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


0.28

Impact Factor

0.47

5-Years IF

24

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.121218950116 (%)0.04
19910.1234411746119 (%)0.04
19920.122664244114 (%)0.04
19930.11208611445116 (%)0.05
19940.110.032711390.08102421113 (%)0.04
19950.190.190.1116129360.285347911312 (%)10.060.07
19960.090.230.1224153310.2273434108131 (%)0.09
19970.130.270.1130183320.1715140510912 (%)0.09
19980.130.280.1123206410.27454711713 (%)10.040.1
19990.110.320.2126232740.3278536120251 (1.3%)0.13
20000.140.390.224256610.24108497119241 (%)10.040.15
20010.10.390.1923279550.29750512724 (%)0.14
20020.130.410.1123302830.2794476126141 (1.1%)10.040.17
20030.170.430.1431333910.27131468119171 (%)20.060.18
20040.240.480.1929362860.2478541312724 (%)10.030.2
20050.150.520.1831393890.2310160913023 (%)10.030.21
20060.050.510.1629422950.2318960313722 (%)10.030.2
20070.120.440.1124446940.2116560714316 (%)0.18
20080.470.480.35314771960.41186532514450 (%)10.030.2
20090.290.490.32325091940.3878551614446 (%)0.19
20100.290.460.39385471970.36107631814758 (%)20.050.17
20110.140.50.32255721550.27144701015450 (%)50.20.19
20120.40.530.39265982070.3577632515059 (%)0.19
20130.430.590.43186162770.4575512215265 (%)70.390.21
20140.550.610.45246402310.3643442413962 (%)20.080.2
20150.450.630.57256653180.48374219131751 (2.7%)40.160.2
20160.530.70.81286934330.6220492611895 (%)30.110.2
20170.280.780.47317243480.4813531512157 (%)60.190.23
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


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

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160
21997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory. (1997). McNeil, Alexander J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:27:y:1997:i:01:p:117-137_01.

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83
31981Recursive Evaluation of a Family of Compound Distributions. (1981). Panjer, Harry H. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:12:y:1981:i:01:p:22-26_00.

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67
41996Dependency of Risks and Stop-Loss Order. (1996). Dhaene, Jan ; Goovaerts, Marc J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:02:p:201-212_00.

Full description at Econpapers || Download paper

66
52008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities. (2008). Bauer, Daniel ; Russ, Jochen ; Kling, Alexander . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:621-651_01.

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65
62006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk. (2006). Blake, David ; Dowd, Kevin. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:01:p:79-120_01.

Full description at Econpapers || Download paper

59
72007A Primer on Copulas for Count Data. (2007). Nelehova, Johanna ; Genest, Christian. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:475-515_01.

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56
81993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates. (1993). Mack, Thomas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:02:p:213-225_01.

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54
91987On the Probability and Severity of Ruin. (1987). Gerber, Hans U ; Kaas, Rob ; Goovaerts, Marc J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:17:y:1987:i:02:p:151-163_00.

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49
102000Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time. (2000). Cairns, Andrew . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:01:p:19-55_00.

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45
112007Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures. (2007). Cai, Jun ; Tan, Ken Seng. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:01:p:93-112_01.

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44
122001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed. (2001). Bacinello, Anna Rita . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:31:y:2001:i:02:p:275-297_00.

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40
132002A Universal Framework for Pricing Financial and Insurance Risks. (2002). Wang, Shaun S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:32:y:2002:i:02:p:213-234_01.

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38
141989A Generalization of Automobile Insurance Rating Models: The Negative Binomial Distribution with a Regression Component. (1989). Dionne, Georges ; Vanasse, Charles . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:19:y:1989:i:02:p:199-212_00.

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35
152003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling. (2003). McNeil, Alexander J ; Lindskog, Filip. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:33:y:2003:i:02:p:209-238_01.

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35
162011Modelling Adult Mortality in Small Populations: The Saint Model. (2011). Jarner, Soren Fiig ; Kryger, Esben Masotti . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:377-418_00.

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33
171990Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation. (1990). Denneberg, Dieter . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:02:p:181-190_00.

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31
182011Bayesian Stochastic Mortality Modelling for Two Populations. (2011). Blake, David ; Khalaf-Allah, Marwa ; Coughlan, Guy D ; Dowd, Kevin. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:01:p:29-59_00.

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31
192004Some Optimal Dividends Problems. (2004). , David ; Waters, Howard R ; David, . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:34:y:2004:i:01:p:49-74_01.

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31
202011Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach. (2011). Chi, Yichun ; Tan, Ken Seng. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:487-509_00.

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28
212006Tail Variance Premium with Applications for Elliptical Portfolio of Risks. (2006). Landsman, Zinoviy ; Furman, Edward. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:433-462_01.

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27
221988Mathematical Fun with the Compound Binomial Process. (1988). Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:18:y:1988:i:02:p:161-168_00.

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27
231998On Esscher Transforms in Discrete Finance Models. (1998). Shiryaev, Albert N ; Embrechts, Paul ; Delbaen, Freddy ; Buhlmann, Hans . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:28:y:1998:i:02:p:171-186_01.

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26
241974On Additive Premium Calculation Principles. (1974). Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:7:y:1974:i:03:p:215-222_00.

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24
251999On Multivariate Panjer Recursions. (1999). Sundt, Bjorn . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:29:y:1999:i:01:p:29-45_00.

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24
261991Risk Theory with the Gamma Process. (1991). Dufresne, Franois ; Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:02:p:177-192_00.

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23
272008Optimal Dividends in the Dual Model with Diffusion. (2008). Avanzi, Benjamin ; Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:653-667_01.

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23
281993Prediction of Outstanding Liabilities in Non-Life Insurance. (1993). Norberg, Ragnar . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:01:p:95-115_00.

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23
292010The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis. (2010). Donnelly, Catherine ; Embrechts, Paul. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:40:y:2010:i:01:p:1-33_00.

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22
302007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT. (2007). Degen, Matthias ; Lambrigger, Dominik D ; Embrechts, Paul. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:265-291_01.

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21
312013ON OPTIMAL DIVIDENDS IN THE DUAL MODEL. (2013). Bayraktar, Erhan ; Kyprianou, Andreas E ; Yamazaki, Kazutoshi. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:03:p:359-372_00.

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21
321989Hedging by Sequential Regression: an Introduction to the Mathematics of Option Trading. (1989). Follmer, H ; Schweizer, M. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:19:y:1989:i:s1:p:29-42_00.

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21
332011Randomized Observation Periods for the Compound Poisson Risk Model: Dividends. (2011). Albrecher, Hansjorg ; Thonhauser, Stefan. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:645-672_00.

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21
341981Further Results on Recursive Evaluation of Compound Distributions. (1981). Sundt, Bjorn ; Jewell, William S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:12:y:1981:i:01:p:27-39_00.

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20
352000Pricing Risk Transfer Transactions. (2000). Lane, Morton N. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:02:p:259-293_01.

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20
361979Optimal Risk Exchanges. (1979). Buhlmann, Hans ; Jewell, William S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:10:y:1979:i:03:p:243-262_00.

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20
372006On the Tail Behavior of Sums of Dependent Risks. (2006). Genest, Christian ; Barbe, Philippe ; Fougeres, Anne-Laure . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:361-373_01.

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20
382006A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier. (2006). Gerber, Hans U ; Yang, Hailiang ; Lin, Sheldon X. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:489-503_01.

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19
391991Premium Calculation Implications of Reinsurance Without Arbitrage. (1991). Venter, Gary G. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:02:p:223-230_00.

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19
401995Some Stable Algorithms in Ruin Theory and Their Applications. (1995). Egidio dos Reis, Alfredo ; Waters, Howard R ; David, . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:25:y:1995:i:02:p:153-175_00.

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19
411996On the Hedging Portfolio of Asian Options. (1996). Jacques, Michel. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:02:p:165-183_00.

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17
421990Fuzzy Insurance. (1990). Lemaire, Jean . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:01:p:33-55_00.

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17
431991Cooperative Game Theory and its Insurance Applications. (1991). Lemaire, Jean . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:01:p:17-40_00.

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17
442005The Density of the Time to Ruin in the Classical Poisson Risk Model. (2005). , David ; Willmot, Gordon E ; David, . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:35:y:2005:i:01:p:45-60_01.

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16
451960Reciprocal Reinsurance Treaties. (1960). Borch, Karl . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:1:y:1960:i:04:p:170-191_00.

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16
461989The Claims Reserving Problem in Non-Life Insurance: Some Structural Ideas. (1989). Arjas, Elja . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:19:y:1989:i:02:p:139-152_00.

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16
471991Recursive Calculation of Survival Probabilities. (1991). Waters, Howard R ; David, . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:02:p:199-221_00.

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16
482001Design of Optimal Bonus-Malus Systems With a Frequency and a Severity Component On an Individual Basis in Automobile Insurance. (2001). Vrontos, Spyridon D ; Frangos, Nicholas E. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:31:y:2001:i:01:p:1-22_00.

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16
491984On a Class of Semi-Markov Risk Models Obtained as Classical Risk Models in a Markovian Environment. (1984). Reinhard, Jean-Marie . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:14:y:1984:i:01:p:23-43_00.

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15
501991A Simple Parametric Model for Rating Automobile Insurance or Estimating IBNR Claims Reserves. (1991). Mack, Thomas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:01:p:93-109_00.

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15

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


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

Full description at Econpapers || Download paper

32
22008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities. (2008). Bauer, Daniel ; Russ, Jochen ; Kling, Alexander . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:621-651_01.

Full description at Econpapers || Download paper

27
31993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates. (1993). Mack, Thomas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:02:p:213-225_01.

Full description at Econpapers || Download paper

24
42007A Primer on Copulas for Count Data. (2007). Nelehova, Johanna ; Genest, Christian. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:475-515_01.

Full description at Econpapers || Download paper

23
52011Modelling Adult Mortality in Small Populations: The Saint Model. (2011). Jarner, Soren Fiig ; Kryger, Esben Masotti . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:377-418_00.

Full description at Econpapers || Download paper

17
62006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk. (2006). Blake, David ; Dowd, Kevin. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:01:p:79-120_01.

Full description at Econpapers || Download paper

17
72007Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures. (2007). Cai, Jun ; Tan, Ken Seng. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:01:p:93-112_01.

Full description at Econpapers || Download paper

16
82011Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach. (2011). Chi, Yichun ; Tan, Ken Seng. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:487-509_00.

Full description at Econpapers || Download paper

16
92002A Universal Framework for Pricing Financial and Insurance Risks. (2002). Wang, Shaun S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:32:y:2002:i:02:p:213-234_01.

Full description at Econpapers || Download paper

13
101997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory. (1997). McNeil, Alexander J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:27:y:1997:i:01:p:117-137_01.

Full description at Econpapers || Download paper

13
111989The Claims Reserving Problem in Non-Life Insurance: Some Structural Ideas. (1989). Arjas, Elja . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:19:y:1989:i:02:p:139-152_00.

Full description at Econpapers || Download paper

13
122011Bayesian Stochastic Mortality Modelling for Two Populations. (2011). Blake, David ; Khalaf-Allah, Marwa ; Coughlan, Guy D ; Dowd, Kevin. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:01:p:29-59_00.

Full description at Econpapers || Download paper

13
132011Randomized Observation Periods for the Compound Poisson Risk Model: Dividends. (2011). Albrecher, Hansjorg ; Thonhauser, Stefan. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:645-672_00.

Full description at Econpapers || Download paper

13
142006Tail Variance Premium with Applications for Elliptical Portfolio of Risks. (2006). Landsman, Zinoviy ; Furman, Edward. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:433-462_01.

Full description at Econpapers || Download paper

12
151993Prediction of Outstanding Liabilities in Non-Life Insurance. (1993). Norberg, Ragnar . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:01:p:95-115_00.

Full description at Econpapers || Download paper

12
162013ON OPTIMAL DIVIDENDS IN THE DUAL MODEL. (2013). Bayraktar, Erhan ; Kyprianou, Andreas E ; Yamazaki, Kazutoshi. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:03:p:359-372_00.

Full description at Econpapers || Download paper

11
171981Recursive Evaluation of a Family of Compound Distributions. (1981). Panjer, Harry H. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:12:y:1981:i:01:p:22-26_00.

Full description at Econpapers || Download paper

11
181999Prediction of Outstanding Liabilities II. Model Variations and Extensions. (1999). Norberg, Ragnar . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:29:y:1999:i:01:p:5-25_00.

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9
192012On the Calculation of the Solvency Capital Requirement Based on Nested Simulations. (2012). Bauer, Daniel ; Singer, Daniela ; Reuss, Andreas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:02:p:453-499_00.

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9
202009Risk Measures and Efficient use of Capital. (2009). Koch-Medina, Pablo ; Delbaen, Freddy . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:39:y:2009:i:01:p:101-116_00.

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9
211989Predicting Ibnyr Events and Delays: I. Continuous Time. (1989). Jewell, William S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:19:y:1989:i:01:p:25-55_00.

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9
221979Optimal Risk Exchanges. (1979). Buhlmann, Hans ; Jewell, William S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:10:y:1979:i:03:p:243-262_00.

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8
232004Some Optimal Dividends Problems. (2004). , David ; Waters, Howard R ; David, . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:34:y:2004:i:01:p:49-74_01.

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8
241974On Additive Premium Calculation Principles. (1974). Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:7:y:1974:i:03:p:215-222_00.

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7
251996Dependency of Risks and Stop-Loss Order. (1996). Dhaene, Jan ; Goovaerts, Marc J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:02:p:201-212_00.

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7
262008Optimal Dividends in the Dual Model with Diffusion. (2008). Avanzi, Benjamin ; Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:653-667_01.

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7
272003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling. (2003). McNeil, Alexander J ; Lindskog, Filip. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:33:y:2003:i:02:p:209-238_01.

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7
282000Pricing Risk Transfer Transactions. (2000). Lane, Morton N. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:02:p:259-293_01.

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7
292011The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities. (2011). Kling, Alexander ; Russ, Jochen ; Ruez, Frederik . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:511-545_00.

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302005EM Algorithm for Mixed Poisson and Other Discrete Distributions. (2005). Karlis, Dimitris . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:35:y:2005:i:01:p:3-24_01.

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6
312014Fundamental Definition of the Solvency Capital Requirement in Solvency II. (2014). Christiansen, Marcus C ; Niemeyer, Andreas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:44:y:2014:i:03:p:501-533_00.

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321999On Multivariate Panjer Recursions. (1999). Sundt, Bjorn . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:29:y:1999:i:01:p:29-45_00.

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6
332007An Individual Claims Reserving Model. (2007). Larsen, Christian Roholte . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:01:p:113-132_01.

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342013Participating Payout Life Annuities: Lessons from Germany. (2013). Maurer, Raimond ; Siegelin, Ivonne ; Rogalla, Ralph . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:02:p:159-187_00.

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6
352012Key Q-Duration: A Framework for Hedging Longevity Risk. (2012). Luo, Ancheng ; Li, Johnny Siu-Hang. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:02:p:413-452_00.

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6
362013Hedging Mortality Claims with Longevity Bonds. (2013). Widenmann, Jan ; Rheinlander, Thorsten ; Biagini, Francesca. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:02:p:123-157_00.

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6
372008General Pareto Optimal Allocations and Applications to Multi-Period Risks. (2008). Barrieu, Pauline ; Scandolo, Giacomo. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:01:p:105-136_01.

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5
381999The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor. (1999). Mack, Thomas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:29:y:1999:i:02:p:361-366_01.

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5
392006On the Tail Behavior of Sums of Dependent Risks. (2006). Genest, Christian ; Barbe, Philippe ; Fougeres, Anne-Laure . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:361-373_01.

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402012Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurers Liability. (2012). Chi, Yichun. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:02:p:529-557_00.

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5
412011Optimal Dividends and Capital Injections in the Dual Model with Diffusion. (2011). Avanzi, Benjamin ; Wong, Bernard ; Shen, Jonathan . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:611-644_00.

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5
421994A Markov Model for Loss Reserving. (1994). Hesselager, Ole. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:24:y:1994:i:02:p:183-193_00.

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5
432011Dependent Loss Reserving using Copulas. (2011). Shi, Peng ; Frees, Edward W. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:449-486_00.

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5
441990Estimation in the Pareto Distribution. (1990). Rytgaard, Mette . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:02:p:201-216_00.

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5
452010Cost-of-Capital Margin for a General Insurance Liability Runoff. (2010). Wuthrich, Mario V ; Salzmann, Robert . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:40:y:2010:i:02:p:415-451_00.

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462012No-Good-Deal, Local Mean-Variance and Ambiguity Risk Pricing and Hedging for an Insurance Payment Process. (2012). Delong, Ukasz . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:01:p:203-232_00.

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471991Risk Theory with the Gamma Process. (1991). Dufresne, Franois ; Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:02:p:177-192_00.

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5
482013INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK. (2013). Pigeon, Mathieu ; Antonio, Katrien ; Denuit, Michel . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:03:p:399-428_00.

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491990Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation. (1990). Denneberg, Dieter . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:02:p:181-190_00.

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502017REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL. (2017). Yamazaki, Kazutoshi ; Perez, Jose-Luis. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:47:y:2017:i:01:p:199-238_00.

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5

Citing documents used to compute impact factor 15:


YearTitle
2017Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account. (2017). Jiang, Wenjun ; Zitikis, Riardas ; Ren, Jiandong . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:11-:d:89417.

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2017Pareto-optimal reinsurance arrangements under general model settings. (2017). Cai, Jun ; Wang, Ruodu ; Liu, Haiyan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:24-37.

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2017Optimal Risk Allocation in Reinsurance Networks. (2017). Bauerle, Nicole ; Glauner, Alexander. In: Papers. RePEc:arx:papers:1711.10210.

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2017How do unisex life care annuities embedded in a pay-as-you-go retirement system affect gender redistribution?. (2017). VIDAL-MELIA, CARLOS ; Ventura-Marco, Manuel ; Pla-Porcel, Javier . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1711.

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2017Facing Up to Longevity with Old Actuarial Methods: A Comparison of Pooled Funds and Income Tontines. (2017). Brautigam, Marcel ; Nielsen, Jens P ; Guillen, Montserrat. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:42:y:2017:i:3:d:10.1057_s41288-017-0056-1.

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2017Estimating, and interpreting, retirement income replacement rates. (2017). Nivakoski, Sanna ; Barrett, Alan. In: Papers. RePEc:esr:wpaper:wp575.

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2017Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk. (2017). Chen, Zheng ; Sun, Jingyun ; Zeng, Yan ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:137-150.

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2017Modelling censored losses using splicing: A global fit strategy with mixed Erlang and extreme value distributions. (2017). Reynkens, Tom ; Antonio, Katrien ; Beirlant, Jan ; Verbelen, Roel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:65-77.

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2017On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation. (2017). Ratovomirija, Gildas ; Vernic, Raluca ; Tamraz, Maissa. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:197-209.

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2017Facing Up to Longevity with Old Actuarial Methods: A Comparison of Pooled Funds and Income Tontines. (2017). Brautigam, Marcel ; Nielsen, Jens P ; Guillen, Montserrat. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:42:y:2017:i:3:d:10.1057_s41288-017-0056-1.

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2017Some reliability issues for incomplete two-dimensional warranty claims data. (2017). Chatterjee, Aditya ; Gupta, Sanjib Kumar ; De, Soumen. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:157:y:2017:i:c:p:64-77.

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2017Optimal Initial Capital Induced by the Optimized Certainty Equivalent. (2017). Asano, Takao ; Nishide, Katsumasa ; Arai, Takuji. In: KIER Working Papers. RePEc:kyo:wpaper:981.

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2017Remarks on composite Bernstein copula and its application to credit risk analysis. (2017). Guo, Nan ; Yang, Jingping ; Wang, Fang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:38-48.

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2017Multiple risk factor dependence structures: Copulas and related properties. (2017). Su, Jianxi ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:109-121.

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2017Status of renewable capacity for electricity generation and future prospects in Korea: Global trends and domestic strategies. (2017). Han, Dongsu ; Baek, Sanghoon . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:76:y:2017:i:c:p:1524-1533.

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Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
2017Phase-type Approximation of the Gerber-Shiu Function. (2017). Yamazaki, Kazutoshi. In: Papers. RePEc:arx:papers:1701.02798.

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2017On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models. (2017). Wong, Bernard ; Avanzi, Benjamin ; Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:148-162.

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2017Multiple risk factor dependence structures: Copulas and related properties. (2017). Su, Jianxi ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:109-121.

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2017Multiple risk factor dependence structures: Distributional properties. (2017). Su, Jianxi ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:56-68.

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2017Pareto-optimal reinsurance arrangements under general model settings. (2017). Cai, Jun ; Wang, Ruodu ; Liu, Haiyan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:24-37.

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2017Optimal two-stage pricing strategies from the seller’s perspective under the uncertainty of buyer’s decisions. (2017). Egozcue, Martin ; Zitikis, Riardas ; Wu, Jiang. In: Journal of Statistical Distributions and Applications. RePEc:spr:jstada:v:4:y:2017:i:1:d:10.1186_s40488-017-0067-2.

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Recent citations received in 2016

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

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2016Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model. (2016). Alonso-Garcia, J ; Devolder, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:224-236.

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2016Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach. (2016). Avanzi, Benjamin ; Wong, Bernard ; Vu, Phuong Anh ; Taylor, Greg. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:63-78.

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Recent citations received in 2015

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

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

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

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

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Recent citations received in 2014

YearCiting document
2014Model-Independent Pricing of Asian Options via Optimal Martingale Transport. (2014). Stebegg, Florian . In: Papers. RePEc:arx:papers:1412.1429.

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

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2th 2018. Contact: CitEc Team