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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: Journal; Indexed cover-to-cover
Documents Indexed: 2,897 Publications (since 1982)
References Indexed: 2,859 Publications with 76,914 References.
all top 5

Authors

77 Goovaerts, Marc J.
55 Haberman, Steven
48 Denuit, Michel M.
42 Dhaene, Jan
42 Young, Virginia R.
37 Gerber, Hans U.
37 Kaas, Rob
37 Willmot, Gordon E.
35 de Vylder, Florent Etienne
31 Marceau, Étienne
30 Yang, Hailiang
28 Cheung, Ka Chun
26 Landriault, David
26 Liang, Zongxia
24 Guillen, Montserrat
23 Cossette, Hélène
23 Landsman, Zinoviy M.
22 Shiu, Elias S. W.
21 Dickson, David C. M.
21 Sherris, Michael
21 Tang, Qihe
20 Laeven, Roger J. A.
19 Chi, Yichun
19 Lefèvre, Claude
19 Lin, X. Sheldon
18 Albrecher, Hansjörg
18 Siu, Tak Kuen
17 Hürlimann, Werner
17 Li, Shuanming
17 Loisel, Stéphane
17 Sundt, Bjørn Rosted
17 Tan, Ken Seng
17 Verrall, Richard J.
17 Zeng, Yan
16 Boonen, Tim J.
16 Cai, Jun
16 De Waegenaere, Anja
16 Hu, Taizhong
16 Shen, Yang
15 Feng, Runhuan
15 Li, Johnny Siu-Hang
15 Li, Zhongfei
15 Milevsky, Moshe Arye
15 Tsai, Cary Chi-Liang
15 Wang, Ruodu
15 Wüthrich, Mario Valentin
14 Delbaen, Freddy
14 Furman, Edward
14 Haezendonck, Jean
14 Sordo, Miguel Ángel
14 Weng, Chengguo
13 Asimit, Alexandru V.
13 Avanzi, Benjamin
13 Beirlant, Jan
13 Cairns, Andrew J. G.
13 Frostig, Esther
13 Gatzert, Nadine
13 Jin, Zhuo
13 Wong, Bernard
13 Wong, Hoi Ying
13 Yuen, Kam Chuen
12 Blake, David
12 Hainaut, Donatien
12 Nielsen, Jens Perch
12 Schmidli, Hanspeter
12 Trufin, Julien
12 Valdez, Emiliano A.
12 Woo, Jae-Kyung
12 Yam, Sheung Chi Phillip
12 Yang, Jingping
11 Chen, An
11 Garrido, José
11 Ghossoub, Mario
11 Li, Bin
11 Malinovskiĭ, Vsevolod Konstantinovich
11 Mao, Tiantian
11 Shapiro, Arnold F.
11 Zitikis, Ričardas
10 Christiansen, Marcus Christian
10 De Schepper, Ann
10 Deelstra, Griselda
10 Guillou, Armelle
10 Hashorva, Enkelejd
10 Jones, Bruce L.
10 Li, Danping
10 Peng, Liang
10 Pitselis, Georgios
10 Ramsay, Colin M.
10 Renshaw, Arthur E.
10 Taksar, Michael I.
10 Taylor, Greg
10 Teugels, Jozef L.
10 Wang, Shaun S.
9 Badescu, Andrei L.
9 Bayraktar, Erhan
9 Boyle, Phelim P.
9 Cheung, Eric C. K.
9 Guan, Guohui
9 He, Lin
9 Lu, Yi
...and 2,696 more Authors

Publications by Year

Citations contained in zbMATH Open

2,590 Publications have been cited 39,651 times in 12,086 Documents Cited by Year
Pair-copula constructions of multiple dependence. Zbl 1165.60009
Aas, Kjersti; Czado, Claudia; Frigessi, Arnoldo; Bakken, Henrik
317
2009
The concept of comonotonicity in actuarial science and finance: theory. Zbl 1051.62107
Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D.
308
2002
Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529
Asmussen, Søren; Taksar, Michael
239
1997
Goodness-of-fit tests for copulas: A review and a power study. Zbl 1161.91416
Genest, Christian; Rémillard, Bruno; Beaudoin, David
218
2009
Axiomatic characterization of insurance prices. Zbl 0959.62099
Wang, Shaun S.; Young, Virginia R.; Panjer, Harry H.
214
1997
A cohort-based extension to the Lee-Carter model for mortality reduction factors. Zbl 1168.91418
Renshaw, A. E.; Haberman, S.
214
2006
A Poisson log-bilinear regression approach to the construction of projected lifetables. Zbl 1074.62524
Brouhns, Natacha; Denuit, Michel; Vermunt, Jeroen K.
213
2002
Optimal investment for insurer with jump-diffusion risk process. Zbl 1129.91020
Yang, Hailiang; Zhang, Lihong
188
2005
Risk theory for the compound Poisson process that is perturbed by diffusion. Zbl 0723.62065
Dufresne, François; Gerber, Hans U.
179
1991
Estimates for the probability of ruin with special emphasis on the possibility of large claims. Zbl 0518.62083
Embrechts, P.; Veraverbeke, N.
179
1982
The concept of comonotonicity in actuarial science and finance: applications. Zbl 1037.62107
Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D.
175
2002
Optimal investment for insurers. Zbl 1007.91025
Hipp, Christian; Plum, Michael
167
2000
On the time to ruin for Erlang(2) risk processes. Zbl 1074.91549
Dickson, David C. M.; Hipp, Christian
165
2001
Risk measures via \(g\)-expectations. Zbl 1147.91346
Rosazza Gianin, Emanuela
157
2006
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Zbl 1147.93046
Bai, Lihua; Guo, Junyi
154
2008
On ruin for the Erlang \((n)\) risk process. Zbl 1188.91089
Li, Shuanming; Garrido, José
154
2004
Affine processes for dynamic mortality and actuarial valuations. Zbl 1129.91024
Biffis, Enrico
145
2005
Valuation of the early-exercise price for options using simulations and nonparametric regression. Zbl 0894.62109
Carriere, Jacques F.
135
1996
Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts. Zbl 1075.62095
Dahl, Mikkel
134
2004
Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Zbl 1218.91167
Zeng, Yan; Li, Zhongfei
133
2011
Mortality derivatives and the option to annuitise. Zbl 1074.62530
Milevsky, Moshe A.; Promislow, S. David
131
2001
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
128
2003
Insurance pricing and increased limits ratemaking by proportional hazards transforms. Zbl 0837.62088
Wang, Shaun
125
1995
Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417
Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
125
2008
Lee-Carter mortality forecasting with age-specific enhancement. Zbl 1103.91371
Renshaw, A. E.; Haberman, S.
123
2003
Generalized quantiles as risk measures. Zbl 1303.91089
Bellini, Fabio; Klar, Bernhard; Müller, Alfred; Rosazza Gianin, Emanuela
118
2014
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.
118
1997
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
115
2013
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
108
2000
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Zbl 0924.60075
Gerber, Hans U.; Landry, Bruno
107
1998
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
105
2001
Optimal dividends in the dual model. Zbl 1131.91026
Avanzi, Benjamin; Gerber, Hans U.; Shiu, Elias S. W.
105
2007
Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. Zbl 1284.91250
Li, Zhongfei; Zeng, Yan; Lai, Yongzeng
99
2012
On convex principles of premium calculation. Zbl 0579.62090
Deprez, Olivier; Gerber, Hans U.
96
1985
Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps. Zbl 1348.91192
Zeng, Yan; Li, Danping; Gu, Ailing
95
2016
Valuation and hedging of life insurance liabilities with systematic mortality risk. Zbl 1201.91089
Dahl, Mikkel; Møller, Thomas
95
2006
Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556
Lin, X. Sheldon; Willmot, Gordon E.
94
1999
The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383
Lin, X. Sheldon; Pavlova, Kristina P.
93
2006
Optimal insurance under Wang’s premium principle. Zbl 1156.62364
Young, Virginia R.
93
1999
Ruin estimates under interest force. Zbl 0838.62098
Sundt, Bjørn; Teugels, Jozef L.
91
1995
Optimal reinsurance under mean-variance premium principles. Zbl 1009.62096
Kaluszka, Marek
91
2001
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.
90
2000
Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496
Chen, Ping; Yang, Hailiang; Yin, George
88
2008
Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075
Kulenko, Natalie; Schmidli, Hanspeter
87
2008
Upper and lower bounds for sums of random variables. Zbl 0989.60019
Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J.
86
2000
Asset and liability management under a continuous-time mean-variance optimization framework. Zbl 1151.91493
Chiu, Mei Choi; Li, Duan
86
2006
On stochastic mortality modeling. Zbl 1231.91227
Plat, Richard
86
2009
Financial valuation of guaranteed minimum withdrawal benefits. Zbl 1116.91048
Milevsky, Moshe A.; Salisbury, Thomas S.
85
2006
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
85
2008
Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process. Zbl 1318.91123
Shen, Yang; Zeng, Yan
84
2015
Optimal dividend problem with a terminal value for spectrally positive Lévy processes. Zbl 1290.91176
Yin, Chuancun; Wen, Yuzhen
82
2013
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
81
2012
Optimal investment strategies in the presence of a minimum guarantee. Zbl 1074.91013
Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François
81
2003
Optimal reinsurance in relation to ordering of risks. Zbl 0683.62060
van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J.
78
1989
Ordering risks: expected utility theory versus Yaari’s dual theory of risk. Zbl 0907.90102
Wang, Shaun S.; Young, Virginia R.
77
1998
Weighted premium calculation principles. Zbl 1141.91509
Furman, Edward; Zitikis, Ričardas
77
2008
Stop-loss order for portfolios of dependent risks. Zbl 0894.90022
Müller, Alfred
76
1997
A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048
Albrecher, Hansjörg; Boxma, Onno J.
76
2004
Pricing exotic options under regime switching. Zbl 1141.91420
Boyle, Phelim; Draviam, Thangaraj
76
2007
Affine stochastic mortality. Zbl 1103.60063
Schrager, David F.
76
2006
Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles. Zbl 1284.91222
Cui, Wei; Yang, Jingping; Wu, Lan
74
2013
A generalized defective renewal equation for the surplus process perturbed by diffusion. Zbl 1074.91563
Tsai, Cary Chi-Liang; Willmot, Gordon E.
73
2002
Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps. Zbl 1284.91282
Zeng, Yan; Li, Zhongfei; Lai, Yongzeng
72
2013
Optimal reinsurance with general risk measures. Zbl 1162.91394
Balbás, Alejandro; Balbás, Beatriz; Heras, Antonio
71
2009
Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model. Zbl 1290.91106
Zhao, Hui; Rong, Ximin; Zhao, Yonggan
71
2013
Fitting bivariate loss distributions with copulas. Zbl 0931.62044
Klugman, Stuart A.; Parsa, Rahul
71
1999
On the discounted penalty function in a Markov-dependent risk model. Zbl 1129.91023
Albrecher, Hansjörg; Boxma, Onno J.
71
2005
Optimal pension management in a stochastic framework. Zbl 1068.91028
Battocchio, Paolo; Menoncin, Francesco
70
2004
Optimal choice of dividend barriers for a risk process with stochastic return on investments. Zbl 0894.90048
Paulsen, Jostein; Gjessing, Håkon K.
69
1997
Constant elasticity of variance model for proportional reinsurance and investment strategies. Zbl 1231.91193
Gu, Mengdi; Yang, Yipeng; Li, Shoude; Zhang, Jingyi
69
2010
On reinsurance and investment for large insurance portfolios. Zbl 1141.91532
Luo, Shangzhen; Taksar, Michael; Tsoi, Allanus
68
2008
Weighted risk capital allocations. Zbl 1189.62163
Furman, Edward; Zitikis, Ričardas
67
2008
Second order regular variation and conditional tail expectation of multiple risks. Zbl 1228.91039
Hua, Lei; Joe, Harry
67
2011
On a class of renewal risk models with a constant dividend barrier. Zbl 1122.91345
Li, Shuanming; Garrido, José
66
2004
Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process. Zbl 1218.91084
Liang, Zhibin; Yuen, Kam Chuen; Guo, Junyi
66
2011
Optimal asset allocation for DC pension plans under inflation. Zbl 1284.91520
Han, Nan-Wei; Hung, Mao-Wei
66
2012
Optimal investment and reinsurance of an insurer with model uncertainty. Zbl 1231.91257
Zhang, Xin; Siu, Tak Kuen
66
2009
Estimating the tail-dependence coefficient: properties and pitfalls. Zbl 1101.62012
Frahm, Gabriel; Junker, Markus; Schmidt, Rafael
65
2005
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
65
2008
Marginal indemnification function formulation for optimal reinsurance. Zbl 1348.91196
Zhuang, Sheng Chao; Weng, Chengguo; Tan, Ken Seng; Assa, Hirbod
65
2016
A synthesis of risk measures for capital adequacy. Zbl 0951.91032
Wirch, Julia Lynn; Hardy, Mary R.
64
1999
Ruin probabilities for time-correlated claims in the compound binomial model. Zbl 1074.91032
Yuen, K. C.; Guo, J. Y.
64
2001
A uniform asymptotic estimate for discounted aggregate claims with subexponential tails. Zbl 1142.62090
Hao, Xuemiao; Tang, Qihe
63
2008
Comonotonicity, correlation order and premium principles. Zbl 0909.62110
Wang, Shaun; Dhaene, Jan
63
1998
Optimal control of risk exposure, reinsurance and investments for insurance portfolios. Zbl 1052.62107
Irgens, Christian; Paulsen, Jostein
63
2004
Optimal investment-reinsurance policy for an insurance company with VaR constraint. Zbl 1231.91155
Chen, Shumin; Li, Zhongfei; Li, Kemian
63
2010
The safest dependence structure among risks. Zbl 1072.62651
Dhaene, Jan; Denuit, Michel
63
1999
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010
Schachermayer, W.
62
1992
Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework. Zbl 1304.91193
Guan, Guohui; Liang, Zongxia
62
2014
Evaluating and extending the Lee-Carter model for mortality forecasting: bootstrap confidence interval. Zbl 1098.62138
Koissi, Marie-Claire; Shapiro, Arnold F.; Högnäs, Göran
62
2006
Actuarial bridges to dynamic hedging and option pricing. Zbl 0896.62112
Gerber, Hans U.; Shiu, Elias S. W.
62
1996
Ruin probabilities in the compound binomial model. Zbl 0778.62099
Willmot, Gordon E.
61
1993
Asymptotics for risk capital allocations based on conditional tail expectation. Zbl 1228.91029
Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; Vernic, Raluca
61
2011
Discounted probabilities and ruin theory in the compound binomial model. Zbl 1013.91063
Cheng, Shixue; Gerber, Hans U.; Shiu, Elias S. W.
61
2000
Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model. Zbl 1348.91195
Zheng, Xiaoxiao; Zhou, Jieming; Sun, Zhongyang
61
2016
On the distribution of the surplus prior to ruin. Zbl 0770.62090
Dickson, David C. M.
60
1992
Optimal dividend and issuance of equity policies in the presence of proportional costs. Zbl 1141.91528
Løkka, Arne; Zervos, Mihail
60
2008
Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach. Zbl 1304.91132
Shen, Yang; Zeng, Yan
60
2014
On optimal reinsurance policy with distortion risk measures and premiums. Zbl 1314.91132
Assa, Hirbod
60
2015
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
60
2002
A mean field game approach to optimal investment and risk control for competitive insurers. Zbl 1537.91239
Bo, Lijun; Wang, Shihua; Zhou, Chao
2
2024
Analyzing the interest rate risk of equity-indexed annuities via scenario matrices. Zbl 1532.91091
Günther, Sascha; Hieber, Peter
2
2024
Optimal investment in defined contribution pension schemes with forward utility preferences. Zbl 1532.91100
Ng, Kenneth Tsz Hin; Chong, Wing Fung
2
2024
Optimal payout strategies when Bruno de Finetti meets model uncertainty. Zbl 1537.91245
Feng, Yang; Siu, Tak Kuen; Zhu, Jinxia
1
2024
Risk-neutral valuation of GLWB riders in variable annuities. Zbl 1532.91084
Bacinello, Anna Rita; Maggistro, Rosario; Zoccolan, Ivan
1
2024
Asymptotic results on tail moment for light-tailed risks. Zbl 1532.91105
Wang, Bingjie; Li, Jinzhu
1
2024
Stressing dynamic loss models. Zbl 1532.91096
Kroell, Emma; Pesenti, Silvana M.; Jaimungal, Sebastian
1
2024
Bayesian CART models for insurance claims frequency. Zbl 1532.91110
Zhang, Yaojun; Ji, Lanpeng; Aivaliotis, Georgios; Taylor, Charles
1
2024
Tweedie multivariate semi-parametric credibility with the exchangeable correlation. Zbl 1536.91284
Jeong, Himchan
1
2024
Bowley solution under the reinsurer’s default risk. Zbl 1536.91278
Chen, Yanhong; Cheung, Ka Chun; Zhang, Yiying
1
2024
Moral hazard in loss reduction and state-dependent utility. Zbl 1536.91288
Seog, S. Hun; Hong, Jimin
1
2024
A life insurance model with asymmetric time preferences. Zbl 07969391
Alderborn, Joakim
1
2024
A unified theory of decentralized insurance. Zbl 07969400
Feng, Runhuan; Liu, Ming; Zhang, Ning
1
2024
Law-invariant return and star-shaped risk measures. Zbl 1545.91334
Laeven, Roger J. A.; Rosazza Gianin, Emanuela; Zullino, Marco
1
2024
Optimal insurance with mean-deviation measures. Zbl 1548.91089
Boonen, Tim J.; Han, Xia
1
2024
Effective experience rating for large insurance portfolios via surrogate modeling. Zbl 1548.91090
Calcetero Vanegas, Sebastián; Badescu, Andrei L.; Lin, X. Sheldon
1
2024
Risk aggregation with FGM copulas. Zbl 1520.91312
Blier-Wong, Christopher; Cossette, Hélène; Marceau, Etienne
4
2023
The Gerber-Shiu discounted penalty function: a review from practical perspectives. Zbl 1508.91474
He, Yue; Kawai, Reiichiro; Shimizu, Yasutaka; Yamazaki, Kazutoshi
4
2023
Pricing extreme mortality risk in the wake of the COVID-19 pandemic. Zbl 1507.91185
Li, Han; Liu, Haibo; Tang, Qihe; Yuan, Zhongyi
4
2023
Probability equivalent level of value at risk and higher-order expected shortfalls. Zbl 1507.91240
Barczy, Mátyás; K. Nedényi, Fanni; Sütő, László
4
2023
Equilibria and efficiency in a reinsurance market. Zbl 1532.91112
Zhu, Michael B.; Ghossoub, Mario; Boonen, Tim J.
3
2023
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics. Zbl 1532.91106
Wang, Ning; Zhang, Yumo
3
2023
Optimal insurance design under mean-variance preference with narrow framing. Zbl 1528.91063
Liang, Xiaoqing; Jiang, Wenjun; Zhang, Yiying
3
2023
Deep quantile and deep composite triplet regression. Zbl 1508.91470
Fissler, Tobias; Merz, Michael; Wüthrich, Mario V.
3
2023
Robust retirement and life insurance with inflation risk and model ambiguity. Zbl 1517.91193
Park, Kyunghyun; Wong, Hoi Ying; Yan, Tingjin
3
2023
Portfolio choice with illiquid asset for a loss-averse pension fund investor. Zbl 1507.91170
Chen, Zheng; Li, Zhongfei; Zeng, Yan
3
2023
Intergenerational actuarial fairness when longevity increases: amending the retirement age. Zbl 1532.91085
Bravo, Jorge M.; Ayuso, Mercedes; Holzmann, Robert; Palmer, Edward
2
2023
Valuation of general GMWB annuities in a low interest rate environment. Zbl 1528.91062
Fontana, Claudio; Rotondi, Francesco
2
2023
Dynamic asset-liability management with frictions. Zbl 1520.91359
Yan, Tingjin; Han, Jinhui; Ma, Guiyuan; Siu, Chi Chung
2
2023
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory. Zbl 1512.91124
Mi, Hui; Xu, Zuo Quan
2
2023
Optimal consumption and life insurance under shortfall aversion and a drawdown constraint. Zbl 1507.91188
Li, Xun; Yu, Xiang; Zhang, Qinyi
2
2023
Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach. Zbl 1534.91132
Qiu, Ming; Jin, Zhuo; Li, Shuanming
1
2023
Aggregate Markov models in life insurance: properties and valuation. Zbl 1534.91107
Ahmad, Jamaal; Bladt, Mogens; Furrer, Christian
1
2023
Joint life care annuities to help retired couples to finance the cost of long-term care. Zbl 1532.91104
Ventura-Marco, Manuel; Vidal-Meliá, Carlos; Pérez-Salamero González, Juan Manuel
1
2023
Multi-constrained optimal reinsurance model from the duality perspectives. Zbl 1532.91087
Cheung, Ka Chun; He, Wanting; Wang, He
1
2023
Optimal risk management with reinsurance and its counterparty risk hedging. Zbl 1532.91088
Chi, Yichun; Hu, Tao; Huang, Yuxia
1
2023
Two-phase selection of representative contracts for valuation of large variable annuity portfolios. Zbl 1532.91093
Jiang, Ruihong; Saunders, David; Weng, Chengguo
1
2023
Diagnostic tests before modeling longitudinal actuarial data. Zbl 1532.91098
Li, Yinhuan; Fung, Tsz Chai; Peng, Liang; Qian, Linyi
1
2023
Multiple per-claim reinsurance based on maximizing the Lundberg exponent. Zbl 1529.91063
Meng, Hui; Wei, Li; Zhou, Ming
1
2023
A note on portfolios of averages of lognormal variables. Zbl 1527.91146
Boyle, Phelim; Jiang, Ruihong
1
2023
Asymptotics for a time-dependent by-claim model with dependent subexponential claims. Zbl 1522.62096
Yuan, Meng; Lu, Dawei
1
2023
Multiple-prior valuation of cash flows subject to capital requirements. Zbl 1520.91325
Engsner, Hampus; Lindskog, Filip; Thøgersen, Julie
1
2023
Assessing the difference between integrated quantiles and integrated cumulative distribution functions. Zbl 1520.91354
Wei, Yunran; Zitikis, Ričardas
1
2023
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks. Zbl 1520.91344
Mao, Tiantian; Stupfler, Gilles; Yang, Fan
1
2023
Actuarial fairness and social welfare in mixed-cohort tontines. Zbl 1520.91315
Chen, An; Rach, Manuel
1
2023
Parametric expectile regression and its application for premium calculation. Zbl 1520.91326
Gao, Suhao; Yu, Zhen
1
2023
Dependence modeling of frequency-severity of insurance claims using waiting time. Zbl 1508.91471
Gao, Guangyuan; Li, Jiahong
1
2023
Optimal insurance contracts for a shot-noise Cox claim process and persistent insured’s actions. Zbl 1508.91479
Liu, Wenyue; Cadenillas, Abel
1
2023
Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach. Zbl 1519.91214
Lautier, Jackson P.; Pozdnyakov, Vladimir; Yan, Jun
1
2023
Empirical tail risk management with model-based annealing random search. Zbl 1512.91104
Fan, Qi; Tan, Ken Seng; Zhang, Jinggong
1
2023
From risk reduction to risk elimination by conditional mean risk sharing of independent losses. Zbl 1507.91174
Denuit, Michel; Robert, Christian Y.
1
2023
Inf-convolution and optimal allocations for mixed-VaRs. Zbl 1507.91242
Xia, Zichao; Zou, Zhenfeng; Hu, Taizhong
1
2023
A new stochastic dominance criterion for dependent random variables with applications. Zbl 1507.91197
Belzunce, Félix; Martínez-Riquelme, Carolina
1
2023
Pairwise counter-monotonicity. Zbl 1520.91336
Lauzier, Jean-Gabriel; Lin, Liyuan; Wang, Ruodu
1
2023
Stackelberg differential game for reinsurance: mean-variance framework and random horizon. Zbl 1484.91392
Li, Danping; Young, Virginia R.
17
2022
Stackelberg differential game for insurance under model ambiguity. Zbl 1498.91352
Cao, Jingyi; Li, Dongchen; Young, Virginia R.; Zou, Bin
13
2022
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method. Zbl 1492.91303
Kang, Boda; Shen, Yang; Zhu, Dan; Ziveyi, Jonathan
12
2022
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets. Zbl 1492.91276
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra
9
2022
Systemic risk: conditional distortion risk measures. Zbl 1484.91504
Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying
9
2022
An asymptotic study of systemic expected shortfall and marginal expected shortfall. Zbl 1492.91406
Chen, Yiqing; Liu, Jiajun
6
2022
Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants. Zbl 1507.91179
Gribkova, N. V.; Su, J.; Zitikis, R.
6
2022
Optimal insurance to maximize RDEU under a distortion-deviation premium principle. Zbl 1492.91304
Liang, Xiaoqing; Wang, Ruodu; Young, Virginia R.
6
2022
Care-dependent tontines. Zbl 1503.91085
Chen, An; Chen, Yusha; Xu, Xian
6
2022
Parametric measures of variability induced by risk measures. Zbl 1498.91502
Bellini, Fabio; Fadina, Tolulope; Wang, Ruodu; Wei, Yunran
6
2022
Copula-based inference for bivariate survival data with left truncation and dependent censoring. Zbl 1510.91143
Deresa, N. W.; Van Keilegom, I.; Antonio, K.
5
2022
Mortality modeling and regression with matrix distributions. Zbl 1515.62096
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge
5
2022
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating. Zbl 1510.91145
Goegebeur, Yuri; Guillou, Armelle; Pedersen, Tine; Qin, Jing
5
2022
Annuity and insurance choice under habit formation. Zbl 1492.91273
Boyle, Phelim; Tan, Ken Seng; Wei, Pengyu; Zhuang, Sheng Chao
4
2022
S-shaped narrow framing, skewness and the demand for insurance. Zbl 1492.91280
Chi, Yichun; Zheng, Jiakun; Zhuang, Shengchao
4
2022
Risk measures induced by efficient insurance contracts. Zbl 1484.91411
Wang, Qiuqi; Wang, Ruodu; Zitikis, Ričardas
4
2022
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. Zbl 1484.91366
Albrecher, Hansjörg; Cheung, Eric C. K.; Liu, Haibo; Woo, Jae-Kyung
4
2022
Cyber-contagion model with network structure applied to insurance. Zbl 1507.91182
Hillairet, Caroline; Lopez, Olivier; d’Oultremont, Louise; Spoorenberg, Brieuc
4
2022
A hierarchical reserving model for reported non-life insurance claims. Zbl 1492.91284
Crevecoeur, Jonas; Robben, Jens; Antonio, Katrien
4
2022
A general optimal approach to Bühlmann credibility theory. Zbl 1490.91179
Yan, Yujie; Song, Kai-Sheng
4
2022
Robust equilibrium strategies in a defined benefit pension plan game. Zbl 1498.91358
Guan, Guohui; Hu, Jiaqi; Liang, Zongxia
4
2022
Regret-based optimal insurance design. Zbl 1484.91380
Chi, Yichun; Zhuang, Sheng Chao
4
2022
Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. Zbl 1484.91387
Huang, Yiming; Mamon, Rogemar; Xiong, Heng
4
2022
Risk transference constraints in optimal reinsurance. Zbl 1484.91370
Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel; Heras, Antonio
4
2022
Three-step risk inference in insurance ratemaking. Zbl 1493.62584
Hou, Yanxi; Kang, Seul Ki; Lo, Chia Chun; Peng, Liang
3
2022
Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns. Zbl 1511.91115
Gao, Lisa; Shi, Peng
3
2022
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models. Zbl 1514.91170
Fung, Tsz Chai
3
2022
Irreversible reinsurance: a singular control approach. Zbl 1507.91195
Yan, Tingjin; Park, Kyunghyun; Wong, Hoi Ying
3
2022
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk. Zbl 1507.91187
Liu, Haiyan; Mao, Tiantian
3
2022
What can we learn from telematics car driving data: a survey. Zbl 1491.91106
Gao, Guangyuan; Meng, Shengwang; Wüthrich, Mario V.
3
2022
Stochastic mortality dynamics driven by mixed fractional Brownian motion. Zbl 1498.91374
Zhou, Hongjuan; Zhou, Kenneth Q.; Li, Xianping
3
2022
Risk aggregation and capital allocation using a new generalized Archimedean copula. Zbl 1484.91398
Marri, Fouad; Moutanabbir, Khouzeima
3
2022
Asymptotic results on marginal expected shortfalls for dependent risks. Zbl 1484.91393
Li, Jinzhu
3
2022
Decrease of capital guarantees in life insurance products: can reinsurance stop it? Zbl 1492.91287
Escobar-Anel, Marcos; Havrylenko, Yevhen; Kschonnek, Michel; Zagst, Rudi
2
2022
Automatic Fatou property of law-invariant risk measures. Zbl 1492.91279
Chen, Shengzhong; Gao, Niushan; Leung, Denny H.; Li, Lei
2
2022
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data. Zbl 1492.91295
Henckaerts, Roel; Antonio, Katrien
2
2022
Stochastic loss reserving with mixture density neural networks. Zbl 1492.91270
Al-Mudafer, Muhammed Taher; Avanzi, Benjamin; Taylor, Greg; Wong, Bernard
2
2022
Sample recycling method – a new approach to efficient nested Monte Carlo simulations. Zbl 1492.91423
Feng, Runhuan; Li, Peng
2
2022
Statistical inference for tail-based cumulative residual entropy. Zbl 1484.91406
Sun, Hongfang; Chen, Yu; Hu, Taizhong
2
2022
Asymptotic theory for Mack’s model. Zbl 1507.91191
Steinmetz, Julia; Jentsch, Carsten
2
2022
Frequency-severity experience rating based on latent Markovian risk profiles. Zbl 1507.91192
Verschuren, Robert Matthijs
2
2022
The Parisian and ultimate drawdowns of Lévy insurance models. Zbl 1508.91478
Li, Shu; Zhou, Xiaowen
2
2022
A two-stage model for high-risk prediction in insurance ratemaking: asymptotics and inference. Zbl 1490.91174
Hou, Yanxi
2
2022
Imbalanced learning for insurance using modified loss functions in tree-based models. Zbl 1498.91360
Hu, Changyue; Quan, Zhiyu; Chong, Wing Fung
2
2022
Actuarial intelligence in auto insurance: claim frequency modeling with driving behavior features and improved boosted trees. Zbl 1503.91092
Meng, Shengwang; Gao, Yaqian; Huang, Yifan
2
2022
Optimal dividends under Markov-modulated bankruptcy level. Zbl 1503.91088
Ferrari, Giorgio; Schuhmann, Patrick; Zhu, Shihao
2
2022
...and 1683 more Documents
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Cited by 10,346 Authors

125 Denuit, Michel M.
107 Yang, Hailiang
90 Goovaerts, Marc J.
86 Young, Virginia R.
82 Siu, Tak Kuen
80 Haberman, Steven
77 Zhang, Zhimin
76 Dhaene, Jan
76 Yuen, Kam Chuen
72 Albrecher, Hansjörg
67 Willmot, Gordon E.
66 Tang, Qihe
63 Yang, Yang
60 Wang, Ruodu
59 Yin, Chuancun
56 Landriault, David
54 Li, Shuanming
53 Hashorva, Enkelejd
51 Hu, Yijun
50 Cheung, Ka Chun
50 Guo, Junyi
50 Marceau, Étienne
49 Jin, Zhuo
48 Lefèvre, Claude
47 Cossette, Hélène
47 Ding, Feng
47 Li, Xiaohu
47 Tan, Ken Seng
46 Hu, Taizhong
45 Boonen, Tim J.
45 Fernández-Sánchez, Juan
45 Gerber, Hans U.
45 Loisel, Stéphane
45 Wang, Rongming
44 Durante, Fabrizio
43 Forsyth, Peter A.
43 Li, Zhongfei
43 Sherris, Michael
43 Zitikis, Ričardas
42 Czado, Claudia
42 Zhao, Hui
41 Liang, Zhibin
41 Rong, Ximin
41 Wu, Rong
40 Cai, Jun
40 Liang, Zongxia
40 Palmowski, Zbigniew
39 Shen, Yang
39 Wong, Hoi Ying
38 Guillen, Montserrat
38 Peng, Liang
38 Weng, Chengguo
37 Elliott, Robert James
37 Li, Danping
37 Mao, Tiantian
37 Wüthrich, Mario Valentin
37 Zeng, Yan
36 Frostig, Esther
36 Hürlimann, Werner
36 Shiu, Elias S. W.
36 Tsai, Cary Chi-Liang
36 Vanduffel, Steven
35 Lin, X. Sheldon
35 Sordo, Miguel Ángel
35 Wang, Guojing
35 Wei, Jiaqin
34 Bernard, Carole
34 Genest, Christian
34 Kremer, Erhard Karl
34 Landsman, Zinoviy M.
34 Šiaulys, Jonas
33 Balakrishnan, Narayanaswamy
33 Dickson, David C. M.
33 Feng, Runhuan
33 Hainaut, Donatien
33 Kaas, Rob
33 Li, Jinzhu
33 Úbeda-Flores, Manuel
33 Zhang, Yiying
32 Blake, David
32 de Vylder, Florent Etienne
32 Nielsen, Jens Perch
32 Wang, Wenyuan
31 Chi, Yichun
31 Wang, Kaiyong
31 Yang, Jingping
30 Gómez-Déniz, Emilio
30 Li, Johnny Siu-Hang
30 Nadarajah, Saralees
30 Schmidli, Hanspeter
29 Badescu, Andrei L.
29 Cheung, Eric C. K.
29 Christiansen, Marcus Christian
29 Dong, Yinghui
29 Gao, Qingwu
29 Klüppelberg, Claudia
29 Qian, Linyi
29 Steffensen, Mogens
29 Yao, Haixiang
28 Cairns, Andrew J. G.
...and 10,246 more Authors
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Cited in 540 Journals

2,411 Insurance Mathematics & Economics
536 Scandinavian Actuarial Journal
475 North American Actuarial Journal
396 Communications in Statistics. Theory and Methods
315 ASTIN Bulletin
306 Journal of Computational and Applied Mathematics
299 Statistics & Probability Letters
231 European Journal of Operational Research
209 Methodology and Computing in Applied Probability
209 European Actuarial Journal
190 Quantitative Finance
171 Journal of Multivariate Analysis
157 Journal of Applied Probability
141 Journal of Industrial and Management Optimization
119 Annals of Operations Research
119 International Journal of Theoretical and Applied Finance
117 Mathematical Finance
105 Applied Stochastic Models in Business and Industry
100 Applied Mathematics and Computation
99 Stochastic Processes and their Applications
95 Finance and Stochastics
92 Mathematical Problems in Engineering
88 Stochastic Models
86 Journal of Mathematical Analysis and Applications
85 Advances in Applied Probability
78 Communications in Statistics. Simulation and Computation
75 Scandinavian Actuarial Journal
73 Computational Statistics and Data Analysis
72 Journal of Economic Dynamics & Control
72 Dependence Modeling
68 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
68 Probability in the Engineering and Informational Sciences
66 Acta Mathematicae Applicatae Sinica. English Series
66 Mathematics and Financial Economics
65 SIAM Journal on Financial Mathematics
64 Fuzzy Sets and Systems
63 The Annals of Applied Probability
62 Journal of Applied Statistics
61 Journal of Statistical Planning and Inference
59 Statistical Papers
57 Decisions in Economics and Finance
56 Lithuanian Mathematical Journal
56 Extremes
54 Mathematical Methods of Operations Research
52 Stochastic Analysis and Applications
50 Discrete Dynamics in Nature and Society
48 Stochastics
44 Journal of Mathematical Economics
44 Journal of Statistical Computation and Simulation
43 Applied Mathematics and Optimization
43 Bernoulli
42 SIAM Journal on Control and Optimization
41 Journal of Optimization Theory and Applications
40 Journal of Systems Science and Complexity
39 Applied Mathematics. Series B (English Edition)
38 Scandinavian Journal of Statistics
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37 Journal of Econometrics
37 Operations Research Letters
36 Applied Mathematical Finance
34 Information Sciences
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30 Frontiers of Mathematics in China
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26 Acta Mathematica Sinica. English Series
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25 Physica A
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24 Mathematics of Operations Research
24 Journal of Inequalities and Applications
24 Mathematical Control and Related Fields
23 Statistical Methods and Applications
23 Science China. Mathematics
22 Mathematical Methods in the Applied Sciences
22 Operations Research
22 Computational Statistics
22 International Journal of Computer Mathematics
22 Advances in Difference Equations
21 International Journal of Control
21 Computational Management Science
20 International Journal of Approximate Reasoning
20 Economics Letters
19 Journal of Economic Theory
19 Applied Mathematical Modelling
19 International Journal of Robust and Nonlinear Control
...and 440 more Journals
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Cited in 55 Fields

8,209 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
5,047 Statistics (62-XX)
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722 Operations research, mathematical programming (90-XX)
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412 Calculus of variations and optimal control; optimization (49-XX)
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