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North American Actuarial Journal

The 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: Indexed cover-to-cover
Documents Indexed: 852 Publications (since 1997)
References Indexed: 773 Publications with 20,744 References.
all top 5

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Authors

32 Gerber, Hans U.
27 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
10 Boyle, Phelim P.
10 Cairns, Andrew J. G.
10 Rosenberg, Marjorie A.
10 Tsai, Cary Chi-Liang
9 Lin, X. Sheldon
9 Valdez, Emiliano A.
8 Cox, Samuel H. jun.
8 Hickman, James Charles
8 Jones, Bruce L.
8 Ren, Jiandong
8 Willmot, Gordon E.
7 Albrecher, Hansjörg
7 Macdonald, Angus S.
7 Porth, Lysa
7 Weng, Chengguo
7 Yang, Charles C.
7 Zhu, Wenjun
6 Bayraktar, Erhan
6 Bernard, Carole L.
6 Brazauskas, Vytaras
6 Cheung, Eric C. K.
6 Gan, Guojun
6 Ramsay, Colin M.
6 Siu, Tak Kuen
5 Brockett, Patrick L.
5 Cai, Jun
5 Carriere, Jacques F.
5 Chan, Wai-Sum
5 Goovaerts, Marc J.
5 Heacox, Linda
5 Hunt, Andrew
5 Kolkiewicz, Adam W.
5 Landriault, David
5 Landsman, Zinoviy M.
5 Lin, Yijia
5 Lu, Yi
5 MacMinn, Richard D.
5 Ng, Andrew Cheuk-Yin
5 Tang, Qihe
5 Zhou, Xiaowen
5 Zhu, Nan
4 Bauer, Daniel J.
4 Chan, Beda S. C.
4 Dhaene, Jan
4 Dickson, David C. M.
4 Dowd, Kevin
4 Drekic, Steve
4 Furman, Edward
4 Gold, Jeremy
4 Gutterman, Sam
4 Hong, Liang
4 Ko, Bangwon
4 Li, Shuanming
4 Milevsky, Moshe Arye
4 Moore, Kristen S.
4 Oguledo, Victor I.
4 Peng, Liang
4 Schmeiser, Hato
4 Shyamalkumar, Nariankadu D.
4 Taylor, Greg
4 Vanduffel, Steven
4 Wang, Shaun S.
4 Wüthrich, Mario Valentin
4 Yue, Jack C.
4 Zitikis, Ričardas
3 Antonio, Katrien
3 Arnold-Gaille, Séverine
3 Assa, Hirbod
3 Badescu, Andrei L.
3 Beekman, John A.
3 Beirlant, Jan
3 Bolnick, Howard J.
3 Boucher, Jean-Philippe
3 Boyd, Milton S.
3 Cossette, Hélène
3 Derrig, Richard A.
3 Emms, Paul
3 Erhardt, Robert J.
3 Feng, Runhuan
3 Forsyth, Peter A.
3 Frostig, Esther
3 Golden, Linda L.
3 Hartman, Brian M.
3 Hoedemakers, Tom
3 Hua, Lei
3 Hürlimann, Werner
3 Hwang, Yawen
...and 843 more Authors

Publications by Year

Citations contained in zbMATH Open

448 Publications have been cited 4,527 times in 3,003 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.
385
1998
Understanding relationships using copulas. Zbl 1081.62564
Frees, Edward W.; Valdez, Emiliano A.
255
1998
Optimal dividends: analysis with Brownian motion. Zbl 1085.62122
Gerber, Hans U.; Shiu, Elias S. W.
151
2004
Minimizing the probability of ruin when claims follow Brownian motion with drift. Zbl 1141.91543
Promislow, S. David; Young, Virginia R.
140
2005
A regime-switching model of long-term stock returns. Zbl 1083.62530
Hardy, Mary R.
138
2001
Tail conditional expectations for elliptical distributions. Zbl 1084.62512
Landsman, Zinoviy M.; Valdez, Emiliano A.
129
2003
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.
118
2005
Measuring basis risk involved in longevity hedges. Zbl 1228.91042
Li, Johnny Siu-Hang; Hardy, Mary R.
95
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
84
1999
The Lee-Carter method for forecasting mortality, with various extensions and applications. Zbl 1083.62535
Lee, Ronald
66
2000
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
65
2011
Optimal investment for an insurer to minimize its probability of ruin. Zbl 1085.60511
Liu, Chi Sang; Yang, Hailiang
54
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
51
2000
Economic capital allocation derived from risk measures. Zbl 1084.91515
Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob
48
2003
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
48
1999
Optimal investment strategy to minimize the probability of lifetime ruin. Zbl 1085.60514
Young, Virginia R.
47
2004
Empirical estimation of risk measures and related quantities. Zbl 1084.62537
Jones, Bruce L.; Zitikis, Ričardas
46
2003
Self-annuitization and ruin in retirement. With discussion. Zbl 1083.60515
Milevsky, Moshe Arye; Robinson, Chris
40
2000
Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530
Lin, X. Sheldon; Tan, Ken Seng
39
2003
On a classical risk model with a constant dividend barrier. Zbl 1215.60051
Zhou, Xiaowen
37
2005
Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process. Zbl 1084.60544
Cheng, Yebin; Tang, Qihe
37
2003
An actuarial index of the right-tail risk. Zbl 1081.62570
Wang, Shaun
37
1998
Utility functions: from risk theory to finance. With discussion and a reply by the authors. Zbl 1081.91511
Gerber, Hans U.; Pafumi, Gérard
37
1998
Optimal reinsurance and investment for a jump diffusion risk process under the CEV model. Zbl 1291.91121
Lin, Xiang; Li, Yanfang
37
2011
Catastrophe risk bonds. Zbl 1083.91534
Cox, Samuel H.; Pedersen, Hal W.
30
2000
Pricing guaranteed life insurance participating policies with annual premiums and surrender option. Zbl 1084.62519
Bacinello, Anna Rita
29
2003
On a class of renewal risk processes. With discussion and a reply by the author. Zbl 1081.60549
Dickson, David C. M.
29
1998
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
28
2014
Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038
Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan
27
2005
Robust and efficient estimation of the tail index of a single-parameter Pareto distribution. Zbl 1083.62505
Brazauskas, Vytaras; Serfling, Robert
27
2000
Hedging equity-linked life insurance contracts. Zbl 1083.91546
Møller, Thomas
27
2001
Mortality regimes and pricing. Zbl 1228.91043
Milidonis, Andreas; Lin, Yijia; Cox, Samuel H.
27
2011
Modeling with Weibull-Pareto models. Zbl 1291.62186
Scollnik, David P. M.; Sun, Chenchen
27
2012
Projecting mortality trends: recent developments in the United Kingdom and the United States. Zbl 1085.62517
Wong-Fupuy, Carlos; Haberman, Steven
26
2004
On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
26
2004
A Bayesian log-normal model for multivariate loss reserving. Zbl 1291.91126
Shi, Peng; Basu, Sanjib; Meyers, Glenn G.
26
2012
Asymptotic analysis of multivariate tail conditional expectations. Zbl 1291.60108
Zhu, Li; Li, Haijun
26
2012
Actuarial modeling with MCMC and BUGS. With a discussion by David Spiegelhalter. Zbl 1083.62543
Scollnik, David P. M.
24
2001
Equity-indexed life insurance: pricing and reserving using the principle of equivalent utility. Zbl 1084.91521
Young, Virginia R.
23
2003
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.
23
2003
Bayesian modelling of outstanding liabilities incorporating claim count uncertainty. Zbl 1084.62544
Ntzoufras, Ioannis; Dellaportas, Petros
22
2002
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.
22
1998
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
Pricing lookback options and dynamic guarantees. With discussion by Griselda Deelstra. Zbl 1084.91507
Gerber, Hans U.; Shiu, Elias S. W.
21
2003
A Bayesian generalized linear model for the Bornhuetter-Ferguson method of claims reserving. Zbl 1085.62516
Verrall, R. J.
21
2004
Credibility using copulas. Zbl 1085.62121
Frees, Edward W.; Wang, Ping
21
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
21
2000
Stochastic analysis of the interaction between investment and insurance risks. With discussion and a reply by the author. Zbl 1080.91530
Parker, Gary
21
1997
A general procedure for constructing mortality models. Zbl 1412.91045
Hunt, Andrew; Blake, David
20
2014
Bayesian estimation of outstanding claim reserves. Zbl 1084.62554
de Alba, Enrique
20
2002
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
19
2010
Distortion risk measures and economic capital. Zbl 1085.91526
Hürlimann, Werner
19
2004
Efficient and robust fitting of lognormal distributions. Zbl 1084.62511
Serfling, Robert
18
2002
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.
18
2003
Generalized Pareto fit to the society of actuaries’ large claims database. Zbl 1084.62108
Cebrián, Ana C.; Denuit, Michel; Lambert, Philippe
18
2003
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
17
2014
Modeling surrender and lapse rates with economic variables. Zbl 1215.91067
Kim, Changki
17
2005
Note on the tail behavior of random walk maxima with heavy tails and negative drift. Zbl 1084.60515
Kaas, Rob; Tang, Qihe
17
2003
Variance of the CTE estimator. Zbl 1085.62511
Manistre, B. John; Hancock, Geoffrey H.
17
2005
Pension fund dynamics and gains/losses due to random rates of investment return. Zbl 1082.62543
Owadally, M. Iqbal; Haberman, Steven
17
1999
“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
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
Dynamic fund protection. With a discussion by Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.60513
Imai, Junichi; Boyle, Phelim P.
16
2001
Case studies using panel data models. Zbl 1083.91538
Frees, Edward W.; Young, Virginia R.; Luo, Yu
16
2001
The CBD mortality indexes: modeling and applications. Zbl 1412.91037
Chan, Wai-Sum; Li, Johnny Siu-Hang; Li, Jackie
15
2014
Capital allocation survey with commentary. Zbl 1085.91517
Venter, Gary G.
15
2004
“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.
14
2003
Bayesian risk measures for derivatives via random Esscher transform. Zbl 1083.62544
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
14
2001
Semi-static hedging for GMWB in variable annuities. Zbl 1291.91205
Kolkiewicz, Adam; Liu, Yan
14
2012
Principal applications of Bayesian methods in actuarial science: a perspective. Zbl 1083.62538
Makov, Udi E.
13
2001
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.
12
2000
Hedging and reserving for single-premium segregated fund contracts. Zbl 1083.91518
Hardy, Mary R.
12
2000
Genetics, Alzheimer’s disease, and long-term care insurance. Zbl 1083.62537
Macdonald, Angus; Pritchard, Delme
12
2001
Statistical independence and fractional age assumptions. With discussion and a reply by the author. Zbl 1080.62549
Willmot, Gordon E.
12
1997
Fuzzy financial pricing of property-liability insurance. With discussion by David Appel and Lawrence A. Berger, Krzysztof M. Ostaszewski and Oakley E. Van Slyke and a reply by the authors. Zbl 1080.62542
Cummins, J. David; Derrig, Richard A.
12
1997
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.
12
2011
A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization. Zbl 1291.91128
Tang, Qihe; Yuan, Zhongyi
12
2012
A cautionary note on natural hedging of longevity risk. Zbl 1412.91061
Zhu, Nan; Bauer, Daniel
11
2014
Developing equity release markets: risk analysis for reverse mortgages and home reversions. Zbl 1412.91028
Alai, Daniel H.; Chen, Hua; Cho, Daniel; Hanewald, Katja; Sherris, Michael
11
2014
A Bayesian multivariate risk-neutral method for pricing reverse mortgages. Zbl 1412.91047
Kogure, Atsuyuki; Li, Jackie; Kamiya, Shinichi
11
2014
Modeling severity and measuring tail risk of Norwegian fire claims. Zbl 1414.62415
Brazauskas, Vytaras; Kleefeld, Andreas
11
2016
Arrow’s theorem of the deductible with heterogeneous beliefs. Zbl 1414.91193
Ghossoub, Mario
11
2017
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176
Cui, Zhenyu; Feng, Runhuan; MacKay, Anne
11
2017
Longevity-indexed life annuities. Zbl 1213.91088
Denuit, Michel; Haberman, Steven; Renshaw, Arthur
11
2011
Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
11
2001
Complex dynamics, market mediation and stock price behavior. (With discussion by Irwin T. Vanderhoof). Zbl 1080.91537
Day, Richard H.
11
1997
Impact of counterparty risk on the reinsurance market. Zbl 1291.91091
Bernard, Carole; Ludkovski, Mike
11
2012
Regression modeling for the valuation of large variable annuity portfolios. Zbl 1393.91099
Gan, Guojun; Valdez, Emiliano A.
10
2018
Downside risk management of a defined benefit plan considering longevity basis risk. Zbl 1412.91048
Lin, Yijia; Tan, Ken Seng; Tian, Ruilin; Yu, Jifeng
10
2014
Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach. Zbl 1414.91188
Gan, Guojun; Lin, X. Sheldon
10
2017
Actuarial applications of epidemiological models. Zbl 1213.91089
Feng, Runhuan; Garrido, Jose
10
2011
Conditional tail moments of the exponential family and its related distributions. Zbl 1219.91071
Kim, Joseph H. T.
10
2010
Approaches and experiences in projecting mortality patterns for the oldest-old. Zbl 1084.62524
Buettner, Thomas
10
2002
The joint distribution of surplus immediately before ruin and the deficit at ruin under interest force. Zbl 1083.62547
Yang, Hailiang; Zhang, Lihong
10
2001
Forecasting changes in mortality: a search for a law of causes and effects. Zbl 1081.91602
Gutterman, Sam; Vanderhoof, Irwin T.
10
1998
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
9
2009
Strategies for dividend distribution: a review. Zbl 1483.91177
Avanzi, Benjamin
9
2009
Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform. Zbl 1412.91040
Chuang, Shuo-Li; Brockett, Patrick L.
9
2014
Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033
Blake, David; Boardman, Tom; Cairns, Andrew
9
2014
Boosting insights in insurance tariff plans with tree-based machine learning methods. Zbl 1475.91306
Henckaerts, Roel; Côté, Marie-Pier; Antonio, Katrien; Verbelen, Roel
6
2021
Basis risk in index-based longevity hedges: a guide for longevity hedgers. Zbl 1467.91137
Cairns, Andrew J. G.; El Boukfaoui, Ghali
5
2021
On the structure and classification of mortality models. Zbl 1461.91244
Hunt, Andrew; Blake, David
4
2021
Longevity Greeks: what do insurers and capital market investors need to know? Zbl 1465.91099
Zhou, Kenneth Q.; Li, Johnny Siu-Hang
2
2021
A Bayesian approach to modeling and projecting cohort effects. Zbl 1461.91245
Hunt, Andrew; Blake, David
2
2021
An efficient method for mitigating longevity value-at-risk. Zbl 1465.91097
Liu, Yanxin; Li, Johnny Siu-Hang
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
Mortality forecasts for long-term care subpopulations with longevity risk: a Bayesian approach. Zbl 1461.91249
Kogure, Atsuyuki; Fushimi, Takahiro; Kamiya, Shinichi
2
2021
Extreme data breach losses: an alternative approach to estimating probable maximum loss for data breach risk. Zbl 1484.91389
Jung, Kwangmin
2
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
2
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
1
2021
Longevity risk and capital markets: the 2017–2018 update. Zbl 07341011
1
2021
Optimal longevity risk transfer and investment strategies. Zbl 1465.91093
Cox, Samuel H.; Lin, Yijia; Liu, Sheen
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
Flexible and affordable methods of paying for long-term care insurance. Zbl 1461.91253
Mayhew, Les; Rickayzen, Ben; Smith, David
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
Forward mortality rates in discrete time. I: Calibration and securities pricing. Zbl 1461.91246
Hunt, Andrew; Blake, David
1
2021
Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. Zbl 1461.91247
Hunt, Andrew; Blake, David
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
Discussion on “Size-biased risk measures of compound sums”. Zbl 1483.91193
Furman, Edward; Kye, Yisub; Su, Jianxi
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
The valuation of a guaranteed minimum maturity benefit under a regime-switching framework. Zbl 1479.91336
Mamon, Rogemar; Xiong, Heng; Zhao, Yixing
1
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
1
2021
Optimal dividends paid in a foreign currency for a Lévy insurance risk model. Zbl 1479.91320
Eisenberg, Julia; Palmowski, Zbigniew
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
5
2020
Size-biased risk measures of compound sums. Zbl 1461.91242
Denuit, Michel
3
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
3
2020
Dating death: an empirical comparison of medical underwriters in the U.S. life settlements market. Zbl 1437.91401
Xu, Jiahua
2
2020
Data clustering with actuarial applications. Zbl 1454.91186
Gan, Guojun; Valdez, Emiliano A.
2
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
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.
1
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.
1
2020
Hedging mortality/longevity risks for multiple years. Zbl 1437.91397
Lin, Tzuling; Tsai, Cary Chi-Liang
1
2020
Bühlmann credibility-based approaches to modeling mortality rates for multiple populations. Zbl 1455.91229
Tsai, Cary Chi-Liang; Wu, Adelaide Di
1
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
1
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.
1
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
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
4
2019
Agricultural insurance ratemaking: development of a new premium principle. Zbl 1429.91286
Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa
3
2019
Optimal control of DC pension plan management under two incentive schemes. Zbl 1411.91285
He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming
3
2019
Regression tree credibility model. Zbl 1410.91264
Diao, Liqun; Weng, Chengguo
3
2019
Improving the forecast of longevity by combining models. Zbl 1410.91253
Apicella, Giovanna; Dacorogna, Michel; Di Lorenzo, Emilia; Sibillo, Marilena
3
2019
Management of portfolio depletion risk through optimal life cycle asset allocation. Zbl 1426.91218
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham
3
2019
Life-cycle planning with ambiguous economics and mortality risks. Zbl 1429.91283
Shen, Yang; Su, Jianxi
2
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
2
2019
Statistical inference for Lee-Carter mortality model and corresponding forecasts. Zbl 1426.91227
Liu, Qing; Ling, Chen; Peng, Liang
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.
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
Robust actuarial risk analysis. Zbl 1411.91266
Blanchet, Jose; Lam, Henry; Tang, Qihe; Yuan, Zhongyi
1
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
Regression modeling for the valuation of large variable annuity portfolios. Zbl 1393.91099
Gan, Guojun; Valdez, Emiliano A.
10
2018
Evaluating life expectancy evaluations. Zbl 1393.91098
Bauer, Daniel; Fasano, Michael V.; Russ, Jochen; Zhu, Nan
4
2018
Bonus-malus systems with two-component mixture models arising from different parametric families. Zbl 1393.62048
Tzougas, George; Vrontos, Spyridon; Frangos, Nicholas
4
2018
Fat-tailed regression modeling with spliced distributions. Zbl 1417.62299
Gan, Guojun; Valdez, Emiliano A.
4
2018
Optimal risk transfer: a numerical optimization approach. Zbl 1416.91149
Asimit, Alexandru V.; Gao, Tao; Hu, Junlei; Kim, Eun-Seok
4
2018
Around the life cycle: deterministic consumption-investment strategies. Zbl 1416.91345
Christiansen, Marcus C.; Steffensen, Mogens
4
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
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
3
2018
Physiological age, health costs, and their interrelation. Zbl 1403.62188
Govorun, M.; Jones, B. L.; Liu, X.; Stanford, D. A.
3
2018
Delta boosting machine with application to general insurance. Zbl 1416.91199
Lee, Simon C. K.; Lin, Sheldon
3
2018
Claims reserving with a stochastic vector projection. Zbl 1393.62046
Portugal, Luís; Pantelous, Athanasios A.; Assa, Hirbod
2
2018
Updating Wilkie’s economic scenario generator for U.S. applications. Zbl 1411.91415
Zhang, Saisai; Hardy, Mary; Saunders, David
2
2018
The annuity puzzle and an outline of its solution. Zbl 1411.91311
Ramsay, Colin M.; Oguledo, Victor I.
2
2018
Solvency II is not risk-based – could it be? Evidence from non-life calibrations. Zbl 1416.91176
Frezal, Sylvestre
2
2018
Short positions in the first principal component portfolio. Zbl 1393.91129
Boyle, Phelim; Feng, Shui; Melkuev, David; Yang, Shuai; Zhang, Johnew
1
2018
The role of unhealthy behaviors on an individual’s self-reported perceived health status. Zbl 1393.62133
Kim, Kyeonghee; Rosenberg, Marjorie A.
1
2018
A hidden Markov approach to disability insurance. Zbl 1393.62044
Djehiche, Boualem; Löfdahl, Björn
1
2018
Application of relational models in mortality immunization. Zbl 1411.91273
Chi-Liang Tsai, Cary; Liang, Xinying
1
2018
The utility value of longevity risk pooling: analytic insights. Zbl 1411.91307
Milevsky, Moshe A.; Huang, Huaxiong
1
2018
Exploring the optimal design of an employer-sponsored sickness-disability compensation insurance plan when sickness presenteeism is penalized. Zbl 1416.91218
Ramsay, Colin M.; Oguledo, Victor I.; Krutto, Annika
1
2018
An extension of spatial dependence models for estimating short-term temperature portfolio risk. Zbl 1416.91174
Erhardt, Robert; Engler, David
1
2018
Arrow’s theorem of the deductible with heterogeneous beliefs. Zbl 1414.91193
Ghossoub, Mario
11
2017
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176
Cui, Zhenyu; Feng, Runhuan; MacKay, Anne
11
2017
Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach. Zbl 1414.91188
Gan, Guojun; Lin, X. Sheldon
10
2017
A Bühlmann credibility approach to modeling mortality rates. Zbl 1414.91237
Tsai, Cary Chi-Liang; Lin, Tzuling
9
2017
Mean-variance asset liability management with state-dependent risk aversion. Zbl 1414.91247
Zhang, Yan; Wu, Yonghong; Li, Shuang; Wiwatanapataphee, Benchawan
8
2017
Policyholder exercise behavior in life insurance: the state of affairs. Zbl 1414.91161
Bauer, Daniel; Gao, Jin; Moenig, Thorsten; Ulm, Eric R.; Zhu, Nan
8
2017
A flexible Bayesian nonparametric model for predicting future insurance claims prediction. Zbl 1414.91201
Hong, Liang; Martin, Ryan
6
2017
Optimal reinsurance under the risk-adjusted value of an insurer’s liability and an economic reinsurance premium principle. Zbl 1414.91174
Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng
6
2017
Optimal reinsurance design: a mean-variance approach. Zbl 1414.91175
Chi, Yichun; Zhou, Ming
5
2017
Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death. Zbl 1414.91190
Gbari, Samuel; Poulain, Michel; Dal, Luc; Denuit, Michel
5
2017
Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes. Zbl 1414.91414
Kolkiewicz, Adam W.; Lin, Fangyuan Sally
4
2017
The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates. Zbl 1414.91216
Li, Zixi; Shao, Adam W.; Sherris, Michael
4
2017
Beyond the Tweedie reserving model: the collective approach to loss development. Zbl 1414.91178
Denuit, Michel; Trufin, Julien
4
2017
Asymptotic investment behaviors under a jump-diffusion risk process. Zbl 1414.91164
Belkina, Tatiana; Luo, Shangzhen
3
2017
Impact of flexible periodic premiums on variable annuity guarantees. Zbl 1414.91165
Bernard, Carole; Cui, Zhenyu; Vanduffel, Steven
3
2017
Joint insolvency analysis of a shared MAP risk process: a capital allocation application. Zbl 1414.91168
Cai, Jun; Landriault, David; Shi, Tianxiang; Wei, Wei
3
2017
Moment problem and its applications to risk assessment. Zbl 1414.91236
Tian, Ruilin; Cox, Samuel H.; Zuluaga, Luis F.
3
2017
...and 348 more Documents
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Cited by 3,146 Authors

51 Yang, Hailiang
49 Young, Virginia R.
41 Siu, Tak Kuen
37 Denuit, Michel M.
37 Haberman, Steven
37 Landsman, Zinoviy M.
37 Li, Shuanming
36 Cheung, Eric C. K.
34 Gerber, Hans U.
34 Zhang, Zhimin
33 Willmot, Gordon E.
33 Yuen, Kam Chuen
30 Landriault, David
30 Shiu, Elias S. W.
28 Valdez, Emiliano A.
28 Yin, Chuancun
26 Tsai, Cary Chi-Liang
25 Jin, Zhuo
24 Albrecher, Hansjörg
23 Lin, X. Sheldon
22 Dhaene, Jan
22 Sherris, Michael
21 Blake, David
21 Zhao, Hui
20 Li, Johnny Siu-Hang
20 Shen, Yang
20 Tan, Ken Seng
20 Wu, Rong
19 Genest, Christian
19 Liang, Zhibin
19 Lu, Yi
19 Wang, Guojing
19 Zeng, Yan
18 Dong, Yinghui
18 Furman, Edward
17 Bayraktar, Erhan
17 Elliott, Robert James
17 Feng, Runhuan
17 Forsyth, Peter A.
17 Li, Danping
17 Marceau, Étienne
17 Vanduffel, Steven
16 Brazauskas, Vytaras
16 Cairns, Andrew J. G.
16 Chen, Ping
16 Dickson, David C. M.
16 Hardy, Mary Rosalyn
16 Rong, Ximin
16 Tang, Qihe
16 Woo, Jae-Kyung
16 Yang, Hu
16 Zitikis, Ričardas
15 Boonen, Tim J.
15 Goovaerts, Marc J.
15 Guo, Junyi
15 Šiaulys, Jonas
15 Wang, Rongming
14 Badescu, Andrei L.
14 Cai, Jun
14 Cossette, Hélène
14 Hu, Yijun
14 Macdonald, Angus S.
14 Palmowski, Zbigniew
14 Weng, Chengguo
14 Zhou, Ming
13 Cheung, Ka Chun
13 Jones, Bruce L.
12 Asimit, Alexandru V.
12 Li, Jackie Ji
12 Loisel, Stéphane
12 Ren, Jiandong
12 Sendova, Kristina P.
12 Shushi, Tomer
11 Ahn, Jae Youn
11 Bouzebda, Salim
11 Boyle, Phelim P.
11 Devolder, Pierre
11 Frees, Edward W.
11 Li, Zhongfei
11 Liang, Xiaoqing
11 Liang, Zongxia
11 Makov, Udi E.
11 Mamon, Rogemar S.
11 Qian, Linyi
11 Su, Jianxi
11 Wüthrich, Mario Valentin
10 Antonio, Katrien
10 Frostig, Esther
10 Gan, Guojun
10 Lefèvre, Claude
10 Wang, Chou-Wen
10 Yam, Sheung Chi Phillip
10 Zhou, Xian
9 Beirlant, Jan
9 Bernard, Carole L.
9 Chen, Mi
9 Dowd, Kevin
9 Kim, Joseph Hyun Tae
9 Lin, Tzuling
9 Shi, Tianxiang
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Cited in 251 Journals

817 Insurance Mathematics & Economics
349 North American Actuarial Journal
180 Scandinavian Actuarial Journal
136 ASTIN Bulletin
90 Journal of Computational and Applied Mathematics
69 European Actuarial Journal
65 Communications in Statistics. Theory and Methods
56 Methodology and Computing in Applied Probability
50 Statistics & Probability Letters
43 Quantitative Finance
37 European Journal of Operational Research
32 Applied Stochastic Models in Business and Industry
31 Applied Mathematics and Computation
31 Journal of Industrial and Management Optimization
30 Journal of Applied Probability
29 Mathematical Finance
26 International Journal of Theoretical and Applied Finance
24 Communications in Statistics. Simulation and Computation
24 Computational Statistics and Data Analysis
23 Acta Mathematicae Applicatae Sinica. English Series
22 Journal of Multivariate Analysis
19 Journal of Applied Statistics
18 Annals of Operations Research
17 Mathematical Problems in Engineering
17 Stochastic Models
16 Journal of Statistical Planning and Inference
15 Discrete Dynamics in Nature and Society
13 Advances in Applied Probability
13 The Canadian Journal of Statistics
13 Journal of Economic Dynamics & Control
13 Journal of Systems Science and Complexity
11 Journal of Optimization Theory and Applications
11 Finance and Stochastics
11 Extremes
11 Dependence Modeling
10 Lithuanian Mathematical Journal
10 Journal of Econometrics
10 Journal of Statistical Computation and Simulation
10 Applied Mathematics. Series B (English Edition)
10 Decisions in Economics and Finance
10 SIAM Journal on Financial Mathematics
10 Journal of Probability and Statistics
9 Mathematical Methods of Operations Research
9 Journal of the Korean Statistical Society
9 Frontiers of Mathematics in China
8 Applied Mathematics and Optimization
8 Stochastic Analysis and Applications
8 Journal of Nonparametric Statistics
8 Probability in the Engineering and Informational Sciences
7 Physica A
7 Fuzzy Sets and Systems
7 Stochastic Processes and their Applications
7 Statistical Papers
7 Lifetime Data Analysis
7 The ANZIAM Journal
7 Annals of Finance
6 Scandinavian Journal of Statistics
6 Mathematical Methods of Statistics
6 Applied Mathematical Finance
6 Acta Mathematica Sinica. English Series
6 Asia-Pacific Financial Markets
6 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
6 Modern Stochastics. Theory and Applications
5 Computers & Mathematics with Applications
5 Annals of the Institute of Statistical Mathematics
5 Automatica
5 Information Sciences
5 Mathematics and Computers in Simulation
5 Operations Research Letters
5 Statistics
5 Optimization
5 Mathematical and Computer Modelling
5 Computational Statistics
5 International Journal of Computer Mathematics
5 Abstract and Applied Analysis
5 Soft Computing
5 CEJOR. Central European Journal of Operations Research
5 Stochastics
5 Statistical Methodology
5 AStA. Advances in Statistical Analysis
5 Electronic Journal of Statistics
5 The Annals of Applied Statistics
5 Statistics & Risk Modeling
4 Journal of Mathematical Analysis and Applications
4 Metrika
4 The Annals of Statistics
4 Journal of the American Statistical Association
4 Mathematics of Operations Research
4 SIAM Journal on Control and Optimization
4 The Annals of Applied Probability
4 Complexity
4 Bernoulli
4 INFORMS Journal on Computing
4 Computational Management Science
4 Statistical Methods and Applications
4 Journal of Statistical Theory and Practice
4 Mathematical Control and Related Fields
3 International Journal of Control
3 Biometrics
3 Operations Research
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Cited in 36 Fields

2,435 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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130 Numerical analysis (65-XX)
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36 Integral equations (45-XX)
33 Partial differential equations (35-XX)
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24 Computer science (68-XX)
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9 Geophysics (86-XX)
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8 Information and communication theory, circuits (94-XX)
5 General and overarching topics; collections (00-XX)
5 Mathematical logic and foundations (03-XX)
5 Ordinary differential equations (34-XX)
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5 Mathematics education (97-XX)
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