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Insurance Mathematics & Economics

Short Title: Insur. Math. Econ.
Publisher: Elsevier (North-Holland), Amsterdam
ISSN: 0167-6687
Online: http://www.sciencedirect.com/science/journal/01676687
Comments: Indexed cover-to-cover
Documents Indexed: 2,719 Publications (since 1982)
References Indexed: 2,681 Publications with 69,306 References.
all top 5

Authors

77 Goovaerts, Marc J.
54 Haberman, Steven
43 Denuit, Michel M.
40 Young, Virginia R.
39 Dhaene, Jan
37 Gerber, Hans U.
37 Kaas, Rob
37 Willmot, Gordon E.
35 de Vylder, Florent Etienne
30 Marceau, Étienne
30 Yang, Hailiang
26 Cheung, Ka Chun
26 Landriault, David
24 Guillen, Montserrat
24 Liang, Zongxia
23 Landsman, Zinoviy M.
22 Cossette, Hélène
22 Shiu, Elias S. W.
21 Dickson, David C. M.
19 Cai, Jun
19 Tang, Qihe
18 Laeven, Roger J. A.
18 Lefèvre, Claude
18 Sherris, Michael
17 Albrecher, Hansjörg
17 Hürlimann, Werner
17 Sundt, Bjørn Rosted
17 Verrall, Richard J.
16 Chi, Yichun
16 De Waegenaere, Anja
16 Li, Shuanming
16 Loisel, Stéphane
16 Tan, Ken Seng
16 Zeng, Yan
15 Shen, Yang
15 Siu, Tak Kuen
15 Tsai, Cary Chi-Liang
14 Cheung, Eric C. K.
14 Delbaen, Freddy
14 Furman, Edward
14 Haezendonck, Jean
14 Hu, Taizhong
14 Li, Johnny Siu-Hang
14 Li, Zhongfei
14 Lin, X. Sheldon
14 Milevsky, Moshe Arye
14 Wüthrich, Mario Valentin
13 Asimit, Alexandru V.
13 Avanzi, Benjamin
13 Beirlant, Jan
13 Cairns, Andrew J. G.
13 Chen, An
13 Frostig, Esther
13 Gatzert, Nadine
13 Sordo, Miguel Ángel
13 Wong, Bernard
13 Yuen, Kam Chuen
12 Blake, David
12 Feng, Runhuan
12 Jin, Zhuo
12 Nielsen, Jens Perch
12 Schmidli, Hanspeter
12 Valdez, Emiliano A.
12 Wang, Ruodu
12 Weng, Chengguo
12 Woo, Jae-Kyung
12 Yam, Sheung Chi Phillip
11 Boonen, Tim J.
11 Hainaut, Donatien
11 Malinovskiĭ, Vsevolod Konstantinovich
11 Shapiro, Arnold F.
11 Wang, Guojing
11 Wong, Hoi Ying
11 Yang, Jingping
10 De Schepper, Ann
10 Deelstra, Griselda
10 Hashorva, Enkelejd
10 Jones, Bruce L.
10 Li, Bin
10 Pitselis, Georgios
10 Ramsay, Colin M.
10 Renshaw, Arthur E.
10 Taksar, Michael I.
10 Taylor, Greg
10 Teugels, Jozef L.
10 Trufin, Julien
10 Wang, Shaun S.
9 Bayraktar, Erhan
9 Christiansen, Marcus Christian
9 Guillou, Armelle
9 He, Lin
9 Li, Danping
9 Lu, Yi
9 Mao, Tiantian
9 Pelsser, Antoon A. J.
9 Peng, Liang
9 Ruß, Jochen
9 Zitikis, Ričardas
8 Ahn, Jae Youn
8 Badescu, Andrei L.
...and 2,499 more Authors

Publications by Year

Citations contained in zbMATH Open

2,362 Publications have been cited 31,946 times in 9,966 Documents Cited by Year
The concept of comonotonicity in actuarial science and finance: theory. Zbl 1051.62107
Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D.
272
2002
Pair-copula constructions of multiple dependence. Zbl 1165.60009
Aas, Kjersti; Czado, Claudia; Frigessi, Arnoldo; Bakken, Henrik
237
2009
Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529
Asmussen, Søren; Taksar, Michael
213
1997
A Poisson log-bilinear regression approach to the construction of projected lifetables. Zbl 1074.62524
Brouhns, Natacha; Denuit, Michel; Vermunt, Jeroen K.
190
2002
Axiomatic characterization of insurance prices. Zbl 0959.62099
Wang, Shaun S.; Young, Virginia R.; Panjer, Harry H.
181
1997
Goodness-of-fit tests for copulas: A review and a power study. Zbl 1161.91416
Genest, Christian; Rémillard, Bruno; Beaudoin, David
177
2009
A cohort-based extension to the Lee-Carter model for mortality reduction factors. Zbl 1168.91418
Renshaw, A. E.; Haberman, S.
177
2006
Estimates for the probability of ruin with special emphasis on the possibility of large claims. Zbl 0518.62083
Embrechts, P.; Veraverbeke, N.
170
1982
Risk theory for the compound Poisson process that is perturbed by diffusion. Zbl 0723.62065
Dufresne, François; Gerber, Hans U.
168
1991
The concept of comonotonicity in actuarial science and finance: applications. Zbl 1037.62107
Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D.
161
2002
Optimal investment for insurer with jump-diffusion risk process. Zbl 1129.91020
Yang, Hailiang; Zhang, Lihong
156
2005
On the time to ruin for Erlang(2) risk processes. Zbl 1074.91549
Dickson, David C. M.; Hipp, Christian
152
2001
Optimal investment for insurers. Zbl 1007.91025
Hipp, Christian; Plum, Michael
150
2000
On ruin for the Erlang \((n)\) risk process. Zbl 1188.91089
Li, Shuanming; Garrido, José
145
2004
Risk measures via \(g\)-expectations. Zbl 1147.91346
Rosazza Gianin, Emanuela
132
2006
Affine processes for dynamic mortality and actuarial valuations. Zbl 1129.91024
Biffis, Enrico
123
2005
Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts. Zbl 1075.62095
Dahl, Mikkel
122
2004
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Zbl 1147.93046
Bai, Lihua; Guo, Junyi
118
2008
The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. Zbl 1103.91369
Lin, X. Sheldon; Willmot, Gordon E.; Drekic, Steve
117
2003
Mortality derivatives and the option to annuitise. Zbl 1074.62530
Milevsky, Moshe A.; Promislow, S. David
117
2001
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Zbl 0894.90047
Gerber, Hans U.; Shiu, Elias S. W.
113
1997
Valuation of the early-exercise price for options using simulations and nonparametric regression. Zbl 0894.62109
Carriere, Jacques F.
111
1996
Lee-Carter mortality forecasting with age-specific enhancement. Zbl 1103.91371
Renshaw, A. E.; Haberman, S.
109
2003
Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Zbl 1218.91167
Zeng, Yan; Li, Zhongfei
105
2011
Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417
Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
102
2008
Insurance pricing and increased limits ratemaking by proportional hazards transforms. Zbl 0837.62088
Wang, Shaun
101
1995
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Zbl 0924.60075
Gerber, Hans U.; Landry, Bruno
99
1998
Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Zbl 0977.62108
Grosen, Anders; Jørgensen, Peter Løchte
96
2000
Optimal dividends in the dual model. Zbl 1131.91026
Avanzi, Benjamin; Gerber, Hans U.; Shiu, Elias S. W.
92
2007
Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556
Lin, X. Sheldon; Willmot, Gordon E.
88
1999
On convex principles of premium calculation. Zbl 0579.62090
Deprez, Olivier; Gerber, Hans U.
88
1985
Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. Zbl 0976.91034
Boulier, Jean-François; Huang, ShaoJuan; Taillard, Grégory
87
2001
Ruin estimates under interest force. Zbl 0838.62098
Sundt, Bjørn; Teugels, Jozef L.
87
1995
The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383
Lin, X. Sheldon; Pavlova, Kristina P.
86
2006
Valuation and hedging of life insurance liabilities with systematic mortality risk. Zbl 1201.91089
Dahl, Mikkel; Møller, Thomas
85
2006
The moments of the time of ruin, the surplus before ruin, and the deficit at ruin. Zbl 0971.91031
Lin, X. Sheldon; Willmot, Gordon E.
84
2000
Optimal insurance under Wang’s premium principle. Zbl 1156.62364
Young, Virginia R.
83
1999
Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. Zbl 1290.91103
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan
81
2013
Upper and lower bounds for sums of random variables. Zbl 0989.60019
Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J.
78
2000
Optimal reinsurance under mean-variance premium principles. Zbl 1009.62096
Kaluszka, Marek
77
2001
Financial valuation of guaranteed minimum withdrawal benefits. Zbl 1116.91048
Milevsky, Moshe A.; Salisbury, Thomas S.
76
2006
Generalized quantiles as risk measures. Zbl 1303.91089
Bellini, Fabio; Klar, Bernhard; Müller, Alfred; Rosazza Gianin, Emanuela
76
2014
Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075
Kulenko, Natalie; Schmidli, Hanspeter
74
2008
Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. Zbl 1284.91250
Li, Zhongfei; Zeng, Yan; Lai, Yongzeng
74
2012
Stop-loss order for portfolios of dependent risks. Zbl 0894.90022
Müller, Alfred
73
1997
Optimal reinsurance in relation to ordering of risks. Zbl 0683.62060
van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J.
72
1989
On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula. Zbl 1151.91565
Cossette, Hélène; Marceau, Etienne; Marri, Fouad
71
2008
Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496
Chen, Ping; Yang, Hailiang; Yin, George
71
2008
Weighted premium calculation principles. Zbl 1141.91509
Furman, Edward; Zitikis, Ričardas
70
2008
Pricing exotic options under regime switching. Zbl 1141.91420
Boyle, Phelim; Draviam, Thangaraj
69
2007
A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048
Albrecher, Hansjörg; Boxma, Onno J.
69
2004
Affine stochastic mortality. Zbl 1103.60063
Schrager, David F.
68
2006
A generalized defective renewal equation for the surplus process perturbed by diffusion. Zbl 1074.91563
Tsai, Cary Chi-Liang; Willmot, Gordon E.
67
2002
On stochastic mortality modeling. Zbl 1231.91227
Plat, Richard
67
2009
Optimal choice of dividend barriers for a risk process with stochastic return on investments. Zbl 0894.90048
Paulsen, Jostein; Gjessing, Håkon K.
67
1997
Ordering risks: expected utility theory versus Yaari’s dual theory of risk. Zbl 0907.90102
Wang, Shaun S.; Young, Virginia R.
66
1998
Optimal investment strategies in the presence of a minimum guarantee. Zbl 1074.91013
Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François
66
2003
Fitting bivariate loss distributions with copulas. Zbl 0931.62044
Klugman, Stuart A.; Parsa, Rahul
65
1999
Asset and liability management under a continuous-time mean-variance optimization framework. Zbl 1151.91493
Chiu, Mei Choi; Li, Duan
65
2006
On the discounted penalty function in a Markov-dependent risk model. Zbl 1129.91023
Albrecher, Hansjörg; Boxma, Onno J.
65
2005
On a class of renewal risk models with a constant dividend barrier. Zbl 1122.91345
Li, Shuanming; Garrido, José
63
2004
Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps. Zbl 1348.91192
Zeng, Yan; Li, Danping; Gu, Ailing
63
2016
Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps. Zbl 1284.91282
Zeng, Yan; Li, Zhongfei; Lai, Yongzeng
62
2013
On reinsurance and investment for large insurance portfolios. Zbl 1141.91532
Luo, Shangzhen; Taksar, Michael; Tsoi, Allanus
62
2008
The surpluses immediately before and at ruin, and the amount of the claim causing ruin. Zbl 0674.62072
Dufresne, François; Gerber, Hans U.
60
1988
Evaluating and extending the Lee - Carter model for mortality forecasting: bootstrap confidence interval. Zbl 1098.62138
Koissi, Marie-Claire; Shapiro, Arnold F.; Högnäs, Göran
60
2006
Optimal reinsurance with general risk measures. Zbl 1162.91394
Balbás, Alejandro; Balbás, Beatriz; Heras, Antonio
59
2009
Actuarial bridges to dynamic hedging and option pricing. Zbl 0896.62112
Gerber, Hans U.; Shiu, Elias S. W.
59
1996
On the construction of copulas and quasi-copulas with given diagonal sections. Zbl 1152.60311
Nelsen, Roger B.; Quesada-Molina, José Juan; Rodríguez-Lallena, José Antonio; Úbeda-Flores, Manuel
58
2008
On the distribution of the surplus prior to ruin. Zbl 0770.62090
Dickson, David C. M.
56
1992
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010
Schachermayer, W.
56
1992
On the discounted penalty function in the renewal risk model with general interclaim times. Zbl 1119.91058
Willmot, Gordon E.
56
2007
Weighted risk capital allocations. Zbl 1189.62163
Furman, Edward; Zitikis, Ričardas
56
2008
Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. Zbl 1285.91057
Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan
56
2012
A synthesis of risk measures for capital adequacy. Zbl 0951.91032
Wirch, Julia Lynn; Hardy, Mary R.
56
1999
Optimal investment and reinsurance of an insurer with model uncertainty. Zbl 1231.91257
Zhang, Xin; Siu, Tak Kuen
55
2009
Ruin probabilities in the compound binomial model. Zbl 0778.62099
Willmot, Gordon E.
55
1993
Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles. Zbl 1284.91222
Cui, Wei; Yang, Jingping; Wu, Lan
55
2013
On the expected discounted penalty function at ruin of a surplus process with interest. Zbl 1074.91027
Cai, Jun; Dickson, David C. M.
54
2002
The safest dependence structure among risks. Zbl 1072.62651
Dhaene, Jan; Denuit, Michel
54
1999
Discounted probabilities and ruin theory in the compound binomial model. Zbl 1013.91063
Cheng, Shixue; Gerber, Hans U.; Shiu, Elias S. W.
54
2000
Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails. Zbl 1074.91029
Konstantinides, Dimitrios; Tang, Qihe; Tsitsiashvili, Gurami
53
2002
Some results on ruin probabilities in a two-dimensional risk model. Zbl 1055.91041
Chan, Wai-Sum; Yang, Hailiang; Zhang, Lianzeng
53
2003
Optimal pension management in a stochastic framework. Zbl 1068.91028
Battocchio, Paolo; Menoncin, Francesco
52
2004
Estimating the tail-dependence coefficient: properties and pitfalls. Zbl 1101.62012
Frahm, Gabriel; Junker, Markus; Schmidt, Rafael
52
2005
Optimal control of risk exposure, reinsurance and investments for insurance portfolios. Zbl 1052.62107
Irgens, Christian; Paulsen, Jostein
52
2004
Comonotonicity, correlation order and premium principles. Zbl 0909.62110
Wang, Shaun; Dhaene, Jan
52
1998
Second order regular variation and conditional tail expectation of multiple risks. Zbl 1228.91039
Hua, Lei; Joe, Harry
52
2011
Ruin probabilities for time-correlated claims in the compound binomial model. Zbl 1074.91032
Yuen, K. C.; Guo, J. Y.
51
2001
Constant elasticity of variance model for proportional reinsurance and investment strategies. Zbl 1231.91193
Gu, Mengdi; Yang, Yipeng; Li, Shoude; Zhang, Jingyi
51
2010
Bayesian Poisson log-bilinear mortality projections. Zbl 1110.62142
Czado, Claudia; Delwarde, Antoine; Denuit, Michel
51
2005
Optimal asset allocation for DC pension plans under inflation. Zbl 1284.91520
Han, Nan-Wei; Hung, Mao-Wei
51
2012
How long is the surplus below zero? Zbl 0777.62096
Dos Reis, Alfredo Egídio
51
1993
Risk aggregation with dependence uncertainty. Zbl 1291.91090
Bernard, Carole; Jiang, Xiao; Wang, Ruodu
51
2014
Optimal investment-reinsurance policy for an insurance company with VaR constraint. Zbl 1231.91155
Chen, Shumin; Li, Zhongfei; Li, Kemian
50
2010
Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process. Zbl 1218.91084
Liang, Zhibin; Yuen, Kam Chuen; Guo, Junyi
50
2011
On the dependency of risks in the individual life model. Zbl 0931.62089
Dhaene, J.; Goovaerts, M. J.
50
1997
Optimal dividend and issuance of equity policies in the presence of proportional costs. Zbl 1141.91528
Løkka, Arne; Zervos, Mihail
50
2008
Optimal dividend problem with a terminal value for spectrally positive Lévy processes. Zbl 1290.91176
Yin, Chuancun; Wen, Yuzhen
50
2013
Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process. Zbl 1318.91123
Shen, Yang; Zeng, Yan
49
2015
Stackelberg differential game for reinsurance: mean-variance framework and random horizon. Zbl 1484.91392
Li, Danping; Young, Virginia R.
1
2022
Systemic risk: conditional distortion risk measures. Zbl 1484.91504
Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying
1
2022
Risk measures induced by efficient insurance contracts. Zbl 1484.91411
Wang, Qiuqi; Wang, Ruodu; Zitikis, Ričardas
1
2022
Automatic Fatou property of law-invariant risk measures. Zbl 1492.91279
Chen, Shengzhong; Gao, Niushan; Leung, Denny H.; Li, Lei
1
2022
From risk sharing to pure premium for a large number of heterogeneous losses. Zbl 1465.91094
Denuit, Michel; Robert, Christian Y.
7
2021
Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type. Zbl 1460.91221
Furman, Edward; Kye, Yisub; Su, Jianxi
6
2021
Law-invariant functionals that collapse to the mean. Zbl 1466.91250
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor
5
2021
Volterra mortality model: actuarial valuation and risk management with long-range dependence. Zbl 1460.91240
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying
4
2021
Equity-linked guaranteed minimum death benefits with dollar cost averaging. Zbl 1471.91465
Kirkby, J. Lars; Nguyen, Duy
4
2021
Pricing longevity derivatives via Fourier transforms. Zbl 1460.91212
Bravo, Jorge M.; Nunes, João Pedro Vidal
3
2021
Sparse regression with multi-type regularized feature modeling. Zbl 1460.91218
Devriendt, Sander; Antonio, Katrien; Reynkens, Tom; Verbelen, Roel
3
2021
Deep hedging of long-term financial derivatives. Zbl 1467.91138
Carbonneau, Alexandre
3
2021
Infinitely stochastic micro reserving. Zbl 1471.91474
Maciak, Matúš; Okhrin, Ostap; Pešta, Michal
3
2021
Cyber claim analysis using generalized Pareto regression trees with applications to insurance. Zbl 1466.91255
Farkas, Sébastien; Lopez, Olivier; Thomas, Maud
2
2021
Mortality options: the point of view of an insurer. Zbl 1460.91238
Schmeck, Maren Diane; Schmidli, Hanspeter
2
2021
Stochastic orders and multivariate measures of risk contagion. Zbl 1460.91252
Ortega-Jiménez, P.; Sordo, M. A.; Suárez-Llorens, A.
2
2021
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models. Zbl 1460.91213
Brignone, Riccardo; Kyriakou, Ioannis; Fusai, Gianluca
2
2021
A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis. Zbl 1460.91226
Jin, Zhuo; Yang, Hailiang; Yin, G.
2
2021
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times. Zbl 1460.91215
Chen, Yiqing; White, Toby; Yuen, Kam Chuen
2
2021
Mean-variance investment and risk control strategies – a time-consistent approach via a forward auxiliary process. Zbl 1460.91239
Shen, Yang; Zou, Bin
2
2021
Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance. Zbl 1475.91301
Ghossoub, Mario; He, Xue Dong
2
2021
Optimal retirement products under subjective mortality beliefs. Zbl 1475.91291
Chen, An; Hieber, Peter; Rach, Manuel
2
2021
Dividend optimisation: a behaviouristic approach. Zbl 1478.91162
Brinker, Leonie Violetta; Eisenberg, Julia
2
2021
Addressing the life expectancy gap in pension policy. Zbl 1467.91135
Bravo, Jorge M.; Ayuso, Mercedes; Holzmann, Robert; Palmer, Edward
2
2021
Tail dependence and heavy tailedness in extreme risks. Zbl 1467.91142
Ji, Liuyan; Tan, Ken Seng; Yang, Fan
2
2021
A decomposition of general premium principles into risk and deviation. Zbl 1471.91477
Nendel, Max; Riedel, Frank; Schmeck, Maren Diane
2
2021
Stop-loss protection for a large P2P insurance pool. Zbl 1471.91455
Denuit, Michel; Robert, Christian Y.
2
2021
SynthETIC: an individual insurance claim simulator with feature control. Zbl 1471.91445
Avanzi, Benjamin; Taylor, Greg; Wang, Melantha; Wong, Bernard
2
2021
Fair dynamic valuation of insurance liabilities via convex hedging. Zbl 1466.91252
Chen, Ze; Chen, Bingzheng; Dhaene, Jan; Yang, Tianyu
1
2021
Bowley solution of a mean-variance game in insurance. Zbl 1466.91264
Li, Danping; Young, Virginia R.
1
2021
Prepayment risk in reverse mortgages: an intensity-governed surrender model. Zbl 1466.91269
Shi, Tianxiang; Lee, Yung-Tsung
1
2021
Micro-level parametric duration-frequency-severity modeling for outstanding claim payments. Zbl 1470.91234
Yanez, Juan Sebastian; Pigeon, Mathieu
1
2021
A fractional multi-states model for insurance. Zbl 1466.91260
Hainaut, Donatien
1
2021
Model-independent price bounds for catastrophic mortality bonds. Zbl 1460.91209
Bahl, Raj Kumari; Sabanis, Sotirios
1
2021
Pricing in a competitive stochastic insurance market. Zbl 1460.91233
Mourdoukoutas, Fotios; Boonen, Tim J.; Koo, Bonsoo; Pantelous, Athanasios A.
1
2021
Dynamics of state-wise prospective reserves in the presence of non-monotone information. Zbl 1460.91216
Christiansen, Marcus C.; Furrer, Christian
1
2021
Demand for non-life insurance under habit formation. Zbl 1475.91311
Li, Wenyuan; Tan, Ken Seng; Wei, Pengyu
1
2021
Optimal annuity demand for general expected utility agents. Zbl 1475.91284
Bernard, Carole; De Gennaro Aquino, Luca; Levante, Lucia
1
2021
Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods. Zbl 1475.91323
Zhang, Jinhui; Purcal, Sachi; Wei, Jiaqin
1
2021
Return smoothing in life insurance from a client perspective. Zbl 1475.91314
Ruß, Jochen; Schelling, Stefan
1
2021
Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion. Zbl 1475.91324
Zhang, Liming; Li, Bin
1
2021
Moment generating function of non-Markov self-excited claims processes. Zbl 1475.91304
Hainaut, Donatien
1
2021
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. Zbl 1475.91313
Mohammed, Nawaf; Furman, Edward; Su, Jianxi
1
2021
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds. Zbl 1475.91353
Colaneri, Katia; Frey, Rüdiger
1
2021
Optimal fee structure of variable annuities. Zbl 1475.91321
Wang, Gu; Zou, Bin
1
2021
The multivariate mixed negative binomial regression model with an application to insurance a posteriori ratemaking. Zbl 1475.91319
Tzougas, George; Pignatelli di Cerchiara, Alice
1
2021
Corrigendum and addendum to: “From risk sharing to pure premium for a large number of heterogeneous losses”. Zbl 1475.91296
Denuit, Michel; Robert, Christian Y.
1
2021
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities. Zbl 1467.91128
Avanzi, Benjamin; Taylor, Greg; Wong, Bernard; Yang, Xinda
1
2021
Time-consistent longevity hedging with long-range dependence. Zbl 1467.91154
Wang, Ling; Wong, Hoi Ying
1
2021
Right-truncated Archimedean and related copulas. Zbl 1468.62288
Hofert, Marius
1
2021
Option pricing in regime-switching frameworks with the extended Girsanov principle. Zbl 1467.91185
Godin, Frédéric; Trottier, Denis-Alexandre
1
2021
It takes two: why mortality trend modeling is more than modeling one mortality trend. Zbl 1467.91133
Börger, Matthias; Russ, Jochen; Schupp, Johannes
1
2021
The role of a longevity insurance for defined contribution pension systems. Zbl 1467.91131
Berstein, Solange; Morales, Marco
1
2021
A Fourier-cosine method for finite-time ruin probabilities. Zbl 1467.91144
Lee, Wing Yan; Li, Xiaolong; Liu, Fangda; Shi, Yifan; Yam, Sheung Chi Phillip
1
2021
Gompertz law revisited: forecasting mortality with a multi-factor exponential model. Zbl 1467.91146
Li, Hong; Tan, Ken Seng; Tuljapurkar, Shripad; Zhu, Wenjun
1
2021
Modeling and pricing longevity derivatives using Skellam distribution. Zbl 1467.91143
Kung, Ko-Lun; Liu, I-Chien; Wang, Chou-Wen
1
2021
Longevity risk and capital markets: the 2019–20 update. Zbl 07368206
1
2021
Approximate Bayesian computations to fit and compare insurance loss models. Zbl 1471.91459
Goffard, Pierre-Olivier; Laub, Patrick J.
1
2021
Equilibrium investment strategy for a DC pension plan with learning about stock return predictability. Zbl 1471.91486
Wang, Pei; Shen, Yang; Zhang, Ling; Kang, Yuxin
1
2021
Concave/convex weighting and utility functions for risk: a new light on classical theorems. Zbl 1471.91088
Wakker, Peter P.; Yang, Jingni
1
2021
Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility. Zbl 1431.91347
Yan, Tingjin; Wong, Hoi Ying
9
2020
Convex risk functionals: representation and applications. Zbl 1431.91340
Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu
8
2020
Optimal insurance with belief heterogeneity and incentive compatibility. Zbl 1445.91052
Chi, Yichun; Zhuang, Sheng Chao
7
2020
Robust optimal reinsurance-investment strategy with price jumps and correlated claims. Zbl 1445.91051
Chen, Zhiping; Yang, Peng
5
2020
Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin. Zbl 1445.91054
Liang, Xiaoqing; Liang, Zhibin; Young, Virginia R.
5
2020
Ruin-based risk measures in discrete-time risk models. Zbl 1447.91132
Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre
5
2020
Generalized expected discounted penalty function at general drawdown for Lévy risk processes. Zbl 1435.91162
Wang, Wenyuan; Chen, Ping; Li, Shuanming
5
2020
Concave distortion risk minimizing reinsurance design under adverse selection. Zbl 1435.91142
Cheung, Ka Chun; Phillip Yam, Sheung Chi; Yuen, Fei Lung; Zhang, Yiying
5
2020
Predictive compound risk models with dependence. Zbl 1454.91195
Jeong, Himchan; Valdez, Emiliano A.
4
2020
On log-normal convolutions: an analytical-numerical method with applications to economic capital determination. Zbl 1431.91327
Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey
4
2020
Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age? Zbl 1446.91068
Milevsky, Moshe A.
4
2020
Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models. Zbl 1446.91073
Shushi, Tomer; Yao, Jing
4
2020
Nonlinear reserving and multiple contract modifications in life insurance. Zbl 1446.91058
Christiansen, Marcus C.; Djehiche, Boualem
4
2020
Nash equilibria in optimal reinsurance bargaining. Zbl 1446.91054
Anthropelos, Michail; Boonen, Tim J.
4
2020
Optimal reinsurance-investment strategy for a dynamic contagion claim model. Zbl 1446.91056
Cao, Jingyi; Landriault, David; Li, Bin
4
2020
Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR. Zbl 1447.91137
Forsyth, Peter A.
4
2020
Is the inf-convolution of law-invariant preferences law-invariant? Zbl 1435.91064
Liu, Peng; Wang, Ruodu; Wei, Linxiao
4
2020
Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted models. Zbl 1452.91280
Počuča, Nikola; Jevtić, Petar; McNicholas, Paul D.; Miljkovic, Tatjana
3
2020
Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time. Zbl 1452.91286
Zhou, Zhou; Jin, Zhuo
3
2020
Empirical analysis and forecasting of multiple yield curves. Zbl 1452.91316
Gerhart, Christoph; Lütkebohmert, Eva
3
2020
The diffusion of complex securities: the case of CAT bonds. Zbl 1431.91324
Faias, José Afonso; Guedes, José
3
2020
Pitfalls and merits of cointegration-based mortality models. Zbl 1431.91334
Jarner, Søren F.; Jallbjørn, Snorre
3
2020
Parisian ruin with a threshold dividend strategy under the dual Lévy risk model. Zbl 1431.91345
Yang, Chen; Sendova, Kristina P.; Li, Zhong
3
2020
Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments. Zbl 1445.91055
Xu, Ran; Woo, Jae-Kyung
3
2020
On occupation times in the red of Lévy risk models. Zbl 1445.91053
Landriault, David; Li, Bin; Lkabous, Mohamed Amine
3
2020
Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs. Zbl 1447.91126
Avanzi, Benjamin; Lau, Hayden; Wong, Bernard
3
2020
Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation. Zbl 1447.91130
Cohen, Asaf; Young, Virginia R.
3
2020
Incorporating hierarchical credibility theory into modelling of multi-country mortality rates. Zbl 1435.91160
Tsai, Cary Chi-Liang; Wu, Adelaide Di
3
2020
Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach. Zbl 1435.91158
Lin, X. Sheldon; Yang, Shuai
3
2020
A Bowley solution with limited ceded risk for a monopolistic reinsurer. Zbl 1435.91143
Chi, Yichun; Tan, Ken Seng; Zhuang, Sheng Chao
3
2020
Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology. Zbl 1435.91154
Jevtić, Petar; Lanchier, Nicolas
3
2020
Risk analysis with categorical explanatory variables. Zbl 1435.91155
Kang, Seul Ki; Peng, Liang; Xiao, Hongmin
3
2020
Levelling the playing field: a VIX-linked structure for funded pension schemes. Zbl 1452.91261
Bégin, Jean-François
2
2020
Stability properties of Haezendonck-Goovaerts premium principles. Zbl 1452.91270
Gao, Niushan; Munari, Cosimo; Xanthos, Foivos
2
2020
Regression based reserving models and partial information. Zbl 1454.91201
Lindholm, Mathias; Verrall, Richard
2
2020
Optimal DB-PAYGO pension management towards a habitual contribution rate. Zbl 1458.91183
He, Lin; Liang, Zongxia; Yuan, Fengyi
2
2020
Pareto-optimal insurance contracts with premium budget and minimum charge constraints. Zbl 1452.91257
Asimit, Alexandru V.; Cheung, Ka Chun; Chong, Wing Fung; Hu, Junlei
2
2020
Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods. Zbl 1452.91281
Rabitti, Giovanni; Borgonovo, Emanuele
2
2020
Center-outward quantiles and the measurement of multivariate risk. Zbl 1452.91074
Beirlant, Jan; Buitendag, Sven; del Barrio, E.; Hallin, M.; Kamper, Francois
2
2020
Positivity properties of the ARFIMA\((0,d,0)\) specifications and credibility analysis of frequency risks. Zbl 1452.91279
Pinquet, Jean
2
2020
...and 1627 more Documents
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Cited by 8,383 Authors

114 Denuit, Michel M.
104 Yang, Hailiang
90 Goovaerts, Marc J.
77 Haberman, Steven
76 Siu, Tak Kuen
73 Young, Virginia R.
71 Dhaene, Jan
71 Yuen, Kam Chuen
66 Willmot, Gordon E.
61 Albrecher, Hansjörg
61 Tang, Qihe
54 Zhang, Zhimin
52 Landriault, David
51 Hashorva, Enkelejd
49 Li, Shuanming
49 Yang, Yang
48 Wang, Ruodu
47 Cai, Jun
47 Durante, Fabrizio
47 Guo, Junyi
47 Yin, Chuancun
46 Cheung, Ka Chun
46 Lefèvre, Claude
45 Gerber, Hans U.
45 Jin, Zhuo
45 Marceau, Étienne
44 Hu, Yijun
43 Loisel, Stéphane
41 Li, Xiaohu
41 Wang, Rongming
41 Wu, Rong
40 Cossette, Hélène
40 Hu, Taizhong
40 Tan, Ken Seng
40 Wang, Guojing
39 Fernández-Sánchez, Juan
38 Li, Zhongfei
38 Sherris, Michael
37 Cheung, Eric C. K.
37 Guillen, Montserrat
37 Zitikis, Ričardas
36 Forsyth, Peter A.
36 Hürlimann, Werner
36 Shiu, Elias S. W.
35 Elliott, Robert James
35 Palmowski, Zbigniew
35 Tsai, Cary Chi-Liang
34 Czado, Claudia
34 Frostig, Esther
34 Landsman, Zinoviy M.
34 Shen, Yang
34 Zeng, Yan
34 Zhao, Hui
33 Blake, David
33 Dickson, David C. M.
33 Kaas, Rob
33 Peng, Liang
33 Weng, Chengguo
32 Boonen, Tim J.
32 de Vylder, Florent Etienne
32 Liang, Zhibin
32 Liang, Zongxia
32 Rong, Ximin
31 Chen, An
31 Kremer, Erhard K.
31 Mao, Tiantian
31 Sordo, Miguel Ángel
31 Wong, Hoi Ying
31 Wüthrich, Mario Valentin
30 Šiaulys, Jonas
30 Úbeda-Flores, Manuel
29 Cairns, Andrew J. G.
29 Chen, Ping
29 Klüppelberg, Claudia
29 Nielsen, Jens Perch
29 Schmidli, Hanspeter
29 Wei, Jiaqin
28 Li, Jinzhu
28 Lin, X. Sheldon
28 Valdez, Emiliano A.
28 Vanduffel, Steven
28 Wang, Wenyuan
28 Wang, Yuebao
27 Badescu, Andrei L.
27 Feng, Runhuan
27 Gómez-Déniz, Emilio
27 Li, Danping
27 Nadarajah, Saralees
27 Wang, Kaiyong
27 Yam, Sheung Chi Phillip
27 Yang, Jingping
26 Asimit, Alexandru V.
26 Asmussen, Søren
26 Avram, Florin
26 Bernard, Carole L.
26 Chi, Yichun
26 Embrechts, Paul
26 Genest, Christian
26 Li, Johnny Siu-Hang
26 Woo, Jae-Kyung
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461 Scandinavian Actuarial Journal
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60 Acta Mathematicae Applicatae Sinica. English Series
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51 Mathematical Methods of Operations Research
50 Probability in the Engineering and Informational Sciences
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43 SIAM Journal on Financial Mathematics
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18 Physica A
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16 The Canadian Journal of Statistics
16 Mathematics and Computers in Simulation
16 International Journal of Approximate Reasoning
15 Annals of the Institute of Statistical Mathematics
15 Kybernetika
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15 The ANZIAM Journal
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6,947 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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