Scandinavian Actuarial JournalPublished for The Danish Society of Actuaries, The Actuarial Society of Finland, The Norwegian Society of Actuaries and The Swedish Society of Actuaries Short Title: Scand. Actuar. J. Publisher: Taylor & Francis, Abingdon, Oxfordshire ISSN: 0346-1238; 1651-2030/e Online: http://www.tandfonline.com/loi/sact20 Predecessor: Scandinavian Actuarial Journal Documents Indexed: 596 Publications (since 2000) References Indexed: 579 Publications with 15,210 References. all top 5 Latest Issues 2022, No. 6 (2022) 2022, No. 5 (2022) 2022, No. 4 (2022) 2022, No. 3 (2022) 2022, No. 2 (2022) 2022, No. 1 (2022) 2021, No. 10 (2021) 2021, No. 9 (2021) 2021, No. 8 (2021) 2021, No. 7 (2021) 2021, No. 6 (2021) 2021, No. 5 (2021) 2021, No. 4 (2021) 2021, No. 3 (2021) 2021, No. 2 (2021) 2021, No. 1 (2021) 2020, No. 10 (2020) 2020, No. 9 (2020) 2020, No. 8 (2020) 2020, No. 7 (2020) 2020, No. 6 (2020) 2020, No. 5 (2020) 2020, No. 4 (2020) 2020, No. 3 (2020) 2020, No. 2 (2020) 2020, No. 1 (2020) 2019, No. 10 (2019) 2019, No. 9 (2019) 2019, No. 8 (2019) 2019, No. 7 (2019) 2019, No. 6 (2019) 2019, No. 5 (2019) 2019, No. 4 (2019) 2019, No. 3 (2019) 2019, No. 2 (2019) 2019, No. 1 (2019) 2018, No. 10 (2018) 2018, No. 9 (2018) 2018, No. 8 (2018) 2018, No. 7 (2018) 2018, No. 6 (2018) 2018, No. 5 (2018) 2018, No. 4 (2018) 2018, No. 3 (2018) 2018, No. 2 (2018) 2018, No. 1 (2018) 2017, No. 10 (2017) 2017, No. 9 (2017) 2017, No. 8 (2017) 2017, No. 7 (2017) 2017, No. 6 (2017) 2017, No. 5 (2017) 2017, No. 4 (2017) 2017, No. 3 (2017) 2017, No. 2 (2017) 2017, No. 1 (2017) 2016, No. 10 (2016) 2016, No. 9 (2016) 2016, No. 8 (2016) 2016, No. 7 (2016) 2016, No. 6 (2016) 2016, No. 5 (2016) 2016, No. 4 (2016) 2016, No. 3 (2016) 2016, No. 2 (2016) 2016, No. 1 (2016) 2015, No. 8 (2015) 2015, No. 7 (2015) 2015, No. 6 (2015) 2015, No. 5 (2015) 2015, No. 4 (2015) 2015, No. 3 (2015) 2015, No. 2 (2015) 2015, No. 1 (2015) 2014, No. 8 (2014) 2014, No. 7 (2014) 2014, No. 6 (2014) 2014, No. 5 (2014) 2014, No. 4 (2014) 2014, No. 3 (2014) 2014, No. 2 (2014) 2014, No. 1 (2014) 2013, No. 6 (2013) 2013, No. 5 (2013) 2013, No. 4 (2013) 2013, No. 3 (2013) 2013, No. 2 (2013) 2013, No. 1 (2013) 2012, No. 4 (2012) 2012, No. 3 (2012) 2012, No. 2 (2012) 2012, No. 1 (2012) 2011, No. 4 (2011) 2011, No. 3 (2011) 2011, No. 2 (2011) 2011, No. 1 (2011) 2010, No. 4 (2010) 2010, No. 3 (2010) 2010, No. 2 (2010) 2010, No. 1 (2010) ...and 39 more Volumes all top 5 Authors 13 Macdonald, Angus S. 12 Denuit, Michel M. 11 Landriault, David 11 Willmot, Gordon E. 11 Wüthrich, Mario Valentin 10 Cheung, Ka Chun 10 Li, Shuanming 8 Cheung, Eric C. K. 8 Sherris, Michael 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 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 Christiansen, Marcus Christian 5 Devolder, Pierre 5 Grandits, Peter 5 Hong, Liang 5 Léveillé, Ghislain 5 Li, Jackie Ji 5 Lu, Yi 5 Schmidli, Hanspeter 5 Siu, Tak Kuen 5 Steffensen, Mogens 5 Tang, Qihe 4 Alai, Daniel H. 4 Chadjiconstantinidis, Stathis 4 Chen, An 4 Constantinescu, Corina D. 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 Richards, Stephen J. 4 Samorodnitsky, Gennady Pinkhosovich 4 Trufin, Julien 4 Woo, Jae-Kyung 4 Yam, Sheung Chi Phillip 4 Young, Virginia R. 4 Zhang, Lianzeng 4 Zhang, Yiying 4 Ziveyi, Jonathan 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 Feng, Runhuan 3 Goovaerts, Marc J. 3 Guillen, Montserrat 3 Haberman, Steven 3 Han, Xia 3 Hardy, Mary Rosalyn 3 Hieber, Peter 3 Hu, Xiang 3 Jin, Zhuo 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 Peng, Liang 3 Pennanen, Teemu 3 Politis, Konstadinos 3 Ren, Jiandong 3 Rosenlund, Stig I. 3 Sendova, Kristina P. 3 Shen, Yang 3 Valdez, Emiliano A. 3 Vernic, Raluca ...and 747 more Authors all top 5 Fields 578 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 297 Statistics (62-XX) 191 Probability theory and stochastic processes (60-XX) 28 Systems theory; control (93-XX) 17 Operations research, mathematical programming (90-XX) 13 Biology and other natural sciences (92-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 7 Numerical analysis (65-XX) 4 Partial differential equations (35-XX) 4 Integral equations (45-XX) 3 Approximations and expansions (41-XX) 3 Integral transforms, operational calculus (44-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) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 488 Publications have been cited 4,383 times in 2,718 Documents Cited by ▼ Year ▼ Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039Schmidli, Hanspeter 114 2001 On a risk model with dependence between interclaim arrivals and claim sizes. Zbl 1145.91030Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne 94 2006 Extremes on the discounted aggregate claims in a time dependent risk model. Zbl 1224.91041Asimit, Alexandru V.; Badescu, Andrei L. 72 2010 Modeling and management of mortality risk: a review. Zbl 1224.91048Cairns, Andrew J. G.; Blake, David; Dowd, Kevin 65 2008 Bootstrapping the Poisson log-bilinear model for mortality forecasting. Zbl 1092.91038Brouhns, Natacha; Denuit, Michel; van Keilegom, Ingrid 56 2005 The tail probability of discount sums of Pareto-like losses in insurance. Zbl 1144.91026Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe; Vernic, Raluca 50 2005 Modelling actuarial data with a composite lognormal-Pareto model. Zbl 1143.91027Cooray, Kahadawala; Ananda, Malwane M. A. 47 2005 Optimal dynamic reinsurance with dependent risks: variance premium principle. Zbl 1401.91167Liang, Zhibin; Yuen, Kam Chuen 46 2016 Risk processes analyzed as fluid queues. Zbl 1092.91037Badescu, Andrei; Breuer, Lothar; Da Silva Soares, Ana; Latouches, Guy; Remiche, Marie-Ange; Stanford, David 46 2005 Randomized observation periods for the compound Poisson risk model: the discounted penalty function. Zbl 1401.91089Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan 45 2013 Micro-level stochastic loss reserving for general insurance. Zbl 1401.91091Antonio, Katrien; Plat, Richard 42 2014 Optimal reinsurance under general law-invariant risk measures. Zbl 1401.91110Cheung, K. C.; Sung, K. C. J.; Yam, S. C. P.; Yung, S. P. 39 2014 A mixed copula model for insurance claims and claim sizes. Zbl 1277.62249Czado, Claudia; Kastenmeier, Rainer; Brechmann, Eike Christian; Min, Aleksey 39 2012 Guaranteed investment contracts: distributed and undistributed excess return. Zbl 1092.91053Miltersen, Kristian R.; Persson, Svein-Arne 38 2003 On systematic mortality risk and risk-minimization with survivor swaps. Zbl 1224.91054Dahl, Mikkel; Melchior, Martin; Møller, Thomas 37 2008 The distribution of the dividend payments in the compound Poisson risk model perturbed by diffusion. Zbl 1143.91032Li, Shuanming 37 2006 Ruin probabilities in the compound Markov binomial model. Zbl 1092.91040Cossette, Hélène; Landriault, David; Marceau, Étienne 37 2003 On composite lognormal-Pareto models. Zbl 1146.91028Scollnic, David P. M. 36 2007 Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia 36 2012 Pricing dynamic insurance risks using the principle of equivalent utility. Zbl 1039.91049Young, Virginia R.; Zariphopoulou, Thaleia 35 2002 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022Albrecher, Hansjörg; Asmussen, Søren 35 2006 Stochastic mortality under measure changes. Zbl 1226.91022Biffis, Enrico; Denuit, Michel; Devolder, Pierre 35 2010 Characterizations of optimal reinsurance treaties: a cost-benefit approach. Zbl 1401.91112Cheung, Ka Chun; Lo, Ambrose 34 2017 Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria. Zbl 1401.91208Yi, Bo; Viens, Frederi; Li, Zhongfei; Zeng, Yan 33 2015 Perspectives of risk sharing. Zbl 1015.62104Aase, Knut K. 33 2002 Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Zbl 1144.91030Tang, Qihe 33 2005 Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116Hipp, Christian; Schmidli, Hanspeter 33 2004 An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums. Zbl 1277.60042Korolev, Victor; Shevtsova, Irina 32 2012 Estimation of the characteristics of the jumps of a general Poisson-diffusion model. Zbl 1114.62081Mancini, Cecilia 31 2004 Spatial modelling of claim frequency and claim size in non-life insurance. Zbl 1150.91026Gschlöß{l}, Susanne; Czado, Claudia 31 2007 Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Zbl 1416.91203Li, Danping; Zeng, Yan; Yang, Hailiang 31 2018 Multivariate Pareto portfolios: TCE-based capital allocation and dividend differences. Zbl 1164.91028Chiragiev, Arthur; Landsman, Zinoviy 30 2007 The fair value of guaranteed annuity options. Zbl 1142.91036Biffis, Enrico; Millossovich, Pietro 30 2006 On the distribution of the deficit at ruin when claims are phase-type. Zbl 1142.62088Drekic, Steve; Dickson, David C. M.; Stanford, David A.; Willmot, Gordon E. 30 2004 The Gerber-Shiu function in Sparre Andersen risk process perturbed by diffusion. Zbl 1092.91049Li, Shuanming; Garrido, José 30 2005 Bivariate survival models for coupled lives. Zbl 0959.62094Carriere, Jacques F. 29 2000 On a class of discrete time renewal risk models. Zbl 1142.91043Li, Shuanming 28 2005 Two-sided bounds for the finite time probability of ruin. Zbl 0958.91030Ignatov, Z. G.; Kaishev, V. K. 27 2000 Recursive moments of compound renewal sums with discounted claims. Zbl 0979.91048Léveillé, Ghislain; Garrido, José 27 2001 Minimum rate of return guarantees: the Danish case. Zbl 1039.91040Hansen, Mette; Miltersen, Kristian R. 26 2002 Mean-variance optimal reinsurance arrangements. Zbl 1117.62115Kaluszka, Marek 26 2004 Criteria for the stochastic ordering of random sums, with actuarial applications. Zbl 1003.60022Denuit, Michel; Genest, Christian; Marceau, Étienne 26 2002 Composite lognormal-Pareto model with random threshold. Zbl 1277.62258Pigeon, Mathieu; Denuit, Michel 26 2011 On Fitting generalized linear and non-linear models of mortality. Zbl 1401.91123Currie, Iain D. 25 2016 Optimal dynamic premium control in non-life insurance. Maximizing dividend pay-outs. Zbl 1039.91042Højgaard, Bjarne 25 2002 Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024Cossette, Héléne; Marceau, Etienne; Marri, Fouad 25 2010 On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier. Zbl 1092.91036Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F. 25 2005 On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217Zhang, Zhimin; Yang, Hailiang; Yang, Hu 24 2014 On finite-time ruin probabilities for classical risk models. Zbl 1164.91033Lefèvre, Claude; Stéphane, Loisel 24 2008 The ruin probability of a discrete time risk model under constant interest rate with heavy tails. Zbl 1142.62094Tang, Qihe 24 2004 Extending the Lee-Carter model: a three-way decomposition. Zbl 1277.62260Russolillo, Maria; Giordano, Giuseppe; Haberman, Steven 24 2011 Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model. Zbl 1277.62096Shimizu, Yasutaka 23 2012 Optimal reinsurance arrangements in the presence of two reinsurers. Zbl 1401.91113Chi, Yichun; Meng, Hui 22 2014 Heterogeneity and the need for capital in the individual model. Zbl 1142.91039Denuit, Michel; Frostig, Esther 22 2006 New composite models for the Danish fire insurance data. Zbl 1401.91177Nadarajah, S.; Bakar, S. A. A. 21 2014 Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model. Zbl 1401.91168Lin, Xiang; Qian, Yiping 19 2016 On bonus and bonus prognoses in life insurance. Zbl 0979.91045Norberg, Ragnar 19 2001 Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav 19 2007 On the analysis of a multi-threshold Markovian risk model. Zbl 1164.91025Badescu, Andrei; Drekic, Steve; Landriault, Daviv 19 2007 The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims. Zbl 1144.91025Dickson, David C. M.; Hughes, Barry D.; Lianzeng, Zhang 19 2005 Machine learning in individual claims reserving. Zbl 1416.91225Wüthrich, Mario V. 19 2018 The impact of multiple structural changes on mortality predictions. Zbl 1401.91221van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel 18 2016 Ordering properties of the smallest and largest claim amounts in a general scale model. Zbl 1401.91096Barmalzan, Ghobad; Najafabadi, Amir T. Payandeh; Balakrishnan, Narayanaswamy 18 2017 On semiparametric estimation of ruin probabilities in the classical risk model. Zbl 1401.62212Masiello, Esterina 18 2014 Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks. Zbl 1401.91205Yang, Yang; Konstantinides, Dimitrios G. 18 2015 Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes. Zbl 1224.91043Bai, Lihua; Guo, Junyi 18 2010 Equilibrium compound distributions and stop-loss moments. Zbl 1144.91031Willmot, Gordon E.; Drekic, Steve; Cai, Jun 18 2005 Ruin probabilities and investment under interest force in the presence of regularly varying tails. Zbl 1091.62102Gaier, J.; Grandits, P. 18 2004 Folded and log-folded-\(t\) distributions as models for insurance loss data. Zbl 1277.62248Brazauskas, Vytaras; Kleefeld, Andreas 18 2011 Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145Eisenberg, Julia; Schmidli, Hanspeter 18 2011 On the distortion of a copula and its margins. Zbl 1277.62140Valdez, Emiliano A.; Xiao, Yugu 18 2011 Optimal reinsurance with expectile. Zbl 1401.91106Cai, Jun; Weng, Chengguo 17 2016 Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang 17 2017 Parisian ruin probability with a lower ultimate bankrupt barrier. Zbl 1401.91124Czarna, Irmina 17 2016 Ruin probabilities in a discrete time risk model with dependent risks of heavy tail. Zbl 1224.91093Weng, Chengguo; Zhang, Yi; Tan, Ken Seng 17 2009 Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models. Zbl 1143.91033Li, Shuanming 17 2005 Gerber-Shiu analysis with a generalized penalty function. Zbl 1226.60123Cheung, Eric C. K.; Landriault, David; Willmot, Gordon E.; Woo, Jae-Kyung 17 2010 Semiparametric estimation for non-ruin probabilities. Zbl 1092.91054Politis, Konstadinos 17 2003 Modeling claims data with composite Stoppa models. Zbl 1401.62205Calderín-Ojeda, Enrique; Kwok, Chun Fung 16 2016 Multi-population mortality models: fitting, forecasting and comparisons. Zbl 1401.62206Enchev, Vasil; Kleinow, Torsten; Cairns, Andrew J. G. 16 2017 The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Zbl 1401.91095Bacinello, Anna Rita; Millossovich, Pietro; Montealegre, Alvaro 16 2016 Analysis of a threshold dividend strategy for a MAP risk model. Zbl 1164.91024Badescu, Andrei; Drekic, Steve; Landriault, Daviv 16 2007 On accounting standards and fair valuation of life insurance and pension liabilities. Zbl 1087.62117Jørgensen, Peter Løchte 16 2004 Cash flows and policyholder behaviour in the semi-Markov life insurance setup. Zbl 1401.91105Buchardt, Kristian; Møller, Thomas; Schmidt, Kristian Bjerre 15 2015 Lapse rate modeling: a rational expectation approach. Zbl 1224.91150De Giovanni, Domenico 15 2010 Lundberg parameters for non standard risk processes. Zbl 1143.91034Macci, Claudio; Stabile, Gabriele; Torrisi, Giovanni Luca 15 2005 Ruin estimation in multivariate models with Clayton dependence structure. Zbl 1145.91031Bregman, Yuliya; Klüppelberg, Claudia 15 2005 Erlangian approximation to finite time ruin probabilities in perturbed risk models. Zbl 1277.60128Stanford, David A.; Yu, Kaiqi; Ren, Jiandong 15 2011 Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady 15 2011 A unifying approach to the analysis of business with random gains. Zbl 1277.60148Cheung, Eric C. K. 15 2012 Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks. Zbl 1401.91204Yang, Haizhong; Gao, Wei; Li, Jinzhu 14 2016 Knowledge elicitation of Gompertz’ law of mortality. Zbl 0971.62073Willemse, W. J.; Koppelaar, H. 14 2000 Combining generalized linear models and credibility models in practice. Zbl 1224.91080Ohlsson, Esbjörn 14 2008 The surplus prior to ruin and the deficit at ruin for a correlated risk process. Zbl 1143.91025Badescu, Andrei L.; Breuer, Lothar; Drekic, Steve; Latouche, Guy; Stanford, David A. 14 2005 Asymptotic theory for a risk process with high dividend barrier. Zbl 1092.91043Irbäck, Johan 14 2003 A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229Zhang, Zhimin; Su, Wen 14 2018 General convex order on risk aggregation. Zbl 1401.91148Jakobsons, Edgars; Han, Xiaoying; Wang, Ruodu 13 2016 Reduction of value-at-risk bounds via independence and variance information. Zbl 1401.91185Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; Vanduffel, Steven 13 2017 Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process. Zbl 1401.91213Zhang, Lianzeng; Hu, Xiang; Duan, Baige 13 2015 Optimal investment-consumption-insurance with random parameters. Zbl 1401.91193Shen, Yang; Wei, Jiaqin 13 2016 Collective reserving using individual claims data. Zbl 07544483Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V. 2 2022 Optimal dividend strategy for an insurance group with contagious default risk. Zbl 1470.91229Jin, Zhuo; Liao, Huafu; Yang, Yue; Yu, Xiang 4 2021 Optimal reinsurance and dividends with transaction costs and taxes under thinning structure. Zbl 1468.91122Chen, Mi; Yuen, Kam Chuen; Wang, Wenyuan 3 2021 Time-series forecasting of mortality rates using deep learning. Zbl 1471.91480Perla, Francesca; Richman, Ronald; Scognamiglio, Salvatore; Wüthrich, Mario V. 3 2021 Bowley reinsurance with asymmetric information on the insurer’s risk preferences. Zbl 1471.91448Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying 3 2021 On copula-based collective risk models: from elliptical copulas to vine copulas. Zbl 1467.91148Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo 2 2021 Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays. Zbl 1468.91126Lopez, Olivier; Milhaud, Xavier 2 2021 Time-consistent and market-consistent actuarial valuation of the participating pension contract. Zbl 1475.91315Salahnejhad Ghalehjooghi, Ahmad; Pelsser, Antoon 2 2021 Two-step risk analysis in insurance ratemaking. Zbl 1471.91464Ki Kang, Seul; Peng, Liang; Golub, Andrew 2 2021 Finite-time ruin probability for correlated Brownian motions. Zbl 1487.60075Dȩbicki, Krzysztof; Hashorva, Enkelejd; Krystecki, Konrad 1 2021 Functional sensitivity analysis of ruin probability in the classical risk models. Zbl 1485.91054Cheurfa, Fatah; Takhedmit, Baya; Ouazine, Sofiane; Abbas, Karim 1 2021 Age-coherent extensions of the Lee-Carter model. Zbl 07483116Gao, Guangyuan; Shi, Yanlin 1 2021 Genetics, insurance and hypertrophic cardiomyopathy. Zbl 1466.91259Haçarız, Oytun; Kleinow, Torsten; Macdonald, Angus S. 1 2021 Robust optimal investment and reinsurance problems with learning. Zbl 1468.91121Bäuerle, Nicole; Leimcke, Gregor 1 2021 Life expectancy and lifespan disparity forecasting: a long short-term memory approach. Zbl 1468.91128Nigri, Andrea; Levantesi, Susanna; Marino, Mario 1 2021 An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking. Zbl 1467.91129Baione, Fabio; Biancalana, Davide 1 2021 Matrix calculation for ultimate and 1-year risk in the semi-Markov individual loss reserving model. Zbl 1472.91038Bettonville, Carole; d’Oultremont, Louise; Denuit, Michel; Trufin, Julien; Van Oirbeek, Robin 1 2021 Market pricing of longevity-linked securities. Zbl 1472.91041Tang, Sixian; Li, Jackie 1 2021 Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models. Zbl 1479.91327Hillairet, Caroline; Lopez, Olivier 1 2021 A law of uniform seniority for dependent lives. Zbl 1480.91205Genest, Christian; Kolev, Nikolai 1 2021 Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach. Zbl 1479.91445Li, Peng; Feng, Runhuan 1 2021 Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion. Zbl 1479.91315Cheung, Eric C. K.; Zhang, Zhimin 1 2021 Retrospective reserves and bonus. Zbl 1471.91449Bruhn, Kenneth; Lollike, Alexander Sevel 1 2021 On \(s\)-convex bounds for Beta-unimodal distributions with applications to basis risk assessment. Zbl 1471.91467Lefèvre, Claude; Loisel, Stéphane; Montesinos, Pierre 1 2021 Optimal contribution rate of PAYGO pension. Zbl 1471.91461He, Lin; Liang, Zongxia; Song, Yilun; Ye, Qi 1 2021 Structure of intergenerational risk-sharing plans: optimality and fairness. Zbl 1471.91493Zhu, Xiaobai; Hardy, Mary; Saunders, David 1 2021 Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option. Zbl 1436.91104Sun, Zhongyang; Zhang, Xin; Yuen, Kam Chuen 8 2020 Neural network embedding of the over-dispersed Poisson reserving model. Zbl 1430.91076Gabrielli, Andrea; Richman, Ronald; Wüthrich, Mario V. 7 2020 Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model. Zbl 1447.91139Gu, Ailing; Viens, Frederi G.; Shen, Yang 5 2020 Robust reinsurance contracts with risk constraint. Zbl 1447.91151Wang, Ning; Siu, Tak Kuen 5 2020 Cohort and value-based multi-country longevity risk management. Zbl 1448.91267Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan 5 2020 Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle. Zbl 1454.91191Han, Xia; Liang, Zhibin; Young, Virginia R. 5 2020 Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach. Zbl 1454.91174Chen, Ze; Chen, Bingzheng; Dhaene, Jan 5 2020 A ruin model with a resampled environment. Zbl 1447.91131Constantinescu, C.; Delsing, G.; Mandjes, M.; Rojas Nandayapa, L. 4 2020 Bonus-malus premiums under the dependent frequency-severity modeling. Zbl 1436.91103Oh, Rosy; Shi, Peng; Ahn, Jae Youn 3 2020 Continuous chain-ladder with paid data. Zbl 1448.91254Bischofberger, Stephan M.; Hiabu, Munir; Isakson, Alex 3 2020 Combined tail estimation using censored data and expert information. Zbl 1448.91255Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan 3 2020 A Hermite-spline model of post-retirement mortality. Zbl 1433.91144Richards, Stephen J. 2 2020 Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates. Zbl 1433.91139Liu, Yuying; Liu, Zhaoyang; Liu, Guoxin 2 2020 Budget-constrained optimal retention with an upper limit on the retained loss. Zbl 1436.91102Ghossoub, Mario 2 2020 On series expansions for scale functions and other ruin-related quantities. Zbl 1447.91142Landriault, David; Willmot, Gordon E. 2 2020 Weighted utility optimization of the participating endowment contract. Zbl 1448.91260He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming 2 2020 Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors. Zbl 1448.91261Hong, Liang; Martin, Ryan 2 2020 Optimal asset allocation for participating contracts under the VaR and PI constraint. Zbl 1433.91129Dong, Yinghui; Wu, Sang; Lv, Wenxin; Wang, Guojing 1 2020 Cash flow techniques for asset liability management. Zbl 1436.91099Aguirre Nolsøe, Kim; Degrijse, Dieter; Ahm, Sofie; Brix, Kristoffer; Storgaard, Mads; Strodl, Jesper 1 2020 A multivariate Markov chain stock model. Zbl 1447.91133D’Amico, Guglielmo; De Blasis, Riccardo 1 2020 Nonlinearly transformed risk measures: properties and application to optimal reinsurance. Zbl 1447.91128Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert 1 2020 Proportional reinsurance and investment in multiple risky assets under borrowing constraint. Zbl 1447.91153Yener, Haluk 1 2020 Generalized log-normal chain-ladder. Zbl 1448.91263Kuang, D.; Nielsen, B. 1 2020 The Lee-Carter quantile mortality model. Zbl 1448.91265Santolino, Miguel 1 2020 Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. Zbl 1451.91167Guan, Guohui; Wang, Xiaojun 1 2020 Approximation of ruin probability and ruin time in discrete Brownian risk models. Zbl 1454.91193Jasnovidov, Grigori 1 2020 On a discrete-time risk model with time-dependent claims and impulsive dividend payments. Zbl 1454.91211Zhang, Lianzeng; Liu, He 1 2020 Multi-population mortality forecasting using tensor decomposition. Zbl 1454.91179Dong, Yumo; Huang, Fei; Yu, Honglin; Haberman, Steven 1 2020 Incorporating structural changes in mortality improvements for mortality forecasting. Zbl 1454.91198Li, Jackie; Wong, Kenneth 1 2020 On the cumulative parisian ruin of multi-dimensional Brownian motion risk models. Zbl 1454.91196Ji, Lanpeng 1 2020 Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach. Zbl 1454.91172Chang, Le; Shi, Yanlin 1 2020 Computing the Gerber-Shiu function by frame duality projection. Zbl 1411.91320Wang, Wenyuan; Zhang, Zhimin 11 2019 Claims frequency modeling using telematics car driving data. Zbl 1411.91280Gao, Guangyuan; Meng, Shengwang; Wüthrich, Mario V. 9 2019 Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264Barigou, Karim; Dhaene, Jan 9 2019 Extending composite loss models using a general framework of advanced computational tools. Zbl 1422.91351Grün, Bettina; Miljkovic, Tatjana 9 2019 The expected discounted penalty function: from infinite time to finite time. Zbl 1411.91303Li, Shuanming; Lu, Yi; Sendova, Kristina P. 7 2019 Interplay of insurance and financial risks in a stochastic environment. Zbl 1411.91316Tang, Qihe; Yang, Yang 7 2019 Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Zbl 1422.91354Hieber, Peter; Natolski, Jan; Werner, Ralf 5 2019 A constraint-free approach to optimal reinsurance. Zbl 1418.91238Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 5 2019 Budget-constrained optimal reinsurance design under coherent risk measures. Zbl 1426.91209Cheung, Ka Chun; Chong, Wing Fung; Lo, Ambrose 5 2019 Periodic threshold-type dividend strategy in the compound Poisson risk model. Zbl 1418.91232Cheung, Eric C. K.; Zhang, Zhimin 4 2019 Parisian types of ruin probabilities for a class of dependent risk-reserve processes. Zbl 1418.91230Bladt, Mogens; Nielsen, Bo Friis; Peralta, Oscar 4 2019 A two-dimensional dividend problem for collaborating companies and an optimal stopping problem. Zbl 1418.91239Grandits, Peter 4 2019 A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates. Zbl 1411.91317Tsai, Cary Chi-Liang; Zhang, Ying 3 2019 Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 3 2019 Modeling cause-of-death mortality using hierarchical Archimedean copula. Zbl 1411.91299Li, Hong; Lu, Yang 2 2019 A logistic two-population mortality projection model for modelling mortality at advanced ages for both sexes. Zbl 1411.91300Li, Jackie; Liu, Jia 2 2019 Insurance loss coverage and social welfare. Zbl 1411.91284Hao, MingJie; Macdonald, Angus S.; Tapadar, Pradip; Thomas, R. Guy 2 2019 Gibbs posterior inference on value-at-risk. Zbl 1422.91376Syring, Nicholas; Hong, Liang; Martin, Ryan 2 2019 A unified approach to ruin probabilities with delays for spectrally negative Lévy processes. Zbl 1422.91361Lkabous, Mohamed Amine; Renaud, Jean-François 2 2019 Optimal proportional reinsurance with a loss-dependent premium principle. Zbl 1426.91223Hu, Duni; Wang, Hailong 2 2019 Reinsurance contract design with adverse selection. Zbl 1426.91211Cheung, K. C.; Yam, S. C. P.; Yuen, F. L. 2 2019 On additivity of tail comonotonic risks. Zbl 1426.91210Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung Chi Phillip; Yuen, Fei Lung 2 2019 Life insurance decisions under recursive utility. Zbl 1411.91288Jensen, Ninna Reitzel 1 2019 Compound trend renewal process with discounted claims: a unified approach. Zbl 1411.91295Léveillé, Ghislain; Hamel, Emmanuel 1 2019 Comparisons of aggregate claim numbers and amounts: a study of heterogeneity. Zbl 1411.91327Zhang, Yiying; Zhao, Peng; Cheung, Ka Chun 1 2019 Approximation methods for piecewise deterministic Markov processes and their costs. Zbl 1411.91294Kritzer, Peter; Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan 1 2019 Survival analysis of pension scheme mortality when data are missing. Zbl 1422.91379Ungolo, Francesco; Christiansen, Marcus C.; Kleinow, Torsten; MacDonald, Angus S. 1 2019 The maximum entropy mortality model: forecasting mortality using statistical moments. Zbl 1422.91370Pascariu, Marius D.; Lenart, Adam; Canudas-Romo, Vladimir 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 1426.91292Avram, Florin; Goreac, Dan 1 2019 Concordance-based predictive measures in regression models for discrete responses. Zbl 1426.91213Denuit, Michel; Mesfioui, Mhamed; Trufin, Julien 1 2019 Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure. Zbl 1426.91216Fergusson, K. 1 2019 Reinsurance premium principles based on weighted loss functions. Zbl 1426.91206Cai, Jun; Wang, Ying 1 2019 Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Zbl 1416.91203Li, Danping; Zeng, Yan; Yang, Hailiang 31 2018 Machine learning in individual claims reserving. Zbl 1416.91225Wüthrich, Mario V. 19 2018 A new efficient method for estimating the Gerber-Shiu function in the classical risk model. Zbl 1416.91229Zhang, Zhimin; Su, Wen 14 2018 Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Zbl 1416.91153Balakrishnan, Narayanaswamy; Zhang, Yiying; Zhao, Peng 13 2018 A data driven binning strategy for the construction of insurance tariff classes. Zbl 1418.91241Henckaerts, Roel; Antonio, Katrien; Clijsters, Maxime; Verbelen, Roel 13 2018 Randomly weighted sums of dependent subexponential random variables with applications to risk theory. Zbl 1396.62021Cheng, Fengyang; Cheng, Dongya 11 2018 An application of two-stage quantile regression to insurance ratemaking. Zbl 1418.91242Heras, Antonio; Moreno, Ignacio; Vilar-Zanón, José L. 10 2018 Robust reinsurance contracts in continuous time. Zbl 1416.91189Hu, Duni; Chen, Shou; Wang, Hailong 9 2018 Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure. Zbl 1418.91240Han, Xia; Liang, Zhibin; Yuen, Kam Chuen 9 2018 Ruin probabilities in classical risk models with gamma claims. Zbl 1416.91166Constantinescu, Corina; Samorodnitsky, Gennady; Zhu, Wei 7 2018 Optimal retirement time under habit persistence: what makes individuals retire early? Zbl 1396.91681Chen, An; Hentschel, Felix; Xu, Xian 7 2018 ...and 388 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,781 Authors 45 Zhang, Zhimin 37 Landriault, David 36 Yuen, Kam Chuen 35 Cheung, Eric C. K. 35 Willmot, Gordon E. 33 Yang, Hailiang 30 Denuit, Michel M. 29 Albrecher, Hansjörg 29 Yang, Yang 28 Li, Shuanming 27 Liang, Zhibin 24 Badescu, Andrei L. 24 Haberman, Steven 23 Woo, Jae-Kyung 23 Young, Virginia R. 22 Cheung, Ka Chun 22 Guo, Junyi 22 Loisel, Stéphane 22 Marceau, Étienne 21 Cai, Jun 21 Cossette, Hélène 21 Hashorva, Enkelejd 21 Tang, Qihe 20 Li, Johnny Siu-Hang 20 Tan, Ken Seng 19 Yang, Hu 18 Antonio, Katrien 18 Nielsen, Jens Perch 18 Sherris, Michael 17 Asimit, Alexandru V. 17 Christiansen, Marcus Christian 17 Weng, Chengguo 17 Wüthrich, Mario Valentin 16 Boonen, Tim J. 16 Dickson, David C. 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Sheldon 11 Nadarajah, Saralees 11 Trufin, Julien 11 Wang, Wenyuan 11 Zhao, Hui 10 Asmussen, Søren 10 Avanzi, Benjamin 10 Avram, Florin 10 Chen, Ping 10 Chen, Yiqing 10 Constantinescu, Corina D. 10 Léveillé, Ghislain 10 Sendova, Kristina P. 10 Stanford, David A. 10 Tsai, Cary Chi-Liang 10 Valdez, Emiliano A. 10 Wang, Yuebao 10 Ziveyi, Jonathan 9 Breuer, Lothar 9 Cairns, Andrew J. G. 9 Czado, Claudia 9 Dębicki, Krzysztof 9 Kleinow, Torsten 9 Klüppelberg, Claudia 9 Li, Bin 9 Liang, Zongxia 9 Meng, Hui ...and 2,681 more Authors all top 5 Cited in 230 Journals 672 Insurance Mathematics & Economics 318 Scandinavian Actuarial Journal 140 North American Actuarial Journal 128 ASTIN Bulletin 87 Communications in Statistics. 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