North American Actuarial JournalThe Official Journal of the Society of Actuaries Short Title: N. Am. Actuar. J. Publisher: Taylor & Francis (Routledge) ISSN: 1092-0277; 2325-0453/e Online: http://www.tandfonline.com/loi/uaaj20 Comments: Journal; Indexed cover-to-cover Documents Indexed: 895 Publications (since 1997) References Indexed: 816 Publications with 22,445 References. all top 5 Latest Issues 27, No. 4 (2023) 27, No. 3 (2023) 27, No. 2 (2023) 27, No. 1 (2023) 26, No. 4 (2022) 26, No. 3 (2022) 26, No. 2 (2022) 25, No. 4 (2021) 25, No. 3 (2021) 25, No. 2 (2021) 25, No. 1 (2021) 25, Suppl. 1 (2021) 24, No. 4 (2020) 24, No. 3 (2020) 24, No. 2 (2020) 24, No. 1 (2020) 23, No. 4 (2019) 23, No. 3 (2019) 23, No. 2 (2019) 23, No. 1 (2019) 22, No. 4 (2018) 22, No. 3 (2018) 22, No. 2 (2018) 22, No. 1 (2018) 21, No. 4 (2017) 21, No. 3 (2017) 21, No. 2 (2017) 21, No. 1 (2017) 20, No. 4 (2016) 20, No. 3 (2016) 20, No. 2 (2016) 20, No. 1 (2016) 19, No. 4 (2015) 19, No. 3 (2015) 19, No. 2 (2015) 19, No. 1 (2015) 18, No. 4 (2014) 18, No. 3 (2014) 18, No. 2 (2014) 18, No. 1 (2014) 17, No. 3 (2013) 17, No. 2 (2013) 17, No. 1 (2013) 16, No. 4 (2012) 16, No. 3 (2012) 16, No. 2 (2012) 16, No. 1 (2012) 15, No. 4 (2011) 15, No. 3 (2011) 15, No. 2 (2011) 15, No. 1 (2011) 14, No. 4 (2010) 14, No. 3 (2010) 14, No. 2 (2010) 14, No. 1 (2010) 13, No. 4 (2009) 13, No. 3 (2009) 13, No. 2 (2009) 13, No. 1 (2009) 12, No. 4 (2008) 12, No. 3 (2008) 12, No. 2 (2008) 12, No. 1 (2008) 11, No. 4 (2007) 11, No. 3 (2007) 11, No. 2 (2007) 11, No. 1 (2007) 10, No. 4 (2006) 10, No. 3 (2006) 10, No. 2 (2006) 10, No. 1 (2006) 9, No. 4 (2005) 9, No. 3 (2005) 9, No. 2 (2005) 9, No. 1 (2005) 8, No. 4 (2004) 8, No. 3 (2004) 8, No. 2 (2004) 8, No. 1 (2004) 7, No. 4 (2003) 7, No. 3 (2003) 7, No. 2 (2003) 7, No. 1 (2003) 6, No. 4 (2002) 6, No. 3 (2002) 6, No. 2 (2002) 6, No. 1 (2002) 5, No. 4 (2001) 5, No. 3 (2001) 5, No. 2 (2001) 5, No. 1 (2001) 4, No. 4 (2000) 4, No. 3 (2000) 4, No. 2 (2000) 4, No. 1 (2000) 3, No. 4 (1999) 3, No. 3 (1999) 3, No. 2 (1999) 3, No. 1 (1999) 2, No. 4 (1998) ...and 5 more Volumes all top 5 Authors 32 Gerber, Hans U. 26 Shiu, Elias S. W. 22 Tan, Ken Seng 18 Young, Virginia R. 15 Yang, Hailiang 14 Blake, David 13 Hardy, Mary Rosalyn 13 Li, Johnny Siu-Hang 12 Frees, Edward W. 12 Sherris, Michael 11 Brown, Robert L. 11 Denuit, Michel M. 11 Haberman, Steven 11 Tsai, Cary Chi-Liang 10 Boyle, Phelim P. 10 Cairns, Andrew J. G. 10 Jones, Bruce L. 10 Lin, X. Sheldon 10 Rosenberg, Marjorie A. 9 Ren, Jiandong 9 Valdez, Emiliano A. 8 Brazauskas, Vytaras 8 Cox, Samuel H. jun. 8 Hickman, James Charles 8 Weng, Chengguo 8 Willmot, Gordon E. 7 Albrecher, Hansjörg 7 Macdonald, Angus S. 7 Porth, Lysa 7 Ramsay, Colin M. 7 Siu, Tak Kuen 7 Yang, Charles C. 7 Zhu, Wenjun 6 Bayraktar, Erhan 6 Bernard, Carole L. 6 Brockett, Patrick L. 6 Gan, Guojun 6 Hong, Liang 6 Hunt, Andrew 6 Lin, Yijia 5 Cai, Jun 5 Carriere, Jacques F. 5 Chan, Wai-Sum 5 Dowd, Kevin 5 Goovaerts, Marc J. 5 Heacox, Linda 5 Kolkiewicz, Adam W. 5 Landriault, David 5 Landsman, Zinoviy M. 5 Li, Shuanming 5 Lu, Yi 5 MacMinn, Richard D. 5 Ng, Andrew Cheuk-Yin 5 Oguledo, Victor I. 5 Tang, Qihe 5 Wüthrich, Mario Valentin 5 Zhou, Xiaowen 5 Zhu, Nan 4 Badescu, Andrei L. 4 Bauer, Daniel J. 4 Boucher, Jean-Philippe 4 Chan, Beda S. C. 4 Dhaene, Jan 4 Dickson, David C. M. 4 Drekic, Steve 4 Furman, Edward 4 Gold, Jeremy 4 Gutterman, Sam 4 Kamiya, Shinichi 4 Ko, Bangwon 4 Lin, Tzuling 4 Liu, Xiaoming 4 Milevsky, Moshe Arye 4 Moore, Kristen S. 4 Peng, Liang 4 Schmeiser, Hato 4 Shyamalkumar, Nariankadu D. 4 Taylor, Greg 4 Vanduffel, Steven 4 Wang, Shaun S. 4 Yue, Jack C. 4 Zitikis, Ričardas 3 Antonio, Katrien 3 Arnold-Gaille, Séverine 3 Assa, Hirbod 3 Baione, Fabio 3 Beekman, John A. 3 Beirlant, Jan 3 Bolnick, Howard J. 3 Boyd, Milton S. 3 Chi, Yichun 3 Cossette, Hélène 3 Derrig, Richard A. 3 Diao, Liqun 3 Emms, Paul 3 Erhardt, Robert J. 3 Feng, Runhuan 3 Forsyth, Peter A. 3 Frostig, Esther 3 Fung, Tsz Chai ...and 903 more Authors all top 5 Fields 798 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 392 Statistics (62-XX) 114 Probability theory and stochastic processes (60-XX) 15 Biology and other natural sciences (92-XX) 12 Systems theory; control (93-XX) 11 Integral transforms, operational calculus (44-XX) 11 Numerical analysis (65-XX) 10 Operations research, mathematical programming (90-XX) 9 History and biography (01-XX) 8 Integral equations (45-XX) 7 Calculus of variations and optimal control; optimization (49-XX) 6 General and overarching topics; collections (00-XX) 3 Partial differential equations (35-XX) 3 Geophysics (86-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Computer science (68-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 560 Publications have been cited 6,205 times in 3,683 Documents Cited by ▼ Year ▼ On the time value of ruin. With discussion and a reply by the authors. Zbl 1081.60550 Gerber, Hans U.; Shiu, Elias S. W. 418 1998 Understanding relationships using copulas. Zbl 1081.62564 Frees, Edward W.; Valdez, Emiliano A. 276 1998 Minimizing the probability of ruin when claims follow Brownian motion with drift. Zbl 1141.91543 Promislow, S. David; Young, Virginia R. 165 2005 Optimal dividends: analysis with Brownian motion. Zbl 1085.62122 Gerber, Hans U.; Shiu, Elias S. W. 164 2004 The time value of ruin in a Sparre Andersen model. With discussion and a reply by the authors. Zbl 1085.62508 Gerber, Hans U.; Shiu, Elias S. W. 150 2005 A regime-switching model of long-term stock returns. Zbl 1083.62530 Hardy, Mary R. 147 2001 Tail conditional expectations for elliptical distributions. Zbl 1084.62512 Landsman, Zinoviy M.; Valdez, Emiliano A. 141 2003 A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. Zbl 1484.91376 Cairns, Andrew J. G.; Blake, David; Dowd, Kevin; Coughlan, Guy D.; Epstein, David; Ong, Alen; Balevich, Igor 110 2009 Measuring basis risk involved in longevity hedges. Zbl 1228.91042 Li, Johnny Siu-Hang; Hardy, Mary R. 101 2011 Application of coherent risk measures to capital requirements in insurance. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). Zbl 1082.91525 Artzner, Philippe 89 1999 Strategies for dividend distribution: a review. Zbl 1483.91177 Avanzi, Benjamin 84 2009 A gravity model of mortality rates for two related populations. Zbl 1228.91032 Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Khalaf-Allah, Marwa 82 2011 On optimal dividend strategies in the compound Poisson model. Zbl 1479.91323 Gerber, Hans U.; Shiu, Elias S. W. 73 2006 The Lee-Carter method for forecasting mortality, with various extensions and applications. Zbl 1083.62535 Lee, Ronald 68 2000 Extreme value theory as a risk management tool. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). Zbl 1082.91530 Embrechts, Paul; Resnick, Sidney I.; Samorodnitsky, Gennady 60 1999 Optimal investment for an insurer to minimize its probability of ruin. Zbl 1085.60511 Liu, Chi Sang; Yang, Hailiang 58 2004 Valuing equity-indexed annuities. With discussion by G. Thomas Mitchell and Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.62545 Tiong, Serena 56 2000 Empirical estimation of risk measures and related quantities. Zbl 1084.62537 Jones, Bruce L.; Zitikis, Ričardas 52 2003 Economic capital allocation derived from risk measures. Zbl 1084.91515 Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob 49 2003 Optimal investment strategy to minimize the probability of lifetime ruin. Zbl 1085.60514 Young, Virginia R. 49 2004 Optimal reinsurance and investment for a jump diffusion risk process under the CEV model. Zbl 1291.91121 Lin, Xiang; Li, Yanfang 47 2011 On the class of Erlang mixtures with risk theoretic applications. Zbl 1480.91253 Willmot, Gordon E.; Woo, Jae-Kyung 45 2007 Self-annuitization and ruin in retirement. With discussion. Zbl 1083.60515 Milevsky, Moshe Arye; Robinson, Chris 42 2000 An actuarial index of the right-tail risk. Zbl 1081.62570 Wang, Shaun 42 1998 Utility functions: from risk theory to finance. With discussion and a reply by the authors. Zbl 1081.91511 Gerber, Hans U.; Pafumi, Gérard 42 1998 Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530 Lin, X. Sheldon; Tan, Ken Seng 41 2003 Natural hedging of life and annuity mortality risks. Zbl 1480.91196 Cox, Samuel H.; Lin, Yijia 40 2007 Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process. Zbl 1084.60544 Cheng, Yebin; Tang, Qihe 39 2003 On a classical risk model with a constant dividend barrier. Zbl 1215.60051 Zhou, Xiaowen 38 2005 On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England. Zbl 1412.91057 Villegas, Andrés M.; Haberman, Steven 38 2014 Modeling with Weibull-Pareto models. Zbl 1291.62186 Scollnik, David P. M.; Sun, Chenchen 34 2012 On a class of renewal risk processes. With discussion and a reply by the author. Zbl 1081.60549 Dickson, David C. M. 32 1998 Pricing guaranteed life insurance participating policies with annual premiums and surrender option. Zbl 1084.62519 Bacinello, Anna Rita 31 2003 Robust and efficient estimation of the tail index of a single-parameter Pareto distribution. Zbl 1083.62505 Brazauskas, Vytaras; Serfling, Robert 31 2000 Catastrophe risk bonds. Zbl 1083.91534 Cox, Samuel H.; Pedersen, Hal W. 30 2000 Asymptotic analysis of multivariate tail conditional expectations. Zbl 1291.60108 Zhu, Li; Li, Haijun 30 2012 Hedging equity-linked life insurance contracts. Zbl 1083.91546 Møller, Thomas 29 2001 Mortality regimes and pricing. Zbl 1228.91043 Milidonis, Andreas; Lin, Yijia; Cox, Samuel H. 28 2011 On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531 Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 28 2004 Actuarial modeling with MCMC and BUGS. With a discussion by David Spiegelhalter. Zbl 1083.62543 Scollnik, David P. M. 28 2001 Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038 Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan 27 2005 A Bayesian log-normal model for multivariate loss reserving. Zbl 1291.91126 Shi, Peng; Basu, Sanjib; Meyers, Glenn G. 27 2012 On the expected discounted penalty function for Lévy risk processes. Zbl 1480.91076 Garrido, José; Morales, Manuel 27 2006 Geometric Brownian motion models for assets and liabilities: from pension funding to optimal dividends. With discussion by X. Sheldon Lin, Marc Decamps and Marc Goovaerts and a reply by the authors. Zbl 1084.91517 Gerber, Hans U.; Shiu, Elias S. W. 26 2003 Projecting mortality trends: recent developments in the United Kingdom and the United States. Zbl 1085.62517 Wong-Fupuy, Carlos; Haberman, Steven 26 2004 Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest. Zbl 1479.91308 Cai, Jun; Gerber, Hans U.; Yang, Hailiang 26 2006 Equity-indexed life insurance: pricing and reserving using the principle of equivalent utility. Zbl 1084.91521 Young, Virginia R. 25 2003 Pricing perpetual options for jump processes. With discussion by X. Sheldon Lin and Xiaolan Zhang and a reply by the authors. Zbl 1081.91528 Gerber, Hans U.; Shiu, Elias S. W. 25 1998 Risk classification for claim counts: a comparative analysis of various zero-inflated mixed Poisson and hurdle models. Zbl 1480.91187 Boucher, Jean-Philippe; Denuit, Michel; Guillén, Montserrat 25 2007 A general procedure for constructing mortality models. Zbl 1412.91045 Hunt, Andrew; Blake, David 25 2014 Bayesian modelling of outstanding liabilities incorporating claim count uncertainty. Zbl 1084.62544 Ntzoufras, Ioannis; Dellaportas, Petros 24 2002 A risk model with multilayer dividend strategy. Zbl 1480.91178 Albrecher, Hansjörg; Hartinger, Jürgen 24 2007 Modeling period effects in multi-population mortality models: applications to Solvency II. Zbl 1412.91060 Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng 24 2014 Pricing lookback options and dynamic guarantees. With discussion by Griselda Deelstra. Zbl 1084.91507 Gerber, Hans U.; Shiu, Elias S. W. 23 2003 Pricing perpetual fund protection with withdrawal option (With discussion and a reply by the authors). Zbl 1084.60512 Gerber, Hans U.; Shiu, Elias S. W. 23 2003 Credibility using copulas. Zbl 1085.62121 Frees, Edward W.; Wang, Ping 23 2005 Pricing dynamic investment fund protection (With discussion by Terence Chan, François-Serge Lhabitant and Svein-Arne Persson and a reply by the authors). Zbl 1083.91516 Gerber, Hans U.; Pafumi, Gérard 23 2000 Arrow’s theorem of the deductible with heterogeneous beliefs. Zbl 1414.91193 Ghossoub, Mario 23 2017 VaR and CTE criteria for optimal quota-share and stop-loss reinsurance. Zbl 1483.91208 Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 23 2009 A direct approach to the discounted penalty function. Zbl 1219.91063 Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang 22 2010 Distortion risk measures and economic capital. Zbl 1085.91526 Hürlimann, Werner 22 2004 Stochastic analysis of the interaction between investment and insurance risks. With discussion and a reply by the author. Zbl 1080.91530 Parker, Gary 22 1997 Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method. Zbl 1219.91145 Yuen, Fei Lung; Yang, Hailiang 21 2010 Bayesian estimation of outstanding claim reserves. Zbl 1084.62554 de Alba, Enrique 21 2002 A Bayesian generalized linear model for the Bornhuetter-Ferguson method of claims reserving. Zbl 1085.62516 Verrall, R. J. 21 2004 Weighted pricing functionals with applications to insurance. Zbl 1483.91194 Furman, Edward; Zitikis, Ričardas 21 2009 Absolute ruin probabilities in a jump diffusion risk model with investment. Zbl 1480.91208 Gerber, Hans U.; Yang, Hailiang 20 2007 Efficient and robust fitting of lognormal distributions. Zbl 1084.62511 Serfling, Robert 19 2002 Generalized Pareto fit to the society of actuaries’ large claims database. Zbl 1084.62108 Cebrián, Ana C.; Denuit, Michel; Lambert, Philippe 19 2003 The CBD mortality indexes: modeling and applications. Zbl 1412.91037 Chan, Wai-Sum; Li, Johnny Siu-Hang; Li, Jackie 19 2014 Modeling surrender and lapse rates with economic variables. Zbl 1215.91067 Kim, Changki 18 2005 Note on the tail behavior of random walk maxima with heavy tails and negative drift. Zbl 1084.60515 Kaas, Rob; Tang, Qihe 18 2003 Variance of the CTE estimator. Zbl 1085.62511 Manistre, B. John; Hancock, Geoffrey H. 18 2005 Dynamic fund protection. With a discussion by Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.60513 Imai, Junichi; Boyle, Phelim P. 18 2001 Case studies using panel data models. Zbl 1083.91538 Frees, Edward W.; Young, Virginia R.; Luo, Yu 18 2001 The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model. Zbl 1480.91079 Ren, Jiandong 18 2007 Markov aging process and phase-type law of mortality. Zbl 1480.91221 Lin, X. Sheldon; Liu, Xiaoming 18 2007 Modeling severity and measuring tail risk of Norwegian fire claims. Zbl 1414.62415 Brazauskas, Vytaras; Kleefeld, Andreas 18 2016 On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model. Zbl 1483.91199 Landriault, David; Willmot, Gordon E. 18 2009 Pension fund dynamics and gains/losses due to random rates of investment return. Zbl 1082.62543 Owadally, M. Iqbal; Haberman, Steven 17 1999 Empirical approach for optimal reinsurance design. Zbl 1414.91234 Tan, Ken Seng; Weng, Chengguo 17 2014 “Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60545 Gerber, Hans U.; Shiu, Elias S. W. 16 2003 “Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60546 Gerber, Hans U.; Shiu, Elias S. W. 16 2003 The iterated CTE: a dynamic risk measure. Zbl 1085.91524 Hardy, Mary R.; Wirch, Julia L. 16 2004 Optimal annuitization policies: analysis of the options. Zbl 1083.91522 Milevsky, Moshe Arye 16 2001 Stochastic life annuities. Zbl 1480.91199 Dufresne, Daniel 16 2007 The expected discounted penalty at ruin for a Markov-modulated risk process perturbed by diffusion. Zbl 1480.91226 Lu, Yi; Tsai, Cary Chi-Liang 16 2007 Asymptotic analysis of the loss given default in the presence of multivariate regular variation. Zbl 1412.91056 Tang, Qihe; Yuan, Zhongyi 16 2013 Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176 Cui, Zhenyu; Feng, Runhuan; MacKay, Anne 16 2017 Pricing annuity guarantees under a regime-switching model. Zbl 1483.91201 Lin, X. Sheldon; Tan, Ken Seng; Yang, Hailiang 16 2009 Capital allocation survey with commentary. Zbl 1085.91517 Venter, Gary G. 15 2004 Actuarial applications of epidemiological models. Zbl 1213.91089 Feng, Runhuan; Garrido, Jose 15 2011 Conditional tail moments of the exponential family and its related distributions. Zbl 1219.91071 Kim, Joseph H. T. 14 2010 Bayesian risk measures for derivatives via random Esscher transform. Zbl 1083.62544 Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 14 2001 Principal applications of Bayesian methods in actuarial science: a perspective. Zbl 1083.62538 Makov, Udi E. 14 2001 Impact of counterparty risk on the reinsurance market. Zbl 1291.91091 Bernard, Carole; Ludkovski, Mike 14 2012 Semi-static hedging for GMWB in variable annuities. Zbl 1291.91205 Kolkiewicz, Adam; Liu, Yan 14 2012 Securitization of longevity risk in reverse mortgages. Zbl 1481.91189 Wang, Liang; Valdez, Emiliano A.; Piggott, John 14 2008 A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks. Zbl 1228.91031 Dowd, Kevin; Blake, David; Cairns, Andrew J. G. 13 2011 Investing for retirement: optimal capital growth and dynamic asset allocation. With discussion by Phelim P. Boyle and Gérard Pafumi and a reply by the authors. Zbl 1083.91517 Gerber, Hans U.; Shiu, Elias S. W. 13 2000 Bivariate mixed Poisson regression models with varying dispersion. Zbl 1521.91321 Tzougas, George; di Cerchiara, Alice Pignatelli 1 2023 Mixture composite regression models with multi-type feature selection. Zbl 1521.91314 Fung, Tsz Chai; Tzougas, George; Wüthrich, Mario V. 1 2023 Fitting censored and truncated regression data using the mixture of experts models. Zbl 1507.91176 Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 3 2022 A stochastic control approach to defined contribution plan decumulation: “The nastiest, hardest problem in finance”. Zbl 1497.91264 Forsyth, Peter A. 2 2022 Time-consistent investment and reinsurance strategies for mean-variance insurers in \(n\)-agent and mean-field games. Zbl 1507.91180 Guan, Guohui; Hu, Xiang 1 2022 Short- and long-term dynamics of cause-specific mortality rates using cointegration analysis. Zbl 1497.91231 Arnold, Séverine; Glushko, Viktoriya 1 2022 Tail moments of compound distributions. Zbl 1524.62516 Ren, Jiandong 1 2022 Distributionally robust goal-reaching optimization in the presence of background risk. Zbl 1500.91113 Chi, Yichun; Xu, Zuo Quan; Zhuang, Sheng Chao 1 2022 Semiparametric regression for dual population mortality. Zbl 1500.91116 Venter, Gary; Şahin, Şule 1 2022 Boosting insights in insurance tariff plans with tree-based machine learning methods. Zbl 1475.91306 Henckaerts, Roel; Côté, Marie-Pier; Antonio, Katrien; Verbelen, Roel 13 2021 Basis risk in index-based longevity hedges: a guide for longevity hedgers. Zbl 1467.91137 Cairns, Andrew J. G.; El Boukfaoui, Ghali 8 2021 On the structure and classification of mortality models. Zbl 1461.91244 Hunt, Andrew; Blake, David 7 2021 A new class of severity regression models with an application to IBNR prediction. Zbl 1475.91299 Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 6 2021 Fitting nonstationary Cox processes: an application to fire insurance data. Zbl 1481.91160 Albrecher, Hansjörg; Araujo-Acuna, José Carlos; Beirlant, Jan 4 2021 An efficient method for mitigating longevity value-at-risk. Zbl 1465.91097 Liu, Yanxin; Li, Johnny Siu-Hang 4 2021 Real-time valuation of large variable annuity portfolios: a Green mesh approach. Zbl 1479.91335 Liu, Kai; Tan, Ken Seng 3 2021 The valuation of a guaranteed minimum maturity benefit under a regime-switching framework. Zbl 1479.91336 Mamon, Rogemar; Xiong, Heng; Zhao, Yixing 3 2021 A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited. Zbl 1479.91321 Furman, Edward; Kye, Yisub; Su, Jianxi 3 2021 A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty. Zbl 1461.91260 Sherris, Michael; Wei, Pengyu 3 2021 Longevity Greeks: what do insurers and capital market investors need to know? Zbl 1465.91099 Zhou, Kenneth Q.; Li, Johnny Siu-Hang 3 2021 Flexible and affordable methods of paying for long-term care insurance. Zbl 1461.91253 Mayhew, Les; Rickayzen, Ben; Smith, David 3 2021 A Bayesian approach to modeling and projecting cohort effects. Zbl 1461.91245 Hunt, Andrew; Blake, David 3 2021 Modeling malicious hacking data breach risks. Zbl 1491.91111 Sun, Hong; Xu, Maochao; Zhao, Peng 3 2021 Extreme data breach losses: an alternative approach to estimating probable maximum loss for data breach risk. Zbl 1484.91389 Jung, Kwangmin 3 2021 The mathematical mechanism of biological aging. Zbl 1460.92042 Cheng, Boquan; Jones, Bruce; Liu, Xiaoming; Ren, Jiandong 2 2021 Optimal longevity risk transfer and investment strategies. Zbl 1465.91093 Cox, Samuel H.; Lin, Yijia; Liu, Sheen 2 2021 Constructing out-of-the-money longevity hedges using parametric mortality indexes. Zbl 1461.91250 Li, Johnny Siu-Hang; Li, Jackie; Balasooriya, Uditha; Zhou, Kenneth Q. 2 2021 An analysis of period and cohort mortality shocks in international data. Zbl 1461.91255 McCarthy, David; Wang, Po-Lin 2 2021 Using graduation to modify the estimation of Lee-Carter model for small populations. Zbl 1461.91263 Yue, Jack C.; Wang, Hsin-Chung; Wang, Tzu-Yu 2 2021 Forward mortality rates in discrete time. I: Calibration and securities pricing. Zbl 1461.91246 Hunt, Andrew; Blake, David 2 2021 Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. Zbl 1461.91247 Hunt, Andrew; Blake, David 2 2021 Mortality forecasts for long-term care subpopulations with longevity risk: a Bayesian approach. Zbl 1461.91249 Kogure, Atsuyuki; Fushimi, Takahiro; Kamiya, Shinichi 2 2021 Valid model-free prediction of future insurance claims. Zbl 1491.91109 Hong, Liang; Martin, Ryan 2 2021 Discussion on “Size-biased risk measures of compound sums”. Zbl 1483.91193 Furman, Edward; Kye, Yisub; Su, Jianxi 2 2021 Dynamic Bayesian ratemaking: a Markov chain approximation approach. Zbl 1475.91309 Li, Hong; Lu, Yang; Zhu, Wenjun 1 2021 A semiparametric method for assessing life expectancy evaluations. Zbl 1479.91334 Lim, Hong Beng; Shyamalkumar, Nariankadu D. 1 2021 Optimal dividends paid in a foreign currency for a Lévy insurance risk model. Zbl 1479.91320 Eisenberg, Julia; Palmowski, Zbigniew 1 2021 A DSA algorithm for mortality forecasting. Zbl 1479.91318 Diao, Liqun; Meng, Yechao; Weng, Chengguo 1 2021 Longevity risk and capital markets: the 2017–2018 update. Zbl 07341011 1 2021 Mortality risk management under the factor copula framework – with applications to insurance policy pools. Zbl 1466.91263 Hsieh, Ming-Hua; Tsai, Chenghsien Jason; Wang, Jennifer L. 1 2021 Understanding patterns of mortality homogeneity and heterogeneity across countries and their role in modeling mortality dynamics and hedging longevity risk. Zbl 1465.91098 Yang, Sharon S.; Yeh, Yu-Yun; Yue, Jack C.; Huang, Hong Chih 1 2021 Different shades of risk: mortality trends implied by term insurance prices. Zbl 1467.91140 Guo, Qiheng; Bauer, Daniel 1 2021 Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243 Dowd, Kevin; Cairns, Andrew J. G.; Blake, David 1 2021 Optimal portfolio choice in retirement with participating life annuities. Zbl 1461.91258 Rogalla, Ralph 1 2021 Improving HMD mortality estimates with HFD fertility data. Zbl 1460.91211 Boumezoued, Alexandre 1 2021 Hedging longevity risk: does the structure of the financial instrument matter? Zbl 1461.91252 MacMinn, Richard D.; Zhu, Nan 1 2021 A multi-population approach to forecasting all-cause mortality using cause-of-death mortality data. Zbl 1460.91231 Lyu, Pintao; De Waegenaere, Anja; Melenberg, Bertrand 1 2021 A synthesis mortality model for the elderly. Zbl 1461.91261 Su, Karen C.; Yue, Jack C. 1 2021 An investigation into inequalities in adult lifespan. Zbl 1461.91254 Mayhew, Les; Smith, David 1 2021 Rising inequality in life expectancy by socioeconomic status. Zbl 1461.91259 Sanzenbacher, Geoffrey T.; Webb, Anthony; Cosgrove, Candace M.; Orlova, Natalia 1 2021 Data breach CAT bonds: modeling and pricing. Zbl 1484.91412 Xu, Maochao; Zhang, Yiying 1 2021 Using model averaging to determine suitable risk measure estimates. Zbl 1483.91205 Miljkovic, Tatjana; Grün, Bettina 1 2021 Reply to Edward Furman, Yisub Kye, and Jianxi Su on their discussion on the paper titled “Size-biased risk measures of compound sums”. Zbl 1483.91186 Denuit, Michel 1 2021 Discussion on “Size-biased risk measures of compound sums”. Zbl 1483.91206 Ren, Jiandong 1 2021 Stochastic comparisons between the extreme claim amounts from two heterogeneous portfolios in the case of transmuted-G model. Zbl 1454.91203 Nadeb, Hossein; Torabi, Hamzeh; Dolati, Ali 10 2020 Can automobile insurance telematics predict the risk of near-miss events? Zbl 1437.91392 Guillen, Montserrat; Nielsen, Jens Perch; Pérez-Marín, Ana M.; Elpidorou, Valandis 6 2020 Data clustering with actuarial applications. Zbl 1454.91186 Gan, Guojun; Valdez, Emiliano A. 5 2020 Size-biased risk measures of compound sums. Zbl 1461.91242 Denuit, Michel 5 2020 Drivers of mortality dynamics: identifying age/period/cohort components of historical U.S. mortality improvements. Zbl 1454.91199 Li, Johnny S.-H.; Zhou, Rui; Liu, Yanxin; Graziani, George; Hall, R. Dale; Haid, Jennifer; Peterson, Andrew; Pinzur, Laurence 3 2020 Efficient nested simulation for conditional tail expectation of variable annuities. Zbl 1454.91176 Dang, Ou; Feng, Mingbin; Hardy, Mary R. 2 2020 Efficient simulation designs for valuation of large variable annuity portfolios. Zbl 1454.91184 Feng, Ben Mingbin; Tan, Zhenni; Zheng, Jiayi 2 2020 Bühlmann credibility-based approaches to modeling mortality rates for multiple populations. Zbl 1455.91229 Tsai, Cary Chi-Liang; Wu, Adelaide Di 2 2020 Capital requirements for cyber risk and cyber risk insurance: an analysis of Solvency II, the U.S. Risk-Based Capital Standards, and the Swiss Solvency Test. Zbl 1454.91181 Eling, Martin; Schnell, Werner 2 2020 The affordability of the individual markets in the affordable care act: analyses of premium increases and cost reductions from an expanded cross-subsidization perspective. Zbl 1454.91210 Yang, Charles C. 2 2020 Trends in Canadian mortality by pension level: evidence from the CPP and QPP. Zbl 1466.91273 Wen, Jie; Kleinow, Torsten; Cairns, Andrew J. G. 2 2020 Dating death: an empirical comparison of medical underwriters in the U.S. life settlements market. Zbl 1437.91401 Xu, Jiahua 2 2020 Doubly enhanced annuities (DEANs) and the impact of quality of long-term care under a multi-state model of activities of daily living (ADL). Zbl 1437.91399 Ramsay, Colin M.; Oguledo, Victor I. 2 2020 Hedging mortality/longevity risks for multiple years. Zbl 1437.91397 Lin, Tzuling; Tsai, Cary Chi-Liang 2 2020 Discussion on: “A general semi-Markov model for coupled lifetimes”. Zbl 1454.91187 Gerber, Hans U.; Shiu, Elias S. W. 1 2020 Cybersecurity insurance: modeling and pricing. Zbl 1410.91291 Xu, Maochao; Hua, Lei 12 2019 Management of portfolio depletion risk through optimal life cycle asset allocation. Zbl 1426.91218 Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham 7 2019 An individual risk model for premium calculation based on quantile: a comparison between generalized linear models and quantile regression. Zbl 1429.91275 Baione, Fabio; Biancalana, Davide 5 2019 Statistical inference for Lee-Carter mortality model and corresponding forecasts. Zbl 1426.91227 Liu, Qing; Ling, Chen; Peng, Liang 4 2019 Life-cycle planning with ambiguous economics and mortality risks. Zbl 1429.91283 Shen, Yang; Su, Jianxi 4 2019 Capital allocation for a sum of dependent compound mixed Poisson variables: a recursive algorithm approach. Zbl 1417.62300 Kim, Joseph H. T.; Jang, Jiwook; Pyun, Chaehyun 4 2019 Optimal control of DC pension plan management under two incentive schemes. Zbl 1411.91285 He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming 4 2019 Improving the forecast of longevity by combining models. Zbl 1410.91253 Apicella, Giovanna; Dacorogna, Michel; Di Lorenzo, Emilia; Sibillo, Marilena 4 2019 Agricultural insurance ratemaking: development of a new premium principle. Zbl 1429.91286 Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa 3 2019 Robust actuarial risk analysis. Zbl 1411.91266 Blanchet, Jose; Lam, Henry; Tang, Qihe; Yuan, Zhongyi 3 2019 Regression tree credibility model. Zbl 1410.91264 Diao, Liqun; Weng, Chengguo 3 2019 Using parametric bootstrap to introduce and manage uncertainty: replicated loaded insurance life tables. Zbl 1426.91231 Pavía, Jose M.; Morillas, Francisco G.; Bosch-Rodríguez, Juan Carlos 2 2019 Deep learning at the interface of agricultural insurance risk and spatio-temporal uncertainty in weather extremes. Zbl 1429.91278 Ghahari, Azar; Newlands, Nathaniel K.; Lyubchich, Vyacheslav; Gel, Yulia R. 2 2019 Minimum death rates and maximum life expectancy: the role of concordant ages. Zbl 1426.91207 Canudas-Romo, Vladimir; Booth, Heather; Bergeron-Boucher, Marie-Pier 1 2019 Efficiency analysis of health insurers’ scale of operations and group affiliation with a perspective toward health insurers’ mergers and acquisitions effects. Zbl 1429.91279 Golden, Linda L.; Yang, Charles C. 1 2019 Statistical implications of the revenue transfer methodology in the Affordable Care Act. Zbl 1411.91301 Li, Michelle; Richards, Donald 1 2019 Predictive modeling of obesity prevalence for the U.S. population. Zbl 1411.91275 Daawin, Palma; Kim, Seonjin; Miljkovic, Tatjana 1 2019 A general semi-Markov model for coupled lifetimes. Zbl 1411.91290 Ji, Min; Zhou, Rui 1 2019 Regression modeling for the valuation of large variable annuity portfolios. Zbl 1393.91099 Gan, Guojun; Valdez, Emiliano A. 13 2018 Bonus-malus systems with two-component mixture models arising from different parametric families. Zbl 1393.62048 Tzougas, George; Vrontos, Spyridon; Frangos, Nicholas 8 2018 Fat-tailed regression modeling with spliced distributions. Zbl 1417.62299 Gan, Guojun; Valdez, Emiliano A. 6 2018 Optimal risk transfer: a numerical optimization approach. Zbl 1416.91149 Asimit, Alexandru V.; Gao, Tao; Hu, Junlei; Kim, Eun-Seok 5 2018 Delta boosting machine with application to general insurance. Zbl 1416.91199 Lee, Simon C. K.; Lin, Sheldon 5 2018 Around the life cycle: deterministic consumption-investment strategies. Zbl 1416.91345 Christiansen, Marcus C.; Steffensen, Mogens 5 2018 Updating Wilkie’s economic scenario generator for U.S. applications. Zbl 1411.91415 Zhang, Saisai; Hardy, Mary; Saunders, David 4 2018 Evaluating life expectancy evaluations. Zbl 1393.91098 Bauer, Daniel; Fasano, Michael V.; Russ, Jochen; Zhu, Nan 4 2018 Coherent modeling and forecasting of mortality patterns for subpopulations using multiway analysis of compositions: an application to Canadian provinces and territories. Zbl 1393.62043 Bergeron-Boucher, Marie-Pier; Simonacci, Violetta; Oeppen, Jim; Gallo, Michele 4 2018 Physiological age, health costs, and their interrelation. Zbl 1403.62188 Govorun, M.; Jones, B. L.; Liu, X.; Stanford, D. A. 4 2018 The annuity puzzle and an outline of its solution. Zbl 1411.91311 Ramsay, Colin M.; Oguledo, Victor I. 3 2018 Mind the gap: a study of cause-specific mortality by socioeconomic circumstances. Zbl 1393.91096 Alai, Daniel H.; Arnold-Gaille, Séverine; Bajekal, Madhavi; Villegas, Andrés M. 3 2018 The utility value of longevity risk pooling: analytic insights. Zbl 1411.91307 Milevsky, Moshe A.; Huang, Huaxiong 2 2018 ...and 460 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,769 Authors 60 Yang, Hailiang 57 Young, Virginia R. 54 Zhang, Zhimin 46 Siu, Tak Kuen 45 Haberman, Steven 42 Denuit, Michel M. 42 Li, Shuanming 38 Yuen, Kam Chuen 37 Landsman, Zinoviy M. 36 Willmot, Gordon E. 35 Gerber, Hans U. 35 Landriault, David 34 Albrecher, Hansjörg 34 Yin, Chuancun 30 Shiu, Elias S. W. 29 Tsai, Cary Chi-Liang 29 Valdez, Emiliano A. 28 Jin, Zhuo 28 Lin, X. Sheldon 28 Zitikis, Ričardas 27 Tan, Ken Seng 26 Cheung, Eric C. K. 25 Blake, David 25 Feng, Runhuan 25 Li, Johnny Siu-Hang 25 Sherris, Michael 25 Zhao, Hui 24 Dhaene, Jan 23 Liang, Zhibin 23 Weng, Chengguo 22 Forsyth, Peter A. 21 Cairns, Andrew J. G. 21 Furman, Edward 21 Marceau, Étienne 21 Rong, Ximin 21 Wu, Rong 21 Zeng, Yan 20 Genest, Christian 20 Lu, Yi 20 Shen, Yang 19 Badescu, Andrei L. 19 Bayraktar, Erhan 19 Brazauskas, Vytaras 19 Cossette, Hélène 19 Dickson, David C. 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