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: 887 Publications (since 1997) References Indexed: 808 Publications with 22,188 References. all top 5 Latest Issues 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) 2, No. 3 (1998) ...and 4 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 Cox, Samuel H. jun. 8 Hickman, James Charles 8 Willmot, Gordon E. 7 Albrecher, Hansjörg 7 Brazauskas, Vytaras 7 Macdonald, Angus S. 7 Porth, Lysa 7 Ramsay, Colin M. 7 Siu, Tak Kuen 7 Weng, Chengguo 7 Yang, Charles C. 7 Zhu, Wenjun 6 Bayraktar, Erhan 6 Bernard, Carole L. 6 Brockett, Patrick L. 6 Cheung, Eric C. K. 6 Gan, Guojun 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 Hong, Liang 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 Emms, Paul 3 Erhardt, Robert J. 3 Feng, Runhuan 3 Forsyth, Peter A. 3 Frostig, Esther 3 Fung, Tsz Chai ...and 901 more Authors all top 5 Fields 790 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 390 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 551 Publications have been cited 5,979 times in 3,563 Documents Cited by ▼ Year ▼ On the time value of ruin. With discussion and a reply by the authors. Zbl 1081.60550Gerber, Hans U.; Shiu, Elias S. W. 417 1998 Understanding relationships using copulas. Zbl 1081.62564Frees, Edward W.; Valdez, Emiliano A. 271 1998 Optimal dividends: analysis with Brownian motion. Zbl 1085.62122Gerber, Hans U.; Shiu, Elias S. W. 160 2004 Minimizing the probability of ruin when claims follow Brownian motion with drift. Zbl 1141.91543Promislow, S. David; Young, Virginia R. 154 2005 The time value of ruin in a Sparre Andersen model. With discussion and a reply by the authors. Zbl 1085.62508Gerber, Hans U.; Shiu, Elias S. W. 150 2005 A regime-switching model of long-term stock returns. Zbl 1083.62530Hardy, Mary R. 144 2001 Tail conditional expectations for elliptical distributions. Zbl 1084.62512Landsman, Zinoviy M.; Valdez, Emiliano A. 140 2003 A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. Zbl 1484.91376Cairns, Andrew J. G.; Blake, David; Dowd, Kevin; Coughlan, Guy D.; Epstein, David; Ong, Alen; Balevich, Igor 105 2009 Measuring basis risk involved in longevity hedges. Zbl 1228.91042Li, Johnny Siu-Hang; Hardy, Mary R. 98 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 1082.91525Artzner, Philippe 87 1999 A gravity model of mortality rates for two related populations. Zbl 1228.91032Dowd, Kevin; Cairns, Andrew J. G.; Blake, David; Coughlan, Guy D.; Khalaf-Allah, Marwa 80 2011 Strategies for dividend distribution: a review. Zbl 1483.91177Avanzi, Benjamin 76 2009 On optimal dividend strategies in the compound Poisson model. Zbl 1479.91323Gerber, Hans U.; Shiu, Elias S. W. 71 2006 The Lee-Carter method for forecasting mortality, with various extensions and applications. Zbl 1083.62535Lee, Ronald 68 2000 Optimal investment for an insurer to minimize its probability of ruin. Zbl 1085.60511Liu, Chi Sang; Yang, Hailiang 57 2004 Valuing equity-indexed annuities. With discussion by G. Thomas Mitchell and Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.62545Tiong, Serena 56 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 1082.91530Embrechts, Paul; Resnick, Sidney I.; Samorodnitsky, Gennady 55 1999 Economic capital allocation derived from risk measures. Zbl 1084.91515Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob 49 2003 Empirical estimation of risk measures and related quantities. Zbl 1084.62537Jones, Bruce L.; Zitikis, Ričardas 49 2003 Optimal investment strategy to minimize the probability of lifetime ruin. Zbl 1085.60514Young, Virginia R. 49 2004 Optimal reinsurance and investment for a jump diffusion risk process under the CEV model. Zbl 1291.91121Lin, Xiang; Li, Yanfang 44 2011 Self-annuitization and ruin in retirement. With discussion. Zbl 1083.60515Milevsky, Moshe Arye; Robinson, Chris 42 2000 On the class of Erlang mixtures with risk theoretic applications. Zbl 1480.91253Willmot, Gordon E.; Woo, Jae-Kyung 42 2007 Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530Lin, X. Sheldon; Tan, Ken Seng 40 2003 Utility functions: from risk theory to finance. With discussion and a reply by the authors. Zbl 1081.91511Gerber, Hans U.; Pafumi, Gérard 40 1998 Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process. Zbl 1084.60544Cheng, Yebin; Tang, Qihe 39 2003 An actuarial index of the right-tail risk. Zbl 1081.62570Wang, Shaun 39 1998 Natural hedging of life and annuity mortality risks. Zbl 1480.91196Cox, Samuel H.; Lin, Yijia 39 2007 On a classical risk model with a constant dividend barrier. Zbl 1215.60051Zhou, Xiaowen 38 2005 On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England. Zbl 1412.91057Villegas, Andrés M.; Haberman, Steven 36 2014 Modeling with Weibull-Pareto models. Zbl 1291.62186Scollnik, David P. M.; Sun, Chenchen 32 2012 On a class of renewal risk processes. With discussion and a reply by the author. Zbl 1081.60549Dickson, David C. M. 32 1998 Pricing guaranteed life insurance participating policies with annual premiums and surrender option. Zbl 1084.62519Bacinello, Anna Rita 31 2003 Robust and efficient estimation of the tail index of a single-parameter Pareto distribution. Zbl 1083.62505Brazauskas, Vytaras; Serfling, Robert 31 2000 Catastrophe risk bonds. Zbl 1083.91534Cox, Samuel H.; Pedersen, Hal W. 30 2000 Hedging equity-linked life insurance contracts. Zbl 1083.91546Møller, Thomas 29 2001 Asymptotic analysis of multivariate tail conditional expectations. Zbl 1291.60108Zhu, Li; Li, Haijun 28 2012 Mortality regimes and pricing. Zbl 1228.91043Milidonis, Andreas; Lin, Yijia; Cox, Samuel H. 28 2011 On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 28 2004 Actuarial modeling with MCMC and BUGS. With a discussion by David Spiegelhalter. Zbl 1083.62543Scollnik, David P. M. 27 2001 Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan 27 2005 A Bayesian log-normal model for multivariate loss reserving. Zbl 1291.91126Shi, Peng; Basu, Sanjib; Meyers, Glenn G. 26 2012 On the expected discounted penalty function for Lévy risk processes. Zbl 1480.91076Garrido, José; Morales, Manuel 26 2006 Projecting mortality trends: recent developments in the United Kingdom and the United States. Zbl 1085.62517Wong-Fupuy, Carlos; Haberman, Steven 26 2004 A general procedure for constructing mortality models. Zbl 1412.91045Hunt, Andrew; Blake, David 25 2014 Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest. Zbl 1479.91308Cai, Jun; Gerber, Hans U.; Yang, Hailiang 25 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 1084.91517Gerber, Hans U.; Shiu, Elias S. W. 25 2003 Pricing perpetual options for jump processes. With discussion by X. Sheldon Lin and Xiaolan Zhang and a reply by the authors. Zbl 1081.91528Gerber, 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 1480.91187Boucher, Jean-Philippe; Denuit, Michel; Guillén, Montserrat 25 2007 Equity-indexed life insurance: pricing and reserving using the principle of equivalent utility. Zbl 1084.91521Young, Virginia R. 24 2003 Bayesian modelling of outstanding liabilities incorporating claim count uncertainty. Zbl 1084.62544Ntzoufras, Ioannis; Dellaportas, Petros 23 2002 Pricing lookback options and dynamic guarantees. With discussion by Griselda Deelstra. Zbl 1084.91507Gerber, Hans U.; Shiu, Elias S. W. 23 2003 Pricing perpetual fund protection with withdrawal option (With discussion and a reply by the authors). Zbl 1084.60512Gerber, Hans U.; Shiu, Elias S. W. 23 2003 Modeling period effects in multi-population mortality models: applications to Solvency II. Zbl 1412.91060Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng 22 2014 Arrow’s theorem of the deductible with heterogeneous beliefs. Zbl 1414.91193Ghossoub, Mario 22 2017 Credibility using copulas. Zbl 1085.62121Frees, Edward W.; Wang, Ping 22 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 1083.91516Gerber, Hans U.; Pafumi, Gérard 22 2000 Stochastic analysis of the interaction between investment and insurance risks. With discussion and a reply by the author. Zbl 1080.91530Parker, Gary 22 1997 A risk model with multilayer dividend strategy. Zbl 1480.91178Albrecher, Hansjörg; Hartinger, Jürgen 22 2007 Bayesian estimation of outstanding claim reserves. Zbl 1084.62554de Alba, Enrique 21 2002 A Bayesian generalized linear model for the Bornhuetter-Ferguson method of claims reserving. Zbl 1085.62516Verrall, R. J. 21 2004 Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method. Zbl 1219.91145Yuen, Fei Lung; Yang, Hailiang 21 2010 A direct approach to the discounted penalty function. Zbl 1219.91063Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang 21 2010 VaR and CTE criteria for optimal quota-share and stop-loss reinsurance. Zbl 1483.91208Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 21 2009 Distortion risk measures and economic capital. Zbl 1085.91526Hürlimann, Werner 20 2004 Absolute ruin probabilities in a jump diffusion risk model with investment. Zbl 1480.91208Gerber, Hans U.; Yang, Hailiang 20 2007 Weighted pricing functionals with applications to insurance. Zbl 1483.91194Furman, Edward; Zitikis, Ričardas 20 2009 Efficient and robust fitting of lognormal distributions. Zbl 1084.62511Serfling, Robert 19 2002 The CBD mortality indexes: modeling and applications. Zbl 1412.91037Chan, Wai-Sum; Li, Johnny Siu-Hang; Li, Jackie 18 2014 Generalized Pareto fit to the society of actuaries’ large claims database. Zbl 1084.62108Cebrián, Ana C.; Denuit, Michel; Lambert, Philippe 18 2003 Note on the tail behavior of random walk maxima with heavy tails and negative drift. Zbl 1084.60515Kaas, Rob; Tang, Qihe 18 2003 Dynamic fund protection. With a discussion by Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.60513Imai, Junichi; Boyle, Phelim P. 18 2001 The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model. Zbl 1480.91079Ren, Jiandong 18 2007 Modeling surrender and lapse rates with economic variables. Zbl 1215.91067Kim, Changki 18 2005 Variance of the CTE estimator. Zbl 1085.62511Manistre, B. John; Hancock, Geoffrey H. 17 2005 Pension fund dynamics and gains/losses due to random rates of investment return. Zbl 1082.62543Owadally, M. Iqbal; Haberman, Steven 17 1999 Markov aging process and phase-type law of mortality. Zbl 1480.91221Lin, X. Sheldon; Liu, Xiaoming 17 2007 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 1483.91199Landriault, David; Willmot, Gordon E. 17 2009 Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176Cui, Zhenyu; Feng, Runhuan; MacKay, Anne 16 2017 “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 1084.60545Gerber, 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 1084.60546Gerber, Hans U.; Shiu, Elias S. W. 16 2003 The iterated CTE: a dynamic risk measure. Zbl 1085.91524Hardy, Mary R.; Wirch, Julia L. 16 2004 Optimal annuitization policies: analysis of the options. Zbl 1083.91522Milevsky, Moshe Arye 16 2001 Case studies using panel data models. Zbl 1083.91538Frees, Edward W.; Young, Virginia R.; Luo, Yu 16 2001 Stochastic life annuities. Zbl 1480.91199Dufresne, Daniel 16 2007 Asymptotic analysis of the loss given default in the presence of multivariate regular variation. Zbl 1412.91056Tang, Qihe; Yuan, Zhongyi 15 2013 Modeling severity and measuring tail risk of Norwegian fire claims. Zbl 1414.62415Brazauskas, Vytaras; Kleefeld, Andreas 15 2016 Capital allocation survey with commentary. Zbl 1085.91517Venter, Gary G. 15 2004 Pricing annuity guarantees under a regime-switching model. Zbl 1483.91201Lin, X. Sheldon; Tan, Ken Seng; Yang, Hailiang 15 2009 Empirical approach for optimal reinsurance design. Zbl 1414.91234Tan, Ken Seng; Weng, Chengguo 14 2014 Semi-static hedging for GMWB in variable annuities. Zbl 1291.91205Kolkiewicz, Adam; Liu, Yan 14 2012 Bayesian risk measures for derivatives via random Esscher transform. Zbl 1083.62544Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 14 2001 Principal applications of Bayesian methods in actuarial science: a perspective. Zbl 1083.62538Makov, Udi E. 14 2001 The expected discounted penalty at ruin for a Markov-modulated risk process perturbed by diffusion. Zbl 1480.91226Lu, Yi; Tsai, Cary Chi-Liang 14 2007 Actuarial applications of epidemiological models. Zbl 1213.91089Feng, Runhuan; Garrido, Jose 14 2011 Sharing longevity risk: why governments should issue longevity bonds. Zbl 1412.91033Blake, David; Boardman, Tom; Cairns, Andrew 13 2014 Impact of counterparty risk on the reinsurance market. Zbl 1291.91091Bernard, Carole; Ludkovski, Mike 13 2012 A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization. Zbl 1291.91128Tang, Qihe; Yuan, Zhongyi 13 2012 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 1083.91517Gerber, Hans U.; Shiu, Elias S. W. 13 2000 Securitization of longevity risk in reverse mortgages. Zbl 1481.91189Wang, Liang; Valdez, Emiliano A.; Piggott, John 13 2008 Bivariate mixed Poisson regression models with varying dispersion. Zbl 1521.91321Tzougas, George; di Cerchiara, Alice Pignatelli 1 2023 Short- and long-term dynamics of cause-specific mortality rates using cointegration analysis. Zbl 1497.91231Arnold, Séverine; Glushko, Viktoriya 1 2022 A stochastic control approach to defined contribution plan decumulation: “The nastiest, hardest problem in finance”. Zbl 1497.91264Forsyth, Peter A. 1 2022 Distributionally robust goal-reaching optimization in the presence of background risk. Zbl 1500.91113Chi, Yichun; Xu, Zuo Quan; Zhuang, Sheng Chao 1 2022 Semiparametric regression for dual population mortality. Zbl 1500.91116Venter, Gary; Şahin, Şule 1 2022 Fitting censored and truncated regression data using the mixture of experts models. Zbl 1507.91176Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 1 2022 Boosting insights in insurance tariff plans with tree-based machine learning methods. Zbl 1475.91306Henckaerts, Roel; Côté, Marie-Pier; Antonio, Katrien; Verbelen, Roel 12 2021 Basis risk in index-based longevity hedges: a guide for longevity hedgers. Zbl 1467.91137Cairns, Andrew J. G.; El Boukfaoui, Ghali 7 2021 On the structure and classification of mortality models. Zbl 1461.91244Hunt, Andrew; Blake, David 5 2021 A new class of severity regression models with an application to IBNR prediction. Zbl 1475.91299Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 4 2021 Fitting nonstationary Cox processes: an application to fire insurance data. Zbl 1481.91160Albrecher, Hansjörg; Araujo-Acuna, José Carlos; Beirlant, Jan 3 2021 Longevity Greeks: what do insurers and capital market investors need to know? Zbl 1465.91099Zhou, Kenneth Q.; Li, Johnny Siu-Hang 3 2021 A Bayesian approach to modeling and projecting cohort effects. Zbl 1461.91245Hunt, Andrew; Blake, David 3 2021 An efficient method for mitigating longevity value-at-risk. Zbl 1465.91097Liu, Yanxin; Li, Johnny Siu-Hang 3 2021 Real-time valuation of large variable annuity portfolios: a Green mesh approach. Zbl 1479.91335Liu, Kai; Tan, Ken Seng 2 2021 The valuation of a guaranteed minimum maturity benefit under a regime-switching framework. Zbl 1479.91336Mamon, Rogemar; Xiong, Heng; Zhao, Yixing 2 2021 A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited. Zbl 1479.91321Furman, Edward; Kye, Yisub; Su, Jianxi 2 2021 Modeling malicious hacking data breach risks. Zbl 1491.91111Sun, Hong; Xu, Maochao; Zhao, Peng 2 2021 Extreme data breach losses: an alternative approach to estimating probable maximum loss for data breach risk. Zbl 1484.91389Jung, Kwangmin 2 2021 Discussion on “Size-biased risk measures of compound sums”. Zbl 1483.91193Furman, Edward; Kye, Yisub; Su, Jianxi 2 2021 Optimal longevity risk transfer and investment strategies. Zbl 1465.91093Cox, Samuel H.; Lin, Yijia; Liu, Sheen 2 2021 Flexible and affordable methods of paying for long-term care insurance. Zbl 1461.91253Mayhew, Les; Rickayzen, Ben; Smith, David 2 2021 Constructing out-of-the-money longevity hedges using parametric mortality indexes. Zbl 1461.91250Li, Johnny Siu-Hang; Li, Jackie; Balasooriya, Uditha; Zhou, Kenneth Q. 2 2021 An analysis of period and cohort mortality shocks in international data. Zbl 1461.91255McCarthy, David; Wang, Po-Lin 2 2021 Using graduation to modify the estimation of Lee-Carter model for small populations. Zbl 1461.91263Yue, Jack C.; Wang, Hsin-Chung; Wang, Tzu-Yu 2 2021 Mortality forecasts for long-term care subpopulations with longevity risk: a Bayesian approach. Zbl 1461.91249Kogure, Atsuyuki; Fushimi, Takahiro; Kamiya, Shinichi 2 2021 A semiparametric method for assessing life expectancy evaluations. Zbl 1479.91334Lim, Hong Beng; Shyamalkumar, Nariankadu D. 1 2021 Optimal dividends paid in a foreign currency for a Lévy insurance risk model. Zbl 1479.91320Eisenberg, Julia; Palmowski, Zbigniew 1 2021 Valid model-free prediction of future insurance claims. Zbl 1491.91109Hong, Liang; Martin, Ryan 1 2021 Data breach CAT bonds: modeling and pricing. Zbl 1484.91412Xu, Maochao; Zhang, Yiying 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 1483.91186Denuit, Michel 1 2021 Discussion on “Size-biased risk measures of compound sums”. Zbl 1483.91206Ren, Jiandong 1 2021 The mathematical mechanism of biological aging. Zbl 1460.92042Cheng, Boquan; Jones, Bruce; Liu, Xiaoming; Ren, Jiandong 1 2021 A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty. Zbl 1461.91260Sherris, Michael; Wei, Pengyu 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 1466.91263Hsieh, 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 1465.91098Yang, 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 1467.91140Guo, Qiheng; Bauer, Daniel 1 2021 Hedging annuity risks with the age-period-cohort two-population gravity model. Zbl 1461.91243Dowd, Kevin; Cairns, Andrew J. G.; Blake, David 1 2021 Optimal portfolio choice in retirement with participating life annuities. Zbl 1461.91258Rogalla, Ralph 1 2021 Improving HMD mortality estimates with HFD fertility data. Zbl 1460.91211Boumezoued, Alexandre 1 2021 Hedging longevity risk: does the structure of the financial instrument matter? Zbl 1461.91252MacMinn, Richard D.; Zhu, Nan 1 2021 A multi-population approach to forecasting all-cause mortality using cause-of-death mortality data. Zbl 1460.91231Lyu, Pintao; De Waegenaere, Anja; Melenberg, Bertrand 1 2021 A synthesis mortality model for the elderly. Zbl 1461.91261Su, Karen C.; Yue, Jack C. 1 2021 Forward mortality rates in discrete time. I: Calibration and securities pricing. Zbl 1461.91246Hunt, Andrew; Blake, David 1 2021 Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. Zbl 1461.91247Hunt, Andrew; Blake, David 1 2021 An investigation into inequalities in adult lifespan. Zbl 1461.91254Mayhew, Les; Smith, David 1 2021 Rising inequality in life expectancy by socioeconomic status. Zbl 1461.91259Sanzenbacher, Geoffrey T.; Webb, Anthony; Cosgrove, Candace M.; Orlova, Natalia 1 2021 Stochastic comparisons between the extreme claim amounts from two heterogeneous portfolios in the case of transmuted-G model. Zbl 1454.91203Nadeb, Hossein; Torabi, Hamzeh; Dolati, Ali 9 2020 Can automobile insurance telematics predict the risk of near-miss events? Zbl 1437.91392Guillen, Montserrat; Nielsen, Jens Perch; Pérez-Marín, Ana M.; Elpidorou, Valandis 6 2020 Size-biased risk measures of compound sums. Zbl 1461.91242Denuit, Michel 5 2020 Data clustering with actuarial applications. Zbl 1454.91186Gan, Guojun; Valdez, Emiliano A. 3 2020 Drivers of mortality dynamics: identifying age/period/cohort components of historical U.S. mortality improvements. Zbl 1454.91199Li, Johnny S.-H.; Zhou, Rui; Liu, Yanxin; Graziani, George; Hall, R. Dale; Haid, Jennifer; Peterson, Andrew; Pinzur, Laurence 3 2020 Dating death: an empirical comparison of medical underwriters in the U.S. life settlements market. Zbl 1437.91401Xu, 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 1437.91399Ramsay, Colin M.; Oguledo, Victor I. 2 2020 Hedging mortality/longevity risks for multiple years. Zbl 1437.91397Lin, Tzuling; Tsai, Cary Chi-Liang 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 1454.91181Eling, 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 1454.91210Yang, Charles C. 2 2020 Bühlmann credibility-based approaches to modeling mortality rates for multiple populations. Zbl 1455.91229Tsai, Cary Chi-Liang; Wu, Adelaide Di 2 2020 Discussion on: “A general semi-Markov model for coupled lifetimes”. Zbl 1454.91187Gerber, Hans U.; Shiu, Elias S. W. 1 2020 Efficient nested simulation for conditional tail expectation of variable annuities. Zbl 1454.91176Dang, Ou; Feng, Mingbin; Hardy, Mary R. 1 2020 Efficient simulation designs for valuation of large variable annuity portfolios. Zbl 1454.91184Feng, Ben Mingbin; Tan, Zhenni; Zheng, Jiayi 1 2020 Trends in Canadian mortality by pension level: evidence from the CPP and QPP. Zbl 1466.91273Wen, Jie; Kleinow, Torsten; Cairns, Andrew J. G. 1 2020 Cybersecurity insurance: modeling and pricing. Zbl 1410.91291Xu, Maochao; Hua, Lei 9 2019 Management of portfolio depletion risk through optimal life cycle asset allocation. Zbl 1426.91218Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham 6 2019 Capital allocation for a sum of dependent compound mixed Poisson variables: a recursive algorithm approach. Zbl 1417.62300Kim, Joseph H. T.; Jang, Jiwook; Pyun, Chaehyun 4 2019 Optimal control of DC pension plan management under two incentive schemes. Zbl 1411.91285He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming 4 2019 Statistical inference for Lee-Carter mortality model and corresponding forecasts. Zbl 1426.91227Liu, Qing; Ling, Chen; Peng, Liang 4 2019 An individual risk model for premium calculation based on quantile: a comparison between generalized linear models and quantile regression. Zbl 1429.91275Baione, Fabio; Biancalana, Davide 4 2019 Improving the forecast of longevity by combining models. Zbl 1410.91253Apicella, Giovanna; Dacorogna, Michel; Di Lorenzo, Emilia; Sibillo, Marilena 4 2019 Agricultural insurance ratemaking: development of a new premium principle. Zbl 1429.91286Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa 3 2019 Life-cycle planning with ambiguous economics and mortality risks. Zbl 1429.91283Shen, Yang; Su, Jianxi 3 2019 Regression tree credibility model. Zbl 1410.91264Diao, Liqun; Weng, Chengguo 3 2019 Robust actuarial risk analysis. Zbl 1411.91266Blanchet, Jose; Lam, Henry; Tang, Qihe; Yuan, Zhongyi 2 2019 Deep learning at the interface of agricultural insurance risk and spatio-temporal uncertainty in weather extremes. Zbl 1429.91278Ghahari, Azar; Newlands, Nathaniel K.; Lyubchich, Vyacheslav; Gel, Yulia R. 2 2019 Statistical implications of the revenue transfer methodology in the Affordable Care Act. Zbl 1411.91301Li, Michelle; Richards, Donald 1 2019 Predictive modeling of obesity prevalence for the U.S. population. Zbl 1411.91275Daawin, Palma; Kim, Seonjin; Miljkovic, Tatjana 1 2019 Minimum death rates and maximum life expectancy: the role of concordant ages. Zbl 1426.91207Canudas-Romo, Vladimir; Booth, Heather; Bergeron-Boucher, Marie-Pier 1 2019 Using parametric bootstrap to introduce and manage uncertainty: replicated loaded insurance life tables. Zbl 1426.91231Pavía, Jose M.; Morillas, Francisco G.; Bosch-Rodríguez, Juan Carlos 1 2019 Efficiency analysis of health insurers’ scale of operations and group affiliation with a perspective toward health insurers’ mergers and acquisitions effects. Zbl 1429.91279Golden, Linda L.; Yang, Charles C. 1 2019 Regression modeling for the valuation of large variable annuity portfolios. Zbl 1393.91099Gan, Guojun; Valdez, Emiliano A. 12 2018 Bonus-malus systems with two-component mixture models arising from different parametric families. Zbl 1393.62048Tzougas, George; Vrontos, Spyridon; Frangos, Nicholas 8 2018 Fat-tailed regression modeling with spliced distributions. Zbl 1417.62299Gan, Guojun; Valdez, Emiliano A. 5 2018 Optimal risk transfer: a numerical optimization approach. Zbl 1416.91149Asimit, Alexandru V.; Gao, Tao; Hu, Junlei; Kim, Eun-Seok 5 2018 Delta boosting machine with application to general insurance. Zbl 1416.91199Lee, Simon C. K.; Lin, Sheldon 5 2018 Around the life cycle: deterministic consumption-investment strategies. Zbl 1416.91345Christiansen, Marcus C.; Steffensen, Mogens 5 2018 Updating Wilkie’s economic scenario generator for U.S. applications. Zbl 1411.91415Zhang, Saisai; Hardy, Mary; Saunders, David 4 2018 Evaluating life expectancy evaluations. Zbl 1393.91098Bauer, 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 1393.62043Bergeron-Boucher, Marie-Pier; Simonacci, Violetta; Oeppen, Jim; Gallo, Michele 4 2018 The annuity puzzle and an outline of its solution. Zbl 1411.91311Ramsay, Colin M.; Oguledo, Victor I. 3 2018 Physiological age, health costs, and their interrelation. Zbl 1403.62188Govorun, M.; Jones, B. L.; Liu, X.; Stanford, D. A. 3 2018 Mind the gap: a study of cause-specific mortality by socioeconomic circumstances. Zbl 1393.91096Alai, Daniel H.; Arnold-Gaille, Séverine; Bajekal, Madhavi; Villegas, Andrés M. 3 2018 The utility value of longevity risk pooling: analytic insights. Zbl 1411.91307Milevsky, Moshe A.; Huang, Huaxiong 2 2018 Solvency II is not risk-based – could it be? Evidence from non-life calibrations. Zbl 1416.91176Frezal, Sylvestre 2 2018 Claims reserving with a stochastic vector projection. Zbl 1393.62046Portugal, Luís; Pantelous, Athanasios A.; Assa, Hirbod 2 2018 Application of relational models in mortality immunization. Zbl 1411.91273Chi-Liang Tsai, Cary; Liang, Xinying 1 2018 Exploring the optimal design of an employer-sponsored sickness-disability compensation insurance plan when sickness presenteeism is penalized. Zbl 1416.91218Ramsay, Colin M.; Oguledo, Victor I.; Krutto, Annika 1 2018 An extension of spatial dependence models for estimating short-term temperature portfolio risk. Zbl 1416.91174Erhardt, Robert; Engler, David 1 2018 Short positions in the first principal component portfolio. Zbl 1393.91129Boyle, 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 1393.62133Kim, Kyeonghee; Rosenberg, Marjorie A. 1 2018 ...and 451 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,640 Authors 60 Yang, Hailiang 55 Young, Virginia R. 49 Zhang, Zhimin 45 Haberman, Steven 45 Siu, Tak Kuen 42 Denuit, Michel M. 41 Li, Shuanming 40 Cheung, Eric C. K. 38 Yuen, Kam Chuen 37 Landsman, Zinoviy M. 36 Willmot, Gordon E. 35 Gerber, Hans U. 35 Landriault, David 33 Albrecher, Hansjörg 32 Yin, Chuancun 30 Shiu, Elias S. W. 29 Tsai, Cary Chi-Liang 29 Valdez, Emiliano A. 28 Lin, X. Sheldon 28 Zitikis, Ričardas 27 Tan, Ken Seng 26 Jin, Zhuo 25 Blake, David 25 Sherris, Michael 24 Dhaene, Jan 24 Feng, Runhuan 24 Li, Johnny Siu-Hang 23 Liang, Zhibin 23 Zhao, Hui 21 Furman, Edward 21 Marceau, Étienne 21 Wang, Guojing 21 Weng, Chengguo 21 Wu, Rong 21 Zeng, Yan 20 Cairns, Andrew J. G. 20 Forsyth, Peter A. 20 Lu, Yi 20 Shen, Yang 19 Badescu, Andrei L. 19 Bayraktar, Erhan 19 Cossette, Hélène 19 Dickson, David C. 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