Ka Chun
22 Guo, Junyi
22 Marceau, Étienne
21 Cai, Jun
21 Cossette, Hélène
21 Hashorva, Enkelejd
21 Tang, Qihe
20 Antonio, Katrien
20 Li, Johnny Siu-Hang
20 Tan, Ken Seng
19 Sherris, Michael
19 Yang, Hu
18 Christiansen, Marcus Christian
18 Lefèvre, Claude
18 Nielsen, Jens Perch
17 Asimit, Alexandru V.
17 Boonen, Tim J.
17 Weng, Chengguo
17 Wüthrich, Mario Valentin
16 Dickson, David C. M.
16 Frostig, Esther
16 Gao, Qingwu
16 Li, Danping
16 Macdonald, Angus S.
16 Ren, Jiandong
16 Zitikis, Ričardas
15 Chen, Mi
15 Jin, Zhuo
15 Li, Jinzhu
15 Vernic, Raluca
15 Yam, Sheung Chi Phillip
14 Bäuerle, Nicole
14 Gómez-Déniz, Emilio
14 Landsman, Zinoviy M.
14 Nadarajah, Saralees
14 Šiaulys, Jonas
14 Steffensen, Mogens
14 Yin, Chuancun
14 Zhang, Yiying
13 Dhaene, Jan
13 Fu, Ke’ang
13 Furman, Edward
13 Li, Jackie Ji
13 Palmowski, Zbigniew
13 Shen, Yang
13 Wang, Ruodu
13 Zeng, Yan
13 Zhou, Ming
12 Blake, David
12 Chen, An
12 Drekic, Steve
12 Guillen, Montserrat
12 Ji, Lanpeng
12 Kaishev, Vladimir K.
12 Lu, Yi
12 Schmidli, Hanspeter
12 Siu, Tak Kuen
12 Wang, Wenyuan
12 Zhao, Hui
11 Chen, Ping
11 Jiang, Wenjun
11 Kortschak, Dominik
11 Lin, X. Sheldon
11 Trufin, Julien
11 Ziveyi, Jonathan
10 Asmussen, Søren
10 Avanzi, Benjamin
10 Avram, Florin
10 Chen, Yiqing
10 Constantinescu, Corina D.
10 Klüppelberg, Claudia
10 Léveillé, Ghislain
10 Sendova, Kristina P.
10 Stanford, David A.
10 Tsai, Cary Chi-Liang
10 Valdez, Emiliano A.
10 Wang, Yuebao
10 Zhang, Yi
10 Zhou, Xiaowen
9 Bai, Lihua
9 Bladt, Mogens
9 Breuer, Lothar
9 Cairns, Andrew J. G.
9 Czado, Claudia
...and 2,773 more Authors
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Cited in 235 Journals

689 Insurance Mathematics & Economics
327 Scandinavian Actuarial Journal
143 North American Actuarial Journal
135 ASTIN Bulletin
91 Communications in Statistics. Theory and Methods
84 Journal of Computational and Applied Mathematics
79 European Actuarial Journal
74 Methodology and Computing in Applied Probability
64 Statistics & Probability Letters
42 Journal of Applied Probability
40 Stochastic Models
38 European Journal of Operational Research
38 Journal of Industrial and Management Optimization
31 Applied Mathematics and Computation
23 Advances in Applied Probability
23 Communications in Statistics. Simulation and Computation
23 Quantitative Finance
21 Journal of Multivariate Analysis
21 Stochastic Processes and their Applications
20 Lithuanian Mathematical Journal
20 Acta Mathematicae Applicatae Sinica. English Series
20 Annals of Operations Research
18 Journal of Mathematical Analysis and Applications
17 Finance and Stochastics
16 Mathematical Problems in Engineering
16 Journal of Applied Statistics
16 Stochastics
16 Journal of the Korean Statistical Society
14 Computational Statistics and Data Analysis
14 Extremes
14 Probability in the Engineering and Informational Sciences
14 Applied Stochastic Models in Business and Industry
12 Journal of Systems Science and Complexity
12 Dependence Modeling
11 Journal of Econometrics
11 Queueing Systems
11 Mathematical Methods of Operations Research
11 Discrete Dynamics in Nature and Society
10 Journal of Statistical Planning and Inference
10 Stochastic Analysis and Applications
10 Decisions in Economics and Finance
9 Journal of Statistical Computation and Simulation
9 Test
9 Applied Mathematics. Series B (English Edition)
9 Bernoulli
9 Mathematical Finance
9 Advances in Difference Equations
9 Science China. Mathematics
9 Modern Stochastics. Theory and Applications
8 Theory of Probability and its Applications
8 Optimization
8 The Annals of Applied Probability
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 Japan Journal of Industrial and Applied Mathematics
6 Lifetime Data Analysis
6 Acta Mathematica Sinica. English Series
6 The ANZIAM Journal
6 Frontiers of Mathematics in China
5 Journal of Optimization Theory and Applications
5 Mathematics of Operations Research
5 Statistics
5 Journal of Mathematical Sciences (New York)
5 International Journal of Theoretical and Applied Finance
5 Statistical Methods and Applications
5 Electronic Journal of Statistics
5 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
4 Operations Research
4 Computational Mathematics and Mathematical Physics
4 Statistical Papers
4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
4 Soft Computing
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4 Mathematics and Financial Economics
4 Communications in Mathematics and Statistics
3 Metrika
3 Physica A
3 Scandinavian Journal of Statistics
3 The Annals of Statistics
3 Mathematics and Computers in Simulation
3 SIAM Journal on Control and Optimization
3 Optimal Control Applications & Methods
3 Operations Research Letters
3 Probability and Mathematical Statistics
3 Chinese Annals of Mathematics. Series B
3 Journal of Theoretical Probability
3 Mathematical and Computer Modelling
3 Applied Mathematical Modelling
3 Cybernetics and Systems Analysis
3 Opuscula Mathematica
3 Abstract and Applied Analysis
3 Statistical Inference for Stochastic Processes
3 Brazilian Journal of Probability and Statistics
3 Nonlinear Analysis. Modelling and Control
3 Advances and Applications in Statistics
3 Journal of Applied Mathematics
...and 135 more Journals
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Cited in 43 Fields

2,226 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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