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: 2,755 Publications (since 1982) References Indexed: 2,717 Publications with 70,826 References. all top 5 Latest Issues 109 (2023) 108 (2023) 107 (2022) 106 (2022) 105 (2022) 104 (2022) 103 (2022) 102 (2022) 101 (2021) 100 (2021) 99 (2021) 98 (2021) 97 (2021) 96 (2021) 95 (2020) 94 (2020) 93 (2020) 92 (2020) 91 (2020) 90 (2020) 89 (2019) 88 (2019) 87 (2019) 86 (2019) 85 (2019) 84 (2019) 83 (2018) 82 (2018) 81 (2018) 80 (2018) 79 (2018) 78 (2018) 77 (2017) 76 (2017) 75 (2017) 74 (2017) 73 (2017) 72 (2017) 71 (2016) 70 (2016) 69 (2016) 68 (2016) 67 (2016) 66 (2016) 65 (2015) 64 (2015) 63 (2015) 62 (2015) 61 (2015) 60 (2015) 59 (2014) 58 (2014) 57 (2014) 56 (2014) 55 (2014) 54 (2014) 53, No. 3 (2013) 53, No. 2 (2013) 53, No. 1 (2013) 52, No. 3 (2013) 52, No. 2 (2013) 52, No. 1 (2013) 51, No. 3 (2012) 51, No. 2 (2012) 51, No. 1 (2012) 50, No. 3 (2012) 50, No. 2 (2012) 50, No. 1 (2012) 49, No. 3 (2011) 49, No. 2 (2011) 49, No. 1 (2011) 48, No. 3 (2011) 48, No. 2 (2011) 48, No. 1 (2011) 47, No. 3 (2010) 47, No. 2 (2010) 47, No. 1 (2010) 46, No. 3 (2010) 46, No. 2 (2010) 46, No. 1 (2010) 45, No. 3 (2009) 45, No. 2 (2009) 45, No. 1 (2009) 44, No. 3 (2009) 44, No. 2 (2009) 44, No. 1 (2009) 43, No. 3 (2008) 43, No. 2 (2008) 43, No. 1 (2008) 42, No. 3 (2008) 42, No. 2 (2008) 42, No. 1 (2008) 41, No. 3 (2007) 41, No. 2 (2007) 41, No. 1 (2007) 40, No. 3 (2007) 40, No. 2 (2007) 40, No. 1 (2007) 39, No. 3 (2006) 39, No. 2 (2006) ...and 102 more Volumes all top 5 Authors 77 Goovaerts, Marc J. 54 Haberman, Steven 44 Denuit, Michel M. 40 Dhaene, Jan 40 Young, Virginia R. 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. 20 Tang, Qihe 19 Cai, Jun 19 Laeven, Roger J. A. 19 Lefèvre, Claude 18 Albrecher, Hansjörg 18 Sherris, Michael 17 Hürlimann, Werner 17 Loisel, Stéphane 17 Sundt, Bjørn Rosted 17 Verrall, Richard J. 17 Zeng, Yan 16 Chi, Yichun 16 De Waegenaere, Anja 16 Li, Shuanming 16 Tan, Ken Seng 15 Hu, Taizhong 15 Li, Zhongfei 15 Lin, X. Sheldon 15 Shen, Yang 15 Siu, Tak Kuen 15 Tsai, Cary Chi-Liang 15 Wüthrich, Mario Valentin 14 Cheung, Eric C. K. 14 Delbaen, Freddy 14 Furman, Edward 14 Haezendonck, Jean 14 Li, Johnny Siu-Hang 14 Milevsky, Moshe Arye 13 Asimit, Alexandru V. 13 Avanzi, Benjamin 13 Beirlant, Jan 13 Cairns, Andrew J. G. 13 Chen, An 13 Feng, Runhuan 13 Frostig, Esther 13 Gatzert, Nadine 13 Sordo, Miguel Ángel 13 Wong, Bernard 13 Yuen, Kam Chuen 12 Blake, David 12 Boonen, Tim J. 12 Hainaut, Donatien 12 Jin, Zhuo 12 Nielsen, Jens Perch 12 Schmidli, Hanspeter 12 Valdez, Emiliano A. 12 Wang, Ruodu 12 Weng, Chengguo 12 Wong, Hoi Ying 12 Woo, Jae-Kyung 12 Yam, Sheung Chi Phillip 11 Malinovskiĭ, Vsevolod Konstantinovich 11 Shapiro, Arnold F. 11 Wang, Guojing 11 Yang, Jingping 10 Christiansen, Marcus Christian 10 De Schepper, Ann 10 Deelstra, Griselda 10 Guillou, Armelle 10 Hashorva, Enkelejd 10 Jones, Bruce L. 10 Li, Bin 10 Li, Danping 10 Mao, Tiantian 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. 10 Zitikis, Ričardas 9 Bayraktar, Erhan 9 He, Lin 9 Lu, Yi 9 Pelsser, Antoon A. J. 9 Peng, Liang 9 Ruß, Jochen 8 Ahn, Jae Youn 8 Badescu, Andrei L. ...and 2,549 more Authors all top 5 Fields 2,288 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,206 Statistics (62-XX) 716 Probability theory and stochastic processes (60-XX) 188 Systems theory; control (93-XX) 82 Numerical analysis (65-XX) 81 Operations research, mathematical programming (90-XX) 34 Calculus of variations and optimal control; optimization (49-XX) 18 General and overarching topics; collections (00-XX) 16 Integral equations (45-XX) 16 Computer science (68-XX) 10 Partial differential equations (35-XX) 9 Mathematical logic and foundations (03-XX) 8 Integral transforms, operational calculus (44-XX) 8 Biology and other natural sciences (92-XX) 5 Measure and integration (28-XX) 4 Special functions (33-XX) 4 Functional analysis (46-XX) 4 Geophysics (86-XX) 3 History and biography (01-XX) 3 Real functions (26-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Ordinary differential equations (34-XX) 2 Difference and functional equations (39-XX) 1 Combinatorics (05-XX) 1 Field theory and polynomials (12-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Convex and discrete geometry (52-XX) 1 General topology (54-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 2,385 Publications have been cited 32,749 times in 10,101 Documents Cited by ▼ Year ▼ The concept of comonotonicity in actuarial science and finance: theory. Zbl 1051.62107Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D. 278 2002 Pair-copula constructions of multiple dependence. Zbl 1165.60009Aas, Kjersti; Czado, Claudia; Frigessi, Arnoldo; Bakken, Henrik 248 2009 Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529Asmussen, Søren; Taksar, Michael 214 1997 A Poisson log-bilinear regression approach to the construction of projected lifetables. Zbl 1074.62524Brouhns, Natacha; Denuit, Michel; Vermunt, Jeroen K. 191 2002 Axiomatic characterization of insurance prices. Zbl 0959.62099Wang, Shaun S.; Young, Virginia R.; Panjer, Harry H. 185 1997 A cohort-based extension to the Lee-Carter model for mortality reduction factors. Zbl 1168.91418Renshaw, A. E.; Haberman, S. 181 2006 Goodness-of-fit tests for copulas: A review and a power study. Zbl 1161.91416Genest, Christian; Rémillard, Bruno; Beaudoin, David 179 2009 Estimates for the probability of ruin with special emphasis on the possibility of large claims. Zbl 0518.62083Embrechts, P.; Veraverbeke, N. 170 1982 Risk theory for the compound Poisson process that is perturbed by diffusion. Zbl 0723.62065Dufresne, François; Gerber, Hans U. 169 1991 The concept of comonotonicity in actuarial science and finance: applications. Zbl 1037.62107Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D. 162 2002 Optimal investment for insurer with jump-diffusion risk process. Zbl 1129.91020Yang, Hailiang; Zhang, Lihong 160 2005 On the time to ruin for Erlang(2) risk processes. Zbl 1074.91549Dickson, David C. M.; Hipp, Christian 154 2001 On ruin for the Erlang \((n)\) risk process. Zbl 1188.91089Li, Shuanming; Garrido, José 150 2004 Optimal investment for insurers. Zbl 1007.91025Hipp, Christian; Plum, Michael 150 2000 Risk measures via \(g\)-expectations. Zbl 1147.91346Rosazza Gianin, Emanuela 136 2006 Affine processes for dynamic mortality and actuarial valuations. Zbl 1129.91024Biffis, Enrico 126 2005 Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts. Zbl 1075.62095Dahl, Mikkel 122 2004 Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Zbl 1147.93046Bai, Lihua; Guo, Junyi 119 2008 Mortality derivatives and the option to annuitise. Zbl 1074.62530Milevsky, Moshe A.; Promislow, S. David 118 2001 The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. Zbl 1103.91369Lin, X. Sheldon; Willmot, Gordon E.; Drekic, Steve 118 2003 Valuation of the early-exercise price for options using simulations and nonparametric regression. Zbl 0894.62109Carriere, Jacques F. 114 1996 The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Zbl 0894.90047Gerber, Hans U.; Shiu, Elias S. W. 114 1997 Lee-Carter mortality forecasting with age-specific enhancement. Zbl 1103.91371Renshaw, A. E.; Haberman, S. 110 2003 Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Zbl 1218.91167Zeng, Yan; Li, Zhongfei 107 2011 Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi 105 2008 Insurance pricing and increased limits ratemaking by proportional hazards transforms. Zbl 0837.62088Wang, Shaun 102 1995 On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Zbl 0924.60075Gerber, Hans U.; Landry, Bruno 101 1998 Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Zbl 0977.62108Grosen, Anders; Jørgensen, Peter Løchte 99 2000 Optimal dividends in the dual model. Zbl 1131.91026Avanzi, Benjamin; Gerber, Hans U.; Shiu, Elias S. W. 94 2007 Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556Lin, X. Sheldon; Willmot, Gordon E. 91 1999 On convex principles of premium calculation. Zbl 0579.62090Deprez, Olivier; Gerber, Hans U. 89 1985 The moments of the time of ruin, the surplus before ruin, and the deficit at ruin. Zbl 0971.91031Lin, X. Sheldon; Willmot, Gordon E. 88 2000 Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. Zbl 0976.91034Boulier, Jean-François; Huang, ShaoJuan; Taillard, Grégory 88 2001 Ruin estimates under interest force. Zbl 0838.62098Sundt, Bjørn; Teugels, Jozef L. 87 1995 The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383Lin, X. Sheldon; Pavlova, Kristina P. 87 2006 Valuation and hedging of life insurance liabilities with systematic mortality risk. Zbl 1201.91089Dahl, Mikkel; Møller, Thomas 85 2006 Optimal insurance under Wang’s premium principle. Zbl 1156.62364Young, Virginia R. 85 1999 Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. Zbl 1290.91103Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan 84 2013 Upper and lower bounds for sums of random variables. Zbl 0989.60019Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J. 80 2000 Generalized quantiles as risk measures. Zbl 1303.91089Bellini, Fabio; Klar, Bernhard; Müller, Alfred; Rosazza Gianin, Emanuela 78 2014 Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075Kulenko, Natalie; Schmidli, Hanspeter 77 2008 Optimal reinsurance under mean-variance premium principles. Zbl 1009.62096Kaluszka, Marek 77 2001 Financial valuation of guaranteed minimum withdrawal benefits. Zbl 1116.91048Milevsky, Moshe A.; Salisbury, Thomas S. 77 2006 Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. Zbl 1284.91250Li, Zhongfei; Zeng, Yan; Lai, Yongzeng 75 2012 Optimal reinsurance in relation to ordering of risks. Zbl 0683.62060van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J. 74 1989 Stop-loss order for portfolios of dependent risks. Zbl 0894.90022Müller, Alfred 73 1997 On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula. Zbl 1151.91565Cossette, Hélène; Marceau, Etienne; Marri, Fouad 72 2008 Weighted premium calculation principles. Zbl 1141.91509Furman, Edward; Zitikis, Ričardas 71 2008 Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496Chen, Ping; Yang, Hailiang; Yin, George 71 2008 A generalized defective renewal equation for the surplus process perturbed by diffusion. Zbl 1074.91563Tsai, Cary Chi-Liang; Willmot, Gordon E. 70 2002 Affine stochastic mortality. Zbl 1103.60063Schrager, David F. 70 2006 Pricing exotic options under regime switching. Zbl 1141.91420Boyle, Phelim; Draviam, Thangaraj 69 2007 A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048Albrecher, Hansjörg; Boxma, Onno J. 69 2004 Optimal choice of dividend barriers for a risk process with stochastic return on investments. Zbl 0894.90048Paulsen, Jostein; Gjessing, Håkon K. 68 1997 On stochastic mortality modeling. Zbl 1231.91227Plat, Richard 68 2009 Optimal investment strategies in the presence of a minimum guarantee. Zbl 1074.91013Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François 67 2003 Fitting bivariate loss distributions with copulas. Zbl 0931.62044Klugman, Stuart A.; Parsa, Rahul 67 1999 On the discounted penalty function in a Markov-dependent risk model. Zbl 1129.91023Albrecher, Hansjörg; Boxma, Onno J. 66 2005 Ordering risks: expected utility theory versus Yaari’s dual theory of risk. Zbl 0907.90102Wang, Shaun S.; Young, Virginia R. 66 1998 Asset and liability management under a continuous-time mean-variance optimization framework. Zbl 1151.91493Chiu, Mei Choi; Li, Duan 65 2006 Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps. Zbl 1348.91192Zeng, Yan; Li, Danping; Gu, Ailing 65 2016 Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps. Zbl 1284.91282Zeng, Yan; Li, Zhongfei; Lai, Yongzeng 64 2013 On reinsurance and investment for large insurance portfolios. Zbl 1141.91532Luo, Shangzhen; Taksar, Michael; Tsoi, Allanus 63 2008 On a class of renewal risk models with a constant dividend barrier. Zbl 1122.91345Li, Shuanming; Garrido, José 63 2004 Optimal reinsurance with general risk measures. Zbl 1162.91394Balbás, Alejandro; Balbás, Beatriz; Heras, Antonio 62 2009 Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles. Zbl 1284.91222Cui, Wei; Yang, Jingping; Wu, Lan 60 2013 The surpluses immediately before and at ruin, and the amount of the claim causing ruin. Zbl 0674.62072Dufresne, François; Gerber, Hans U. 60 1988 Evaluating and extending the Lee - Carter model for mortality forecasting: bootstrap confidence interval. Zbl 1098.62138Koissi, Marie-Claire; Shapiro, Arnold F.; Högnäs, Göran 60 2006 Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. Zbl 1285.91057Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan 59 2012 Actuarial bridges to dynamic hedging and option pricing. Zbl 0896.62112Gerber, Hans U.; Shiu, Elias S. W. 59 1996 On the construction of copulas and quasi-copulas with given diagonal sections. Zbl 1152.60311Nelsen, Roger B.; Quesada-Molina, José Juan; Rodríguez-Lallena, José Antonio; Úbeda-Flores, Manuel 58 2008 Ruin probabilities in the compound binomial model. Zbl 0778.62099Willmot, Gordon E. 58 1993 On the discounted penalty function in the renewal risk model with general interclaim times. Zbl 1119.91058Willmot, Gordon E. 57 2007 A synthesis of risk measures for capital adequacy. Zbl 0951.91032Wirch, Julia Lynn; Hardy, Mary R. 57 1999 Weighted risk capital allocations. Zbl 1189.62163Furman, Edward; Zitikis, Ričardas 56 2008 On the distribution of the surplus prior to ruin. Zbl 0770.62090Dickson, David C. M. 56 1992 A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010Schachermayer, W. 56 1992 Discounted probabilities and ruin theory in the compound binomial model. Zbl 1013.91063Cheng, Shixue; Gerber, Hans U.; Shiu, Elias S. W. 56 2000 Optimal investment and reinsurance of an insurer with model uncertainty. Zbl 1231.91257Zhang, Xin; Siu, Tak Kuen 55 2009 The safest dependence structure among risks. Zbl 1072.62651Dhaene, Jan; Denuit, Michel 55 1999 Optimal asset allocation for DC pension plans under inflation. Zbl 1284.91520Han, Nan-Wei; Hung, Mao-Wei 54 2012 On the expected discounted penalty function at ruin of a surplus process with interest. Zbl 1074.91027Cai, Jun; Dickson, David C. M. 54 2002 Constant elasticity of variance model for proportional reinsurance and investment strategies. Zbl 1231.91193Gu, Mengdi; Yang, Yipeng; Li, Shoude; Zhang, Jingyi 53 2010 Second order regular variation and conditional tail expectation of multiple risks. Zbl 1228.91039Hua, Lei; Joe, Harry 53 2011 Ruin probabilities for time-correlated claims in the compound binomial model. Zbl 1074.91032Yuen, K. C.; Guo, J. Y. 53 2001 Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails. Zbl 1074.91029Konstantinides, Dimitrios; Tang, Qihe; Tsitsiashvili, Gurami 53 2002 Some results on ruin probabilities in a two-dimensional risk model. Zbl 1055.91041Chan, Wai-Sum; Yang, Hailiang; Zhang, Lianzeng 53 2003 Optimal pension management in a stochastic framework. Zbl 1068.91028Battocchio, Paolo; Menoncin, Francesco 53 2004 Estimating the tail-dependence coefficient: properties and pitfalls. Zbl 1101.62012Frahm, Gabriel; Junker, Markus; Schmidt, Rafael 53 2005 Comonotonicity, correlation order and premium principles. Zbl 0909.62110Wang, Shaun; Dhaene, Jan 53 1998 Optimal investment for an insurer: the martingale approach. Zbl 1141.91470Wang, Zengwu; Xia, Jianming; Zhang, Lihong 52 2007 How long is the surplus below zero? Zbl 0777.62096Dos Reis, Alfredo Egídio 52 1993 Optimal control of risk exposure, reinsurance and investments for insurance portfolios. Zbl 1052.62107Irgens, Christian; Paulsen, Jostein 52 2004 Optimal dividend and issuance of equity policies in the presence of proportional costs. Zbl 1141.91528Løkka, Arne; Zervos, Mihail 51 2008 Bayesian Poisson log-bilinear mortality projections. Zbl 1110.62142Czado, Claudia; Delwarde, Antoine; Denuit, Michel 51 2005 Optimal investment-reinsurance policy for an insurance company with VaR constraint. Zbl 1231.91155Chen, Shumin; Li, Zhongfei; Li, Kemian 51 2010 Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process. Zbl 1318.91123Shen, Yang; Zeng, Yan 51 2015 Risk aggregation with dependence uncertainty. Zbl 1291.91090Bernard, Carole; Jiang, Xiao; Wang, Ruodu 51 2014 Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process. Zbl 1218.91084Liang, Zhibin; Yuen, Kam Chuen; Guo, Junyi 50 2011 Asymptotics for risk capital allocations based on conditional tail expectation. Zbl 1228.91029Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; Vernic, Raluca 50 2011 Systemic risk: conditional distortion risk measures. Zbl 1484.91504Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying 2 2022 Risk measures induced by efficient insurance contracts. 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Zbl 1467.91138Carbonneau, Alexandre 3 2021 Infinitely stochastic micro reserving. Zbl 1471.91474Maciak, Matúš; Okhrin, Ostap; Pešta, Michal 3 2021 A decomposition of general premium principles into risk and deviation. Zbl 1471.91477Nendel, Max; Riedel, Frank; Schmeck, Maren Diane 3 2021 Cyber claim analysis using generalized Pareto regression trees with applications to insurance. Zbl 1466.91255Farkas, Sébastien; Lopez, Olivier; Thomas, Maud 3 2021 Mortality options: the point of view of an insurer. Zbl 1460.91238Schmeck, Maren Diane; Schmidli, Hanspeter 2 2021 Pareto-optimal reinsurance policies with maximal synergy. Zbl 1460.91225Jiang, Wenjun; Hong, Hanping; Ren, Jiandong 2 2021 Stochastic orders and multivariate measures of risk contagion. Zbl 1460.91252Ortega-Jiménez, P.; Sordo, M. A.; Suárez-Llorens, A. 2 2021 A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis. Zbl 1460.91226Jin, Zhuo; Yang, Hailiang; Yin, G. 2 2021 Model-independent price bounds for catastrophic mortality bonds. Zbl 1460.91209Bahl, Raj Kumari; Sabanis, Sotirios 2 2021 Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times. Zbl 1460.91215Chen, 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 1460.91239Shen, Yang; Zou, Bin 2 2021 Dynamics of state-wise prospective reserves in the presence of non-monotone information. Zbl 1460.91216Christiansen, Marcus C.; Furrer, Christian 2 2021 Addressing the life expectancy gap in pension policy. Zbl 1467.91135Bravo, Jorge M.; Ayuso, Mercedes; Holzmann, Robert; Palmer, Edward 2 2021 A Fourier-cosine method for finite-time ruin probabilities. Zbl 1467.91144Lee, Wing Yan; Li, Xiaolong; Liu, Fangda; Shi, Yifan; Yam, Sheung Chi Phillip 2 2021 Longevity risk and capital markets: the 2019–20 update. Zbl 07368206 2 2021 Stop-loss protection for a large P2P insurance pool. Zbl 1471.91455Denuit, Michel; Robert, Christian Y. 2 2021 SynthETIC: an individual insurance claim simulator with feature control. Zbl 1471.91445Avanzi, Benjamin; Taylor, Greg; Wang, Melantha; Wong, Bernard 2 2021 A fractional multi-states model for insurance. Zbl 1466.91260Hainaut, Donatien 2 2021 Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance. Zbl 1475.91301Ghossoub, Mario; He, Xue Dong 2 2021 Optimal retirement products under subjective mortality beliefs. Zbl 1475.91291Chen, An; Hieber, Peter; Rach, Manuel 2 2021 Dividend optimisation: a behaviouristic approach. Zbl 1478.91162Brinker, Leonie Violetta; Eisenberg, Julia 2 2021 Moment generating function of non-Markov self-excited claims processes. 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Zbl 1460.91233Mourdoukoutas, Fotios; Boonen, Tim J.; Koo, Bonsoo; Pantelous, Athanasios A. 1 2021 Joint generalized quantile and conditional tail expectation regression for insurance risk analysis. Zbl 1467.91139Guillen, Montserrat; Bermúdez, Lluís; Pitarque, Albert 1 2021 On the modelling of multivariate counts with Cox processes and dependent shot noise intensities. Zbl 1467.91128Avanzi, Benjamin; Taylor, Greg; Wong, Bernard; Yang, Xinda 1 2021 Time-consistent longevity hedging with long-range dependence. Zbl 1467.91154Wang, Ling; Wong, Hoi Ying 1 2021 Right-truncated Archimedean and related copulas. Zbl 1468.62288Hofert, Marius 1 2021 Option pricing in regime-switching frameworks with the extended Girsanov principle. Zbl 1467.91185Godin, Frédéric; Trottier, Denis-Alexandre 1 2021 Joint and survivor annuity valuation with a bivariate reinforced urn process. Zbl 1467.91151Souto Arias, Luis A.; Cirillo, Pasquale 1 2021 It takes two: why mortality trend modeling is more than modeling one mortality trend. Zbl 1467.91133Börger, Matthias; Russ, Jochen; Schupp, Johannes 1 2021 The role of a longevity insurance for defined contribution pension systems. Zbl 1467.91131Berstein, Solange; Morales, Marco 1 2021 Gompertz law revisited: forecasting mortality with a multi-factor exponential model. Zbl 1467.91146Li, Hong; Tan, Ken Seng; Tuljapurkar, Shripad; Zhu, Wenjun 1 2021 Modeling and pricing longevity derivatives using Skellam distribution. Zbl 1467.91143Kung, Ko-Lun; Liu, I-Chien; Wang, Chou-Wen 1 2021 On the analysis of deep drawdowns for the Lévy insurance risk model. Zbl 1478.91165Landriault, David; Li, Bin; Lkabous, Mohamed Amine 1 2021 Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. Zbl 1471.91451Cai, Jun; Wang, Ying 1 2021 Approximate Bayesian computations to fit and compare insurance loss models. Zbl 1471.91459Goffard, Pierre-Olivier; Laub, Patrick J. 1 2021 Equilibrium investment strategy for a DC pension plan with learning about stock return predictability. Zbl 1471.91486Wang, Pei; Shen, Yang; Zhang, Ling; Kang, Yuxin 1 2021 Concave/convex weighting and utility functions for risk: a new light on classical theorems. Zbl 1471.91088Wakker, Peter P.; Yang, Jingni 1 2021 Fair dynamic valuation of insurance liabilities via convex hedging. Zbl 1466.91252Chen, Ze; Chen, Bingzheng; Dhaene, Jan; Yang, Tianyu 1 2021 Bowley solution of a mean-variance game in insurance. Zbl 1466.91264Li, Danping; Young, Virginia R. 1 2021 Prepayment risk in reverse mortgages: an intensity-governed surrender model. Zbl 1466.91269Shi, Tianxiang; Lee, Yung-Tsung 1 2021 Micro-level parametric duration-frequency-severity modeling for outstanding claim payments. Zbl 1470.91234Yanez, Juan Sebastian; Pigeon, Mathieu 1 2021 Demand for non-life insurance under habit formation. Zbl 1475.91311Li, Wenyuan; Tan, Ken Seng; Wei, Pengyu 1 2021 Optimal annuity demand for general expected utility agents. Zbl 1475.91284Bernard, Carole; De Gennaro Aquino, Luca; Levante, Lucia 1 2021 Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods. Zbl 1475.91323Zhang, Jinhui; Purcal, Sachi; Wei, Jiaqin 1 2021 Return smoothing in life insurance from a client perspective. Zbl 1475.91314Ruß, Jochen; Schelling, Stefan 1 2021 Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion. Zbl 1475.91324Zhang, Liming; Li, Bin 1 2021 Optimal control of investment, premium and deductible for a non-life insurance company. Zbl 1475.91293Christensen, Bent Jesper; Parra-Alvarez, Juan Carlos; Serrano, Rafael 1 2021 Autocalibration and Tweedie-dominance for insurance pricing with machine learning. Zbl 1475.91295Denuit, Michel; Charpentier, Arthur; Trufin, Julien 1 2021 Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds. Zbl 1475.91353Colaneri, Katia; Frey, Rüdiger 1 2021 Optimal fee structure of variable annuities. Zbl 1475.91321Wang, Gu; Zou, Bin 1 2021 Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility. Zbl 1431.91347Yan, Tingjin; Wong, Hoi Ying 10 2020 Optimal insurance with belief heterogeneity and incentive compatibility. Zbl 1445.91052Chi, Yichun; Zhuang, Sheng Chao 10 2020 Convex risk functionals: representation and applications. Zbl 1431.91340Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu 8 2020 Generalized expected discounted penalty function at general drawdown for Lévy risk processes. Zbl 1435.91162Wang, Wenyuan; Chen, Ping; Li, Shuanming 6 2020 On occupation times in the red of Lévy risk models. Zbl 1445.91053Landriault, David; Li, Bin; Lkabous, Mohamed Amine 5 2020 Robust optimal reinsurance-investment strategy with price jumps and correlated claims. Zbl 1445.91051Chen, Zhiping; Yang, Peng 5 2020 Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin. Zbl 1445.91054Liang, Xiaoqing; Liang, Zhibin; Young, Virginia R. 5 2020 Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models. Zbl 1446.91073Shushi, Tomer; Yao, Jing 5 2020 Nonlinear reserving and multiple contract modifications in life insurance. Zbl 1446.91058Christiansen, Marcus C.; Djehiche, Boualem 5 2020 Ruin-based risk measures in discrete-time risk models. Zbl 1447.91132Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre 5 2020 Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach. Zbl 1435.91158Lin, X. Sheldon; Yang, Shuai 5 2020 Is the inf-convolution of law-invariant preferences law-invariant? Zbl 1435.91064Liu, Peng; Wang, Ruodu; Wei, Linxiao 5 2020 Concave distortion risk minimizing reinsurance design under adverse selection. Zbl 1435.91142Cheung, Ka Chun; Phillip Yam, Sheung Chi; Yuen, Fei Lung; Zhang, Yiying 5 2020 Predictive compound risk models with dependence. Zbl 1454.91195Jeong, Himchan; Valdez, Emiliano A. 5 2020 On log-normal convolutions: an analytical-numerical method with applications to economic capital determination. Zbl 1431.91327Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey 4 2020 Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments. Zbl 1445.91055Xu, Ran; Woo, Jae-Kyung 4 2020 Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age? Zbl 1446.91068Milevsky, Moshe A. 4 2020 Nash equilibria in optimal reinsurance bargaining. Zbl 1446.91054Anthropelos, Michail; Boonen, Tim J. 4 2020 Optimal reinsurance-investment strategy for a dynamic contagion claim model. Zbl 1446.91056Cao, Jingyi; Landriault, David; Li, Bin 4 2020 Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR. Zbl 1447.91137Forsyth, Peter A. 4 2020 Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs. Zbl 1447.91126Avanzi, Benjamin; Lau, Hayden; Wong, Bernard 4 2020 Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted models. Zbl 1452.91280Počuča, Nikola; Jevtić, Petar; McNicholas, Paul D.; Miljkovic, Tatjana 4 2020 The diffusion of complex securities: the case of CAT bonds. Zbl 1431.91324Faias, José Afonso; Guedes, José 3 2020 Pitfalls and merits of cointegration-based mortality models. Zbl 1431.91334Jarner, Søren F.; Jallbjørn, Snorre 3 2020 Parisian ruin with a threshold dividend strategy under the dual Lévy risk model. Zbl 1431.91345Yang, Chen; Sendova, Kristina P.; Li, Zhong 3 2020 ...and 1617 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 8,550 Authors 115 Denuit, Michel M. 104 Yang, Hailiang 90 Goovaerts, Marc J. 78 Haberman, Steven 76 Siu, Tak Kuen 73 Young, Virginia R. 72 Dhaene, Jan 71 Yuen, Kam Chuen 67 Willmot, Gordon E. 62 Albrecher, Hansjörg 62 Tang, Qihe 54 Zhang, Zhimin 53 Landriault, David 51 Hashorva, Enkelejd 50 Yang, Yang 49 Li, Shuanming 48 Cai, Jun 48 Wang, Ruodu 47 Durante, Fabrizio 47 Guo, Junyi 47 Lefèvre, Claude 47 Yin, Chuancun 46 Cheung, Ka Chun 45 Gerber, Hans U. 45 Jin, Zhuo 45 Marceau, Étienne 44 Hu, Yijun 44 Loisel, Stéphane 43 Hu, Taizhong 41 Li, Xiaohu 41 Wang, Rongming 41 Wu, Rong 40 Cossette, Hélène 40 Tan, Ken Seng 40 Wang, Guojing 39 Fernández-Sánchez, Juan 39 Li, Zhongfei 38 Cheung, Eric C. 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Sheldon 29 Schmidli, Hanspeter 29 Wei, Jiaqin 28 Badescu, Andrei L. 28 Christiansen, Marcus Christian 28 Feng, Runhuan 28 Li, Danping 28 Valdez, Emiliano A. 28 Vanduffel, Steven 28 Wang, Yuebao 27 Avram, Florin 27 Chi, Yichun 27 Gómez-Déniz, Emilio 27 Nadarajah, Saralees 27 Wang, Kaiyong 27 Woo, Jae-Kyung 27 Yam, Sheung Chi Phillip 27 Yang, Jingping 26 Asimit, Alexandru V. 26 Asmussen, Søren 26 Balakrishnan, Narayanaswamy 26 Bernard, Carole L. 26 Embrechts, Paul ...and 8,450 more Authors all top 5 Cited in 473 Journals 2,275 Insurance Mathematics & Economics 471 Scandinavian Actuarial Journal 419 North American Actuarial Journal 290 Communications in Statistics. 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