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ASTIN Bulletin

The Journal of the International Actuarial Association

Documents Indexed: 620 Publications (since 1998)
References Indexed: 551 Publications with 14,134 References.
all top 5

Authors

18 Denuit, Michel M.
17 Wüthrich, Mario Valentin
11 Hürlimann, Werner
11 Yang, Hailiang
10 Bühlmann, Hans
10 Tan, Ken Seng
9 Taylor, Greg
8 Chi, Yichun
8 Haberman, Steven
8 Hardy, Mary Rosalyn
8 Lin, X. Sheldon
8 Walhin, Jean-François
7 Avanzi, Benjamin
7 Boonen, Tim J.
7 Nielsen, Jens Perch
7 Sherris, Michael
7 Tsanakas, Andreas
6 Furman, Edward
6 Gómez-Déniz, Emilio
6 Landsman, Zinoviy M.
6 Macdonald, Angus S.
6 Mack, Thomas
6 Tang, Qihe
6 Venter, Gary G.
6 Wong, Bernard
5 Albrecher, Hansjörg
5 Boucher, Jean-Philippe
5 Chan, Jennifer So Kuen
5 Chen, An
5 Cheung, Ka Chun
5 Christiansen, Marcus Christian
5 Cossette, Hélène
5 Devolder, Pierre
5 Dickson, David C. M.
5 Gisler, Alois
5 Guillen, Montserrat
5 Hieber, Peter
5 Paris, Jose F.
5 Steffensen, Mogens
5 Verrall, Richard J.
5 Waters, Howard R.
5 Willmot, Gordon E.
5 Young, Virginia R.
4 Aase, Knut Kristian
4 Antonio, Katrien
4 Avram, Florin
4 Badescu, Andrei L.
4 Cai, Jun
4 De Lourdes Centeno, Maria
4 Delong, Łukasz
4 Dhaene, Jan
4 Donnelly, Catherine
4 Egídio dos Reis, Alfredo D.
4 Embrechts, Paul
4 Kałuszka, Marek
4 Lemaire, Jean-Jacques
4 Marceau, Étienne
4 Meng, Shengwang
4 Pinquet, Jean
4 Riegel, Ulrich
4 Usábel, Miguel A.
4 Vernic, Raluca
4 Zitikis, Ričardas
3 Afonso, Lourdes B.
3 Bauer, Daniel J.
3 Beirlant, Jan
3 Blake, David
3 Brazauskas, Vytaras
3 Cairns, Andrew J. G.
3 Calderín Ojeda, Enrique
3 Cheung, Eric C. K.
3 Choy, S. T. Boris
3 de Jong, Piet
3 Deelstra, Griselda
3 Desjardins, Denise
3 Dionne, Georges
3 Drekic, Steve
3 Frangos, Nikos E.
3 Frees, Edward W.
3 Gao, Guangyuan
3 Gerber, Hans U.
3 Hainaut, Donatien
3 Hofert, Marius
3 Hössjer, Ola G.
3 Jiang, Wenjun
3 Joshi, Mark S.
3 Kling, Alexander
3 Li, Johnny Siu-Hang
3 Li, Shuanming
3 Liang, Xiaoqing
3 Maurer, Raimond H.
3 Merz, Michael
3 Moriconi, Franco
3 Ohlsson, Esbjörn
3 Olivieri, Annamaria
3 Pantelous, Athanasios A.
3 Peters, Gareth William
3 Pitt, David H.
3 Ren, Jiandong
3 Robert, Christian Yann
...and 673 more Authors

Publications by Year

Citations contained in zbMATH Open

493 Publications have been cited 5,085 times in 3,160 Documents Cited by Year
A primer on copulas for count data. Zbl 1274.62398
Genest, Christian; Nešlehová, Johanna
120
2007
Pricing death frameworks for the valuation and securitization of mortality risk. Zbl 1162.91403
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin
109
2006
Some optimal dividends problems. Zbl 1097.91040
Dickson, David C. M.; Waters, Howard R.
106
2004
A universal pricing framework for guaranteed minimum benefits in variable annuities. Zbl 1274.91399
Bauer, Daniel; Kling, Alexander; Russ, Jochen
104
2008
Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures. Zbl 1162.91402
Cai, Jun; Tan, Ken Seng
102
2007
Common Poisson shock models: applications to insurance and credit risk modelling. Zbl 1087.91030
Lindskog, Filip; McNeil, Alexander J.
71
2003
Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028
Asmussen, Soren; Avram, Florin; Usabel, Miguel
65
2002
Optimal reinsurance under VaR and CVaR risk measures a simplified approach. Zbl 1239.91078
Chi, Yichun; Tan, Ken Seng
65
2011
Optimal reinsurance revisited - a geometric approach. Zbl 1230.91070
Cheung, Ka Chun
64
2010
Randomized onservation periods for the compound Poisson risk model: dividends. Zbl 1239.91072
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan
62
2011
Risk-minimizing hedging strategies for unit-linked life insurance contracts. Zbl 1168.91417
Møller, Thomas
61
1998
Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time. Zbl 1018.91028
Cairns, Andrew
60
2000
A universal framework for pricing financial and insurance risks. Zbl 1090.91555
Wang, Shaun S.
60
2002
Fitting Tweedie’s compound Poisson model to insurance claims data: dispersion modelling. Zbl 1094.91514
Smyth, Gordon K.; Jørgensen, Bent
59
2002
Modelling and comparing dependencies in multivariable risk portfolios. Zbl 1137.91484
Bäuerle, N.; Müller, A.
56
1998
Tail variance premium with applications for elliptical portfolio of risks. Zbl 1162.91373
Furman, Edward; Landsman, Zinoviy
54
2006
Optimal dividends in the dual model with diffusion. Zbl 1274.91463
Avanzi, Benjamin; Gerber, Hans U.
53
2008
A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374
Gerber, Hans U.; Lin, X. Sheldon; Yang, Hailiang
49
2006
Modelling adult mortuality in small populations the saint model. Zbl 1239.91128
Søren, Fiig Jarner; Kryger, Ebsen Masotti
49
2011
Fair pricing of life insurance participating policies with a minimum interest rate guaranteed. Zbl 1098.91537
Bacinello, Anna Rita
47
2001
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
42
2013
The density of the time to ruin in the classical Poisson risk model. Zbl 1097.62113
Dickson, David C. M.; Willmot, Gordon E.
41
2005
Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach. Zbl 1203.91113
Li, Johnny Siu-Hang; Hardy, Mary; Tan, Ken Seng
40
2009
On the tail behaviour of sums of dependent risks. Zbl 1162.91395
Barbe, Philippe; Fougères, Anne-Laure; Genest, Christian
35
2006
Prediction of outstanding liabilities II model variations and extensions. Zbl 1162.91428
Norberg, R.
35
1999
Tail conditional expectations for exponential dispersion models. Zbl 1099.62122
Landsman, Zinoviy; Valdez, Emiliano A.
34
2005
Optimal dynamic XL reinsurance. Zbl 1059.93135
Hipp, Christian; Vogt, Michael
34
2003
Guaranteed annuity options. Zbl 1098.91527
Boyle, Phelim; Hardy, Mary
33
2003
On Esscher transforms in discrete finance models. Zbl 1162.91367
Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N.
31
1998
On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer. Zbl 1390.91170
Chen, Lv; Shen, Yang
31
2018
Optimal reinsurance from the perspectives of both an insurer and a reinsurer. Zbl 1390.91167
Cai, Jun; Lemieux, Christiane; Liu, Fangda
31
2016
Maxima of sums of heavy-tailed random variables. Zbl 1098.60505
Ng, K. W.; Tang, Q. H.; Yang, Hailiang
30
2002
The quantitative modeling of operational risk: between \(g\)- and -\(h\) and EVT. Zbl 1154.62077
Degen, Matthias; Embrechts, Paul; Lambrigger, Dominik D.
30
2007
Optimal dividends and capital injections in the dual model with diffusion. Zbl 1242.91089
Avanzi, Benjamin; Shen, Jonathan; Wong, Bernard
30
2011
Favorable estimators for fitting Pareto models: a study using goodness-of-fit measures with actual data. Zbl 1058.62030
Brazauskas, Vytaras; Serfling, Robert
29
2003
Modeling dependent risks with multivariate Erlang mixtures. Zbl 1277.62255
Lee, Simon C. K.; Lin, X. Sheldon
29
2012
On the calculation of the solvency capital requirement based on nested simulations. Zbl 1277.91074
Bauer, Daniel; Reuss, Andreas; Singer, Daniela
29
2012
The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. Zbl 1230.91181
Donnelly, Catherine; Embrechts, Paul
29
2010
A simple geometric proof that comonotonic risks have the convex-largest sum. Zbl 1061.62511
Kaas, R.; Dhaene, J.; Vyncke, D.; Goovaerts, M. J.; Denuit, M.
28
2002
Reinsurance arrangements minimizing the risk-adjusted value of an insurer’s liability. Zbl 1277.91077
Chi, Yichun
28
2012
Design of optimal bonus-malus systems with a frequency and a severity component on an individual basis in automobile insurance. Zbl 1035.62108
Frangos, Nicholas E.; Vrontos, Spyridon D.
28
2001
The decompositions of the discounted penalty functions and dividends-penalty identity in a Markov-modulated risk model. Zbl 1169.91390
Li, Shuanming; Lu, Yi
27
2008
On the density and moments of the time of ruin with exponential claims. Zbl 1062.60007
Drekic, Steve; Willmot, Gordon E.
26
2003
Key q-duration: a framework for hedging longevity risk. Zbl 1277.91089
Li, Johnny Siu-Hang; Luo, Ancheng
26
2012
Model uncertainty in claims reserving within Tweedie’s compound Poisson models. Zbl 1203.91114
Peters, Gareth W.; Shevchenko, Pavel V.; Wüthrich, Mario V.
26
2009
Risk measures and efficient use of capital. Zbl 1203.91110
Artzner, Philippe; Delbaen, Freddy; Koch-Medina, Pablo
26
2009
Phase-type approximations to finite-time ruin probabilities in the Sparre Andersen and stationary renewal risk models. Zbl 1123.62078
Stanford, D. A.; Avram, F.; Badescu, A. L.; Breuer, L.; da Silva Soares, A.; Latouche, G.
25
2005
A review on phase-type distributions and their use in risk theory. Zbl 1123.62013
Bladt, Mogens
25
2005
On the maximisation of the adjustment coefficient under proportional reinsurance. Zbl 1095.91033
Hald, Morten; Schmidli, Hanspeter
25
2004
Individual loss reserving with the multivariate skew normal framework. Zbl 1284.91263
Pigeon, Mathieu; Antonio, Katrien; Denuit, Michel
25
2013
A comparative study of two-population models for the assessment of basis risk in longevity hedges. Zbl 1390.91215
Villegas, Andrés M.; Haberman, Steven; Kaishev, Vladimir K.; Millossovich, Pietro
25
2017
The mean square error of prediction in the chain ladder reserving method (Mack and Murphy revisited). Zbl 1162.91400
Buchwalder, Markus; Bühlmann, Hans; Merz, Michael; Wütrich, Mario V.
24
2006
On the distribution of the surplus prior to and at ruin. Zbl 1129.62425
Schmidli, Hanspeter
24
1999
A Neyman-Pearson perspective on optimal reinsurance with constraints. Zbl 1390.91199
Lo, Ambrose
24
2017
Maximizing dividends without bankruptcy. Zbl 1162.91375
Gerber, Hans U.; Shiu, Elias S. W.; Smith, Nathaniel
23
2006
Option pricing in a jump-diffusion model with regime-switching. Zbl 1180.91298
Yuen, Fei Lung; Yang, Hailiang
23
2009
Double chain ladder. Zbl 1277.91092
Martínez Miranda, Dolores María; Nielsen, Jens Perch; Verrall, Richard
23
2012
From ruin to bankruptcy for compound Poisson surplus processes. Zbl 1283.91084
Albrecher, Hansjörg; Lautscham, Volkmar
23
2013
On some properties of a class of multivariate Erlang mixtures with insurance applications. Zbl 1390.62092
Willmot, Gordon E.; Woo, Jae-Kyung
23
2015
Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm. Zbl 1390.62227
Verbelen, Roel; Gong, Lan; Antonio, Katrien; Badescu, Andrei; Lin, Sheldon
23
2015
Prediction of RBNS and IBNR claims using claim amounts and claim counts. Zbl 1235.91109
Verrall, Richard; Nielsen, Jens Perch; Jessen, Anders Hedegaard
22
2010
Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang
22
2015
Analytic solution for return of premium and rollup guaranteed minimum death benefit options under some simple mortality laws. Zbl 1256.91035
Ulm, Eric R.
21
2008
Economic capital allocations for non-negative portfolios of dependent risks. Zbl 1274.91379
Furman, Edward; Landsman, Zinoviy
21
2008
Risk exchange with distorted probabilities. Zbl 1162.91439
Tsanakas, Andreas; Christofides, Nicos
20
2006
On stop-loss order and the distortion pricing principle. Zbl 1168.91414
Hürlimann, Werner
20
1998
Optimal reinsurance for variance related premium calculation principles. Zbl 1230.91073
Guerra, Manuel; de Lourdes Centeno, Maria
20
2010
Largest claims reinsurance premiums under possible claims dependence. Zbl 1162.91420
Kremer, Erhard
19
1998
An individual claims reserving model. Zbl 1162.91421
Larsen, Christian Roholte
19
2007
Credibility for the chain ladder reserving method. Zbl 1274.91486
Gisler, Alois; Wüthrich, Mario V.
19
2008
Analysis of the expected shortfall of aggregate dependent risks. Zbl 1101.62092
Alink, Stan; Löwe, Matthias; Wütherich, Mario V.
19
2005
Stochastic mortality: the impact on target capital. Zbl 1179.91108
Olivieri, Annamaria; Pitacco, Ermanno
19
2009
Equilibrium pricing transforms: new results using Bühlmann’s 1980 economic model. Zbl 1098.91551
Wang, Shaun S.
19
2003
Tonuity: a novel individual-oriented retirement plan. Zbl 1419.91352
Chen, An; Hieber, Peter; Klein, Jakob K.
19
2019
Actuarial fairness and solidarity in pooled annuity funds. Zbl 1390.91177
Donnelly, Catherine
19
2015
Designing optimal bonus-malus systems from different types of claims. Zbl 1162.91430
Pinquet, Jean
18
1998
Dependence in dynamic claim frequency credibility models. Zbl 1098.62567
Purcaru, Oana; Denuit, Michel
18
2003
Asymptotic value-at-risk estimates for sums of dependent random variables. Zbl 1098.62570
Wüthrich, Mario V.
18
2003
A unified approach to generate risk measures. Zbl 1098.91539
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe
18
2003
The Markov chain market. Zbl 1098.91531
Norberg, Ragnar
18
2003
The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor. Zbl 1277.62256
Mack, Th.
18
1999
Optimal risk control for the excess of loss reinsurance policies. Zbl 1230.91079
Meng, Hui; Zhang, Xin
18
2010
Dividend moments in the dual risk model exact and approximate approaches. Zbl 1256.91026
Cheung, Eric C. K.; Drekic, Steve
17
2008
Ruin probabilities and deficit for the renewal risk model with phase-type interarrival times. Zbl 1274.91244
Avram, F.; Usábel, M.
17
2004
The prediction error of the chain ladder method applied to correlated run-off triangles. Zbl 1274.62689
Braun, Christian
17
2004
Pricing general insurance using optimal control theory. Zbl 1155.91401
Emms, Paul; Haberman, Steven
17
2005
Optimal consumption and insurance: a continuous-time Markov chain approach. Zbl 1169.91329
Kraft, Holger; Steffensen, Mogens
17
2008
Allowance for the age of claims in bonus-malus systems. Zbl 1098.91544
Pinquet, Jean; Cuillén, Montserrat; Bolancé, Catalina
17
2001
Pricing in reinsurance bargaining with comonotonic additive utility functions. Zbl 1390.91164
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao
17
2016
Equitable retirement income tontines: mixing cohorts without discriminating. Zbl 1390.91201
Milevsky, Moshe A.; Salisbury, Thomas S.
17
2016
EM algorithm for mixed Poisson and other discrete distributions. Zbl 1100.62026
Karlis, Dimitris
16
2005
An extension of Panjer’s recursion. Zbl 1098.91540
Hess, Klaus Th.; Liewald, Anett; Schmidt, Klaus D.
16
2002
Claims reserving using Tweedie’s compound Poisson model. Zbl 1095.91042
Wüthrich, Mario V.
16
2003
Discrete-time risk models on time series for count random variables. Zbl 1230.91071
Cossette, Hélène; Marceau, Etienne; Maume-Deschamps, Véronique
16
2010
Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171
Chen, Shumin; Yang, Hailiang; Zeng, Yan
16
2018
Optimal pricing of a heterogeneous portfolio for a given risk level. Zbl 1162.91390
Zaks, Yaniv; Frostig, Esther; Levikson, Benny
15
2006
A multivariate extension of equilibrum pricing transforms the multivariate Esscher and Wang transforms for pricing financial and insurance risks. Zbl 1162.91418
Kijima, Masaaki
15
2006
Market consistent pricing of insurance products. Zbl 1256.91018
Malamud, Semyon; Trubowitz, Eugene; Wüthrich, Mario V.
15
2008
Analytical bounds for two value-at-risk functionals. Zbl 1094.91032
Hürlimann, Werner
15
2002
Multivariate counting processes: copulas and beyond. Zbl 1098.62132
Bäuerle, Nicole; Grübel, Rudolf
14
2005
Joint model prediction and application to individual-level loss reserving. Zbl 1484.91401
Okine, A. Nii-Armah; Frees, Edward W.; Shi, Peng
2
2022
Point and interval forecasts of death rates using neural networks. Zbl 1484.91404
Schnürch, Simon; Korn, Ralf
2
2022
Modern life-care tontines. Zbl 1492.91296
Hieber, Peter; Lucas, Nathalie
2
2022
A collective reserving model with claim openness. Zbl 1484.91395
Lindholm, Mathias; Zakrisson, Henning
1
2022
A group regularisation approach for constructing generalised age-period-cohort mortality projection models. Zbl 1484.91405
Sridaran, Dilan; Sherris, Michael; Villegas, Andrés M.; Ziveyi, Jonathan
1
2022
Addressing imbalanced insurance data through zero-inflated Poisson regression with boosting. Zbl 1471.91466
Lee, Simon C. K.
4
2021
Neighbouring prediction for mortality. Zbl 1480.91248
Wang, Chou-Wen; Zhang, Jinggong; Zhu, Wenjun
3
2021
Optimal incentive-compatible insurance with background risk. Zbl 1478.91163
Chi, Yichun; Tan, Ken Seng
3
2021
Applying economic measures to lapse risk management with machine learning approaches. Zbl 1480.91224
Loisel, Stéphane; Piette, Pierrick; Tsai, Cheng-Hsien Jason
2
2021
Optimal reinsurance from the viewpoints of both an insurer and a reinsurer under the CVaR risk measure and Vajda condition. Zbl 1479.91313
Chen, Yanhong
2
2021
Cost-sensitive multi-class AdaBoost for understanding driving behavior based on telematics. Zbl 1480.91243
So, Banghee; Boucher, Jean-Philippe; Valdez, Emiliano A.
1
2021
Diversification in catastrophe insurance markets. Zbl 1480.91197
Cui, Hengxin; Tan, Ken Seng; Yang, Fan
1
2021
Asymptotics for systemic risk with dependent heavy-tailed losses. Zbl 1471.91610
Liu, Jiajun; Yang, Yang
1
2021
Optimal reinsurance design with distortion risk measures and asymmetric information. Zbl 1478.91161
Boonen, Tim J.; Zhang, Yiying
1
2021
Predictive claim scores for dynamic multi-product risk classification in insurance. Zbl 1472.91042
Verschuren, Robert Matthijs
1
2021
Generalizing the log-Moyal distribution and regression models for heavy-tailed loss data. Zbl 1472.91039
Li, Zhengxiao; Beirlant, Jan; Meng, Shengwang
1
2021
Quantifying the trade-off between income stability and the number of members in a pooled annuity fund. Zbl 1471.91447
Bernhardt, Thomas; Donnelly, Catherine
1
2021
Universally marketable insurance under multivariate mixtures. Zbl 1471.91472
Lo, Ambrose; Tang, Qihe; Tang, Zhaofeng
1
2021
The impacts of individual information on loss reserving. Zbl 1471.91487
Wang, Zhigao; Wu, Xianyi; Qiu, Chunjuan
1
2021
On the optimal combination of annuities and tontines. Zbl 1431.91320
Chen, An; Rach, Manuel; Sehner, Thorsten
7
2020
Distortion riskmetrics on general spaces. Zbl 1454.91208
Wang, Qiuqi; Wang, Ruodu; Wei, Yunran
5
2020
Poisson models with dynamic random effects and nonnegative credibilities per period. Zbl 1447.91145
Pinquet, Jean
5
2020
A neural network boosted double overdispersed Poisson claims reserving model. Zbl 1431.91328
Gabrielli, Andrea
5
2020
Large-loss behavior of conditional mean risk sharing. Zbl 1454.91178
Denuit, Michel; Robert, Christian Y.
4
2020
Wavelet-based feature extraction for mortality projection. Zbl 1454.91190
Hainaut, Donatien; Denuit, Michel
3
2020
Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method. Zbl 1454.91177
Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; Hieber, Peter
3
2020
A new inference strategy for general population mortality tables. Zbl 1444.91190
Boumezoued, Alexandre; Hoffmann, Marc; Jeunesse, Paulien
3
2020
An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion. Zbl 1447.91149
Tzougas, George; Karlis, Dimitris
3
2020
Multivariate long-memory cohort mortality models. Zbl 1431.91346
Yan, Hongxuan; Peters, Gareth W.; Chan, Jennifer S. K.
3
2020
Bilateral risk sharing with heterogeneous beliefs and exposure constraints. Zbl 1431.91094
Boonen, Tim J.; Ghossoub, Mario
3
2020
Testing for random effects in compound risk models via Bregman divergence. Zbl 1454.91194
Jeong, Himchan
2
2020
Risk measures derived from a regulator’s perspective on the regulatory capital requirements for insurers. Zbl 1454.91169
Cai, Jun; Mao, Tiantian
2
2020
Forecasting multiple functional time series in a group structure: an application to mortality. Zbl 1447.91148
Shang, Han Lin; Haberman, Steven
2
2020
Optimal asset allocation for DC pension decumulation with a variable spending rule. Zbl 1447.91138
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham
2
2020
Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach. Zbl 1447.91129
Cheng, Xiang; Jin, Zhuo; Yang, Hailiang
2
2020
The effect of the assumed interest rate and smoothing on variable annuities. Zbl 1431.91316
Balter, Anne G.; Werker, Bas J. M.
2
2020
Reaching a bequest goal with life insurance: ambiguity about the risky asset’s drift and mortality’s hazard rate. Zbl 1431.91338
Liang, Xiaoqing; Young, Virginia R.
2
2020
Multivariate geometric tail- and range-value-at-risk. Zbl 1431.91441
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina
2
2020
Joint optimization of transition rules and the premium scale in a bonus-malus system. Zbl 1454.91164
Ágoston, Kolos Csaba; Gyetvai, Márton
1
2020
An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. Zbl 1454.91189
Gweon, Hyukjun; Li, Shu; Mamon, Rogemar
1
2020
Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets. Zbl 1454.91202
Lin, X. Sheldon; Yang, Shuai
1
2020
A generalised property exposure rating framework that incorporates scale-independent losses and maximum possible loss uncertainty. Zbl 1447.91144
Parodi, Pietro
1
2020
Optimal insurance contracts under distortion risk measures with ambiguity aversion. Zbl 1447.91140
Jiang, Wenjun; Escobar-Anel, Marcos; Ren, Jiandong
1
2020
Natural hedges with immunization strategies of mortality and interest rates. Zbl 1431.91339
Lin, Tzuling; Tsai, Cary Chi-liang
1
2020
Tonuity: a novel individual-oriented retirement plan. Zbl 1419.91352
Chen, An; Hieber, Peter; Klein, Jakob K.
19
2019
Fair valuation of insurance liability cash-flow streams in continuous time: applications. Zbl 1410.91262
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
11
2019
Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines. Zbl 1427.91225
Denuit, Michel
10
2019
A tree-based algorithm adapted to microlevel reserving and long development claims. Zbl 1427.91238
Lopez, Olivier; Milhaud, Xavier; Thérond, Pierre-E.
9
2019
A marked Cox model for the number of IBNR claims: estimation and application. Zbl 1427.91218
Badescu, Andrei L.; Chen, Tianle; Lin, X. Sheldon; Tang, Dameng
8
2019
On the optimality of a straight deductible under belief heterogeneity. Zbl 1419.91353
Chi, Yichun
8
2019
Modelling socio-economic differences in mortality using a new affluence index. Zbl 1427.91201
Cairns, Andrew J. G.; Kallestrup-Lamb, Malene; Rosenskjold, Carsten; Blake, David; Dowd, Kevin
7
2019
A class of mixture of experts models for general insurance: application to correlated claim frequencies. Zbl 1427.91227
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
6
2019
Dynamic principal component regression: application to age-specific mortality forecasting. Zbl 1427.91241
Shang, Han Lin
5
2019
Ordering properties of extreme claim amounts from heterogeneous portfolios. Zbl 1410.91296
Zhang, Yiying; Cai, Xiong; Zhao, Peng
5
2019
Deriving robust Bayesian premiums under bands of prior distributions with applications. Zbl 1415.62081
Sánchez-Sánchez, M.; Sordo, M. A.; Suárez-Llorens, A.; Gómez-Déniz, E.
4
2019
The reserve uncertainties in the chain ladder model of Mack revisited. Zbl 1427.91231
Gisler, Alois
3
2019
Personal non-life insurance decisions and the welfare loss from flat deductibles. Zbl 1419.91384
Steffensen, Mogens; Thøgersen, Julie
3
2019
Modelling mortality dependence with regime-switching copulas. Zbl 1458.91187
Rui, Zhou
3
2019
Joint life insurance pricing using extended Marshall-Olkin models. Zbl 1410.91267
Gobbi, Fabio; Kolev, Nikolai; Mulinacci, Sabrina
3
2019
Bias-corrected inference for a modified Lee-Carter mortality model. Zbl 1410.91277
Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang
3
2019
Modelling zero-inflated count data with a special case of the generalised Poisson distribution. Zbl 1427.91220
Calderín-Ojeda, Enrique; Gómez-Déniz, Emilio; Barranco-Chamorro, Inmaculada
2
2019
Analyzing mortality bond indexes via hierarchical forecast reconciliation. Zbl 1427.91236
Li, Han; Tang, Qihe
2
2019
New results on the distribution of discounted compound Poisson sums. Zbl 1419.91389
Zhang, Zhehao
2
2019
CAT bond pricing under a product probability measure with pot risk characterization. Zbl 1410.91288
Tang, Qihe; Yuan, Zhongyi
2
2019
Calendar year effect modeling for claims reserving in HGLM. Zbl 1427.91230
Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano
1
2019
Minimizing the probability of lifetime ruin: two riskless assets with transaction costs. Zbl 1429.49021
Liang, Xiaoqing; Young, Virginia R.
1
2019
Compatibility and attainability of matrices of correlation-based measures of concordance. Zbl 1427.62051
Hofert, Marius; Koike, Takaaki
1
2019
Frequentist inference in insurance ratemaking models adjusting for misrepresentation. Zbl 1419.91345
Akakpo, Rexford M.; Xia, Michelle; Polansky, Alan M.
1
2019
Property graphs – a statistical model for fire and explosion losses based on graph theory. Zbl 1410.91281
Parodi, Pietro; Watson, Peter
1
2019
Economic scenario generator and parameter uncertainty: a Bayesian approach. Zbl 1410.91256
Bégin, Jean-François
1
2019
On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer. Zbl 1390.91170
Chen, Lv; Shen, Yang
31
2018
Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171
Chen, Shumin; Yang, Hailiang; Zeng, Yan
16
2018
A neural-network analyzer for mortality forecast. Zbl 1390.91186
Hainaut, Donatien
12
2018
On the compound Poisson risk model with periodic capital injections. Zbl 1390.91220
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
11
2018
Aggregation of dependent risks in mixtures of exponential distributions and extensions. Zbl 1404.62116
Sarabia, José María; Gómez-Déniz, Emilio; Prieto, Faustino; Jordá, Vanesa
10
2018
On heterogeneity in the individual model with both dependent claim occurrences and severities. Zbl 1390.91219
Zhang, Yiying; Li, Xiaohu; Cheung, Ka Chun
9
2018
Pricing of cyber insurance contracts in a network model. Zbl 1416.91175
Fahrenwaldt, Matthias A.; Weber, Stefan; Weske, Kerstin
8
2018
Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality. Zbl 1390.91190
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan
7
2018
Local hedging of variable annuities in the presence of basis risk. Zbl 1390.91213
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, Emmanuel
7
2018
Systemic risk: an asymptotic evaluation. Zbl 1390.91157
Asimit, Alexandru V.; Li, Jinzhu
6
2018
Modelling insurance losses using contaminated generalised beta type-II distribution. Zbl 1390.62204
Chan, J. S. K.; Choy, S. T. B.; Makov, U. E.; Landsman, Z.
6
2018
Optimum insurance contracts with background risk and higher-order risk attitudes. Zbl 1416.91165
Chi, Yichun; Wei, Wei
5
2018
Dynamic hedging of longevity risk: the effect of trading frequency. Zbl 1390.91194
Li, Hong
5
2018
Linear versus nonlinear allocation rules in risk sharing under financial fairness. Zbl 1416.91220
Schumacher, Johannes M.
4
2018
Gaussian process models for mortality rates and improvement factors. Zbl 1403.62193
Ludkovski, Mike; Risk, Jimmy; Zail, Howard
4
2018
Parsimonious parameterization of age-period-cohort models by Bayesian shrinkage. Zbl 1390.62226
Venter, Gary; Şahin, Şule
4
2018
Implementing individual savings decisions for retirement with bounds on wealth. Zbl 1390.91178
Donnelly, Catherine; Guillen, Montserrat; Nielsen, Jens Perch; Pérez-Marín, Ana Maria
4
2018
Natural hedging in long-term care insurance. Zbl 1390.91192
Levantesi, Susanna; Menzietti, Massimiliano
4
2018
Robust and efficient fitting of severity models and the method of winsorized moments. Zbl 1390.62230
Zhao, Qian; Brazauskas, Vytaras; Ghorai, Jugal
4
2018
Age-specific adjustment of graduated mortality. Zbl 1390.62220
Salhi, Yahia; Thérond, Pierre-E.
4
2018
Multivariate modelling of household claim frequencies in motor third-party liability insurance. Zbl 1416.91214
Pechon, Florian; Trufin, Julien; Denuit, Michel
3
2018
Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling. Zbl 1390.62222
Stupfler, Gilles; Yang, Fan
3
2018
Smoothing Poisson common factor model for projecting mortality jointly for both sexes. Zbl 1390.91204
Pitt, David; Li, Jackie; Lim, Tian Kang
3
2018
Dynamic hedging strategies for cash balance pension plans. Zbl 1416.91230
Zhu, Xiaobai; Hardy, Mary R.; Saunders, David
2
2018
Stochastic claims reserving via a Bayesian spline model with random loss ratio effects. Zbl 1390.62206
Gao, Guangyuan; Meng, Shengwang
2
2018
Modelling and estimating individual and firm effects with count panel data. Zbl 1404.62101
Angers, Jean-François; Desjardins, Denise; Dionne, Georges; Guertin, François
1
2018
Common shock models for claim arrays. Zbl 1416.91150
Avanzi, Benjamin; Taylor, Greg; Wong, Bernard
1
2018
An extreme-value theory approximation scheme in reinsurance and insurance-linked securities. Zbl 1416.91151
Aviv, Rom
1
2018
Solvency requirement in a unisex mortality model. Zbl 1416.91161
Chen, An; Guillen, Montserrat; Vigna, Elena
1
2018
A mixture model for payments and payment numbers in claims reserving. Zbl 1390.91184
Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano
1
2018
...and 393 more Documents
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Cited by 3,138 Authors

47 Yang, Hailiang
46 Denuit, Michel M.
46 Wüthrich, Mario Valentin
37 Siu, Tak Kuen
33 Cheung, Ka Chun
31 Dhaene, Jan
31 Tan, Ken Seng
30 Albrecher, Hansjörg
30 Cheung, Eric C. K.
29 Li, Shuanming
29 Zhang, Zhimin
28 Haberman, Steven
27 Tang, Qihe
26 Landsman, Zinoviy M.
26 Yuen, Kam Chuen
25 Furman, Edward
24 Jin, Zhuo
24 Landriault, David
23 Blake, David
23 Boonen, Tim J.
23 Lin, X. Sheldon
22 Willmot, Gordon E.
20 Chi, Yichun
20 Marceau, Étienne
20 Valdez, Emiliano A.
20 Weng, Chengguo
20 Yamazaki, Kazutoshi
20 Zitikis, Ričardas
19 Cairns, Andrew J. G.
19 Genest, Christian
19 Li, Johnny Siu-Hang
19 Young, Virginia R.
18 Badescu, Andrei L.
18 Chen, An
18 Cossette, Hélène
18 Frostig, Esther
18 Nielsen, Jens Perch
17 Asimit, Alexandru V.
17 Guo, Junyi
17 Liang, Zhibin
17 Tsai, Cary Chi-Liang
17 Wang, Rongming
17 Wong, Bernard
16 Avanzi, Benjamin
16 Cai, Jun
16 Dong, Yinghui
16 Embrechts, Paul
16 Feng, Runhuan
16 Hürlimann, Werner
16 Pantelous, Athanasios A.
16 Steffensen, Mogens
16 Vernic, Raluca
16 Wang, Guojing
16 Woo, Jae-Kyung
15 Dickson, David C. M.
15 Gómez-Déniz, Emilio
15 Guillen, Montserrat
15 Pérez Garmendia, Jose Luis
15 Ren, Jiandong
15 Schmidli, Hanspeter
15 Taylor, Greg
15 Wang, Ruodu
15 Yin, Chuancun
14 Antonio, Katrien
14 Devolder, Pierre
14 Gerber, Hans U.
14 Goovaerts, Marc J.
14 Karlis, Dimitris
14 Loisel, Stéphane
14 Qian, Linyi
14 Shen, Yang
14 Wang, Wenyuan
14 Yam, Sheung Chi Phillip
13 Ahn, Jae Youn
13 Avram, Florin
13 Zhang, Yiying
12 Drekic, Steve
12 Durante, Fabrizio
12 Lefèvre, Claude
12 Li, Jackie Ji
12 Lu, Yi
12 Mao, Tiantian
12 Šiaulys, Jonas
12 Su, Jianxi
12 Zhou, Ming
12 Ziveyi, Jonathan
11 Calderín Ojeda, Enrique
11 Chen, Ping
11 Dowd, Kevin
11 Egídio dos Reis, Alfredo D.
11 Forsyth, Peter A.
11 Hu, Xiang
11 Kaas, Rob
11 Kałuszka, Marek
11 Kim, Joseph Hyun Tae
11 Lindholm, Mathias
11 Palmowski, Zbigniew
11 Sherris, Michael
11 Shiu, Elias S. W.
11 Yang, Jingping
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Cited in 246 Journals

855 Insurance Mathematics & Economics
285 ASTIN Bulletin
248 Scandinavian Actuarial Journal
197 North American Actuarial Journal
107 European Actuarial Journal
79 Journal of Computational and Applied Mathematics
76 Communications in Statistics. Theory and Methods
63 Methodology and Computing in Applied Probability
48 Journal of Multivariate Analysis
41 Statistics & Probability Letters
38 European Journal of Operational Research
36 Journal of Applied Probability
34 Journal of Industrial and Management Optimization
33 Quantitative Finance
29 Applied Mathematics and Computation
29 Stochastic Models
24 Journal of Statistical Computation and Simulation
19 Advances in Applied Probability
19 Stochastic Analysis and Applications
19 Annals of Operations Research
19 Mathematical Problems in Engineering
19 Extremes
18 Finance and Stochastics
18 International Journal of Theoretical and Applied Finance
17 Computational Statistics and Data Analysis
17 Probability in the Engineering and Informational Sciences
16 Lithuanian Mathematical Journal
16 Communications in Statistics. Simulation and Computation
15 Journal of Statistical Planning and Inference
15 Acta Mathematicae Applicatae Sinica. English Series
15 Dependence Modeling
14 Journal of Applied Statistics
13 Journal of Economic Dynamics & Control
13 Mathematical Methods of Operations Research
12 Stochastic Processes and their Applications
12 Decisions in Economics and Finance
11 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
11 Discrete Dynamics in Nature and Society
11 Applied Stochastic Models in Business and Industry
10 Journal of Mathematical Analysis and Applications
10 Journal of Optimization Theory and Applications
10 Journal of Systems Science and Complexity
10 Frontiers of Mathematics in China
10 Modern Stochastics. Theory and Applications
9 Applied Mathematics. Series B (English Edition)
9 Applied Mathematical Finance
9 Bernoulli
9 Mathematical Finance
9 Mathematics and Financial Economics
9 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
9 Statistics & Risk Modeling
8 Moscow University Mathematics Bulletin
8 Fuzzy Sets and Systems
8 Computational Statistics
8 Journal of the Korean Statistical Society
8 SIAM Journal on Financial Mathematics
7 Metrika
7 Abstract and Applied Analysis
7 Asia-Pacific Financial Markets
7 Journal of Probability and Statistics
6 Applied Mathematics and Optimization
6 Mathematics of Operations Research
6 Operations Research
6 International Journal of Approximate Reasoning
6 Automation and Remote Control
6 Test
6 The ANZIAM Journal
6 Journal of Statistical Theory and Practice
6 Statistics and Computing
6 Annals of Finance
5 Journal of the Franklin Institute
5 Journal of Mathematical Economics
5 SIAM Journal on Control and Optimization
5 Statistics
5 The Annals of Applied Probability
5 Statistical Papers
5 Journal of Applied Mathematics and Computing
5 Science China. Mathematics
4 Annals of the Institute of Statistical Mathematics
4 Journal of the American Statistical Association
4 Mathematics and Computers in Simulation
4 Metron
4 Operations Research Letters
4 Statistical Science
4 Queueing Systems
4 Mathematical Methods of Statistics
4 Journal of Mathematical Sciences (New York)
4 Journal of Inequalities and Applications
4 Acta Mathematica Sinica. English Series
4 Computational Management Science
4 Statistical Methods and Applications
4 AStA. Advances in Statistical Analysis
4 Electronic Journal of Statistics
4 The Annals of Applied Statistics
3 The Canadian Journal of Statistics
3 Physica A
3 Theory of Probability and its Applications
3 Statistica
3 Optimization
3 Japan Journal of Industrial and Applied Mathematics
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Cited in 37 Fields

2,540 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,373 Statistics (62-XX)
945 Probability theory and stochastic processes (60-XX)
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78 Calculus of variations and optimal control; optimization (49-XX)
39 Computer science (68-XX)
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22 Integral equations (45-XX)
21 Partial differential equations (35-XX)
20 Integral transforms, operational calculus (44-XX)
11 Functional analysis (46-XX)
8 Real functions (26-XX)
7 General and overarching topics; collections (00-XX)
6 Operator theory (47-XX)
5 Linear and multilinear algebra; matrix theory (15-XX)
5 Measure and integration (28-XX)
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4 Combinatorics (05-XX)
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3 History and biography (01-XX)
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3 Mathematics education (97-XX)
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2 Information and communication theory, circuits (94-XX)
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