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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: 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

Publications by Year

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
104
2001
On a risk model with dependence between interclaim arrivals and claim sizes. Zbl 1145.91030
Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne
83
2006
Modeling and management of mortality risk: a review. Zbl 1224.91048
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
58
2008
Extremes on the discounted aggregate claims in a time dependent risk model. Zbl 1224.91041
Asimit, Alexandru V.; Badescu, Andrei L.
58
2010
Bootstrapping the Poisson log-bilinear model for mortality forecasting. Zbl 1092.91038
Brouhns, Natacha; Denuit, Michel; van Keilegom, Ingrid
51
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
48
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
40
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
37
2013
Optimal dynamic reinsurance with dependent risks: variance premium principle. Zbl 1401.91167
Liang, Zhibin; Yuen, Kam Chuen
35
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.
34
2014
Guaranteed investment contracts: distributed and undistributed excess return. Zbl 1092.91053
Miltersen, Kristian R.; Persson, Svein-Arne
34
2003
Stochastic mortality under measure changes. Zbl 1226.91022
Biffis, Enrico; Denuit, Michel; Devolder, Pierre
34
2010
Ruin probabilities in the compound Markov binomial model. Zbl 1092.91040
Cossette, Hélène; Landriault, David; Marceau, Étienne
33
2003
Perspectives of risk sharing. Zbl 1015.62104
Aase, Knut K.
33
2002
Pricing dynamic insurance risks using the principle of equivalent utility. Zbl 1039.91049
Young, Virginia R.; Zariphopoulou, Thaleia
33
2002
Modelling actuarial data with a composite lognormal-Pareto model. Zbl 1143.91027
Cooray, Kahadawala; Ananda, Malwane M. A.
32
2005
On systematic mortality risk and risk-minimization with survivor swaps. Zbl 1224.91054
Dahl, Mikkel; Melchior, Martin; Møller, Thomas
32
2008
The distribution of the dividend payments in the compound Poisson risk model perturbed by diffusion. Zbl 1143.91032
Li, Shuanming
31
2006
Micro-level stochastic loss reserving for general insurance. Zbl 1401.91091
Antonio, Katrien; Plat, Richard
31
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
31
2012
Estimation of the characteristics of the jumps of a general Poisson-diffusion model. Zbl 1114.62081
Mancini, Cecilia
30
2004
The Gerber-Shiu function in Sparre Andersen risk process perturbed by diffusion. Zbl 1092.91049
Li, Shuanming; Garrido, José
30
2005
Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116
Hipp, Christian; Schmidli, Hanspeter
30
2004
Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Zbl 1144.91030
Tang, Qihe
30
2005
The fair value of guaranteed annuity options. Zbl 1142.91036
Biffis, Enrico; Millossovich, Pietro
29
2006
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
29
2006
Multivariate Pareto portfolios: TCE-based capital allocation and dividend differences. Zbl 1164.91028
Chiragiev, Arthur; Landsman, Zinoviy
28
2007
A mixed copula model for insurance claims and claim sizes. Zbl 1277.62249
Czado, Claudia; Kastenmeier, Rainer; Brechmann, Eike Christian; Min, Aleksey
28
2012
On composite lognormal-Pareto models. Zbl 1146.91028
Scollnic, David P. M.
27
2007
An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums. Zbl 1277.60042
Korolev, Victor; Shevtsova, Irina
27
2012
On a class of discrete time renewal risk models. Zbl 1142.91043
Li, Shuanming
26
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
26
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.
26
2004
Criteria for the stochastic ordering of random sums, with actuarial applications. Zbl 1003.60022
Denuit, Michel; Genest, Christian; Marceau, Étienne
25
2002
Bivariate survival models for coupled lives. Zbl 0959.62094
Carriere, Jacques F.
25
2000
Two-sided bounds for the finite time probability of ruin. Zbl 0958.91030
Ignatov, Z. G.; Kaishev, V. K.
25
2000
Recursive moments of compound renewal sums with discounted claims. Zbl 0979.91048
Léveillé, Ghislain; Garrido, José
25
2001
The ruin probability of a discrete time risk model under constant interest rate with heavy tails. Zbl 1142.62094
Tang, Qihe
24
2004
On finite-time ruin probabilities for classical risk models. Zbl 1164.91033
Lefèvre, Claude; Stéphane, Loisel
24
2008
Minimum rate of return guarantees: the Danish case. Zbl 1039.91040
Hansen, Mette; Miltersen, Kristian R.
24
2002
Mean-variance optimal reinsurance arrangements. Zbl 1117.62115
Kaluszka, Marek
23
2004
On Fitting generalized linear and non-linear models of mortality. Zbl 1401.91123
Currie, Iain D.
23
2016
Spatial modelling of claim frequency and claim size in non-life insurance. Zbl 1150.91026
Gschlöß{l}, Susanne; Czado, Claudia
22
2007
Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024
Cossette, Héléne; Marceau, Etienne; Marri, Fouad
22
2010
Characterizations of optimal reinsurance treaties: a cost-benefit approach. Zbl 1401.91112
Cheung, Ka Chun; Lo, Ambrose
21
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
21
2018
Extending the Lee-Carter model: a three-way decomposition. Zbl 1277.62260
Russolillo, Maria; Giordano, Giuseppe; Haberman, Steven
21
2011
On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
20
2014
Optimal reinsurance arrangements in the presence of two reinsurers. Zbl 1401.91113
Chi, Yichun; Meng, Hui
20
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.
20
2005
Optimal dynamic premium control in non-life insurance. Maximizing dividend pay-outs. Zbl 1039.91042
Højgaard, Bjarne
20
2002
Heterogeneity and the need for capital in the individual model. Zbl 1142.91039
Denuit, Michel; Frostig, Esther
19
2006
Composite lognormal-Pareto model with random threshold. Zbl 1277.62258
Pigeon, Mathieu; Denuit, Michel
19
2011
Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model. Zbl 1277.62096
Shimizu, Yasutaka
19
2012
On bonus and bonus prognoses in life insurance. Zbl 0979.91045
Norberg, Ragnar
18
2001
The impact of multiple structural changes on mortality predictions. Zbl 1401.91221
van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel
17
2016
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
17
2007
Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145
Eisenberg, Julia; Schmidli, Hanspeter
17
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
16
2005
New composite models for the Danish fire insurance data. Zbl 1401.91177
Nadarajah, S.; Bakar, S. A. A.
16
2014
On accounting standards and fair valuation of life insurance and pension liabilities. Zbl 1087.62117
Jørgensen, Peter Løchte
16
2004
Equilibrium compound distributions and stop-loss moments. Zbl 1144.91031
Willmot, Gordon E.; Drekic, Steve; Cai, Jun
16
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
16
2010
Folded and log-folded-\(t\) distributions as models for insurance loss data. Zbl 1277.62248
Brazauskas, Vytaras; Kleefeld, Andreas
16
2011
Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model. Zbl 1401.91168
Lin, Xiang; Qian, Yiping
15
2016
Gerber-Shiu analysis with a generalized penalty function. Zbl 1226.60123
Cheung, Eric C. K.; Landriault, David; Willmot, Gordon E.; Woo, Jae-Kyung
15
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
15
2009
Lapse rate modeling: a rational expectation approach. Zbl 1224.91150
De Giovanni, Domenico
15
2010
Erlangian approximation to finite time ruin probabilities in perturbed risk models. Zbl 1277.60128
Stanford, David A.; Yu, Kaiqi; Ren, Jiandong
15
2011
On the distortion of a copula and its margins. Zbl 1277.62140
Valdez, Emiliano A.; Xiao, Yugu
15
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.
14
2015
Parisian ruin probability with a lower ultimate bankrupt barrier. Zbl 1401.91124
Czarna, Irmina
14
2016
Ruin probabilities and investment under interest force in the presence of regularly varying tails. Zbl 1091.62102
Gaier, J.; Grandits, P.
14
2004
Semiparametric estimation for non-ruin probabilities. Zbl 1092.91054
Politis, Konstadinos
14
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.
14
2005
On the analysis of a multi-threshold Markovian risk model. Zbl 1164.91025
Badescu, Andrei; Drekic, Steve; Landriault, Daviv
14
2007
A unifying approach to the analysis of business with random gains. Zbl 1277.60148
Cheung, Eric C. K.
14
2012
On semiparametric estimation of ruin probabilities in the classical risk model. Zbl 1401.62212
Masiello, Esterina
13
2014
Optimal reinsurance with expectile. Zbl 1401.91106
Cai, Jun; Weng, Chengguo
13
2016
Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
13
2017
Asymptotic theory for a risk process with high dividend barrier. Zbl 1092.91043
Irbäck, Johan
13
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
13
2005
Lundberg parameters for non standard risk processes. Zbl 1143.91034
Macci, Claudio; Stabile, Gabriele; Torrisi, Giovanni Luca
13
2005
Ruin estimation in multivariate models with Clayton dependence structure. Zbl 1145.91031
Bregman, Yuliya; Klüppelberg, Claudia
13
2005
Moment generating functions of compound renewal sums with discounted claims. Zbl 1226.91027
Léveillé, Ghislain; Garrido, José; Wang, Ya Fang
13
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
12
2017
Cash flows and policyholder behaviour in the semi-Markov life insurance setup. Zbl 1401.91105
Buchardt, Kristian; Møller, Thomas; Schmidt, Kristian Bjerre
12
2015
Statistical estimate of the proportional hazard premium of loss. Zbl 1150.91027
Necir, Abdelhakim; Meraghni, Djamel; Meddi, Fatima
12
2007
On discrete-time dynamic programming in insurance: exponential utility and minimizing the ruin probability. Zbl 1141.91031
Schäl, Manfred
12
2004
Analysis of a threshold dividend strategy for a MAP risk model. Zbl 1164.91024
Badescu, Andrei; Drekic, Steve; Landriault, Daviv
12
2007
The Nash bargaining solution vs. equilibrium in a reinsurance syndicate. Zbl 1224.91035
Aase, Knut K.
12
2009
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
12
2011
Some results on the compound Markov binomial model. Zbl 1144.91036
Yuen, Kam-Chuen; Guo, Junyi
11
2006
Rethinking age-period-cohort mortality trend models. Zbl 1401.91088
Alai, Daniel H.; Sherris, Michael
11
2014
General convex order on risk aggregation. Zbl 1401.91148
Jakobsons, Edgars; Han, Xiaoying; Wang, Ruodu
11
2016
Modeling claims data with composite Stoppa models. Zbl 1401.62205
Calderín-Ojeda, Enrique; Kwok, Chun Fung
11
2016
Reduction of value-at-risk bounds via independence and variance information. Zbl 1401.91185
Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; Vanduffel, Steven
11
2017
Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206
Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.
11
2017
Gaussian risk models with financial constraints. Zbl 1401.91130
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Ji, Lanpeng
11
2015
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Zbl 1401.91095
Bacinello, Anna Rita; Millossovich, Pietro; Montealegre, Alvaro
11
2016
On copula-based collective risk models: from elliptical copulas to vine copulas. Zbl 1467.91148
Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo
1
2021
Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays. Zbl 07352450
Lopez, Olivier; Milhaud, Xavier
1
2021
Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach. Zbl 1454.91174
Chen, Ze; Chen, Bingzheng; Dhaene, Jan
3
2020
Neural network embedding of the over-dispersed Poisson reserving model. Zbl 1430.91076
Gabrielli, Andrea; Richman, Ronald; Wüthrich, Mario V.
2
2020
A Hermite-spline model of post-retirement mortality. Zbl 1433.91144
Richards, Stephen J.
2
2020
Continuous chain-ladder with paid data. Zbl 1448.91254
Bischofberger, Stephan M.; Hiabu, Munir; Isakson, Alex
2
2020
Combined tail estimation using censored data and expert information. Zbl 1448.91255
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
2
2020
Cohort and value-based multi-country longevity risk management. Zbl 1448.91267
Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan
2
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
2
2020
A multivariate Markov chain stock model. Zbl 1447.91133
D’Amico, Guglielmo; De Blasis, Riccardo
1
2020
A ruin model with a resampled environment. Zbl 1447.91131
Constantinescu, C.; Delsing, G.; Mandjes, M.; Rojas Nandayapa, L.
1
2020
Robust reinsurance contracts with risk constraint. Zbl 1447.91151
Wang, Ning; Siu, Tak Kuen
1
2020
Weighted utility optimization of the participating endowment contract. Zbl 1448.91260
He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming
1
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.
1
2020
Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. Zbl 1451.91167
Guan, Guohui; Wang, Xiaojun
1
2020
Approximation of ruin probability and ruin time in discrete Brownian risk models. Zbl 1454.91193
Jasnovidov, Grigori
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
Incorporating structural changes in mortality improvements for mortality forecasting. Zbl 1454.91198
Li, Jackie; Wong, Kenneth
1
2020
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264
Barigou, Karim; Dhaene, Jan
9
2019
Computing the Gerber-Shiu function by frame duality projection. Zbl 1411.91320
Wang, Wenyuan; Zhang, Zhimin
7
2019
Interplay of insurance and financial risks in a stochastic environment. Zbl 1411.91316
Tang, Qihe; Yang, Yang
5
2019
Claims frequency modeling using telematics car driving data. Zbl 1411.91280
Gao, Guangyuan; Meng, Shengwang; Wüthrich, Mario V.
4
2019
The expected discounted penalty function: from infinite time to finite time. Zbl 1411.91303
Li, Shuanming; Lu, Yi; Sendova, Kristina P.
4
2019
Periodic threshold-type dividend strategy in the compound Poisson risk model. Zbl 1418.91232
Cheung, Eric C. K.; Zhang, Zhimin
3
2019
A two-dimensional dividend problem for collaborating companies and an optimal stopping problem. Zbl 1418.91239
Grandits, Peter
3
2019
Budget-constrained optimal reinsurance design under coherent risk measures. Zbl 1426.91209
Cheung, Ka Chun; Chong, Wing Fung; Lo, Ambrose
3
2019
A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates. Zbl 1411.91317
Tsai, Cary Chi-Liang; Zhang, Ying
2
2019
Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
2
2019
A constraint-free approach to optimal reinsurance. Zbl 1418.91238
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
2
2019
Life insurance decisions under recursive utility. Zbl 1411.91288
Jensen, Ninna Reitzel
1
2019
Modeling cause-of-death mortality using hierarchical Archimedean copula. Zbl 1411.91299
Li, Hong; Lu, Yang
1
2019
A logistic two-population mortality projection model for modelling mortality at advanced ages for both sexes. Zbl 1411.91300
Li, Jackie; Liu, Jia
1
2019
Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Zbl 1422.91354
Hieber, Peter; Natolski, Jan; Werner, Ralf
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
Gibbs posterior inference on value-at-risk. Zbl 1422.91376
Syring, Nicholas; Hong, Liang; Martin, Ryan
1
2019
Extending composite loss models using a general framework of advanced computational tools. Zbl 1422.91351
Grün, Bettina; Miljkovic, Tatjana
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
Optimal proportional reinsurance with a loss-dependent premium principle. Zbl 1426.91223
Hu, Duni; Wang, Hailong
1
2019
Reinsurance contract design with adverse selection. Zbl 1426.91211
Cheung, K. C.; Yam, S. C. P.; Yuen, F. L.
1
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
On additivity of tail comonotonic risks. Zbl 1426.91210
Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung Chi Phillip; Yuen, Fei Lung
1
2019
Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure. Zbl 1426.91216
Fergusson, K.
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
21
2018
Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Zbl 1416.91153
Balakrishnan, Narayanaswamy; Zhang, Yiying; Zhao, Peng
9
2018
A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229
Zhang, Zhimin; Su, Wen
9
2018
Machine learning in individual claims reserving. Zbl 1416.91225
Wüthrich, Mario V.
8
2018
Robust reinsurance contracts in continuous time. Zbl 1416.91189
Hu, Duni; Chen, Shou; Wang, Hailong
6
2018
Randomly weighted sums of dependent subexponential random variables with applications to risk theory. Zbl 1396.62021
Cheng, Fengyang; Cheng, Dongya
6
2018
Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure. Zbl 1418.91259
Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang
5
2018
Linking dividends and capital injections – a probabilistic approach. Zbl 1416.91146
Albrecher, Hansjörg; Ivanovs, Jevgenijs
4
2018
Ruin probabilities in classical risk models with gamma claims. Zbl 1416.91166
Constantinescu, Corina; Samorodnitsky, Gennady; Zhu, Wei
4
2018
Multivariate geometric expectiles. Zbl 1398.62302
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina
4
2018
Optimal retirement time under habit persistence: what makes individuals retire early? Zbl 1396.91681
Chen, An; Hentschel, Felix; Xu, Xian
4
2018
A data driven binning strategy for the construction of insurance tariff classes. Zbl 1418.91241
Henckaerts, Roel; Antonio, Katrien; Clijsters, Maxime; Verbelen, Roel
4
2018
An application of two-stage quantile regression to insurance ratemaking. Zbl 1418.91242
Heras, Antonio; Moreno, Ignacio; Vilar-Zanón, José L.
4
2018
Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure. Zbl 1418.91240
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen
4
2018
A note on optimal expected utility of dividend payments with proportional reinsurance. Zbl 1416.91201
Liang, Xiaoqing; Palmowski, Zbigniew
3
2018
Conditional risk measures in a bipartite market structure. Zbl 1416.91194
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine
3
2018
Mathematical foundation of the replicating portfolio approach. Zbl 1416.91211
Natolski, Jan; Werner, Ralf
3
2018
A dynamic bivariate common shock model with cumulative effect and its actuarial application. Zbl 1418.91247
Lee, Hyunju; Cha, Ji Hwan
3
2018
Lifetime asset allocation with idiosyncratic and systematic mortality risks. Zbl 1416.91221
Shen, Yang; Sherris, Michael
2
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
2
2018
Third cumulant for multivariate aggregate claim models. Zbl 1398.62315
Loperfido, Nicola; Mazur, Stepan; Podgórski, Krzysztof
2
2018
A note on Mossin’s theorem for deductible insurance given random initial wealth. Zbl 1416.91187
Hong, Liang
2
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
2
2018
Ruin under stochastic dependence between premium and claim arrivals. Zbl 1416.91223
Vidmar, Matija
2
2018
Dirichlet process mixture models for insurance loss data. Zbl 1416.91188
Hong, Liang; Martin, Ryan
2
2018
Valuation of an early exercise defined benefit underpin hybrid pension. Zbl 1418.91261
Zhu, Xiaobai; Hardy, Mary; Saunders, David
2
2018
Odd Pareto families of distributions for modeling loss payment data. Zbl 1416.91208
Mdziniso, Nonhle Channon; Cooray, Kahadawala
1
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
1
2018
Confidence intervals of the premiums of optimal bonus malus systems. Zbl 1416.91193
Karlis, Dimitris; Tzougas, George; Frangos, Nicholas
1
2018
Separation of small and large claims on the basis of collective models. Zbl 1416.91182
Gütschow, Tobias; Hess, Klaus Th.; Schmidt, Klaus D.
1
2018
A Bayesian non-parametric model for small population mortality. Zbl 1416.91204
Li, Hong; Lu, Yang
1
2018
Interest rate model comparisons for participating products under Solvency II. Zbl 1396.91289
Aas, Kjersti; Neef, Linda R.; Williams, Lloyd; Raabe, Dag
1
2018
A proposition of generalized stochastic Milevsky-Promislov mortality models. Zbl 1418.91258
\`Sliwka, Piotr; Socha, Lesław
1
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
1
2018
Characterizations of optimal reinsurance treaties: a cost-benefit approach. Zbl 1401.91112
Cheung, Ka Chun; Lo, Ambrose
21
2017
Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
13
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
12
2017
Reduction of value-at-risk bounds via independence and variance information. Zbl 1401.91185
Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; Vanduffel, Steven
11
2017
Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206
Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G.
11
2017
Estimating the Gerber-Shiu function by Fourier-Sinc series expansion. Zbl 1402.91219
Zhang, Zhimin
10
2017
A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints. Zbl 1402.91208
Lo, Ambrose
9
2017
Basis risk in static versus dynamic longevity-risk hedging. Zbl 1401.91129
De Rosa, Clemente; Luciano, Elisa; Regis, Luca
8
2017
Product pricing and solvency capital requirements for long-term care insurance. Zbl 1401.91192
Shao, Adam W.; Sherris, Michael; Fong, Joelle H.
7
2017
A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model. Zbl 1401.91121
Costabile, M.
7
2017
Incorporating the Bühlmann credibility into mortality models to improve forecasting performances. Zbl 1401.91198
Tsai, Cary Chi-Liang; Lin, Tzuling
7
2017
Nonparametric estimation of the finite time ruin probability in the classical risk model. Zbl 1401.91215
Zhang, Zhimin
7
2017
On capital injections and dividends with tax in a diffusion approximation. Zbl 1402.91991
Schmidli, Hanspeter
6
2017
Forecasting disability: application of a frailty model. Zbl 1401.91137
Fong, Joelle H.; Sherris, Michael; Yap, James
4
2017
Valuing variable annuity guarantees on multiple assets. Zbl 1401.91127
Da Fonseca, José; Ziveyi, Jonathan
4
2017
CDF formulation for solving an optimal reinsurance problem. Zbl 1401.91200
Weng, Chengguo; Zhuang, Sheng Chao
4
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
4
2017
Ruin probabilities in multivariate risk models with periodic common shock. Zbl 1401.91119
Cojocaru, Ionica
3
2017
Drawdown analysis for the renewal insurance risk process. Zbl 1401.91159
Landriault, David; Li, Bin; Li, Shu
3
2017
Optimal insurance in the presence of reinsurance. Zbl 1402.91221
Zhuang, Sheng Chao; Boonen, Tim J.; Tan, Ken Seng; Xu, Zuo Quan
3
2017
On the relationship between classical chain ladder and granular reserving. Zbl 1402.91199
Hiabu, M.
3
2017
A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics. Zbl 1403.62189
Hendriks, Harrie; Landsman, Zinoviy
3
2017
Discrete time ruin probability with Parisian delay. Zbl 1402.91188
Czarna, Irmina; Palmowski, Zbigniew; Świątek, Przemysław
3
2017
Integral and differential equations for the moments of multistate models in health insurance. Zbl 1401.91086
Adékambi, Franck; Christiansen, Marcus C.
2
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
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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
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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
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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)
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3 Information and communication theory, circuits (94-XX)
2 History and biography (01-XX)
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