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Insurance: Mathematics and Economics / Elsevier


0.73

Impact Factor

0.78

5-Years IF

37

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1343410.031087118053 (49.1%)0.04
19910.060.090.02255940.07102714174462 (60.8%)0.04
19920.094410310.01985915950 (51%)10.020.04
19930.010.110.014214510.01126691174180 (63.5%)0.06
19940.020.120.0329174130.07140862182692 (65.7%)0.05
19950.10.20.0928202410.218971717415115 (60.8%)20.070.07
19960.210.240.1725227510.2216357121682974 (45.4%)0.09
19970.150.280.2341268730.2743053816838237 (55.1%)20.050.09
19980.290.290.2541309740.24319661916541170 (53.3%)10.020.1
19990.40.320.35513601210.34382823316457199 (52.1%)50.10.13
20000.210.40.28514111060.26405921918652227 (56%)50.10.15
20010.270.40.33484591560.344431022820969249 (56.2%)60.130.15
20020.420.420.46575162560.55609942232106294 (52.5%)140.250.18
20030.520.440.49705862660.4555010555248121251 (45.6%)60.090.19
20040.350.490.42626482540.3954412745277116279 (51.3%)50.080.2
20050.30.520.41707182860.455413240288118257 (46.4%)60.090.21
20060.470.520.51727903950.562013262307157260 (41.9%)90.130.2
20070.370.450.43638533200.3841814253331143199 (47.6%)50.080.18
20080.810.480.8516210157160.71861135110337288379 (44%)340.210.2
20090.450.480.5510611216210.55743225101429238237 (31.9%)150.140.19
20100.520.460.610812297260.59473268139473285227 (48%)170.160.17
20110.60.520.579513247690.58408214129511293199 (48.8%)130.140.2
20120.570.560.6311514399750.68387203115534336199 (51.4%)250.220.21
20130.70.630.83142158113090.83359210146586487167 (46.5%)250.180.22
20140.570.670.69104168510810.6419825714656639297 (49%)210.20.22
20150.690.740.79139182414110.7714724617056444859 (40.1%)270.190.23
20160.730.980.78145196915690.83924317859546618 (46.2%)180.120.3
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
12009Pair-copula constructions of multiple dependence. (2009). Frigessi, Arnoldo ; Aas, Kjersti ; Bakken, Henrik ; Czado, Claudia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:182-198.

Full description at Econpapers || Download paper

168
22002The concept of comonotonicity in actuarial science and finance: theory. (2002). Goovaerts, Marc ; Dhaene, Jan ; Vyncke, D. ; Kaas, R. ; Denuit, M.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:3-33.

Full description at Econpapers || Download paper

162
32009Goodness-of-fit tests for copulas: A review and a power study. (2009). Remillard, Bruno ; Beaudoin, David ; Genest, Christian . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:199-213.

Full description at Econpapers || Download paper

139
42002The concept of comonotonicity in actuarial science and finance: applications. (2002). Goovaerts, Marc ; Dhaene, Jan ; Vyncke, D. ; Kaas, R. ; Denuit, M.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:2:p:133-161.

Full description at Econpapers || Download paper

125
51997Axiomatic characterization of insurance prices. (1997). Panjer, Harry H. ; Young, Virginia R. ; Wang, Shaun S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:2:p:173-183.

Full description at Econpapers || Download paper

117
62002A Poisson log-bilinear regression approach to the construction of projected lifetables. (2002). Vermunt, Jeroen K. ; Brouhns, Natacha ; Denuit, Michel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:3:p:373-393.

Full description at Econpapers || Download paper

99
72000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. (2000). Jørgensen, Peter ; Grosen, Anders ; Jorgensen, Peter Lochte . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:26:y:2000:i:1:p:37-57.

Full description at Econpapers || Download paper

89
82004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts. (2004). Dahl, Mikkel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:1:p:113-136.

Full description at Econpapers || Download paper

83
92001Mortality derivatives and the option to annuitise. (2001). Promislow, David S. ; Milevsky, Moshe A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:3:p:299-318.

Full description at Econpapers || Download paper

82
102005Affine processes for dynamic mortality and actuarial valuations. (2005). Biffis, Enrico. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:443-468.

Full description at Econpapers || Download paper

73
112006A cohort-based extension to the Lee-Carter model for mortality reduction factors. (2006). Renshaw, A. E. ; Haberman, S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:3:p:556-570.

Full description at Econpapers || Download paper

67
121997Controlled diffusion models for optimal dividend pay-out. (1997). Taksar, Michael ; Asmussen, Soren . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:20:y:1997:i:1:p:1-15.

Full description at Econpapers || Download paper

60
131996Valuation of the early-exercise price for options using simulations and nonparametric regression. (1996). Carriere, Jacques F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:19:y:1996:i:1:p:19-30.

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57
141985On convex principles of premium calculation. (1985). Gerber, Hans U. ; Deprez, Olivier. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:4:y:1985:i:3:p:179-189.

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56
152000Upper and lower bounds for sums of random variables. (2000). Goovaerts, Marc ; Dhaene, Jan ; Kaas, Rob . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:27:y:2000:i:2:p:151-168.

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54
162001Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. (2001). Taillard, Gregory ; Huang, ShaoJuan ; Boulier, Jean-Francois. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:2:p:173-189.

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52
172005Optimal investment for insurer with jump-diffusion risk process. (2005). Zhang, Lihong ; Yang, Hailiang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:615-634.

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52
182006Valuation and hedging of life insurance liabilities with systematic mortality risk. (2006). Dahl, Mikkel ; Moller, Thomas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:2:p:193-217.

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51
191991Risk theory for the compound Poisson process that is perturbed by diffusion. (1991). Dufresne, Francois ; Gerber, Hans U.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:10:y:1991:i:1:p:51-59.

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50
202003Pensionmetrics 2: stochastic pension plan design during the distribution phase. (2003). Dowd, Kevin ; Blake, David ; Cairns, Andrew J. G., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:1:p:29-47.

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49
212000Optimal investment for insurers. (2000). Hipp, Christian ; Plum, Michael. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:27:y:2000:i:2:p:215-228.

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49
221998Comonotonicity, correlation order and premium principles. (1998). Dhaene, Jan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:22:y:1998:i:3:p:235-242.

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48
231997The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. (1997). Gerber, Hans U. ; Shiu, Elias S. W., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:2:p:129-137.

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48
242006Affine stochastic mortality. (2006). Schrager, David F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:81-97.

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46
251997Stop-loss order for portfolios of dependent risks. (1997). Müller, Alfred. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:3:p:219-223.

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44
261999Fitting bivariate loss distributions with copulas. (1999). Parsa, Rahul ; Klugman, Stuart A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:24:y:1999:i:1-2:p:139-148.

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43
272006Financial valuation of guaranteed minimum withdrawal benefits. (2006). Milevsky, Moshe A. ; Salisbury, Thomas S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:21-38.

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43
282003Lee-Carter mortality forecasting with age-specific enhancement. (2003). Renshaw, A. E. ; Haberman, S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:2:p:255-272.

Full description at Econpapers || Download paper

43
292001Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase. (2001). Dowd, Kevin ; Blake, David ; Cairns, Andrew J. G., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:2:p:187-215.

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41
302001On the time to ruin for Erlang(2) risk processes. (2001). Hipp, Christian ; Dickson,David C. M., ; Dickson, David C. M., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:3:p:333-344.

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41
311995Ruin estimates under interest force. (1995). Sundt, Bjorn ; TEUGELS, Jozef L.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:16:y:1995:i:1:p:7-22.

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41
322004Some new classes of consistent risk measures. (2004). Goovaerts, Marc ; Dhaene, Jan ; Tang, Qihe ; Kaas, Rob . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:34:y:2004:i:3:p:505-516.

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40
332005Bivariate option pricing using dynamic copula models. (2005). Werker, Bas ; van den Goorbergh, Rob ; Genest, Christian . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:1:p:101-114.

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40
341999Analysis of a defective renewal equation arising in ruin theory. (1999). Willmot, Gordon E. ; Lin, Sheldon X.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:1:p:63-84.

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40
352011Variable annuities: A unifying valuation approach. (2011). Millossovich, Pietro ; Olivieri, Annamaria ; Pitacco, Ermanno ; Bacinello, Anna Rita . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:3:p:285-297.

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39
362004On ruin for the Erlang(n) risk process. (2004). Li, Shuanming ; Garrido, Jose . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:34:y:2004:i:3:p:391-408.

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38
372008Optimal reinsurance under VaR and CTE risk measures. (2008). Weng, Chengguo ; Zhang, YI ; Tan, Ken Seng ; Cai, Jun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:1:p:185-196.

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38
382006Risk measures via g-expectations. (2006). RosazzaGianin, Emanuela . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:1:p:19-34.

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37
392011Mortality density forecasts: An analysis of six stochastic mortality models. (2011). Blake, David ; Cairns, Andrew J. G., ; Khalaf-Allah, Marwa ; Dowd, Kevin ; Coughlan, Guy D. ; Epstein, David . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:3:p:355-367.

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37
402003Optimal investment strategies in the presence of a minimum guarantee. (2003). Deelstra, Griselda ; Koehl, Pierre-Francois ; Grasselli, Martino . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:1:p:189-207.

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36
412007Optimal dividends in the dual model. (2007). Avanzi, Benjamin ; S. W. Shiu, Elias, ; Gerber, Hans U.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:41:y:2007:i:1:p:111-123.

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36
421982Estimates for the probability of ruin with special emphasis on the possibility of large claims. (1982). VERAVERBEKE, N. ; Embrechts, P.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:1:y:1982:i:1:p:55-72.

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36
432004Optimal investment choices post-retirement in a defined contribution pension scheme. (2004). Vigna, Elena ; Gerrard, Russell . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:2:p:321-342.

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35
442005Estimating the tail-dependence coefficient: Properties and pitfalls. (2005). Frahm, Gabriel ; Schmidt, Rafael ; Junker, Markus. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:1:p:80-100.

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35
451995Insurance pricing and increased limits ratemaking by proportional hazards transforms. (1995). Shaun, Wang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:17:y:1995:i:1:p:43-54.

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35
461997Reserving for maturity guarantees: Two approaches. (1997). Hardy, Mary R. ; Boyle, Phelim P.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:2:p:113-127.

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34
472002Optimal investment strategies and risk measures in defined contribution pension schemes. (2002). Vigna, Elena . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:35-69.

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34
482000The moments of the time of ruin, the surplus before ruin, and the deficit at ruin. (2000). Willmot, Gordon E. ; Lin, Sheldon X.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:27:y:2000:i:1:p:19-44.

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33
492001Optimal reinsurance under mean-variance premium principles. (2001). Kaluszka, Marek . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:1:p:61-67.

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33
501995Equity-linked life insurance: A model with stochastic interest rates. (1995). Sandmann, Klaus ; Nielsen, Aase J.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:16:y:1995:i:3:p:225-253.

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33

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


#YearTitleCited
12009Pair-copula constructions of multiple dependence. (2009). Frigessi, Arnoldo ; Aas, Kjersti ; Bakken, Henrik ; Czado, Claudia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:182-198.

Full description at Econpapers || Download paper

69
22009Goodness-of-fit tests for copulas: A review and a power study. (2009). Remillard, Bruno ; Beaudoin, David ; Genest, Christian . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:199-213.

Full description at Econpapers || Download paper

44
32002The concept of comonotonicity in actuarial science and finance: applications. (2002). Goovaerts, Marc ; Dhaene, Jan ; Vyncke, D. ; Kaas, R. ; Denuit, M.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:2:p:133-161.

Full description at Econpapers || Download paper

33
42002The concept of comonotonicity in actuarial science and finance: theory. (2002). Goovaerts, Marc ; Dhaene, Jan ; Vyncke, D. ; Kaas, R. ; Denuit, M.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:3-33.

Full description at Econpapers || Download paper

32
52006A cohort-based extension to the Lee-Carter model for mortality reduction factors. (2006). Renshaw, A. E. ; Haberman, S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:3:p:556-570.

Full description at Econpapers || Download paper

31
62002A Poisson log-bilinear regression approach to the construction of projected lifetables. (2002). Vermunt, Jeroen K. ; Brouhns, Natacha ; Denuit, Michel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:3:p:373-393.

Full description at Econpapers || Download paper

30
72006Financial valuation of guaranteed minimum withdrawal benefits. (2006). Milevsky, Moshe A. ; Salisbury, Thomas S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:21-38.

Full description at Econpapers || Download paper

27
82011Variable annuities: A unifying valuation approach. (2011). Millossovich, Pietro ; Olivieri, Annamaria ; Pitacco, Ermanno ; Bacinello, Anna Rita . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:3:p:285-297.

Full description at Econpapers || Download paper

24
91997Axiomatic characterization of insurance prices. (1997). Panjer, Harry H. ; Young, Virginia R. ; Wang, Shaun S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:2:p:173-183.

Full description at Econpapers || Download paper

23
102005Affine processes for dynamic mortality and actuarial valuations. (2005). Biffis, Enrico. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:443-468.

Full description at Econpapers || Download paper

23
112000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. (2000). Jørgensen, Peter ; Grosen, Anders ; Jorgensen, Peter Lochte . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:26:y:2000:i:1:p:37-57.

Full description at Econpapers || Download paper

22
122008Optimal reinsurance under VaR and CTE risk measures. (2008). Weng, Chengguo ; Zhang, YI ; Tan, Ken Seng ; Cai, Jun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:1:p:185-196.

Full description at Econpapers || Download paper

19
132011Optimal time-consistent investment and reinsurance policies for mean-variance insurers. (2011). Zeng, Yan ; Li, Zhongfei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:1:p:145-154.

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18
141996Valuation of the early-exercise price for options using simulations and nonparametric regression. (1996). Carriere, Jacques F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:19:y:1996:i:1:p:19-30.

Full description at Econpapers || Download paper

17
152011Mortality density forecasts: An analysis of six stochastic mortality models. (2011). Blake, David ; Cairns, Andrew J. G., ; Khalaf-Allah, Marwa ; Dowd, Kevin ; Coughlan, Guy D. ; Epstein, David . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:3:p:355-367.

Full description at Econpapers || Download paper

17
162001Mortality derivatives and the option to annuitise. (2001). Promislow, David S. ; Milevsky, Moshe A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:3:p:299-318.

Full description at Econpapers || Download paper

16
172008The effect of modelling parameters on the value of GMWB guarantees. (2008). Vetzal, K. ; Chen, Z. ; Forsyth, P. A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:1:p:165-173.

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16
182004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts. (2004). Dahl, Mikkel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:1:p:113-136.

Full description at Econpapers || Download paper

16
192006Risk measures via g-expectations. (2006). RosazzaGianin, Emanuela . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:1:p:19-34.

Full description at Econpapers || Download paper

16
201998Comonotonicity, correlation order and premium principles. (1998). Dhaene, Jan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:22:y:1998:i:3:p:235-242.

Full description at Econpapers || Download paper

15
212005Optimal investment for insurer with jump-diffusion risk process. (2005). Zhang, Lihong ; Yang, Hailiang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:615-634.

Full description at Econpapers || Download paper

15
222005Estimating the tail-dependence coefficient: Properties and pitfalls. (2005). Frahm, Gabriel ; Schmidt, Rafael ; Junker, Markus. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:1:p:80-100.

Full description at Econpapers || Download paper

14
232009On stochastic mortality modeling. (2009). Plat, Richard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:45:y:2009:i:3:p:393-404.

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13
242012Optimal asset allocation for DC pension plans under inflation. (2012). Hung, Mao-Wei ; Han, Nan-wei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:1:p:172-181.

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13
252014Risk aggregation with dependence uncertainty. (2014). Bernard, Carole ; Jiang, Xiao ; Wang, Ruodu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:93-108.

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13
261997Controlled diffusion models for optimal dividend pay-out. (1997). Taksar, Michael ; Asmussen, Soren . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:20:y:1997:i:1:p:1-15.

Full description at Econpapers || Download paper

13
272003Lee-Carter mortality forecasting with age-specific enhancement. (2003). Renshaw, A. E. ; Haberman, S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:2:p:255-272.

Full description at Econpapers || Download paper

13
282005Bayesian Poisson log-bilinear mortality projections. (2005). Delwarde, Antoine ; Denuit, Michel ; Czado, Claudia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:36:y:2005:i:3:p:260-284.

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12
292014Generalized quantiles as risk measures. (2014). Müller, Alfred ; Muller, Alfred ; Bellini, Fabio ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Klar, Bernhard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:41-48.

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12
302013Optimal reinsurance with general premium principles. (2013). Chi, Yichun ; Tan, Ken Seng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:52:y:2013:i:2:p:180-189.

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12
312006Valuation and hedging of life insurance liabilities with systematic mortality risk. (2006). Dahl, Mikkel ; Moller, Thomas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:2:p:193-217.

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322006Affine stochastic mortality. (2006). Schrager, David F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:81-97.

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332013Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps. (2013). Zeng, Yan ; Li, Zhongfei ; Lai, Yongzeng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:52:y:2013:i:3:p:498-507.

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342011Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives. (2011). Ngai, Andrew ; Sherris, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:1:p:100-114.

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352008Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. (2008). Guo, Junyi ; Bai, Lihua . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:3:p:968-975.

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361999Optimal insurance under Wangs premium principle. (1999). Young, Virginia R.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:2:p:109-122.

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372013Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. (2013). Yi, BO ; Li, Zhongfei ; Zeng, Yan ; Viens, Frederi G.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:601-614.

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382008Coherent risk measures, coherent capital allocations and the gradient allocation principle. (2008). Buch, A. ; Dorfleitner, G.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:1:p:235-242.

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392007Optimal dividends in the dual model. (2007). Avanzi, Benjamin ; S. W. Shiu, Elias, ; Gerber, Hans U.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:41:y:2007:i:1:p:111-123.

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402006Risk-neutral valuation of participating life insurance contracts. (2006). Kling, Alexander ; Kiesel, Rudiger ; Russ, Jochen ; Bauer, Daniel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:2:p:171-183.

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412015Valuation of large variable annuity portfolios under nested simulation: A functional data approach. (2015). Gan, Guojun ; Lin, Sheldon X.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:138-150.

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422012Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. (2012). Zeng, Yan ; Li, Zhongfei ; Lai, Yongzeng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:1:p:191-203.

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432003Optimal investment strategies in the presence of a minimum guarantee. (2003). Deelstra, Griselda ; Koehl, Pierre-Francois ; Grasselli, Martino . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:1:p:189-207.

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442013Pricing and securitization of multi-country longevity risk with mortality dependence. (2013). Wang, Chou-Wen ; Yang, Sharon S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:52:y:2013:i:2:p:157-169.

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452002Optimal investment strategies and risk measures in defined contribution pension schemes. (2002). Vigna, Elena . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:35-69.

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462010Optimal investment-reinsurance policy for an insurance company with VaR constraint. (2010). Li, Kemian ; Chen, Shumin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:47:y:2010:i:2:p:144-153.

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472008Stochastic optimal control of DC pension funds. (2008). Gao, Jianwei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:3:p:1159-1164.

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482011Explicit ruin formulas for models with dependence among risks. (2011). Loisel, Stéphane ; Constantinescu, Corina ; Albrecher, Hansjorg . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:2:p:265-270.

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492006Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval. (2006). Shapiro, Arnold F. ; Koissi, Marie-Claire ; Hognas, Goran. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:1-20.

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502011A comparative study of parametric mortality projection models. (2011). Renshaw, Arthur . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:1:p:35-55.

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Citing documents used to compute impact factor 178:


YearTitle
2016Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary. (2016). Lin, Tzuling ; Tsai, Cary Chi-Liang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:44-58.

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2016On ambiguity apportionment. (2016). Rey, Beatrice ; Courbage, Christophe . In: Journal of Economics. RePEc:kap:jeczfn:v:118:y:2016:i:3:d:10.1007_s00712-016-0473-9.

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2016A marked Cox model for the number of IBNR claims: Theory. (2016). Badescu, Andrei L ; Tang, Dameng ; Lin, Sheldon X. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:29-37.

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2016Nonparametric long term prediction of stock returns with generated bond yields. (2016). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:82-96.

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2016Sufficient conditions for ordering aggregate heterogeneous random claim amounts. (2016). Li, Chen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:406-413.

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2016Dynamic portfolio selection without risk-free assets. (2016). Yin, Guosheng ; Xu, Yuhong ; Lam, Chi Kin . In: Papers. RePEc:arx:papers:1602.04975.

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2016Improved models for technology choice in a transit corridor with fixed demand. (2016). Moccia, Luigi ; Laporte, Gilbert . In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:83:y:2016:i:c:p:245-270.

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2016Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle. (2016). Chen, Mi ; Ming, Ruixing ; Wang, Wenyuan . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:50-:d:85321.

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2016A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds. (2016). Wang, Zihe ; Li, Johnny Siu-Hang . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:103-111.

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2016Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics. (2016). Bartels, Mariana ; Ziegelmann, Flavio A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:66-79.

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2016Varying transition rules in bonus–malus systems: From rules specification to determination of optimal relativities. (2016). It, Chong . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:134-140.

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2016On the occupation times in a delayed Sparre Andersen risk model with exponential claims. (2016). Jin, Can ; Wu, Xueyuan ; Li, Shuanming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:304-316.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016A multivariate extension of the increasing convex order to compare risks. (2016). Sordo, Miguel A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:224-230.

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2016Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi . In: Papers. RePEc:arx:papers:1608.02365.

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2016On the worst and least possible asymptotic dependence. (2016). Gerrard, Russell ; Asimit, Alexandru V. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:144:y:2016:i:c:p:218-234.

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2016A positive dependence notion based on componentwise unimodality of copulas. (2016). Zalzadeh, Saeed ; Pellerey, Franco . In: Statistics & Probability Letters. RePEc:eee:stapro:v:112:y:2016:i:c:p:51-57.

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2016Longevity risk and retirement income tax efficiency: A location spending rate puzzle. (2016). Huang, Huaxiong ; Milevsky, Moshe A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:50-62.

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2016A multivariate evolutionary credibility model for mortality improvement rates. (2016). Schinzinger, Edo ; Christiansen, Marcus C ; Denuit, Michel M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:70-81.

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2016Model-Independent Price Bounds for Catastrophic Mortality Bonds. (2016). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Papers. RePEc:arx:papers:1607.07108.

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2016It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk. (2016). Liu, Yanxin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:301-319.

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2016On a class of dependent Sparre Andersen risk models and a bailout application. (2016). Rabehasaina, L ; Pistorius, M R ; Badescu, A L ; Avram, F. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:27-39.

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2016Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model. (2016). Sun, Jingyun ; Zeng, Yan ; Li, Zhongfei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:158-172.

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2016A stochastic Nash equilibrium portfolio game between two DC pension funds. (2016). Guan, Guohui ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:237-244.

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2016Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. (2016). Yao, Haixiang ; Li, Xun ; Chen, Ping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:103-113.

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2016Efficient risk allocation within a non-life insurance group under Solvency II Regime. (2016). Badescu, Alexandru M ; Asimit, Alexandru V ; Kim, Eun-Seok . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:69-76.

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2016Some Mathematical Aspects of Price Optimisation. (2016). Bai, Y ; Tamraz, M ; Ratovomirija, G ; Hashorva, E. In: Papers. RePEc:arx:papers:1605.05814.

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2016A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting. (2016). Shevchenko, Pavel V ; Peters, Gareth W ; Fung, Man Chung . In: Papers. RePEc:arx:papers:1605.09484.

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2016Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios. (2016). Mailhot, Melina ; Mesfioui, Mhamed . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:33-:d:78760.

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2016Directional multivariate extremes in environmental phenomena. (2016). Lillo, Rosa E ; Torres, Raul ; Laniado, Henry ; de Michele, Carlo . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23419.

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2016An Optimal Turkish Private Pension Plan with a Guarantee Feature. (2016). Acanogilu-Eki, Ayegl . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:19-:d:72852.

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2016Optimal dividend payments for a two-dimensional insurance risk process. (2016). Azcue, Pablo ; Palmowski, Zbigniew ; Muler, Nora . In: Papers. RePEc:arx:papers:1603.07019.

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2016Optimal mean–variance efficiency of a family with life insurance under inflation risk. (2016). Zhao, Xiaoyang ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:164-178.

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2016Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer. (2016). Ghossoub, Mario ; amarante, massimiliano. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:8-:d:66161.

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2016Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer. (2016). Amarante, Massimiliano ; Ghossoub, Mario . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:8:d:66161.

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2016Optimal Insurance with Heterogeneous Beliefs and Disagreement about Zero-Probability Events. (2016). Ghossoub, Mario. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:29-:d:75385.

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2016Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods. (2016). Gzyl, Henryk ; Mayoral, Silvia ; Gomes-Gonalves, Erika . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:145-153.

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2016House price cycles in Australia’s four largest capital cities. (2016). Valadkhani, Abbas ; Ratti, Ronald ; Costello, Greg . In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:52:y:2016:i:c:p:11-22.

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2016Discrete sums of geometric Brownian motions, annuities and Asian options. (2016). Zhu, Lingjiong ; Pirjol, Dan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:19-37.

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2016Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options. (2016). Pirjol, Dan ; Zhu, Lingjiong . In: Papers. RePEc:arx:papers:1609.07558.

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2016Individual Choice of a Pension Fund in Russia: Are the Investment Results of the Fund Important?. (2016). Tumanyants, Karen A ; Gulyaeva, Eugenia V. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-04-05.

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2016A note on some joint distribution functions involving the time of ruin. (2016). David, . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:120-124.

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2016Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index. (2016). , Andrew ; Kallestrup-Lamb, Malene ; Dowd, Kevin ; Blake, David . In: CREATES Research Papers. RePEc:aah:create:2016-14.

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2016Multivariate Frequency-Severity Regression Models in Insurance. (2016). Lee, Gee ; Frees, Edward W. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:4-:d:64467.

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2016Multivariate Frequency-Severity Regression Models in Insurance. (2016). Frees, Edward W ; Lee, Gee . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:4:d:64467.

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2016A Note on Upper Tail Behavior of Liouville Copulas. (2016). Hua, Lei . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:40-:d:82313.

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2016Modelling lifetime dependence for older ages using a multivariate Pareto distribution. (2016). Landsman, Zinoviy ; Alai, Daniel H ; Sherris, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:272-285.

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2016The loss given default of a low-default portfolio with weak contagion. (2016). Yuan, Zhongyi ; Wei, LI. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:113-123.

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2016Kriging of financial term-structures. (2016). Rulliere, Didier ; Cousin, Areski ; Maatouk, Hassan . In: Papers. RePEc:arx:papers:1604.02237.

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2016Statutory financial reporting for variable annuity guaranteed death benefits: Market practice, mathematical modeling and computation. (2016). Feng, Runhuan ; Huang, Huaxiong . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:54-64.

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2016Statistical emulators for pricing and hedging longevity risk products. (2016). Ludkovski, M ; Risk, J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:45-60.

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2016A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities. (2016). Hejazi, Seyed Amir ; Jackson, Kenneth R. In: Papers. RePEc:arx:papers:1606.07831.

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2016Kriging of financial term-structures. (2016). Rulliere, Didier ; Cousin, Areski ; Maatouk, Hassan . In: European Journal of Operational Research. RePEc:eee:ejores:v:255:y:2016:i:2:p:631-648.

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2016A neural network approach to efficient valuation of large portfolios of variable annuities. (2016). Jackson, Kenneth R ; Hejazi, Seyed Amir . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:169-181.

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2016Efficient Valuation of SCR via a Neural Network Approach. (2016). Hejazi, Seyed Amir ; Jackson, Kenneth R. In: Papers. RePEc:arx:papers:1610.01946.

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2016Kriging of financial term-structures. (2016). Rulliere, Didier ; Maatouk, Hassan ; Cousin, Areski . In: Post-Print. RePEc:hal:journl:hal-01206388.

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2016Valuation and risk assessment of participating life insurance in the presence of credit risk. (2016). Eckert, Johanna ; Martin, Michael ; Gatzert, Nadine . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:382-393.

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2016Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting. (2016). Delong, Ukasz ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:342-352.

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2016A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework. (2016). Shevchenko, Pavel V. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:22-:d:73342.

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2016Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence. (2016). Xu, Fangjun ; Bi, Junna ; Liang, Zhibin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:245-258.

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2016Constrained investment–reinsurance optimization with regime switching under variance premium principle. (2016). Shen, Yang ; Wang, Wei ; Qian, Linyi ; Chen, LV. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:253-267.

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2016A Note on the Optimal Dividends Paid in a Foreign Currency. (2016). Eisenberg, Julia ; Kruhner, Paul . In: Papers. RePEc:arx:papers:1603.07615.

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2016Option-implied probability distributions: How reliable? How jagged?. (2016). Taboga, Marco. In: International Review of Economics & Finance. RePEc:eee:reveco:v:45:y:2016:i:c:p:453-469.

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2016A unified pricing of variable annuity guarantees under the optimal stochastic control framework. (2016). Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1605.00339.

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2016Generalized linear models for dependent frequency and severity of insurance claims. (2016). Genest, C ; Garrido, J ; Schulz, J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:205-215.

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2016Minimizing the Probability of Lifetime Drawdown under Constant Consumption. (2016). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R. In: Papers. RePEc:arx:papers:1507.08713.

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2016Minimizing lifetime poverty with a penalty for bankruptcy. (2016). Cohen, Asaf ; Young, Virginia R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:156-167.

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2016Minimizing the probability of lifetime drawdown under constant consumption. (2016). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:210-223.

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2016Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio. (2016). Agarwal, Ankush ; Sircar, Ronnie . In: Papers. RePEc:arx:papers:1610.08558.

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2016Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio. (2016). Agarwal, Ankush ; Sircar, Ronnie . In: Working Papers. RePEc:hal:wpaper:hal-01388399.

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2016Coherent modeling of male and female mortality using Lee–Carter in a complex number framework. (2016). de Jong, Piet ; Xu, Jianhui ; Tickle, Leonie . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:130-137.

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2016Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling. (2016). Zhang, Xin ; Zeng, Yan ; Meng, Hui . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:125-132.

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2016Mean–variance asset–liability management under constant elasticity of variance process. (2016). Zhang, Miao ; Chen, Ping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:11-18.

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2016Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits. (2016). Kluppelberg, Claudia ; Seifert, Miriam Isabel . In: Papers. RePEc:arx:papers:1612.07132.

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2016Good deals and benchmarks in robust portfolio selection. (2016). Balbas, Alejandro . In: European Journal of Operational Research. RePEc:eee:ejores:v:250:y:2016:i:2:p:666-678.

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2016VaR as the CVaR sensitivity : applications in risk optimization. (2016). Balbs, Raquel . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:id-16-01.

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2016Marginal Indemnification Function formulation for optimal reinsurance. (2016). Zhuang, Sheng Chao ; Assa, Hirbod ; Tan, Ken Seng ; Weng, Chengguo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:65-76.

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2016Optimal Reinsurance with Heterogeneous Reference Probabilities. (2016). Boonen, Tim J. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:26-:d:73448.

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2016The role of a representative reinsurer in optimal reinsurance. (2016). Zhuang, Sheng Chao ; Boonen, Tim J ; Tan, Ken Seng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:196-204.

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2016Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows. (2016). Zhou, Zhongbao ; Lin, Ling ; Zeng, Ximei ; Yin, Jialing ; Xiao, Helu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:187-202.

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2016Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps. (2016). Zeng, Yan ; Gu, Ailing ; Li, Danping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:138-152.

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2016Robust non-zero-sum stochastic differential reinsurance game. (2016). Pun, Chi Seng ; Wong, Hoi Ying . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:169-177.

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2016Alpha-robust mean-variance reinsurance-investment strategy. (2016). Li, Bin ; Xiong, Dewen . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:101-123.

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2016Robust Stability, Stabilisation and H-Infinity Control for Premium-Reserve Models in a Markovian Regime Switching Discrete-Time Framework. (2016). Assa, Hirbod ; Pantelous, Athanasios A ; Yang, Lin . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:46:y:2016:i:03:p:747-778_00.

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2016Impact of volatility clustering on equity indexed annuities. (2016). Hainaut, Donatien . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:367-381.

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2016Modeling loss data using mixtures of distributions. (2016). Miljkovic, Tatjana ; Grun, Bettina . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:387-396.

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2016Changing risks and optimal effort. (2016). Menegatti, Mario ; EECKHOUDT, LOUIS ; CRAINICH, David. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:125:y:2016:i:c:p:97-106.

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2016Ruin Probabilities with Dependence on the Number of Claims within a Fixed Time Window. (2016). Constantinescu, Corina ; Palmowski, Zbigniew ; Ni, Weihong ; Dai, Suhang . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:17-:d:72026.

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2016A continuous-time stochastic model for the mortality surface of multiple populations. (2016). Jevtic, Peter ; Regis, Luca . In: Working Papers. RePEc:ial:wpaper:03/2016.

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2016The Final Solvency II Framework: Will It Be Effective?. (2016). Doff, Rene . In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:41:y:2016:i:4:d:10.1057_gpp.2016.4.

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2016Estimating the means and the covariances of fuzzy random variables. (2016). Shvedov, Alexey. In: Applied Econometrics. RePEc:ris:apltrx:0294.

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2016Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting. (2016). GOMIDE, FERNANDO ; MacIel, Leandro ; Ballini, Rosangela . In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:3:d:10.1007_s10614-015-9535-2.

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2016It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk. (2016). Liu, Yanxin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:301-319.

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2016Coherent modeling of male and female mortality using Lee–Carter in a complex number framework. (2016). de Jong, Piet ; Xu, Jianhui ; Tickle, Leonie . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:130-137.

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2016The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options. (2016). Deelstra, Griselda ; van Weverberg, Christopher ; Grasselli, Martino . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:205-219.

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2016Applications of central limit theorems for equity-linked insurance. (2016). Shimizu, Yasutaka ; Feng, Runhuan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:138-148.

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2016Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality. (2016). Lu, YI ; Tsai, Cary Chi-Liang ; Liang, Xiaoqing . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:150-161.

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2016Longevity risk and retirement income tax efficiency: A location spending rate puzzle. (2016). Huang, Huaxiong ; Milevsky, Moshe A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:50-62.

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2016Capital depreciation and the underdetermination of rate of return: A unifying perspective. (2016). Magni, Carlo Alberto. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:67:y:2016:i:c:p:54-79.

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2016Risk reducers in convex order. (2016). Tang, Qihe ; He, Junnan ; Zhang, Huan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:80-88.

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2016Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke. (2016). Brandtner, Mario . In: Management Review Quarterly. RePEc:spr:manrev:v:66:y:2016:i:2:d:10.1007_s11301-015-0116-1.

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2016The economic value of controlling for large losses in portfolio selection. (2016). Dias, Alexandra . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s81-s91.

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2016New class of distortion risk measures and their tail asymptotics with emphasis on VaR. (2016). Yin, Chuancun . In: Papers. RePEc:arx:papers:1503.08586.

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2016Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle. (2016). Chen, Mi ; Ming, Ruixing ; Wang, Wenyuan . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:50-:d:85321.

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2016The F\ollmer-Schweizer decomposition under incomplete information. (2016). Cretarola, Alessandra ; Ceci, Claudia ; Colaneri, Katia . In: Papers. RePEc:arx:papers:1511.05465.

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2016Optimal investment and risk control for an insurer under inside information. (2016). Wang, Wenyuan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:104-116.

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2016Good deal measurement in asset pricing: Actuarial and financial implications. (2016). Okhrati, Ramin ; Balbas, Alejandro ; Garrido, Jose . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:23546.

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2016Constrained investment–reinsurance optimization with regime switching under variance premium principle. (2016). Shen, Yang ; Wang, Wei ; Qian, Linyi ; Chen, LV. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:253-267.

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2016Exponential utility maximization for an insurer with time-inconsistent preferences. (2016). Wang, Rongming ; Zhao, Qian ; Wei, Jiaqin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:89-104.

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2016Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling. (2016). Zhang, Xin ; Zeng, Yan ; Meng, Hui . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:125-132.

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2016Alpha-robust mean-variance reinsurance-investment strategy. (2016). Li, Bin ; Xiong, Dewen . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:101-123.

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2016A pair of optimal reinsurance–investment strategies in the two-sided exit framework. (2016). Li, Danping ; Landriault, David . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:284-294.

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2016Marginal Indemnification Function formulation for optimal reinsurance. (2016). Zhuang, Sheng Chao ; Assa, Hirbod ; Tan, Ken Seng ; Weng, Chengguo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:65-76.

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2016The role of a representative reinsurer in optimal reinsurance. (2016). Zhuang, Sheng Chao ; Boonen, Tim J ; Tan, Ken Seng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:196-204.

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2016Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints. (2016). Liang, Zongxia ; Guan, Guohui . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:224-237.

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2016A stochastic Nash equilibrium portfolio game between two DC pension funds. (2016). Guan, Guohui ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:237-244.

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2016Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. (2016). Yao, Haixiang ; Li, Xun ; Chen, Ping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:103-113.

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2016Statutory financial reporting for variable annuity guaranteed death benefits: Market practice, mathematical modeling and computation. (2016). Feng, Runhuan ; Huang, Huaxiong . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:54-64.

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2016Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options. (2016). Ziveyi, Jonathan ; Sherris, Michael ; Shen, Yang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:127-137.

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2016Asymptotic Analysis for Optimal Dividends in a Dual Risk Model. (2016). Fahim, Arash ; Zhu, Lingjiong . In: Papers. RePEc:arx:papers:1601.03435.

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2016Tail asymptotics of generalized deflated risks with insurance applications. (2016). Peng, Zuoxiang ; Ling, Chengxiu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:220-231.

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2016Robust Stability, Stabilisation and H-Infinity Control for Premium-Reserve Models in a Markovian Regime Switching Discrete-Time Framework. (2016). Assa, Hirbod ; Pantelous, Athanasios A ; Yang, Lin . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:46:y:2016:i:03:p:747-778_00.

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2016Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims. (2016). Konstantinides, Dimitrios G ; Li, Jinzhu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:38-44.

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2016Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return. (2016). Li, Jinzhu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:195-204.

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2016On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays. (2016). Woo, Jae-Kyung . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:354-363.

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2016Optimal retirement income tontines. (2016). Milevsky, Moshe A ; Salisbury, Thomas S. In: Papers. RePEc:arx:papers:1610.10078.

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2016On the shortfall risk control: A refinement of the quantile hedging method. (2016). Micha, Barski . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:32:y:2016:i:2:p:125-141:n:1.

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2016A new proof for the peakedness of linear combinations of random variables. (2016). Pan, Xiaoqing ; Ju, Shan . In: Statistics & Probability Letters. RePEc:eee:stapro:v:114:y:2016:i:c:p:93-98.

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2016On allocations to portfolios of assets with statistically dependent potential risk returns. (2016). Li, Xiaohu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:178-186.

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2016Sufficient conditions for ordering aggregate heterogeneous random claim amounts. (2016). Li, Chen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:406-413.

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2016Testing for positive expectation dependence. (2016). Zhu, Lixing ; Lin, LU ; Guo, XU. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:68:y:2016:i:1:p:135-153.

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2016Testing for positive expectation dependence. (2016). Zhu, Lixing ; Guo, XU ; Lin, LU. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:68:y:2016:i:1:d:10.1007_s10463-014-0492-7.

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2016Confidence band for expectation dependence with applications. (2016). Li, Jingyuan ; Guo, XU. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:141-149.

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2016Model-Independent Price Bounds for Catastrophic Mortality Bonds. (2016). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Papers. RePEc:arx:papers:1607.07108.

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2016New developments on the Lp-metric between a probability distribution and its distortion. (2016). Yang, Jianping ; Hu, Taizhong . In: Statistics & Probability Letters. RePEc:eee:stapro:v:110:y:2016:i:c:p:236-243.

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2016A family of premium principles based on mixtures of TVaRs. (2016). Castao-Martinez, Antonia ; Sordo, Miguel A ; Pigueiras, Gema . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:397-405.

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2016A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework. (2016). Shevchenko, Pavel V. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:22-:d:73342.

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2016Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. (2016). Song, Andrew ; Ignatieva, Katja ; Ziveyi, Jonathan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:286-300.

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2016A General framework for modelling mortality to better estimate its relationship with interest rate risks. (2016). Dacorogna, Michel ; Apicella, Giovanna . In: MPRA Paper. RePEc:pra:mprapa:75788.

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2016Inference for intermediate Haezendonck–Goovaerts risk measure. (2016). Wang, Xing ; Peng, Liang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:231-240.

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2016Competitive insurance pricing with complete information, loss-averse utility and finitely many policies. (2016). , . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:11-21.

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2016From regulatory life tables to stochastic mortality projections: The exponential decline model. (2016). Denuit, Michel ; Trufin, Julien . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:295-303.

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2016Intrinsic risk measures. (2016). Farkas, W ; Smirnow, A. In: Papers. RePEc:arx:papers:1610.08782.

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2016Highly flexible distributions to fit multiple frequency financial returns. (2016). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:442:y:2016:i:c:p:203-213.

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2016Global versus local beta models: A partitioned distribution approach. (2016). Bramante, Riccardo ; Zappa, Diego . In: International Review of Financial Analysis. RePEc:eee:finana:v:43:y:2016:i:c:p:41-47.

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2016Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences. (2016). Chen, Shumin ; Zeng, Yan ; Deng, Yinglu ; Wang, XI. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:27-37.

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2016The loss given default of a low-default portfolio with weak contagion. (2016). Yuan, Zhongyi ; Wei, LI. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:113-123.

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2016Sarmanov family of multivariate distributions for bivariate dynamic claim counts model. (2016). Cossette, Helene ; Abdallah, Anas ; Boucher, Jean-Philippe . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:120-133.

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2016Shortfall Deviation Risk: An alternative to risk measurement. (2016). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio . In: Papers. RePEc:arx:papers:1501.02007.

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2016Loss-Deviation risk measures. (2016). Righi, Marcelo Brutti . In: Papers. RePEc:arx:papers:1511.06943.

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2016Risk measures with the CxLS property. (2016). Delbaen, Freddy ; Ziegel, Johanna F ; Bignozzi, Valeria ; Bellini, Fabio . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-015-0279-6.

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2016What attitudes to risk underlie distortion risk measure choices?. (2016). Belles-Sampera, Jaume ; Santolino, Miguel ; Guillen, Montserrat . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:101-109.

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2016Scenario aggregation method for portfolio expectile optimization. (2016). Edgars, Jakobsons . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:33:y:2016:i:1-2:p:51-65:n:4.

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2016GMWB Riders in a Binomial Framework - Pricing, Hedging, and Diversification of Mortality Risk. (2016). Hyndman, Cody B. ; Wenger, Menachem . In: Papers. RePEc:arx:papers:1410.7453.

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2016Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective). (2016). Charpentier, Arthur ; Pigeon, Mathieu . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:12-:d:70083.

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2016Asymptotic behaviors of stochastic reserving: Aggregate versus individual models. (2016). Wu, Xianyi ; Zhou, Xian ; Huang, Jinlong . In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:657-666.

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2016Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective). (2016). Charpentier, Arthur ; Pigeon, Mathieu . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:12:d:70083.

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2016Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective. (2016). Fersini, Paola ; Melisi, Giuseppe . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:27-44.

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2016A micro-level claim count model with overdispersion and reporting delays. (2016). Avanzi, Benjamin ; Yang, Xinda ; Wong, Bernard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:1-14.

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2016On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums. (2016). Marciniak, Ewa ; Palmowski, Zbigniew . In: Papers. RePEc:arx:papers:1605.04584.

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2016Optimality of two-parameter strategies in stochastic control. (2016). Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1605.04995.

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2016On optimal joint reflective and refractive dividend strategies in spectrally positive L\evy models. (2016). Avanzi, Benjamin ; Yamazaki, Kazutoshi ; Wong, Bernard . In: Papers. RePEc:arx:papers:1607.01902.

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2016Optimal risk and dividend strategies with transaction costs and terminal value. (2016). Cheng, Gongpin ; Zhao, Yongxia . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:522-536.

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2016On the worst and least possible asymptotic dependence. (2016). Gerrard, Russell ; Asimit, Alexandru V. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:144:y:2016:i:c:p:218-234.

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2016Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof. (2016). Yin, Chuancun ; Zhu, Dan . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:34-:d:79381.

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2016Borch’s theorem, equal margins, and efficient allocation. (2016). Flm, Sjur Didrik . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:162-168.

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2016Optimality of hybrid continuous and periodic barrier strategies in the dual model. (2016). Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1612.02444.

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2016A multivariate extension of the increasing convex order to compare risks. (2016). Sordo, Miguel A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:224-230.

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2016Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011. (2016). Sutcliffe, Charles. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:14-28.

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2016Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank. (2016). Hallin, Marc ; van den Akker, Ramon . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:46-61.

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2016A continuous-time stochastic model for the mortality surface of multiple populations. (2016). Jevtic, Peter ; Regis, Luca . In: Working Papers. RePEc:ial:wpaper:03/2016.

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2016Inference pitfalls in Lee–Carter model for forecasting mortality. (2016). Peng, Liang ; Leng, Xuan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:58-65.

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2016Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration. (2016). Kwok, Kai Yin ; Wong, Hoi Ying ; Chiu, Mei Choi . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:353-366.

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2016Sharp convex bounds on the aggregate sums--An alternative proof. (2016). Yin, Chuancun ; Zhu, Dan . In: Papers. RePEc:arx:papers:1603.05373.

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2016A note on the Log-Lindley distribution. (2016). Jodra, P ; Jimenez-Gamero, M D. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:189-194.

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2016Stochastic Comparison of Parallel Systems with Finite Range Distributed Components. (2016). Chowdhury, Shovan ; Kundu, Amarjit . In: Working papers. RePEc:iik:wpaper:201.

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2016Bayesian quantile regression model for claim count data. (2016). Mohd, Mohd Fadzli ; Jemain, Abdul Aziz ; Ismail, Noriszura . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:124-137.

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2016Semi-parametric accelerated hazard relational models with applications to mortality projections. (2016). Denuit, Michel ; Cadena, Meitner . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:1-16.

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Recent citations (cites in year: CiY)


Recent citations received in 2016

YearCiting document
2016Some Mathematical Aspects of Price Optimisation. (2016). Bai, Y ; Tamraz, M ; Ratovomirija, G ; Hashorva, E. In: Papers. RePEc:arx:papers:1605.05814.

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2016Efficient Valuation of SCR via a Neural Network Approach. (2016). Hejazi, Seyed Amir ; Jackson, Kenneth R. In: Papers. RePEc:arx:papers:1610.01946.

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2016Multiple risk factor dependence structures: Copulas and related properties. (2016). Furman, Edward ; Su, Jianxi . In: Papers. RePEc:arx:papers:1610.02126.

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2016VaR as the CVaR sensitivity : applications in risk optimization. (2016). Balbs, Raquel . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:id-16-01.

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2016Alpha-robust mean-variance reinsurance-investment strategy. (2016). Li, Bin ; Xiong, Dewen . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:101-123.

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2016Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling. (2016). Zhang, Xin ; Zeng, Yan ; Meng, Hui . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:125-132.

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2016The role of a representative reinsurer in optimal reinsurance. (2016). Zhuang, Sheng Chao ; Boonen, Tim J ; Tan, Ken Seng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:196-204.

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2016A micro-level claim count model with overdispersion and reporting delays. (2016). Avanzi, Benjamin ; Yang, Xinda ; Wong, Bernard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:1-14.

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2016Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return. (2016). Li, Jinzhu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:195-204.

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2016Constrained investment–reinsurance optimization with regime switching under variance premium principle. (2016). Shen, Yang ; Wang, Wei ; Qian, Linyi ; Chen, LV. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:253-267.

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2016A pair of optimal reinsurance–investment strategies in the two-sided exit framework. (2016). Li, Danping ; Landriault, David . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:284-294.

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2016Issues with the Smith–Wilson method. (2016). Lindholm, Mathias ; Lagers, Andreas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:93-102.

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2016Understanding Reporting Delay in General Insurance. (2016). . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:25-:d:73548.

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2016Optimal Reinsurance with Heterogeneous Reference Probabilities. (2016). Boonen, Tim J. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:26-:d:73448.

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2016Deflation Risk and Implications for Life Insurers. (2016). Begin, Jean-Franois . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:46-:d:84409.

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2016How Does Reinsurance Create Value to an Insurer? A Cost-Benefit Analysis Incorporating Default Risk. (2016). Lo, Ambrose . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:48-:d:85331.

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2016Smooth investment. (2016). Bruhn, Kenneth ; Steffensen, Mogens ; Jensen, Ninna Reitzel . In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:3:d:10.1007_s10436-016-0283-7.

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2016Multivariate extreme value statistics for risk assessment. (2016). He, Yi. In: Other publications TiSEM. RePEc:tiu:tiutis:119cc8b9-5198-41d6-a648-f72501cd4229.

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Recent citations received in 2015

YearCiting document
2015Optimal risk allocation in a market with non-convex preferences. (2015). Assa, Hirbod . In: Papers. RePEc:arx:papers:1503.04460.

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2015SMC-ABC methods for the estimation of stochastic simulation models of the limit order book. (2015). Panayi, Efstathios ; Peters, Gareth W. ; Septier, Francois . In: Papers. RePEc:arx:papers:1504.05806.

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2015Optimal Dividend Strategies for Two Collaborating Insurance Companies. (2015). Albrecher, Hansjoerg ; Muler, Nora ; Azcue, Pablo . In: Papers. RePEc:arx:papers:1505.03980.

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2015Statistical Emulators for Pricing and Hedging Longevity Risk Products. (2015). Risk, James ; Ludkovski, Michael . In: Papers. RePEc:arx:papers:1508.00310.

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2015Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption. (2015). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R. In: Papers. RePEc:arx:papers:1508.01914.

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2015Bayesian Poisson log-bilinear models for mortality projections with multiple populations. (2015). Antonio, Katrien ; Ouburg, Wilbert ; Bardoutsos, Anastasios . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1505.

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2015Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions. (2015). Uribe Gil, Jorge ; Guillen, Montserrat ; Chuliá, Helena. In: Working Papers. RePEc:bak:wpaper:201503.

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2015Valuing commodity options and futures options with changing economic conditions. (2015). Siu, Tak Kuen ; Fan, Kun ; Wang, Rongming ; Shen, Yang . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:524-533.

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2015Minimizing the expected lifetime spent in drawdown under proportional consumption. (2015). Bayraktar, Erhan ; Young, Virginia R ; Angoshtari, Bahman . In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:106-114.

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2015On rational pricing for a profit-seeking insurer in the year of hard market. (2015). Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:107-117.

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2015Business planning for a profit-seeking insurer under deficiency of information. (2015). Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:215-226.

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2015A bivariate risk model with mutual deficit coverage. (2015). Ivanovs, Jevgenijs ; Boxma, Onno . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:126-134.

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2015Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk. (2015). Li, Danping ; Zhao, Hui ; Rong, Ximin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:28-44.

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2015Maxentropic approach to decompound aggregate risk losses. (2015). Gzyl, Henryk ; Gomes-Gonalves, Erika ; Mayoral, Silvia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:326-336.

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2015On the convex transform and right-spread orders of smallest claim amounts. (2015). Barmalzan, Ghobad ; Payandeh, Amir T. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:380-384.

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2015Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk. (2015). Wu, Huiling ; Zeng, Yan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:396-408.

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2015Convex ordering for insurance preferences. (2015). Cheung, K C ; Chong, W F. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:409-416.

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2015Comparisons on aggregate risks from two sets of heterogeneous portfolios. (2015). Zhang, Yiying ; Zhao, Peng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:124-135.

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2015Higher order tail densities of copulas and hidden regular variation. (2015). Li, Haijun ; Hua, Lei . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:138:y:2015:i:c:p:143-155.

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2015Ambiguity on the insurer’s side: The demand for insurance. (2015). Phelps, Edmund ; Ghossoub, Mario ; amarante, massimiliano. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:58:y:2015:i:c:p:61-78.

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2015A correction term for the covariance of renewal-reward processes with multivariate rewards. (2015). Patch, Brendan ; Taimre, Thomas ; Nazarathy, Yoni . In: Statistics & Probability Letters. RePEc:eee:stapro:v:102:y:2015:i:c:p:1-7.

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2015Occupation times of refracted double exponential jump diffusion processes. (2015). Zhou, Jiang ; Wu, Lan . In: Statistics & Probability Letters. RePEc:eee:stapro:v:106:y:2015:i:c:p:218-227.

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2015Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars . In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385.

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2015On ambiguity apportionment. (2015). Courbage, Christophe ; Rey, Beatrice . In: Working Papers. RePEc:gat:wpaper:1527.

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2015Kriging of financial term-structures. (2015). Cousin, Areski ; Maatouk, Hassan . In: Working Papers. RePEc:hal:wpaper:hal-01206388.

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2015On ambiguity apportionment. (2015). Courbage, Christophe ; Rey-Fournier, Beatrice . In: Working Papers. RePEc:hal:wpaper:halshs-01223230.

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2015Modeling and projecting mortality. A new model of heterogeneity and selection in survivorship. (2015). Hansen, Hans Oluf . In: Discussion Papers. RePEc:kud:kuiedp:1516.

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Recent citations received in 2014

YearCiting document
2014Capital adequacy tests and limited liability of financial institutions. (2014). Munari, Cosimo ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo . In: Papers. RePEc:arx:papers:1401.3133.

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2014Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs. (2014). Yin, Chuancun ; Yuen, Kam Chuen . In: Papers. RePEc:arx:papers:1409.0407.

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2014Risk measures with the CxLS property. (2014). Bellini, Fabio ; Bignozzi, Valeria ; Ziegel, Johanna F. ; Delbaen, Freddy . In: Papers. RePEc:arx:papers:1411.0426.

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2014Characterizing mutual exclusivity as the strongest negative multivariate dependence structure. (2014). Lo, Ambrose ; Cheung, Ka Chun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:180-190.

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2014On optimal periodic dividend strategies in the dual model with diffusion. (2014). Avanzi, Benjamin ; Tu, Vincent ; Wong, Bernard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:210-224.

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2014Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk. (2014). Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:301-309.

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2014Annual intrinsic value of a company in a competitive insurance market. (2014). Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:310-318.

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2014Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach. (2014). Huang, H. ; Salisbury, T. S. ; Milevsky, M. A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:56:y:2014:i:c:p:102-111.

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2014On the multidimensional extension of countermonotonicity and its applications. (2014). Ahn, Jae Youn ; Lee, Woojoo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:56:y:2014:i:c:p:68-79.

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2014GlueVaR risk measures in capital allocation applications. (2014). Guillen, Montserrat ; Belles-Sampera, Jaume ; Santolino, Miguel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:132-137.

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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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2014Optimal investment and risk control policies for an insurer: Expected utility maximization. (2014). Cadenillas, Abel ; Zou, Bin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:57-67.

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2014On the expected discounted dividends in the Cramér–Lundberg risk model with more frequent ruin monitoring than dividend decisions. (2014). Cheung, Eric C. K., ; Choi, Michael C. H., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:59:y:2014:i:c:p:121-132.

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2014Simulation analysis of ruin capital in Sparre Andersen’s model of risk. (2014). Kosova, Ksenia O. ; Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:59:y:2014:i:c:p:184-193.

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2014Extreme value analysis of the Haezendonck–Goovaerts risk measure with a general Young function. (2014). Yang, Fan ; Tang, Qihe . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:59:y:2014:i:c:p:311-320.

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2014Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff. (2014). Wei, Linxiao ; Hu, Yijun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:59:y:2014:i:c:p:78-86.

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2014Price of anarchy for non-atomic congestion games with stochastic demands. (2014). Chen, BO ; Doan, Xuan Vinh ; Wang, Chenlan . In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:70:y:2014:i:c:p:90-111.

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2014Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk. (2014). Malinovskii, Vsevolod K.. In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:3:p:249-259:d:37899.

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2014Forecasting Generalized Quantiles of Electricity Demand: A Functional Data Approach. (2014). Schulz, Franziska ; López Cabrera, Brenda. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-030.

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2014Assessing the solvency of insurance portfolios via a continuous time cohort model. (2014). Regis, Luca ; Jevtic, Petar . In: Working Papers. RePEc:ial:wpaper:7/2014.

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2014A Hybrid Model for Pricing and Hedging of Long Dated Bonds. (2014). Platen, Eckhard ; Baldeaux, Jan ; Fung, Man Chung ; Ignatieva, Katja . In: Research Paper Series. RePEc:uts:rpaper:343.

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Recent citations received in 2013

YearCiting document
2013Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk. (2013). Regis, Luca ; luciano, elisa. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:308.

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2013Robust goal programming for multi-objective portfolio selection problem. (2013). Ghahtarani, Alireza ; Najafi, Amir Abbas . In: Economic Modelling. RePEc:eee:ecmode:v:33:y:2013:i:c:p:588-592.

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2013Optimal reinsurance subject to Vajda condition. (2013). Chi, Yichun ; Weng, Chengguo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:1:p:179-189.

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2013Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion. (2013). Li, Yongwu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:1:p:86-97.

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2013Rationale of underwriters’ pricing conduct on competitive insurance market. (2013). Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:2:p:325-333.

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2013On the mortality/longevity risk hedging with mortality immunization. (2013). Tsai, Cary Chi-Liang ; Lin, Tzuling . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:580-596.

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2013Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework. (2013). He, Lin ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:643-649.

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2013Optimal reinsurance in the presence of counterparty default risk. (2013). Badescu, Alexandru M. ; Cheung, Ka Chun ; Asimit, Alexandru V.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:690-697.

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2013Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution. (2013). Rassoul, Abdelaziz . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:698-703.

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2013Fuzzy portfolio optimization model under real constraints. (2013). Zhang, Wei-Guo ; Liu, Yong-Jun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:704-711.

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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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2013Application of data clustering and machine learning in variable annuity valuation. (2013). Gan, Guojun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:795-801.

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2013Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model. (2013). Yao, Haixiang ; Yang, Zhou ; Chen, Ping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:851-863.

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2013General lower bounds on convex functionals of aggregate sums. (2013). Lo, Ambrose ; Cheung, Ka Chun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:884-896.

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2013Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity. (2013). Durante, Fabrizio ; Sempi, Carlo ; Sanchez, Juan Fernandez . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:897-905.

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2013Optimal Reinsurance: A Risk Sharing Approach. (2013). Balbas, Alejandro . In: Risks. RePEc:gam:jrisks:v:1:y:2013:i:2:p:45-56:d:27724.

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

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2013“Indicators for the characterization of discrete Choquet integrals”. (2013). Merigó, José M. ; Guillen, Montserrat ; Santolino, Miguel ; Merigo, Jose M. ; Belles-Sampera, Jaume . In: IREA Working Papers. RePEc:ira:wpaper:201311.

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2013An application of capital allocation principles to operational risk. (2013). Urbina, Jilber ; Guillen, Montserrat . In: MPRA Paper. RePEc:pra:mprapa:75726.

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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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2013Linear–Quadratic Time-Inconsistent Mean Field Games. (2013). Bensoussan, A. ; Yam, S. ; Sung, K.. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:3:y:2013:i:4:p:537-552.

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2013On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators. (2013). Rulliere, Didier ; Elena, Di Bernardino . In: Dependence Modeling. RePEc:vrs:demode:v:1:y:2013:i::p:1-36:n:1.

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2013An Analysis of Black-box Optimization Problems in Reinsurance: Evolutionary-based Approaches. (2013). Castañer, Anna ; Castaer, Anna ; Salcedo-Sanz, Sancho ; Claramunt, Merce ; Marmol, Maite ; Carro-Calvo, L.. In: Working Papers. RePEc:xrp:wpaper:xreap2013-04.

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