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ASTIN Bulletin: The Journal of the International Actuarial Association / Cambridge University Press

0.45

Impact Factor

0.55

5-Years IF

20

5-Years H index

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.121216641107 (%)0.04
19910.0923448837110 (%)0.04
19920.122664044105 (%)0.04
19930.1120868545107 (%)0.05
19940.120.032711390.0883421023 (%)0.05
19950.170.190.116129320.254747811311 (%)10.060.07
19960.090.220.1324153310.2225434108141 (%)0.09
19970.130.270.0930183210.1112040510910 (%)0.09
19980.110.270.123206370.186254611712 (%)10.040.1
19990.110.310.226232720.3167536120241 (1.5%)0.13
20000.140.40.224256580.2390497119241 (1.1%)10.040.15
20010.10.40.1823279540.197650512723 (%)0.15
20020.130.420.123302810.2773476126131 (1.4%)10.040.18
20030.170.440.1331333830.25108468119161 (%)20.060.18
20040.240.490.1929362770.2155541312724 (%)10.030.2
20050.130.530.1731393880.228060813022 (%)10.030.21
20060.030.510.1229422830.213160213717 (%)10.030.2
20070.10.440.124446840.1911360614314 (%)0.18
20080.430.470.33314771840.39136532314448 (%)10.030.2
20090.250.470.28325091630.3249551414440 (%)0.19
20100.270.440.36385471830.3379631714753 (%)10.030.16
20110.130.510.31255721460.268270915448 (%)50.20.2
20120.380.560.37265981910.3243632415055 (%)0.21
20130.350.660.36186162440.438511815254 (%)60.330.23
20140.390.670.33246401720.2716441713946 (%)10.040.22
20150.450.820.55256652890.4318421913172 (%)40.160.27
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:

#YearTitleCited
11996Premium Calculation by Transforming the Layer Premium Density. (1996). Wang, Shaun . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:01:p:71-92_00.

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125
21997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory. (1997). McNeil, Alexander J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:27:y:1997:i:01:p:117-137_01.

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69
31996Dependency of Risks and Stop-Loss Order. (1996). Dhaene, Jan ; Goovaerts, Marc J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:02:p:201-212_00.

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62
41981Recursive Evaluation of a Family of Compound Distributions. (1981). Panjer, Harry H. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:12:y:1981:i:01:p:22-26_00.

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53
51987On the Probability and Severity of Ruin. (1987). Gerber, Hans U ; Kaas, Rob ; Goovaerts, Marc J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:17:y:1987:i:02:p:151-163_00.

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48
62008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities. (2008). Bauer, Daniel ; Russ, Jochen ; Kling, Alexander . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:621-651_01.

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46
72006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk. (2006). , Andrew ; Dowd, Kevin ; Blake, David . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:01:p:79-120_01.

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41
82000Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time. (2000). Cairns, Andrew . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:01:p:19-55_00.

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39
92001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed. (2001). Bacinello, Anna Rita . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:31:y:2001:i:02:p:275-297_00.

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34
102007A Primer on Copulas for Count Data. (2007). Nelehova, Johanna ; Genest, Christian . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:475-515_01.

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34
111993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates. (1993). Mack, Thomas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:02:p:213-225_01.

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34
122003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling. (2003). McNeil, Alexander J ; Lindskog, Filip . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:33:y:2003:i:02:p:209-238_01.

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28
132007Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures. (2007). Cai, Jun ; Tan, Ken Seng . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:01:p:93-112_01.

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28
142002A Universal Framework for Pricing Financial and Insurance Risks. (2002). Wang, Shaun S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:32:y:2002:i:02:p:213-234_01.

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27
151988Mathematical Fun with the Compound Binomial Process. (1988). Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:18:y:1988:i:02:p:161-168_00.

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25
161998On Esscher Transforms in Discrete Finance Models. (1998). Shiryaev, Albert N ; Embrechts, Paul ; Delbaen, Freddy ; Buhlmann, Hans . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:28:y:1998:i:02:p:171-186_01.

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24
172004Some Optimal Dividends Problems. (2004). David, ; Waters, Howard R. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:34:y:2004:i:01:p:49-74_01.

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23
181990Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation. (1990). Denneberg, Dieter . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:02:p:181-190_00.

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22
191999On Multivariate Panjer Recursions. (1999). Sundt, Bjorn . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:29:y:1999:i:01:p:29-45_00.

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20
202007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT. (2007). Degen, Matthias ; Lambrigger, Dominik D ; Embrechts, Paul . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:265-291_01.

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20
212011Bayesian Stochastic Mortality Modelling for Two Populations. (2011). , Andrew ; Khalaf-Allah, Marwa ; Coughlan, Guy D ; Dowd, Kevin ; Blake, David . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:01:p:29-59_00.

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20
221981Further Results on Recursive Evaluation of Compound Distributions. (1981). Sundt, Bjorn ; Jewell, William S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:12:y:1981:i:01:p:27-39_00.

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19
231995Some Stable Algorithms in Ruin Theory and Their Applications. (1995). Egidio dos Reis, Alfredo ; David, ; Waters, Howard R. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:25:y:1995:i:02:p:153-175_00.

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19
241993Prediction of Outstanding Liabilities in Non-Life Insurance. (1993). Norberg, Ragnar . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:01:p:95-115_00.

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17
251989Hedging by Sequential Regression: an Introduction to the Mathematics of Option Trading. (1989). Follmer, H ; Schweizer, M. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:19:y:1989:i:s1:p:29-42_00.

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17
262010The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis. (2010). Donnelly, Catherine ; Embrechts, Paul . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:40:y:2010:i:01:p:1-33_00.

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17
272008Optimal Dividends in the Dual Model with Diffusion. (2008). Avanzi, Benjamin ; Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:653-667_01.

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17
281974On Additive Premium Calculation Principles. (1974). Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:7:y:1974:i:03:p:215-222_00.

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16
291996On the Hedging Portfolio of Asian Options. (1996). Jacques, Michel. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:02:p:165-183_00.

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16
302006A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier. (2006). Gerber, Hans U ; Yang, Hailiang ; Lin, Sheldon X. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:489-503_01.

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16
312000Pricing Risk Transfer Transactions. (2000). Lane, Morton N. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:02:p:259-293_01.

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16
322006Tail Variance Premium with Applications for Elliptical Portfolio of Risks. (2006). Landsman, Zinoviy ; Furman, Edward . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:433-462_01.

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16
331991Recursive Calculation of Survival Probabilities. (1991). Waters, Howard R ; David, . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:02:p:199-221_00.

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15
341990Fuzzy Insurance. (1990). Lemaire, Jean . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:01:p:33-55_00.

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15
352006On the Tail Behavior of Sums of Dependent Risks. (2006). Genest, Christian ; Barbe, Philippe ; Fougeres, Anne-Laure . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:361-373_01.

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14
361991Premium Calculation Implications of Reinsurance Without Arbitrage. (1991). Venter, Gary G. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:02:p:223-230_00.

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14
371993On the Stability of Recursive Formulas. (1993). Panjer, Harry H. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:02:p:227-258_01.

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14
382005The Density of the Time to Ruin in the Classical Poisson Risk Model. (2005). David, ; Willmot, Gordon E. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:35:y:2005:i:01:p:45-60_01.

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14
391992The Probability and Severity of Ruin in Finite and Infinite Time. (1992). David, ; Waters, Howard R. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:22:y:1992:i:02:p:177-190_00.

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14
402011Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach. (2011). Chi, Yichun ; Tan, Ken Seng . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:487-509_00.

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14
412001Design of Optimal Bonus-Malus Systems With a Frequency and a Severity Component On an Individual Basis in Automobile Insurance. (2001). Vrontos, Spyridon D ; Frangos, Nicholas E. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:31:y:2001:i:01:p:1-22_00.

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13
422002A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum. (2002). Kaas, R ; Denuit, M ; Goovaerts, M J ; Vyncke, D ; Dhaene, J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:32:y:2002:i:01:p:71-80_01.

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13
431994Some Comments on the Compound Binomial Model. (1994). David, . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:24:y:1994:i:01:p:33-45_00.

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13
442011Modelling Adult Mortality in Small Populations: The Saint Model. (2011). Jarner, Soren Fiig ; Kryger, Esben Masotti . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:377-418_00.

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13
451991Cooperative Game Theory and its Insurance Applications. (1991). Lemaire, Jean . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:01:p:17-40_00.

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13
461991A Simple Parametric Model for Rating Automobile Insurance or Estimating IBNR Claims Reserves. (1991). Mack, Thomas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:01:p:93-109_00.

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12
471979Optimal Risk Exchanges. (1979). Buhlmann, Hans ; Jewell, William S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:10:y:1979:i:03:p:243-262_00.

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12
481984On a Class of Semi-Markov Risk Models Obtained as Classical Risk Models in a Markovian Environment. (1984). Reinhard, Jean-Marie . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:14:y:1984:i:01:p:23-43_00.

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12
491981The Core of a Reinsurance Market. (1981). Lemaire, Jean ; Baton, Bernard . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:12:y:1981:i:01:p:57-71_00.

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12
501994Martingale Approach to Pricing Perpetual American Options. (1994). Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:24:y:1994:i:02:p:195-220_00.

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12

50 most relevant documents in this series (papers most cited in the last two years)

#YearTitleCited
12008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities. (2008). Bauer, Daniel ; Russ, Jochen ; Kling, Alexander . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:621-651_01.

Full description at Econpapers || Download paper

34
21996Premium Calculation by Transforming the Layer Premium Density. (1996). Wang, Shaun . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:01:p:71-92_00.

Full description at Econpapers || Download paper

29
32011Bayesian Stochastic Mortality Modelling for Two Populations. (2011). , Andrew ; Khalaf-Allah, Marwa ; Coughlan, Guy D ; Dowd, Kevin ; Blake, David . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:01:p:29-59_00.

Full description at Econpapers || Download paper

16
41993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates. (1993). Mack, Thomas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:02:p:213-225_01.

Full description at Econpapers || Download paper

15
51997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory. (1997). McNeil, Alexander J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:27:y:1997:i:01:p:117-137_01.

Full description at Econpapers || Download paper

13
62007A Primer on Copulas for Count Data. (2007). Nelehova, Johanna ; Genest, Christian . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:475-515_01.

Full description at Econpapers || Download paper

13
72007Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures. (2007). Cai, Jun ; Tan, Ken Seng . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:01:p:93-112_01.

Full description at Econpapers || Download paper

12
81993Prediction of Outstanding Liabilities in Non-Life Insurance. (1993). Norberg, Ragnar . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:01:p:95-115_00.

Full description at Econpapers || Download paper

11
92011Modelling Adult Mortality in Small Populations: The Saint Model. (2011). Jarner, Soren Fiig ; Kryger, Esben Masotti . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:377-418_00.

Full description at Econpapers || Download paper

10
101999Prediction of Outstanding Liabilities II. Model Variations and Extensions. (1999). Norberg, Ragnar . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:29:y:1999:i:01:p:5-25_00.

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10
112011Randomized Observation Periods for the Compound Poisson Risk Model: Dividends. (2011). Albrecher, Hansjorg ; Thonhauser, Stefan . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:645-672_00.

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9
122013ON OPTIMAL DIVIDENDS IN THE DUAL MODEL. (2013). Bayraktar, Erhan ; Kyprianou, Andreas E ; Yamazaki, Kazutoshi . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:03:p:359-372_00.

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9
131996Dependency of Risks and Stop-Loss Order. (1996). Dhaene, Jan ; Goovaerts, Marc J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:02:p:201-212_00.

Full description at Econpapers || Download paper

8
141981Recursive Evaluation of a Family of Compound Distributions. (1981). Panjer, Harry H. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:12:y:1981:i:01:p:22-26_00.

Full description at Econpapers || Download paper

8
151990Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation. (1990). Denneberg, Dieter . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:02:p:181-190_00.

Full description at Econpapers || Download paper

8
162008Optimal Dividends in the Dual Model with Diffusion. (2008). Avanzi, Benjamin ; Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:653-667_01.

Full description at Econpapers || Download paper

8
172004Some Optimal Dividends Problems. (2004). David, ; Waters, Howard R. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:34:y:2004:i:01:p:49-74_01.

Full description at Econpapers || Download paper

8
182007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT. (2007). Degen, Matthias ; Lambrigger, Dominik D ; Embrechts, Paul . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:265-291_01.

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8
192012On the Calculation of the Solvency Capital Requirement Based on Nested Simulations. (2012). Bauer, Daniel ; Singer, Daniela ; Reuss, Andreas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:02:p:453-499_00.

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7
202013PARTICIPATING PAYOUT LIFE ANNUITIES: LESSONS FROM GERMANY. (2013). Maurer, Raimond ; Siegelin, Ivonne ; Rogalla, Ralph . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:02:p:159-187_00.

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7
211989Predicting Ibnyr Events and Delays: I. Continuous Time. (1989). Jewell, William S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:19:y:1989:i:01:p:25-55_00.

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7
222011Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach. (2011). Chi, Yichun ; Tan, Ken Seng . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:487-509_00.

Full description at Econpapers || Download paper

7
232002A Universal Framework for Pricing Financial and Insurance Risks. (2002). Wang, Shaun S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:32:y:2002:i:02:p:213-234_01.

Full description at Econpapers || Download paper

7
242006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk. (2006). , Andrew ; Dowd, Kevin ; Blake, David . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:01:p:79-120_01.

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6
252008Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws. (2008). Ulm, Eric R. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:543-563_01.

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6
261990Estimation in the Pareto Distribution. (1990). Rytgaard, Mette . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:02:p:201-216_00.

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6
272009Risk Measures and Efficient use of Capital. (2009). Koch-Medina, Pablo ; Delbaen, Freddy . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:39:y:2009:i:01:p:101-116_00.

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282010The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis. (2010). Donnelly, Catherine ; Embrechts, Paul . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:40:y:2010:i:01:p:1-33_00.

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292009Option Pricing in a Jump-Diffusion Model with Regime Switching. (2009). Yuen, Fei Lung ; Yang, Hailiang . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:39:y:2009:i:02:p:515-539_00.

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6
301987On the Probability and Severity of Ruin. (1987). Gerber, Hans U ; Kaas, Rob ; Goovaerts, Marc J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:17:y:1987:i:02:p:151-163_00.

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6
312011The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities. (2011). Kling, Alexander ; Russ, Jochen ; Ruez, Frederik . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:511-545_00.

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321991Cooperative Game Theory and its Insurance Applications. (1991). Lemaire, Jean . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:01:p:17-40_00.

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5
332000Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time. (2000). Cairns, Andrew . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:01:p:19-55_00.

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5
342003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling. (2003). McNeil, Alexander J ; Lindskog, Filip . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:33:y:2003:i:02:p:209-238_01.

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5
352010Optimal Reinsurance for Variance Related Premium Calculation Principles. (2010). Guerra, Manuel ; de Lourdes, Maria . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:40:y:2010:i:01:p:97-121_00.

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5
362006A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier. (2006). Gerber, Hans U ; Yang, Hailiang ; Lin, Sheldon X. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:489-503_01.

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5
372006Risk Exchange with Distorted Probabilities. (2006). Tsanakas, Andreas ; Christofides, Nicos . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:01:p:219-243_01.

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5
381994A Markov Model for Loss Reserving. (1994). Hesselager, Ole. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:24:y:1994:i:02:p:183-193_00.

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5
392002A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum. (2002). Kaas, R ; Denuit, M ; Goovaerts, M J ; Vyncke, D ; Dhaene, J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:32:y:2002:i:01:p:71-80_01.

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402012Modeling Dependent Risks with Multivariate Erlang Mixtures. (2012). Lin, Sheldon X ; Simon, . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:01:p:153-180_00.

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5
412005EM Algorithm for Mixed Poisson and Other Discrete Distributions. (2005). Karlis, Dimitris . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:35:y:2005:i:01:p:3-24_01.

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5
422001Design of Optimal Bonus-Malus Systems With a Frequency and a Severity Component On an Individual Basis in Automobile Insurance. (2001). Vrontos, Spyridon D ; Frangos, Nicholas E. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:31:y:2001:i:01:p:1-22_00.

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5
432013INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK. (2013). Pigeon, Mathieu ; Antonio, Katrien ; Denuit, Michel . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:03:p:399-428_00.

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5
442001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed. (2001). Bacinello, Anna Rita . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:31:y:2001:i:02:p:275-297_00.

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5
452015ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS. (2015). Woo, Jae-Kyung ; Willmot, Gordon E. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:45:y:2015:i:01:p:151-173_00.

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462008Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach. (2008). Kraft, Holger ; Steffensen, Mogens . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:01:p:231-257_01.

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472012Are Flexible Premium Variable Annuities Under-Priced?. (2012). Chi, Yichun ; Lin, Sheldon X. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:02:p:559-574_00.

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4
482000Pricing Risk Transfer Transactions. (2000). Lane, Morton N. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:02:p:259-293_01.

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4
492011Dependent Loss Reserving using Copulas. (2011). Shi, Peng ; Frees, Edward W. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:449-486_00.

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4
502007An Individual Claims Reserving Model. (2007). Larsen, Christian Roholte . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:01:p:113-132_01.

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4

Citing documents used to compute impact factor 19:

YearTitle
2015The time of deducting fees for variable annuities under the state-dependent fee structure. (2015). Zhou, Jiang ; Wu, Lan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:125-134.

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2015Valuing equity-linked death benefits with a threshold expense strategy. (2015). Zhou, Jiang ; Wu, Lan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:79-90.

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2015Using R In Generalized Linear Models. (2015). COVRIG, Mihaela ; Tindeche, Alexandru ; Coser, Alexandru ; Zbaganu, Gheorghita ; Mircea, Iulian . In: Romanian Statistical Review. RePEc:rsr:journl:v:63:y:2015:i:3:p:33-45.

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2015Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior. (2015). Dhaene, Jan ; Jing, Xiaochen ; Feng, Runhuan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150008.

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2015Conditional Asian Options. (2015). Feng, Runhuan ; Volkmer, Hans W.. In: Papers. RePEc:arx:papers:1505.06946.

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2015Optimal financing and dividend distribution in a general diffusion model with regime switching. (2015). Zhu, Jinxia ; Yang, Hailiang . In: Papers. RePEc:arx:papers:1506.08360.

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2015The choice of sample size for mortality forecasting: A Bayesian learning approach. (2015). Li, Hong ; Melenberg, Bertrand ; de Waegenaere, Anja . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:63:y:2015:i:c:p:153-168.

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2015Optimal relativities and transition rules of a bonus–malus system. (2015). Tan, Chong It ; Balasooriya, Uditha ; Li, Johnny Siu-Hang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:255-263.

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2015Optimal asset allocation for interconnected life insurers in the low interest rate environment under solvency regulation. (2015). Niedrig, Tobias . In: SAFE Working Paper Series. RePEc:zbw:safewp:97.

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2015The Impact of Guarantees on the Performance of Pension Saving Schemes: Insights from the Literature. (2015). Bohnert, Alexander . In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:515-542:d:59200.

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2015On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes. (2015). Jørgensen, Peter ; Bohnert, Alexander ; Gatzert, Nadine . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:83-97.

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2015Mortality Risk Minimisation and Optional Martingale Representation Theorem for Enlarged Filtration. (2015). Choulli, Tahir ; Vanmaele, Michele ; Daveloose, Catherine . In: Papers. RePEc:arx:papers:1510.05858.

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2015In-sample forecasting applied to reserving and mesothelioma mortality. (2015). Mammen, Enno ; Martinez Miranda, Maria Dolores, ; Nielsen, Jens Perch . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:76-86.

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2015Estimación del riesgo mediante el ajuste de cópulas. (2015). Guillen, Montserrat ; Padilla, Alemar ; Bolance, Catalina . In: Working Papers. RePEc:bak:wpaper:201501.

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2015Games of singular control and stopping driven by spectrally one-sided Lévy processes. (2015). Hernandez-Hernandez, Daniel ; Yamazaki, Kazutoshi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:1:p:1-38.

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2015Optimality of doubly reflected Lévy processes in singular control. (2015). Baurdoux, Erik J. ; Yamazaki, Kazutoshi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:7:p:2727-2751.

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2015Optimality of doubly reflected Lévy processes in singular control. (2015). Baurdoux, Erik J ; Yamazaki, Kazutoshi . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:61617.

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2015On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps. (2015). , Jeff . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:280-290.

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2015Feynman-Kac formula for L\evy processes with discontinuous killing rate. (2015). Glau, Kathrin . In: Papers. RePEc:arx:papers:1502.07531.

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Recent citations (cites in year: CiY)

Recent citations received in 2015
YearCiting document
2015Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk. (2015). Ratovomirija, Gildas . In: Papers. RePEc:arx:papers:1501.07297.

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2015On two families of bivariate distributions with exponential marginals: Aggregation and capital allocation. (2015). Cossette, Helene ; Perreault, Samuel ; Marceau, Etienne . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:214-224.

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2015Optimal retirement income tontines. (2015). Milevsky, Moshe A ; Salisbury, Thomas S. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:91-105.

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2015A note on order statistics in the mixed Erlang case. (2015). Landriault, David ; Willmot, Gordon E ; Moutanabbir, Khouzeima . In: Statistics & Probability Letters. RePEc:eee:stapro:v:106:y:2015:i:c:p:13-18.

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Recent citations received in 2014
YearCiting document
2014Pricing and hedging of variable annuities with state-dependent fees. (2014). Delong, Ukasz . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:24-33.

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Recent citations received in 2013
YearCiting document
2013Optimal dividends problem with a terminal value for spectrally positive Levy processes. (2013). Yin, Chuancun ; Wen, Yuzhen . In: Papers. RePEc:arx:papers:1302.6011.

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2013Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing. (2013). Leppisaari, Matias . In: Papers. RePEc:arx:papers:1310.8604.

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2013Optimal dividend problem with a terminal value for spectrally positive Lévy processes. (2013). Yin, Chuancun ; Wen, Yuzhen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:769-773.

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2013A Risk Model with an Observer in a Markov Environment. (2013). Albrecher, Hansjorg ; Ivanovs, Jevgenijs . In: Risks. RePEc:gam:jrisks:v:1:y:2013:i:3:p:148-161:d:30342.

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2013On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators. (2013). Rulliere, Didier ; di Bernardino, Elena . In: Post-Print. RePEc:hal:journl:hal-00834000.

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2013Iteracyjność składek ubezpieczeniowych w ujęciu teorii skumulowanej perspektywy i teorii nieokreśloności. (2013). Kauszka, Marek ; Krzeszowiec, Micha . In: Collegium of Economic Analysis Annals. RePEc:sgh:annals:i:31:y:2013:p:45-56.

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Recent citations received in 2012
YearCiting document

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Source data used to compute the impact factor of RePEc series.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1 2016. Contact: CitEc Team