European Actuarial JournalEdited by the Actuarial Associations of Austria, Belgium, France, Germany, Greece, Hungary, Italy, Poland, Portugal, Slovenia, Switzerland Short Title: Eur. Actuar. J. Publisher: Springer, Berlin/Heidelberg ISSN: 2190-9733; 2190-9741/e Online: http://link.springer.com/journal/volumesAndIssues/13385 Predecessor: Giornale dell’Istituto Italiano degli AttuariBelgian Actuarial BulletinBlätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)Mitteilungen. Schweizerische Aktuarvereinigung (SAV) Documents Indexed: 239 Publications (since 2011) References Indexed: 223 Publications with 5,612 References. all top 5 Latest Issues 12, No. 1 (2022) 11, No. 2 (2021) 11, No. 1 (2021) 10, No. 2 (2020) 10, No. 1 (2020) 9, No. 2 (2019) 9, No. 1 (2019) 8, No. 2 (2018) 8, No. 1, Suppl. (2018) 8, No. 1 (2018) 7, No. 2 (2017) 7, No. 1 (2017) 6, No. 2 (2016) 6, No. 1 (2016) 5, No. 2 (2015) 5, No. 1 (2015) 4, No. 2 (2014) 4, No. 1 (2014) 3, No. 2 (2013) 3, No. 1 (2013) 2, No. 2 (2012) 2, No. 1 (2012) 1, No. 2 (2011) 1, No. 1 (2011) all top 5 Authors 12 Wüthrich, Mario Valentin 9 Denuit, Michel M. 8 Korn, Ralf 7 Graf, Stefan 6 Loisel, Stéphane 5 Albrecher, Hansjörg 5 Kling, Alexander 5 Scherer, Matthias 5 Shiu, Elias S. W. 5 Steffensen, Mogens 5 Trufin, Julien 5 Wagner, Joël 4 Devolder, Pierre 4 Gerber, Hans U. 4 Planchet, Frédéric 3 Ben Salah, Zied 3 Chen, An 3 Dhaene, Jan 3 Diez, Franziska 3 Léveillé, Ghislain 3 Maume-Deschamps, Véronique 3 Mesfioui, Mhamed 3 Schiller, Frank 2 Antonio, Katrien 2 Arnold, Séverine 2 Asmussen, Søren 2 Berninger, Christoph 2 Cairns, Andrew J. G. 2 Christiansen, Marcus Christian 2 Cipra, Tomáš 2 Constantinescu, Corina D. 2 Egídio dos Reis, Alfredo D. 2 Eisenberg, Julia 2 Embrechts, Paul 2 Filipović, Damir 2 Fleischmann, Anselm 2 Fuino, Michel 2 Gach, Florian 2 Haberman, Steven 2 Hamel, Emmanuel 2 Hamm, Anna-Maria 2 Hanbali, Hamza 2 Helmert, Axel 2 Hong, Liang 2 Jijiie, Anca 2 Juillard, Marc 2 Krühner, Paul 2 Legrand, Catherine 2 Liu, Xiaoming 2 Mackay, Anne 2 Mailhot, Mélina 2 Millossovich, Pietro 2 Morales, Manuel 2 Norberg, Ragnar 2 Ouburg, Wilbert 2 Palmowski, Zbigniew 2 Pantelous, Athanasios A. 2 Papaioannou, Apostolos D. 2 Pelsser, Antoon A. J. 2 Pfeiffer, Julian 2 Pitselis, Georgios 2 Renshaw, Arthur E. 2 Reuß, Andreas 2 Riegel, Ulrich 2 Rödel, Karen Tanja 2 Ruß, Jochen 2 Schmidli, Hanspeter 2 Shevchenko, Pavel V. 2 Thonhauser, Stefan 2 Tomas, Julien 2 Tsanakas, Andreas 2 Vierkötter, Matthias 2 Weber, Stefan 2 Zagst, Rudi 1 Abdallah, Anas 1 Abgrall, Dominique 1 Adamic, Peter F. 1 Alexandrova, Maria 1 Alfonsi, Aurélien 1 Allali, Jeremy 1 Alm, Jonas 1 Amini-Seresht, Ebrahim 1 Andréasson, Johan G. 1 Apicella, Giovanna 1 Araiza Iturria, Carlos Andrés 1 Arbenz, Philipp 1 Artzner, Philippe 1 Asadi, Saeed 1 Asimit, Alexandru V. 1 Assa, Hirbod 1 Aurzada, Frank 1 Avram, Florin 1 Azcue, Pablo 1 Bacinello, Anna Rita 1 Badescu, Alexandru M. 1 Banik, Abhijit Datta 1 Bannör, Karl F. 1 Bardoutsos, Anastasios G. 1 Barrieu, Pauline M. 1 Bartunova, Anna ...and 312 more Authors all top 5 Fields 234 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 92 Statistics (62-XX) 34 Probability theory and stochastic processes (60-XX) 7 Systems theory; control (93-XX) 6 Computer science (68-XX) 5 Numerical analysis (65-XX) 5 Operations research, mathematical programming (90-XX) 3 General and overarching topics; collections (00-XX) 2 History and biography (01-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Geophysics (86-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 132 Publications have been cited 607 times in 516 Documents Cited by ▼ Year ▼ The optimal dividend barrier in the gamma-omega model. Zbl 1219.91062Albrecher, Hansjörg; Gerber, Hans U.; Shiu, Elias S. W. 48 2011 Remarks on quantiles and distortion risk measures. Zbl 1256.91027Dhaene, Jan; Kukush, Alexander; Linders, Daniël; Tang, Qihe 36 2012 The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 26 2012 Optimal risk transfers in insurance groups. Zbl 1270.91028Asimit, Alexandru V.; Badescu, Alexandru M.; Tsanakas, Andreas 21 2013 The difference between LSMC and replicating portfolio in insurance liability modeling. Zbl 1394.91227Pelsser, Antoon; Schweizer, Janina 15 2016 Bayesian Poisson log-bilinear models for mortality projections with multiple populations. Zbl 1329.91111Antonio, Katrien; Bardoutsos, Anastasios; Ouburg, Wilbert 14 2015 Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs. Zbl 1222.91026Scheer, Natalie; Schmidli, Hanspeter 13 2011 On Pareto-optimal reinsurance with constraints under distortion risk measures. Zbl 1416.91191Jiang, Wenjun; Hong, Hanping; Ren, Jiandong 13 2018 Worst-case-optimal dynamic reinsurance for large claims. Zbl 1269.91044Korn, Ralf; Menkens, Olaf; Steffensen, Mogens 10 2012 Empirical likelihood inference for Haezendonck-Goovaerts risk measure. Zbl 1329.91072Peng, Liang; Wang, Xing; Zheng, Yanting 10 2015 Mathematical analysis of different approaches for replicating portfolios. Zbl 1329.91071Natolski, Jan; Werner, Ralf 10 2014 Neural networks applied to chain-ladder reserving. Zbl 1422.91381Wüthrich, Mario V. 10 2018 Modeling accounting year dependence in runoff triangles. Zbl 1256.91034Salzmann, Robert; Wüthrich, Mario V. 8 2012 Capturing parameter risk with convex risk measures. Zbl 1277.91072Bannör, Karl F.; Scherer, Matthias 8 2013 Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions. Zbl 1394.91233Vedani, Julien; El Karoui, Nicole; Loisel, Stéphane; Prigent, Jean-Luc 8 2017 Ruin probabilities for a regenerative Poisson gap generated risk process. Zbl 1229.91151Asmussen, Søren; Biard, Romain 7 2011 A subordinated Markov model for stochastic mortality. Zbl 1273.91239Liu, Xiaoming; Lin, X. Sheldon 7 2012 Classification of scale-sensitive telematic observables for riskindividual pricing. Zbl 1415.91167Weidner, W.; Transchel, F. W. G.; Weidner, R. 7 2016 Pricing a guaranteed annuity option under correlated and regime-switching risk factors. Zbl 1329.91062Gao, Huan; Mamon, Rogemar; Liu, Xiaoming 7 2015 Generalised linear models for aggregate claims: to Tweedie or not? Zbl 1329.91075Quijano Xacur, Oscar Alberto; Garrido, José 7 2015 Machine learning techniques for mortality modeling. Zbl 1405.91254Deprez, Philippe; Shevchenko, Pavel V.; Wüthrich, Mario V. 7 2017 Covariate selection from telematics car driving data. Zbl 1394.62151Wüthrich, Mario V. 7 2017 Markov chain modeling of policyholder behavior in life insurance and pension. Zbl 1304.91111Henriksen, Lars Frederik Brandt; Nielsen, Jeppe Woetmann; Steffensen, Mogens; Svensson, Christian 7 2014 Shot-noise driven multivariate default models. Zbl 1256.91059Scherer, Matthias; Schmid, Ludwig; Schmidt, Thorsten 6 2012 Revised version of: “Solvency requirement for a long-term guarantee: risk measures versus probability of ruin”. Zbl 1256.91061Devolder, Pierre 6 2011 Constructing entity specific projected mortality table: adjustment to a reference. Zbl 1329.91078Tomas, Julien; Planchet, Frédéric 6 2014 Insurance pricing under ambiguity. Zbl 1329.91073Pichler, Alois 6 2014 Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees. Zbl 1329.91065Hieber, Peter; Korn, Ralf; Scherer, Matthias 6 2015 Catastrophe risk bonds with applications to earthquakes. Zbl 1329.91076Shao, Jia; Pantelous, Athanasios; Papaioannou, Apostolos D. 6 2015 The finite-time ruin probability under the compound binomial risk model. Zbl 1277.91090Li, Shuanming; Sendova, Kristina P. 6 2013 Bivariate lower and upper orthant value-at-risk. Zbl 1304.91097Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed 6 2013 Bivariate regular variation among randomly weighted sums in general insurance. Zbl 1422.91334Chen, Yiqing; Yang, Yang 6 2019 Matrix representations of life insurance payments. Zbl 1452.91262Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens 6 2020 Multiperiod insurance supervision: top-down models. Zbl 1229.91159Eisele, Karl-Theodor; Artzner, Philippe 5 2011 On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk. Zbl 1415.91162Ratovomirija, Gildas 5 2016 On a capital allocation by minimization of some risk indicators. Zbl 1415.91157Maume-Deschamps, V.; Rullière, D.; Said, K. 5 2016 Best-estimate claims reserves in incomplete markets. Zbl 1344.91009Happ, Sebastian; Merz, Michael; Wüthrich, Mario V. 5 2015 On the analysis of a class of loss models incorporating time dependence. Zbl 1280.91149Guo, Ling; Landriault, David; Willmot, Gordon E. 5 2013 Solvency II solvency capital requirement for life insurance companies based on expected shortfall. Zbl 1405.91246Boonen, Tim J. 5 2017 Small population bias and sampling effects in stochastic mortality modelling. Zbl 1394.91201Chen, Liang; Cairns, Andrew J. G.; Kleinow, Torsten 5 2017 Rank-based methods for modeling dependence between loss triangles. Zbl 1394.91205Côté, Marie-Pier; Genest, Christian; Abdallah, Anas 5 2016 Prediction error for credible claims reserves: an \(h\)-likelihood approach. Zbl 1304.91104Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano 5 2013 Sex-specific mortality forecasting for UK countries: a coherent approach. Zbl 1416.91163Chen, Ree Yongqing; Millossovich, Pietro 5 2018 Optimal dividend payments for a two-dimensional insurance risk process. Zbl 1422.91324Azcue, Pablo; Muler, Nora; Palmowski, Zbigniew 5 2019 Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management. Zbl 1219.91067Chauvigny, Matthieu; Devineau, Laurent; Loisel, Stéphane; Maume-Deschamps, Véronique 4 2011 Risk processes with dependence and premium adjusted to solvency targets. Zbl 1269.91042Constantinescu, Corina; Maume-Deschamps, Véronique; Norberg, Ragnar 4 2012 Poisson regression and zero-inflated Poisson regression: application to private health insurance data. Zbl 1259.62081Mouatassim, Younès; Ezzahid, El Hadj 4 2012 Analysis of Finnish and Swedish mortality data with stochastic mortality models. Zbl 1268.91083Lovász, Enrico 4 2011 A credibility approach of the Makeham mortality law. Zbl 1415.91163Salhi, Yahia; Thérond, Pierre-E.; Tomas, Julien 4 2016 Ruin problems in the generalized Erlang(\(n\)) risk model. Zbl 1415.91151Bergel, Agnieszka I.; Egídio dos Reis, Alfredo D. 4 2016 Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard. Zbl 1405.91245Antonio, Katrien; Devriendt, Sander; de Boer, Wouter; de Vries, Robert; De Waegenaere, Anja; Kan, Hok-Kwan; Kromme, Egbert; Ouburg, Wilbert; Schulteis, Tim; Slagter, Erica; van der Winden, Marco; van Iersel, Corné; Vellekoop, Michel 4 2017 Equity-linked life insurance based on traditional products: the case of select products. Zbl 1405.91244Alexandrova, Maria; Bohnert, Alexander; Gatzert, Nadine; Russ, Jochen 4 2017 Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela 4 2017 Skew-elliptical distributions with applications in risk theory. Zbl 1394.62148Shushi, Tomer 4 2017 Old-age provision: past, present, future. Zbl 1394.91007Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël 4 2016 Best estimate calculations of savings contracts by closed formulas: application to the ORSA. Zbl 1304.91093Bonnin, François; Planchet, Frédéric; Juillard, Marc 4 2014 Asset-liability management for long-term insurance business. Zbl 1416.91145 4 2018 Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products. Zbl 1452.91315Diez, Franziska; Korn, Ralf 4 2020 Optimal risk sharing in insurance networks. An application to asset-liability management. Zbl 1452.91272Hamm, Anna-Maria; Knispel, Thomas; Weber, Stefan 4 2020 Investing in your own and peers’ risks: the simple analytics of P2P insurance. Zbl 1455.91218Denuit, Michel 4 2020 Measuring uncertainty of solvency coverage ratio in ORSA for non-life insurance. Zbl 1256.91033Planchet, Frédéric; Guibert, Quentin; Juillard, Marc 3 2012 Lévy systems and the time value of ruin for Markov additive processes. Zbl 1271.60060Ben Salah, Zied; Morales, Manuel 3 2012 Closed-form solutions for guaranteed minimum accumulation and death benefits. Zbl 1415.91155Krayzler, Mikhail; Zagst, Rudi; Brunner, Bernhard 3 2016 Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points? Zbl 1329.91063Goffard, Pierre-Olivier; Guerrault, Xavier 3 2015 Equalization reserves for natural catastrophes and shareholder value: a simulation study. Zbl 1273.91451Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane 3 2013 Updating mechanism for lifelong insurance contracts subject to medical inflation. Zbl 1394.91208Denuit, Michel; Dhaene, Jan; Hanbali, Hamza; Lucas, Nathalie; Trufin, Julien 3 2017 Gerber-Shiu analysis of a risk model with capital injections. Zbl 1394.91209Dickson, David C. M.; Qazvini, Marjan 3 2016 Optimal investment under transaction costs for an insurer. Zbl 1303.91161Thonhauser, Stefan 3 2013 A compound renewal model for medical malpractice insurance. Zbl 1303.62056Léveillé, Ghislain; Hamel, Emmanuel 3 2013 On the robust stability of pricing models for non-life insurance products. Zbl 1304.91125Pantelous, Athanasios A.; Papageorgiou, Athanasios 3 2013 Heterogeneity in mortality: a survey with an actuarial focus. Zbl 1422.91373Pitacco, Ermanno 3 2019 Bias regularization in neural network models for general insurance pricing. Zbl 1452.91282Wüthrich, Mario V. 3 2020 PRIIP-KID: \(\mathrm{\underline {p}}\)roviding \(\mathrm{\underline{r}}\)etail \(\mathrm{\underline{i}}\)nvestors with \(\mathrm{\underline{i}}\)nappropriate \(\mathrm{\underline{p}}\)roduct information? Zbl 1433.91131Graf, Stefan 2 2019 Between DB and DC: optimal hybrid PAYG pension schemes. Zbl 1433.91128Devolder, Pierre; de Valeriola, Sébastien 2 2019 Multivariate modelling of multiple guarantees in motor insurance of a household. Zbl 1433.91143Pechon, Florian; Denuit, Michel; Trufin, Julien 2 2019 On the gain of collaboration in a two dimensional ruin problem. Zbl 1446.91061Grandits, Peter 2 2019 An individual claims reserving model for reported claims. Zbl 07457623Gabrielli, Andrea 2 2021 An academic view on the illiquidity premium and market-consistent valuation in insurance. Zbl 1219.91075Wüthrich, Mario V. 2 2011 Forecasting mortality: when academia meets practice. Zbl 1269.93022Gaille, Séverine 2 2012 Bivariate compound renewal sums with discounted claims. Zbl 1258.91106Léveillé, Ghislain 2 2012 Calibrating intensities for long-term care multiple-state Markov insurance model. Zbl 1329.91060Fleischmann, Anselm 2 2015 Modelling parameter uncertainty for risk capital calculation. Zbl 1329.91061Fröhlich, Andreas; Weng, Annegret 2 2015 Quadratic hedging: an actuarial view extended to solvency control. Zbl 1277.91174Norberg, Ragnar 2 2013 The optimal asset and liability portfolio for a financial institution with multiple lines of businesses. Zbl 1288.91182Zaks, Yaniv 2 2013 Applications of the central limit theorem for pricing cliquet-style options. Zbl 1405.91260Korn, Ralf; Temoçin, Büşra Zeynep; Wenzel, Jörg 2 2017 An asymptotic characterization of hidden tail credit risk with actuarial applications. Zbl 1394.91241Yuan, Zhongyi 2 2017 Tariff systems for fleets of vehicles: a study on the portfolio of Fidelidade. Zbl 1394.91214Fardilha, Tiago; de Lourdes Centeno, Maria; Esteves, Rui 2 2016 Hedging of long term zero-coupon bonds in a market model with reinvestment risk. Zbl 1307.91192Stefanovits, David; Wüthrich, Mario V. 2 2014 Empirical investigation of insurance claim dependencies using mixture models. Zbl 1304.62129Valdez, Emiliano A. 2 2014 Modeling the effect of health: phase-type approach. Zbl 1304.91105Govorun, Maria; Latouche, Guy 2 2014 Lapse tables for lapse risk management in insurance: a competing risk approach. Zbl 1416.91209Milhaud, Xavier; Dutang, Christophe 2 2018 Current developments in German pension schemes: what are the benefits of the new target pension? Zbl 1484.91377Chen, An; Rach, Manuel 2 2021 The modern tontine. An innovative instrument for longevity risk management in an aging society. Zbl 1480.91252Weinert, Jan-Hendrik; Gründl, Helmut 2 2021 The impact of longevity and investment risk on a portfolio of life insurance liabilities. Zbl 1422.91325Bacinello, Anna Rita; Millossovich, Pietro; Chen, An 2 2018 Old-age care prevalence in Switzerland: drivers and future development. Zbl 1422.91345Fuino, Michel; Wagner, Joël 2 2018 Feature extraction from telematics car driving heatmaps. Zbl 1422.91348Gao, Guangyuan; Wüthrich, Mario V. 2 2018 Ruin probabilities by Padé’s method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails. Zbl 1422.91323Avram, F.; Banik, A. D.; Horvath, A. 2 2019 Mean-variance dynamic optimality for DC pension schemes. Zbl 1452.91275Menoncin, Francesco; Vigna, Elena 2 2020 Surplus participation schemes for life annuities under Solvency II. Zbl 1433.91127Both, Sandy; Horneff, Vanya; Kaschützke, Barbara; Maurer, Raimond 1 2019 Analytical validation formulas for best estimate calculation in traditional life insurance. Zbl 1433.91135Hochgerner, Simon; Gach, Florian 1 2019 An individual claims reserving model for reported claims. Zbl 07457623Gabrielli, Andrea 2 2021 Current developments in German pension schemes: what are the benefits of the new target pension? Zbl 1484.91377Chen, An; Rach, Manuel 2 2021 The modern tontine. An innovative instrument for longevity risk management in an aging society. Zbl 1480.91252Weinert, Jan-Hendrik; Gründl, Helmut 2 2021 On the calculation of prospective and retrospective reserves in non-Markov models. Zbl 1482.91180Christiansen, Marcus C. 1 2021 Making Tweedie’s compound Poisson model more accessible. Zbl 1485.91208Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V. 1 2021 Matrix representations of life insurance payments. Zbl 1452.91262Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens 6 2020 Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products. Zbl 1452.91315Diez, Franziska; Korn, Ralf 4 2020 Optimal risk sharing in insurance networks. An application to asset-liability management. Zbl 1452.91272Hamm, Anna-Maria; Knispel, Thomas; Weber, Stefan 4 2020 Investing in your own and peers’ risks: the simple analytics of P2P insurance. Zbl 1455.91218Denuit, Michel 4 2020 Bias regularization in neural network models for general insurance pricing. Zbl 1452.91282Wüthrich, Mario V. 3 2020 Mean-variance dynamic optimality for DC pension schemes. Zbl 1452.91275Menoncin, Francesco; Vigna, Elena 2 2020 A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes. Zbl 1457.91331Graf, Stefan; Korn, Ralf 1 2020 A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula. Zbl 1455.91211Alfonsi, Aurélien; Cherchali, Adel; Infante Acevedo, Jose Arturo 1 2020 Mean reversion in stochastic mortality: why and how? Zbl 1455.91231Zeddouk, Fadoua; Devolder, Pierre 1 2020 Bivariate regular variation among randomly weighted sums in general insurance. Zbl 1422.91334Chen, Yiqing; Yang, Yang 6 2019 Optimal dividend payments for a two-dimensional insurance risk process. Zbl 1422.91324Azcue, Pablo; Muler, Nora; Palmowski, Zbigniew 5 2019 Heterogeneity in mortality: a survey with an actuarial focus. Zbl 1422.91373Pitacco, Ermanno 3 2019 PRIIP-KID: \(\mathrm{\underline {p}}\)roviding \(\mathrm{\underline{r}}\)etail \(\mathrm{\underline{i}}\)nvestors with \(\mathrm{\underline{i}}\)nappropriate \(\mathrm{\underline{p}}\)roduct information? Zbl 1433.91131Graf, Stefan 2 2019 Between DB and DC: optimal hybrid PAYG pension schemes. Zbl 1433.91128Devolder, Pierre; de Valeriola, Sébastien 2 2019 Multivariate modelling of multiple guarantees in motor insurance of a household. Zbl 1433.91143Pechon, Florian; Denuit, Michel; Trufin, Julien 2 2019 On the gain of collaboration in a two dimensional ruin problem. Zbl 1446.91061Grandits, Peter 2 2019 Ruin probabilities by Padé’s method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails. Zbl 1422.91323Avram, F.; Banik, A. D.; Horvath, A. 2 2019 Surplus participation schemes for life annuities under Solvency II. Zbl 1433.91127Both, Sandy; Horneff, Vanya; Kaschützke, Barbara; Maurer, Raimond 1 2019 Analytical validation formulas for best estimate calculation in traditional life insurance. Zbl 1433.91135Hochgerner, Simon; Gach, Florian 1 2019 Mortality projections for non-converging groups of populations. Zbl 1433.91132Hahn, Lukas Josef; Christiansen, Marcus Christian 1 2019 Periodic or generational actuarial tables: which one to choose? Zbl 1433.91124Arnold, Séverine; Jijiie, Anca; Jondeau, Eric; Rockinger, Michael 1 2019 Application of Bayesian penalized spline regression for internal modeling in life insurance. Zbl 1422.91342Duong, Quang Dien 1 2019 A self-organizing predictive map for non-life insurance. Zbl 1422.91352Hainaut, Donatien 1 2019 The negative binomial-inverse Gaussian regression model with an application to insurance ratemaking. Zbl 1422.91378Tzougas, G.; Hoon, W. L.; Lim, J. M. 1 2019 On Pareto-optimal reinsurance with constraints under distortion risk measures. Zbl 1416.91191Jiang, Wenjun; Hong, Hanping; Ren, Jiandong 13 2018 Neural networks applied to chain-ladder reserving. Zbl 1422.91381Wüthrich, Mario V. 10 2018 Sex-specific mortality forecasting for UK countries: a coherent approach. Zbl 1416.91163Chen, Ree Yongqing; Millossovich, Pietro 5 2018 Asset-liability management for long-term insurance business. Zbl 1416.91145 4 2018 Lapse tables for lapse risk management in insurance: a competing risk approach. Zbl 1416.91209Milhaud, Xavier; Dutang, Christophe 2 2018 The impact of longevity and investment risk on a portfolio of life insurance liabilities. Zbl 1422.91325Bacinello, Anna Rita; Millossovich, Pietro; Chen, An 2 2018 Old-age care prevalence in Switzerland: drivers and future development. Zbl 1422.91345Fuino, Michel; Wagner, Joël 2 2018 Feature extraction from telematics car driving heatmaps. Zbl 1422.91348Gao, Guangyuan; Wüthrich, Mario V. 2 2018 Risk classification in life and health insurance: extension to continuous covariates. Zbl 1416.91170Denuit, Michel; Legrand, Catherine 1 2018 Obituary: Ragnar Norberg (1945–2017). Zbl 1417.01019Barrieu, Pauline; Loisel, Stéphane; Neuhaus, Walther; Steffensen, Mogens 1 2018 Policy characteristics and stakeholder returns in participating life insurance: which contracts can lead to a win-win? Zbl 1422.91367Mirza, Charbel; Wagner, Joël 1 2018 Matching tower information with piecewise Pareto. Zbl 1422.91374Riegel, Ulrich 1 2018 Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions. Zbl 1394.91233Vedani, Julien; El Karoui, Nicole; Loisel, Stéphane; Prigent, Jean-Luc 8 2017 Machine learning techniques for mortality modeling. Zbl 1405.91254Deprez, Philippe; Shevchenko, Pavel V.; Wüthrich, Mario V. 7 2017 Covariate selection from telematics car driving data. Zbl 1394.62151Wüthrich, Mario V. 7 2017 Solvency II solvency capital requirement for life insurance companies based on expected shortfall. Zbl 1405.91246Boonen, Tim J. 5 2017 Small population bias and sampling effects in stochastic mortality modelling. Zbl 1394.91201Chen, Liang; Cairns, Andrew J. G.; Kleinow, Torsten 5 2017 Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard. Zbl 1405.91245Antonio, Katrien; Devriendt, Sander; de Boer, Wouter; de Vries, Robert; De Waegenaere, Anja; Kan, Hok-Kwan; Kromme, Egbert; Ouburg, Wilbert; Schulteis, Tim; Slagter, Erica; van der Winden, Marco; van Iersel, Corné; Vellekoop, Michel 4 2017 Equity-linked life insurance based on traditional products: the case of select products. Zbl 1405.91244Alexandrova, Maria; Bohnert, Alexander; Gatzert, Nadine; Russ, Jochen 4 2017 Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela 4 2017 Skew-elliptical distributions with applications in risk theory. Zbl 1394.62148Shushi, Tomer 4 2017 Updating mechanism for lifelong insurance contracts subject to medical inflation. Zbl 1394.91208Denuit, Michel; Dhaene, Jan; Hanbali, Hamza; Lucas, Nathalie; Trufin, Julien 3 2017 Applications of the central limit theorem for pricing cliquet-style options. Zbl 1405.91260Korn, Ralf; Temoçin, Büşra Zeynep; Wenzel, Jörg 2 2017 An asymptotic characterization of hidden tail credit risk with actuarial applications. Zbl 1394.91241Yuan, Zhongyi 2 2017 Guaranteed minimum surrender benefits in variable annuities: the impact of regulator-imposed guarantees. Zbl 1405.91259Kling, Alexander; Ruez, Frederik; Ruß, Jochen 1 2017 A compound trend renewal model for medical/professional liabilities. Zbl 1405.91262Léveillé, Ghislain; Hamel, Emmanuel 1 2017 A review of Bayesian asymptotics in general insurance applications. Zbl 1394.62142Hong, Liang; Martin, Ryan 1 2017 The difference between LSMC and replicating portfolio in insurance liability modeling. Zbl 1394.91227Pelsser, Antoon; Schweizer, Janina 15 2016 Classification of scale-sensitive telematic observables for riskindividual pricing. Zbl 1415.91167Weidner, W.; Transchel, F. W. G.; Weidner, R. 7 2016 On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk. Zbl 1415.91162Ratovomirija, Gildas 5 2016 On a capital allocation by minimization of some risk indicators. Zbl 1415.91157Maume-Deschamps, V.; Rullière, D.; Said, K. 5 2016 Rank-based methods for modeling dependence between loss triangles. Zbl 1394.91205Côté, Marie-Pier; Genest, Christian; Abdallah, Anas 5 2016 A credibility approach of the Makeham mortality law. Zbl 1415.91163Salhi, Yahia; Thérond, Pierre-E.; Tomas, Julien 4 2016 Ruin problems in the generalized Erlang(\(n\)) risk model. Zbl 1415.91151Bergel, Agnieszka I.; Egídio dos Reis, Alfredo D. 4 2016 Old-age provision: past, present, future. Zbl 1394.91007Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël 4 2016 Closed-form solutions for guaranteed minimum accumulation and death benefits. Zbl 1415.91155Krayzler, Mikhail; Zagst, Rudi; Brunner, Bernhard 3 2016 Gerber-Shiu analysis of a risk model with capital injections. Zbl 1394.91209Dickson, David C. M.; Qazvini, Marjan 3 2016 Tariff systems for fleets of vehicles: a study on the portfolio of Fidelidade. Zbl 1394.91214Fardilha, Tiago; de Lourdes Centeno, Maria; Esteves, Rui 2 2016 Risk measure preserving piecewise linear approximation of empirical distributions. Zbl 1415.91149Arbenz, Philipp; Guevara-Alarcón, William 1 2016 Minimisation of penalty payments by investments and reinsurance. Zbl 1415.91166Vierkötter, Matthias 1 2016 Comment on the paper ”The impact of covariates on a bonus-malus system: an application of Taylor’s model” by Lemaire, Park & Wang. Zbl 1415.91165Taylor, Greg 1 2016 Scenario-based life insurance prognoses in a multi-state Markov model. Zbl 1394.91220Jensen, Ninna Reitzel 1 2016 Bayesian Poisson log-bilinear models for mortality projections with multiple populations. Zbl 1329.91111Antonio, Katrien; Bardoutsos, Anastasios; Ouburg, Wilbert 14 2015 Empirical likelihood inference for Haezendonck-Goovaerts risk measure. Zbl 1329.91072Peng, Liang; Wang, Xing; Zheng, Yanting 10 2015 Pricing a guaranteed annuity option under correlated and regime-switching risk factors. Zbl 1329.91062Gao, Huan; Mamon, Rogemar; Liu, Xiaoming 7 2015 Generalised linear models for aggregate claims: to Tweedie or not? Zbl 1329.91075Quijano Xacur, Oscar Alberto; Garrido, José 7 2015 Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees. Zbl 1329.91065Hieber, Peter; Korn, Ralf; Scherer, Matthias 6 2015 Catastrophe risk bonds with applications to earthquakes. Zbl 1329.91076Shao, Jia; Pantelous, Athanasios; Papaioannou, Apostolos D. 6 2015 Best-estimate claims reserves in incomplete markets. Zbl 1344.91009Happ, Sebastian; Merz, Michael; Wüthrich, Mario V. 5 2015 Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points? Zbl 1329.91063Goffard, Pierre-Olivier; Guerrault, Xavier 3 2015 Calibrating intensities for long-term care multiple-state Markov insurance model. Zbl 1329.91060Fleischmann, Anselm 2 2015 Modelling parameter uncertainty for risk capital calculation. Zbl 1329.91061Fröhlich, Andreas; Weng, Annegret 2 2015 Reserve-dependent surrender rates. Zbl 1329.91077Tågholt Gad, Kamille Sofie; Juhl, Jeppe; Steffensen, Mogens 1 2015 Parameter reduction in log-normal chain-ladder models. Zbl 1403.91202Verrall, Richard J.; Wüthrich, Mario V. 1 2015 On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory. Zbl 1396.91292Ben-Salah, Zied; Guérin, Hélène; Morales, Manuel; Omidi Firouzi, Hassan 1 2015 Optimal supervisory rules for pension funds under diverse pension security mechanisms. Zbl 1329.91059Chen, An; Clever, Simona 1 2015 Goodness-of-fit tests and applications for left-truncated Weibull distributions to non-life insurance. Zbl 1329.91068Kreer, Markus; Kızılersü, Ayşe; Thomas, Anthony W.; Egídio dos Reis, Alfredo D. 1 2015 Mathematical analysis of different approaches for replicating portfolios. Zbl 1329.91071Natolski, Jan; Werner, Ralf 10 2014 Markov chain modeling of policyholder behavior in life insurance and pension. Zbl 1304.91111Henriksen, Lars Frederik Brandt; Nielsen, Jeppe Woetmann; Steffensen, Mogens; Svensson, Christian 7 2014 Constructing entity specific projected mortality table: adjustment to a reference. Zbl 1329.91078Tomas, Julien; Planchet, Frédéric 6 2014 Insurance pricing under ambiguity. Zbl 1329.91073Pichler, Alois 6 2014 Best estimate calculations of savings contracts by closed formulas: application to the ORSA. Zbl 1304.91093Bonnin, François; Planchet, Frédéric; Juillard, Marc 4 2014 Hedging of long term zero-coupon bonds in a market model with reinvestment risk. Zbl 1307.91192Stefanovits, David; Wüthrich, Mario V. 2 2014 Empirical investigation of insurance claim dependencies using mixture models. Zbl 1304.62129Valdez, Emiliano A. 2 2014 Modeling the effect of health: phase-type approach. Zbl 1304.91105Govorun, Maria; Latouche, Guy 2 2014 Evaluation of the EU proposed farm income stabilisation tool by skew normal linear mixed models. Zbl 1329.62415Pigeon, Mathieu; de Frahan, Bruno Henry; Denuit, Michel 1 2014 On a generalization of the expected discounted penalty function to include deficits at and beyond ruin. Zbl 1307.91094Ben Salah, Zied 1 2014 Optimal risk transfers in insurance groups. Zbl 1270.91028Asimit, Alexandru V.; Badescu, Alexandru M.; Tsanakas, Andreas 21 2013 Capturing parameter risk with convex risk measures. Zbl 1277.91072Bannör, Karl F.; Scherer, Matthias 8 2013 The finite-time ruin probability under the compound binomial risk model. Zbl 1277.91090Li, Shuanming; Sendova, Kristina P. 6 2013 Bivariate lower and upper orthant value-at-risk. Zbl 1304.91097Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed 6 2013 ...and 32 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 798 Authors 13 Denuit, Michel M. 10 Wüthrich, Mario Valentin 9 Albrecher, Hansjörg 9 Asimit, Alexandru V. 9 Avanzi, Benjamin 9 Wong, Bernard 9 Yang, Hailiang 8 Dhaene, Jan 8 Zhou, Xiaowen 7 Antonio, Katrien 7 Boonen, Tim J. 7 Cheung, Eric C. K. 7 Cheung, Ka Chun 7 Wang, Ruodu 6 Devolder, Pierre 6 Gao, Guangyuan 6 Mamon, Rogemar S. 6 Trufin, Julien 5 Cairns, Andrew J. G. 5 Hamel, Emmanuel 5 Hieber, Peter 5 Loisel, Stéphane 5 Pantelous, Athanasios A. 5 Salhi, Yahia 5 Thérond, Pierre-E. 5 Weng, Chengguo 5 Woo, Jae-Kyung 5 Yuen, Kam Chuen 4 Asmussen, Søren 4 Assa, Hirbod 4 Balbás, Alejandro 4 Barigou, Karim 4 Chi, Yichun 4 Christiansen, Marcus Christian 4 Furrer, Christian 4 Graf, Stefan 4 Hanbali, Hamza 4 Jiang, Wenjun 4 Kling, Alexander 4 Korn, Ralf 4 Li, Bo 4 Mailhot, Mélina 4 Meng, Shengwang 4 Papaioannou, Apostolos D. 4 Tang, Qihe 4 Taylor, Greg 4 Wagner, Joël 4 Wang, Rongming 4 Willmot, Gordon E. 4 Yang, Yang 4 Yin, Chuancun 4 Yuan, Zhongyi 4 Zeng, Yan 4 Zhang, Zhimin 3 Badescu, Alexandru M. 3 Balbás, Beatriz 3 Balbás, Raquel 3 Blake, David 3 Boucher, Jean-Philippe 3 Chen, Mi 3 Chong, Wing Fung 3 Delong, Łukasz 3 Desmettre, Sascha 3 Di Bernardino, Elena 3 Dong, Hua 3 Eisele, Karl-Theodor 3 Feng, Runhuan 3 Fuino, Michel 3 Gao, Zhongqin 3 Glauner, Alexander 3 Godin, Frédéric 3 Gu, Ailing 3 Guillen, Montserrat 3 Hainaut, Donatien 3 He, Jingmin 3 Hu, Junlei 3 Hu, Yijun 3 Ivanovs, Jevgeņijs 3 Jin, Zhuo 3 Kim, Eunseok 3 Landriault, David 3 Landsman, Zinoviy M. 3 Léveillé, Ghislain 3 Li, Danping 3 Lin, X. Sheldon 3 Liu, Haibo 3 Lopez, Olivier 3 Milhaud, Xavier 3 Palmowski, Zbigniew 3 Pelsser, Antoon A. J. 3 Peng, Liang 3 Pichler, Alois 3 Planchet, Frédéric 3 Ramsden, Lewis 3 Renaud, Jean-François 3 Robert, Christian Yann 3 Ruß, Jochen 3 Schmidt, Thorsten 3 Tan, Ken Seng 3 Thonhauser, Stefan ...and 698 more Authors all top 5 Cited in 84 Journals 130 Insurance Mathematics & Economics 63 European Actuarial Journal 51 ASTIN Bulletin 42 Scandinavian Actuarial Journal 16 North American Actuarial Journal 13 Methodology and Computing in Applied Probability 11 Statistics & Probability Letters 11 European Journal of Operational Research 10 Journal of Computational and Applied Mathematics 10 Communications in Statistics. Theory and Methods 9 Finance and Stochastics 8 International Journal of Theoretical and Applied Finance 8 Journal of Industrial and Management Optimization 7 Quantitative Finance 6 Decisions in Economics and Finance 5 Advances in Applied Probability 5 Applied Mathematics and Computation 5 Journal of Applied Probability 5 Dependence Modeling 4 Journal of Mathematical Analysis and Applications 4 Communications in Statistics. Simulation and Computation 3 Journal of Multivariate Analysis 3 SIAM Journal on Control and Optimization 3 Stochastic Processes and their Applications 3 Stochastic Models 3 Journal of the Korean Statistical Society 3 SIAM Journal on Financial Mathematics 2 Lithuanian Mathematical Journal 2 Mathematics of Operations Research 2 Operations Research 2 Acta Mathematicae Applicatae Sinica. English Series 2 Japan Journal of Industrial and Applied Mathematics 2 The Annals of Applied Probability 2 Journal of Statistical Computation and Simulation 2 Mathematical Problems in Engineering 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Stochastics 2 Frontiers of Mathematics in China 2 Mathematics and Financial Economics 2 Statistics & Risk Modeling 2 Modern Stochastics. Theory and Applications 1 Journal of Mathematical Biology 1 Journal of Optimization Theory and Applications 1 Kybernetika 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Siberian Mathematical Journal 1 Operations Research Letters 1 Journal of Economic Dynamics & Control 1 Journal of Theoretical Probability 1 Queueing Systems 1 Annals of Operations Research 1 Machine Learning 1 YUJOR. Yugoslav Journal of Operations Research 1 Potential Analysis 1 Applied Mathematics. Series B (English Edition) 1 Theory of Probability and Mathematical Statistics 1 Journal of Mathematical Sciences (New York) 1 Applied Mathematical Finance 1 Lifetime Data Analysis 1 Bernoulli 1 INFORMS Journal on Computing 1 Mathematical Finance 1 Soft Computing 1 Mathematical Methods of Operations Research 1 Discrete Dynamics in Nature and Society 1 Journal of Applied Statistics 1 Acta Mathematica Sinica. English Series 1 Probability in the Engineering and Informational Sciences 1 Lobachevskii Journal of Mathematics 1 Nonlinear Analysis. Modelling and Control 1 Journal of Systems Science and Complexity 1 Acta Mathematica Scientia. Series B. (English Edition) 1 Statistical Modelling 1 Journal of Applied Mathematics and Computing 1 Hacettepe Journal of Mathematics and Statistics 1 Review of Derivatives Research 1 SORT. Statistics and Operations Research Transactions 1 Electronic Journal of Statistics 1 Banach Journal of Mathematical Analysis 1 Probability Surveys 1 Annals of Finance 1 Stochastic Systems 1 East Asian Journal on Applied Mathematics 1 Probability, Uncertainty and Quantitative Risk all top 5 Cited in 20 Fields 451 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 200 Statistics (62-XX) 146 Probability theory and stochastic processes (60-XX) 33 Systems theory; control (93-XX) 23 Operations research, mathematical programming (90-XX) 18 Numerical analysis (65-XX) 12 Computer science (68-XX) 10 Calculus of variations and optimal control; optimization (49-XX) 7 Partial differential equations (35-XX) 5 Functional analysis (46-XX) 5 Biology and other natural sciences (92-XX) 4 Integral equations (45-XX) 2 General and overarching topics; collections (00-XX) 2 Integral transforms, operational calculus (44-XX) 1 History and biography (01-XX) 1 Mathematical logic and foundations (03-XX) 1 Measure and integration (28-XX) 1 Special functions (33-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) Citations by Year