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Insurance: Mathematics and Economics / Elsevier


0.56

Impact Factor

0.67

5-Years IF

40

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1343410.031247118054 (43.5%)0.04
19910.060.090.02255940.07104714174462 (59.6%)0.04
19920.094410310.011095915950 (45.9%)10.020.04
19930.010.10.014214510.01137691174180 (58.4%)0.05
19940.050.110.0429174160.09149864182892 (61.7%)10.030.05
19950.110.20.0928202420.2119671817416115 (58.7%)20.070.07
19960.210.230.1725227510.2217157121682974 (43.3%)0.09
19970.150.270.2341268730.2745153816838240 (53.2%)20.050.09
19980.290.280.2541309750.24346661916541177 (51.2%)20.050.1
19990.40.320.35513601210.34417823316457201 (48.2%)50.10.13
20000.220.40.28514111080.26434922018653232 (53.5%)60.120.15
20010.270.40.33484591560.344861022820969256 (52.7%)60.130.15
20020.430.410.46575162570.56109943232107307 (50.3%)140.250.18
20030.530.440.5705862780.4760610556248125261 (43.1%)60.090.19
20040.350.480.42626482540.3960212745277116287 (47.7%)50.080.2
20050.30.530.41707182880.462313240288119269 (43.2%)60.090.21
20060.480.510.51727903960.569613264307158276 (39.7%)90.130.2
20070.370.450.44638533220.3845814253331144204 (44.5%)50.080.18
20080.840.470.8916210157450.73976135113337301403 (41.3%)350.220.19
20090.480.470.5810611216610.59866225108429248251 (29%)170.160.19
20100.540.450.6410812297700.63556268144473301242 (43.5%)170.160.16
20110.60.510.579513247690.58477214128511292213 (44.7%)130.140.2
20120.570.540.6311514399820.68465203115534338220 (47.3%)250.220.2
20130.720.620.9142158114200.9456210152586525193 (42.3%)250.180.22
20140.580.630.72104168511110.66271257150566405114 (42.1%)210.20.21
20150.720.660.82139182414650.822224617656446080 (36%)270.190.21
20160.770.80.83145196916750.858924318759549541 (46.1%)190.130.24
20170.561.10.67104207314380.69232841606454334 (17.4%)200.190.31
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

193
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

173
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

165
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

136
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

127
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

113
72004Stochastic 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

97
82000Fair 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.

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96
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.

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95
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

89
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

86
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.

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62
131985On 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.

Full description at Econpapers || Download paper

61
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.

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60
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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58
162005Optimal 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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58
172001Optimal 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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57
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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55
192003Pensionmetrics 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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55
202000Optimal 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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53
212003Lee-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

52
221991Risk 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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51
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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50
242006Affine stochastic mortality. (2006). Schrager, David F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:81-97.

Full description at Econpapers || Download paper

50
251998Comonotonicity, 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

50
262006Financial 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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50
272001Pensionmetrics: 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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45
282011Mortality 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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44
291997Stop-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
302006Risk 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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44
311999Fitting 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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44
322001On 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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43
332011Variable 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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43
342003Optimal 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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42
351995Ruin 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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42
362004Some 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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41
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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41
382005Estimating 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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41
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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41
401999A synthesis of risk measures for capital adequacy. (1999). Wirch, Julia Lynn ; Hardy, Mary R.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:3:p:337-347.

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40
411999Analysis 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
422005Bivariate 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
432004Optimal investment choices post-retirement in a defined contribution pension scheme. (2004). Vigna, Elena ; Haberman, Steven ; Gerrard, Russell. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:2:p:321-342.

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39
442004On 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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39
451993Pricing equity-linked life insurance with endogenous minimum guarantees. (1993). Ortu, Fulvio ; Bacinello, Anna Rita . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:12:y:1993:i:3:p:245-257.

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39
462002Optimal investment strategies and risk measures in defined contribution pension schemes. (2002). Vigna, Elena ; Haberman, Steven . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:35-69.

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38
472001Optimal 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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37
481995Insurance 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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36
491982Estimates 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
501997Reserving 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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35

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

52
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

35
32006A 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

28
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

26
52002The 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

26
61997Axiomatic 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

24
72002A 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

24
82005Affine 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
92006Financial 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

22
102004Stochastic 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

19
111996Valuation 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

18
122011Variable 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

18
132014Generalized 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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18
142011Mortality 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

16
152006Risk 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
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

15
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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15
182005Optimal 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

14
192008Optimal 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

14
202000Fair 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

14
212006Affine stochastic mortality. (2006). Schrager, David F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:81-97.

Full description at Econpapers || Download paper

14
222003Lee-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
231998Comonotonicity, 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

13
242011Optimal 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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12
252007Optimal 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.

Full description at Econpapers || Download paper

12
262003Optimal 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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11
272015Valuation 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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11
282009On 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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11
291986The determination of life premiums: An international cross-section analysis 1970-1981. (1986). Beenstock, Michael ; Dickinson, Gerry ; Khajuria, Sajay. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:5:y:1986:i:4:p:261-270.

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11
302002Optimal investment strategies and risk measures in defined contribution pension schemes. (2002). Vigna, Elena ; Haberman, Steven . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:35-69.

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11
311999Optimal 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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11
322009Optimal reinsurance with general risk measures. (2009). Balbas, Alejandro ; Heras, Antonio . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:3:p:374-384.

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11
332011Explicit 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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11
342013Pricing 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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10
352014Optimal dividends in the dual model under transaction costs. (2014). Bayraktar, Erhan ; Kyprianou, Andreas E. ; Yamazaki, Kazutoshi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:133-143.

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362012Optimal 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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372013Optimal 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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10
382006Valuation 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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392008Optimal 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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10
402010Optimal 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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10
412008Coherent 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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10
422015Optimal reinsurance under risk and uncertainty. (2015). Balbas, Alejandro ; Heras, Antonio . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:61-74.

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10
432011Optimality of general reinsurance contracts under CTE risk measure. (2011). Weng, Chengguo ; Zhang, YI ; Tan, Ken Seng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:2:p:175-187.

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10
442001Optimal 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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9
452008Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement. (2008). Gatzert, Nadine . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:2:p:839-849.

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9
462012Modeling dependence dynamics through copulas with regime switching. (2012). Ziegelmann, Flavio Augusto ; Silva Filho, Osvaldo Candido da, ; Dueker, Michael J.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:50:y:2012:i:3:p:346-356.

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9
472006Evaluating 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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9
482006Consistent risk measures for portfolio vectors. (2006). Burgert, Christian ; Ruschendorf, Ludger. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:2:p:289-297.

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9
492010Evaluating the goodness of fit of stochastic mortality models. (2010). 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:47:y:2010:i:3:p:255-265.

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9
502007Valuation of catastrophe reinsurance with catastrophe bonds. (2007). Yu, Min-Teh ; Lee, Jin-Ping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:41:y:2007:i:2:p:264-278.

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Citing documents used to compute impact factor 160:


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2017Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency. (2017). Chen, Ze ; Barigou, Karim ; Linders, Daniel ; Dhaene, Jan ; Stassen, Ben . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:14-27.

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2017Intergenerational risk sharing in closing pension funds. (2017). De Waegenaere, Anja ; Boonen, Tim J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:20-30.

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2017Cohort effects in mortality modelling: a Bayesian state-space approach. (2017). Fung, Man Chung ; Shevchenko, Pavel V ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1703.08282.

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2017An Optimal Multi-layer Reinsurance Policy under Conditional Tail Expectation. (2017). Payandeh, Amir T ; Bazaz, Ali Panahi . In: Papers. RePEc:arx:papers:1701.05447.

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2017A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios. (2017). Yue, Wei ; Wang, Yuping . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:124-140.

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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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2017Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures. (2017). Cai, Jun ; Mao, Tiantian ; Wang, Ying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:105-116.

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2017A note on the convexity of ruin probabilities. (2017). Landriault, David ; Xu, DI ; Willmot, Gordon E ; Loke, Sooie-Hoe ; Li, Bin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:1-6.

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2017A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches. (2017). Tunaru, Radu ; Cantia, Catalin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:21-35.

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2017A limit distribution of credit portfolio losses with low default probabilities. (2017). Shi, Xiaojun ; Yuan, Zhongyi ; Tang, Qihe . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:156-167.

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2017Confidence sets and confidence bands for a beta distribution with applications to credit risk management. (2017). Kiatsupaibul, Seksan ; Somsong, Sarunya ; Hayter, Anthony J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:98-104.

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2017Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér–Lundberg model. (2017). Chen, Shumin ; Hao, Zhifeng ; Zeng, Yan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:31-45.

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2017Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity. (2017). Viens, Frederi G ; Yi, BO ; Gu, Ailing . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:235-249.

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2017Optimality of excess-loss reinsurance under a mean–variance criterion. (2017). Li, Danping ; Young, Virginia R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:82-89.

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2017Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model. (2017). Li, Danping ; Yi, BO ; Zhao, Hui ; Rong, Ximin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:6-20.

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2017ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION. (2017). Cong, F ; Oosterlee, C W. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500492.

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2017General Price Bounds for Guaranteed Annuity Options. (2017). Bahl, Raj Kumari ; Sabanis, Sotirios . In: Papers. RePEc:arx:papers:1707.00807.

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2017A reinsurance and investment game between two insurance companies with the different opinions about some extra information. (2017). Yan, Ming ; Zhang, Shuhua ; Peng, Fanyi . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:58-70.

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2017Solvency II reporting: How to interpret funds’ aggregate solvency capital requirement figures. (2017). Suli, Balazs Marton ; Niedermayer, Andras ; Mezfi, Balazs. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:164-171.

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2017An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

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2017Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization. (2017). Denuit, Michel M ; Mesfioui, Mhamed . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:1-5.

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2017Contagion modeling between the financial and insurance markets with time changed processes. (2017). Hainaut, Donatien. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:63-77.

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2017Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options. (2017). Pirjol, Dan ; Zhu, Lingjiong. In: Papers. RePEc:arx:papers:1706.09659.

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2017Approaches and Techniques to Validate Internal Model Results. (2017). Dacorogna, Michel. In: MPRA Paper. RePEc:pra:mprapa:79632.

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2017Valuation of Non-Life Liabilities from Claims Triangles. (2017). Lindholm, Mathias ; Wahl, Felix ; Lindskog, Filip. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:39-:d:105172.

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2017A mast is a mast is a mast…? Comparison of preferences for location-scenarios of electricity pylons and wind power plants using conjoint analysis. (2017). Zaunbrecher, Barbara S ; Ziefle, Martina ; Linzenich, Anika . In: Energy Policy. RePEc:eee:enepol:v:105:y:2017:i:c:p:429-439.

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2017Pricing vulnerable options with stochastic volatility. (2017). Wang, Guanying ; Zhou, KE. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:91-103.

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2017A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2017). Lejay, Antoine ; Pigato, Paolo. In: Working Papers. RePEc:hal:wpaper:hal-01669082.

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2017The fundamental theorem of mutual insurance. (2017). Albrecht, Peter ; Huggenberger, Markus . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:180-188.

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2017Joint distribution of k-tuple statistics in zero-one sequences of Markov-dependent trials. (2017). Arapis, Anastasios N ; Psillakis, Zaharias M ; Makri, Frosso S. In: Journal of Statistical Distributions and Applications. RePEc:spr:jstada:v:4:y:2017:i:1:d:10.1186_s40488-017-0080-5.

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2017On compound sums under dependence. (2017). Eryilmaz, Serkan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:228-234.

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2017Haezendonck–Goovaerts risk measure with a heavy tailed loss. (2017). Liu, Qing ; Wang, Xing ; Peng, Liang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:28-47.

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2017Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework. (2017). Sun, Haoze ; Zhang, YI ; Weng, Chengguo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:197-214.

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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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2017Polynomial processes in stochastic portfolio theory. (2017). Cuchiero, Christa . In: Papers. RePEc:arx:papers:1705.03647.

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2017Reduced-form framework and superhedging for payment streams under model uncertainty. (2017). Biagini, Francesca ; Zhang, Yinglin . In: Papers. RePEc:arx:papers:1707.04475.

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2017Optimal hedging with basis risk under mean–variance criterion. (2017). Zhang, Jingong ; Weng, Chengguo ; Tan, Ken Seng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:1-15.

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2017The composite iteration algorithm for finding efficient and financially fair risk-sharing rules. (2017). Schumacher, Johannes ; Pazdera, Jaroslav . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:72:y:2017:i:c:p:122-133.

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2017Mean-variance portfolio selection with only risky assets under regime switching. (2017). Zhang, Miao ; Yao, Haixiang ; Chen, Ping . In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:35-42.

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2017Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model. (2017). Hahn, Lukas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:71-81.

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2017Modeling partial Greeks of variable annuities with dependence. (2017). Gan, Guojun ; Valdez, Emiliano A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:118-134.

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2017The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data. (2017). Pammolli, Fabio ; Regis, Luca ; Frassi, Benedetta . In: Working Papers. RePEc:ial:wpaper:1/2017.

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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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2017A generalization of Gerber’s inequality for ruin probabilities in risk-switching models. (2017). Gajek, Lesaw ; Rud, Marcin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:236-240.

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2017Data breaches: Goodness of fit, pricing, and risk measurement. (2017). Eling, Martin ; Loperfido, Nicola . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:126-136.

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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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2017Properties and comparison of risk capital allocation methods. (2017). Csóka, Péter ; Bátyi, Tamás ; Batyi, Tamas Laszlo ; Pinter, Miklos ; Csoka, Peter ; Balog, Dora . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:614-625.

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2017Capital allocation for portfolios with non-linear risk aggregation. (2017). Tsanakas, Andreas ; Boonen, Tim J ; Wuthrich, Mario V. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:95-106.

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2017Capital Allocation in the Insurance Sector. (2017). Balog, Dóra. In: Financial and Economic Review. RePEc:mnb:finrev:v:16:y:2017:i:3:p:74-97.

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2017Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement. (2017). Ludkovski, Michael ; Risk, James . In: Papers. RePEc:arx:papers:1710.05204.

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2017Identifiability issues of age–period and age–period–cohort models of the Lee–Carter type. (2017). Beutner, Eric ; Urbain, Jean-Pierre ; Reese, Simon . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:117-125.

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2017Purchasing casualty insurance to avoid lifetime ruin. (2017). Young, Virginia R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:133-142.

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2017Risk measures in a quantile regression credibility framework with Fama/French data applications. (2017). Pitselis, Georgios . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:122-134.

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2017Differential equations connecting VaR and CVaR. (2017). Balbas, Raquel . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:24017.

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2017Joint stochastic orders of high degrees and their applications in portfolio selections. (2017). Wei, Wei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:141-148.

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2017Ordering optimal deductible allocations for stochastic arrangement increasing risks. (2017). Li, Chen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:31-40.

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2017Preservation of weak stochastic arrangement increasing under fixed time left-censoring. (2017). Li, Chen. In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:42-49.

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2017On the effects of changing mortality patterns on investment, labour and consumption under uncertainty. (2017). Ewald, Christian-Oliver ; Zhang, Aihua. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:105-115.

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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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2017Retirement spending and biological age. (2017). Salisbury, T S ; Milevsky, M A ; Huang, H. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:58-76.

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2017On optimal dividends with exponential and linear penalty payments. (2017). Vierkotter, Matthias ; Schmidli, Hanspeter . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:265-270.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Coherent forecasts of mortality with compositional data analysis. (2017). Bergeron-Boucher, Marie-Pier ; Vaupel, James W ; Oeppen, Jim ; Canudas-Romo, Vladimir . In: Demographic Research. RePEc:dem:demres:v:37:y:2017:i:17.

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2017Distributional study of finite-time ruin related problems for the classical risk model. (2017). Li, Shuanming ; Lu, YI. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:315:y:2017:i:c:p:319-330.

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2017VIX-linked fees for GMWBs via Explicit Solution Simulation Methods. (2017). Kouritzin, Michael A ; MacKay, Anne . In: Papers. RePEc:arx:papers:1708.06886.

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2017Risk Management of Policyholder Behavior in Equity-Linked Life Insurance. (2017). MacKay, Anne ; Hardy, Mary R ; Bernard, Carole ; Augustyniak, Maciej . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:2:p:661-690.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Arik, Aye ; Shi, Tianxiang ; Lin, Yijia ; Morales, Marco . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:367-392.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Yu, Jifeng ; Tian, Ruilin ; MacMinn, Richard D ; Lin, Yijia ; Morales, Marco . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:345-365.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Optimal mean–variance asset-liability management with stochastic interest rates and inflation risks. (2017). Pan, Jian ; Xiao, Qingxian . In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:85:y:2017:i:3:d:10.1007_s00186-017-0580-6.

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2017Optimal hedging with basis risk under mean–variance criterion. (2017). Zhang, Jingong ; Weng, Chengguo ; Tan, Ken Seng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:1-15.

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2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

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2017Improved algorithms for computing worst Value-at-Risk. (2017). Marius, Hofert ; Tony, Wirjanto ; David, Saunders ; Amir, Memartoluie . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:34:y:2017:i:1-2:p:13-31:n:3.

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2017Citizens, consumers and farm animal welfare: A meta-analysis of willingness-to-pay studies. (2017). Clark, Beth ; Frewer, Lynn J ; Kyriazakis, Ilias ; Panzone, Luca A ; Stewart, Gavin B. In: Food Policy. RePEc:eee:jfpoli:v:68:y:2017:i:c:p:112-127.

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2017The Trade-off Between Income Inequality and Carbon Dioxide Emissions. (2017). Martínez-Zarzoso, Inmaculada ; Klasen, Stephan ; Martinez-Zarzoso, Inmaculada ; Grunewald, Nicole ; Muris, Chris. In: Ecological Economics. RePEc:eee:ecolec:v:142:y:2017:i:c:p:249-256.

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2017Optimal insurance for catastrophic risk: theory and application to nuclear corporate liability. (2017). Picard, Pierre ; Louaas, Alexis . In: Working Papers. RePEc:hal:wpaper:hal-01527478.

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2017A state dependent reinsurance model. (2017). Boxma, Onno ; Yosef, Rami ; Perry, David ; Frostig, Esther . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:170-181.

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2017Redistribution of longevity risk: The effect of heterogeneous mortality beliefs. (2017). De Waegenaere, Anja ; Boonen, Tim J ; Norde, Henk. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:175-188.

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2017Optimizing the Lee-Carter Approach in the Presence of Structural Changes in Time and Age Patterns of Mortality Improvements. (2017). Li, Hong. In: Demography. RePEc:spr:demogr:v:54:y:2017:i:3:d:10.1007_s13524-017-0579-x.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Melenberg, Bertrand ; Waegenaere, Anja ; Li, Hong ; Morales, Marco . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:459-475.

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2017Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach. (2017). Li, Han ; OHare, Colin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:166-176.

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2017Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework. (2017). Menoncin, Francesco ; Vigna, Elena. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:172-184.

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2017Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model. (2017). Yao, Nian ; Yang, Zhiming . In: Papers. RePEc:arx:papers:1704.08234.

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2017Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model. (2017). Li, Danping ; Yi, BO ; Zhao, Hui ; Rong, Ximin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:6-20.

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2017Vector-Valued Multivariate Conditional Value-at-Risk. (2017). Merakli, Merve ; Kucukyavuz, Simge . In: Papers. RePEc:arx:papers:1708.01324.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:958-969.

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2017Risk-neutral valuation of the non-recourse protection in reverse mortgages: A case study for Korea. (2017). , Joseph. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:133-154.

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2017A limit distribution of credit portfolio losses with low default probabilities. (2017). Shi, Xiaojun ; Yuan, Zhongyi ; Tang, Qihe . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:156-167.

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2017A new uncertain insurance model with variational lower limit. (2017). Liu, Yang ; Ma, Weimin ; Zhang, Xingfang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:164-169.

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2017On a bivariate copula with both upper and lower full-range tail dependence. (2017). Hua, Lei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:94-104.

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2017Multivariate dependence modeling based on comonotonic factors. (2017). Hua, Lei ; Joe, Harry . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:155:y:2017:i:c:p:317-333.

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2017A general approach to full-range tail dependence copulas. (2017). Su, Jianxi ; Hua, Lei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:49-64.

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2017Efficient Simulation for Portfolio Credit Risk in Normal Mixture Copula Models. (2017). Fuh, Cheng-Der ; Wang, Chuan-Ju . In: Papers. RePEc:arx:papers:1711.03744.

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2017Modeling partial Greeks of variable annuities with dependence. (2017). Gan, Guojun ; Valdez, Emiliano A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:118-134.

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2017A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities. (2017). Jackson, Kenneth R ; Hejazi, Seyed Amir ; Gan, Guojun . In: Papers. RePEc:arx:papers:1701.04134.

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2017Second-order expansions for maxima of dynamic bivariate normal copulas. (2017). Wang, Rui ; Peng, Zuoxiang ; Liao, Xin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:275-283.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Sun, Tao ; MacMinn, Richard D ; Chen, Hua ; Morales, Marco . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:393-415.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Wang, Chou-Wen ; Tan, Ken Seng ; Zhu, Wenjun ; Morales, Marco . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:477-493.

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2017Unit-linked life insurance policies: Optimal hedging in partially observable market models. (2017). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:149-163.

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2017Improving automobile insurance ratemaking using telematics: incorporating mileage and driver behaviour data. (2017). Ayuso, Mercedes ; Nielsen, Jens Perch ; Guillen, Montserrat. In: Working Papers. RePEc:bak:wpaper:201701.

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2017Retirement Wealth under Fixed Limits: The Optimal Strategy for Exponential Utility. (2017). Schutte, Lena. In: Papers. RePEc:arx:papers:1712.00463.

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2017
2017Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments. (2017). Fu, Ke-Ang ; Andrew, Cheuk Yin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:125:y:2017:i:c:p:227-235.

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2017Preservation of weak stochastic arrangement increasing under fixed time left-censoring. (2017). Li, Chen. In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:42-49.

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2017Existence of optimal consumption strategies in markets with longevity risk. (2017). de Kort, J ; Vellekoop, M H. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:107-121.

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2017Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach. (2017). Guambe, Calisto ; Kufakunesu, Rodwell. In: Papers. RePEc:arx:papers:1711.01760.

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2017Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate. (2017). Shevchenko, Pavel V ; Luo, Xiaolin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:104-117.

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2017A note on the impact of management fees on the pricing of variable annuity guarantees. (2017). Sun, Jin ; Fung, Man Chung ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1705.03787.

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2017Pricing vulnerable options with stochastic volatility. (2017). Wang, Guanying ; Zhou, KE. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:91-103.

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2017A generalization of Gerber’s inequality for ruin probabilities in risk-switching models. (2017). Gajek, Lesaw ; Rud, Marcin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:236-240.

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2017Contagion modeling between the financial and insurance markets with time changed processes. (2017). Hainaut, Donatien. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:63-77.

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2017Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks. (2017). Han, Nan-Wei ; Hung, Mao-Wei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:54-67.

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2017The fair surrender value of a tontine. (2017). Weinert, Jan-Hendrik . In: ICIR Working Paper Series. RePEc:zbw:icirwp:2617.

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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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2017Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate. (2017). Cheng, Zailei. In: Papers. RePEc:arx:papers:1705.08411.

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2017Optimal dividends in the dual risk model under a stochastic interest rate. (2017). Cheng, Zailei. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500104.

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2017Cohort effects in mortality modelling: a Bayesian state-space approach. (2017). Fung, Man Chung ; Shevchenko, Pavel V ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1703.08282.

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2017A quantitative comparison of stochastic mortality models on Italian population data. (2017). Carfora, M F ; Orlando, A ; Cutillo, L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:198-214.

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2017Identifiability issues of age–period and age–period–cohort models of the Lee–Carter type. (2017). Beutner, Eric ; Urbain, Jean-Pierre ; Reese, Simon . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:117-125.

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2017A class of random field memory models for mortality forecasting. (2017). Doukhan, P ; Salhi, Y ; Rynkiewicz, J ; Pommeret, D. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:97-110.

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2017Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principal Components. (2017). Toczydlowska, Dorota ; Shevchenko, Pavel V ; Fung, Man Chung ; Peters, Gareth W. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:42-:d:106077.

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2017Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio. (2017). Agarwal, Ankush ; Sircar, Ronnie . In: Working Papers. RePEc:hal:wpaper:hal-01388399.

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2017Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion. (2017). Li, Dongchen ; Young, Virginia R. In: Papers. RePEc:arx:papers:1703.01984.

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2017Optimality of excess-loss reinsurance under a mean–variance criterion. (2017). Li, Danping ; Young, Virginia R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:82-89.

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2017Longevity-linked assets and pre-retirement consumption/portfolio decisions. (2017). Menoncin, Francesco ; Regis, Luca. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:75-86.

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2017How persistent low expected returns alter optimal life cycle saving, investment, and retirement behavior. (2017). Mitchell, Olivia ; Maurer, Raimond ; Horneff, Vanya . In: SAFE Working Paper Series. RePEc:zbw:safewp:190.

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2017Non-Parametric Integral Estimation Using Data Clustering in Stochastic dynamic Programming: An Introduction Using Lifetime Financial Modelling. (2017). Khemka, Gaurav ; Butt, Adam. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:57-:d:117091.

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2017A time of ruin constrained optimal dividend problem for spectrally one-sided L\evy processes. (2017). Hernandez, Camilo ; Junca, Mauricio . In: Papers. RePEc:arx:papers:1608.02550.

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2017De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information. (2017). Duan, Baige ; Zhang, Lianzeng ; HU, Xiang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:48-55.

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2017Differential equations connecting VaR and CVaR. (2017). Balbas, Raquel . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:24017.

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2017Robust and Pareto optimality of insurance contracts. (2017). Asimit, Alexandru V ; Kim, Eun-Seok ; Hu, Junlei ; Chun, KA ; Bignozzi, Valeria. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:720-732.

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2017Risk aversion in imperfect natural gas markets. (2017). Egging, Rudolf ; Wallehansen, Thomas Meyer ; Kalvo, Oyvind Iversen ; Pichler, Alois . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:1:p:367-383.

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2017A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches. (2017). Tunaru, Radu ; Cantia, Catalin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:21-35.

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2017Optimal investment–consumption strategy with liability and regime switching model under Value-at-Risk constraint. (2017). Hu, Fengxia ; Wang, Rongming . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:313:y:2017:i:c:p:103-118.

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2017An Optimal Multi-layer Reinsurance Policy under Conditional Tail Expectation. (2017). Payandeh, Amir T ; Bazaz, Ali Panahi . In: Papers. RePEc:arx:papers:1701.05447.

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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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2017A reinsurance and investment game between two insurance companies with the different opinions about some extra information. (2017). Yan, Ming ; Zhang, Shuhua ; Peng, Fanyi . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:58-70.

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2017Minimum Protection in DC Funding Pension Plans and Margrabe Options. (2017). Devolder, Pierre ; de Valeriola, Sebastien . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:5-:d:88075.

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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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2017Cliquet-style return guarantees in a regime switching Lévy model. (2017). Hieber, Peter . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:138-147.

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2017Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:46-62.

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2017Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks. (2017). Huang, Xing-Fang ; Jiang, Tao ; Yang, Yang ; Zhang, Ting. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:14-:d:92089.

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2017Interplay of subexponential and dependent insurance and financial risks. (2017). Chen, Yiqing . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:78-83.

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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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2017Optimal self-protection in two periods: On the role of endogenous saving. (2017). Peter, Richard . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:137:y:2017:i:c:p:19-36.

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2017Multivariate Functional Time Series Forecasting: Application to Age-Specific Mortality Rates. (2017). Shang, Han Lin ; Gao, Yuan. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:21-:d:94105.

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2017MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique. In: Working Papers. RePEc:hal:wpaper:hal-01367277.

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2017ASYMPTOTIC MULTIVARIATE EXPECTILES. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique. In: Working Papers. RePEc:hal:wpaper:hal-01509963.

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2017Extreme M-quantiles as risk measures: From L1 to Lp optimization. (2017). Daouia, Abdelaati ; Stupfler, Gilles ; Girard, Stephane. In: TSE Working Papers. RePEc:tse:wpaper:32050.

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2017MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique. In: Post-Print. RePEc:hal:journl:hal-01367277.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Efthymiou, Maria ; Milidonis, Andreas ; Morales, Marco . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:495-514.

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2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

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2017ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION. (2017). Cong, F ; Oosterlee, C W. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500492.

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2017Evaluation of credit value adjustment in K-forward. (2017). Hao, Xuemiao ; Wei, Linghua ; Liang, Chunli. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:95-103.

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2017Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times. (2017). Yan, Jun. In: Statistics & Probability Letters. RePEc:eee:stapro:v:125:y:2017:i:c:p:71-79.

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2017Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks. (2017). Peters, Gareth W ; Wuthrich, Mario V ; Targino, Rodrigo S. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:53-:d:112832.

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2017CoVaR of families of copulas. (2017). Durante, Fabrizio ; Bernardi, M ; Jaworski, P. In: Statistics & Probability Letters. RePEc:eee:stapro:v:120:y:2017:i:c:p:8-17.

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2017

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2017Parameter uncertainty and reserve risk under Solvency II. (2017). Frohlich, Andreas ; Weng, Annegret . In: Papers. RePEc:arx:papers:1612.03066.

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2017Risk-Minimizing Hedging of Counterparty Risk. (2017). Bo, Lijun ; Ceci, Claudia ; Capponi, Agostino. In: Papers. RePEc:arx:papers:1709.01115.

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2017Double Functional Median in Robust Prediction of Hierarchical Functional Time Series - An Application to Forecast Internet Service Users Behaviors. (2017). Kosiorowski, Daniel ; Rydlewski, Jerzy P ; Mielczarek, Dominik. In: Papers. RePEc:arx:papers:1710.02669.

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2017Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach. (2017). Guambe, Calisto ; Kufakunesu, Rodwell. In: Papers. RePEc:arx:papers:1711.01760.

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2017Forecasting of a Hierarchical Functional Time Series on Example of Macromodel for Day and Night Air Pollution in Silesia Region: A Critical Overview. (2017). Kosiorowski, Daniel ; Rydlewski, Jerzy P ; Mielczarek, Dominik. In: Papers. RePEc:arx:papers:1712.03797.

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2017The compound Poisson risk model under a mixed dividend strategy. (2017). Zhang, Zhimin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:315:y:2017:i:c:p:1-12.

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2017Parisian ruin for a refracted Lévy process. (2017). Lkabous, Mohamed Amine ; Renaud, Jean-Franois ; Czarna, Irmina . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:153-163.

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2017Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:46-62.

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2017A general approach to full-range tail dependence copulas. (2017). Su, Jianxi ; Hua, Lei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:49-64.

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2017Interplay of subexponential and dependent insurance and financial risks. (2017). Chen, Yiqing . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:78-83.

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2017The composite iteration algorithm for finding efficient and financially fair risk-sharing rules. (2017). Schumacher, Johannes ; Pazdera, Jaroslav . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:72:y:2017:i:c:p:122-133.

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2017The Solvency II Standard Formula, Linear Geometry, and Diversification. (2017). Paulusch, Joachim. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:11-:d:98991.

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2017Intelligent Decision Support in Proportional–Stop-Loss Reinsurance Using Multiple Attribute Decision-Making (MADM). (2017). Xuan, Shirley Jie ; Poh, Kim Leng. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:22-:d:120649.

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2017Asymptotic Estimates for the One-Year Ruin Probability under Risky Investments. (2017). Liu, Jing ; Zhang, Huan. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:28-:d:97825.

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2017Actuarial Geometry. (2017). Mildenhall, Stephen J. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:31-:d:101685.

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2017Valuation of Non-Life Liabilities from Claims Triangles. (2017). Lindholm, Mathias ; Wahl, Felix ; Lindskog, Filip. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:39-:d:105172.

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2017Assessment of Policy Changes to Means-Tested Age Pension Using the Expected Utility Model: Implication for Decisions in Retirement. (2017). Andreasson, Johan G ; Shevchenko, Pavel V. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:47-:d:111425.

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2017Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks. (2017). Peters, Gareth W ; Wuthrich, Mario V ; Targino, Rodrigo S. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:53-:d:112832.

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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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2017Rising interest rates, lapse risk, and the stability of life insurers. (2017). Gründl, Helmut ; Kubitza, Christian ; Grundl, Helmut ; Berdin, Elia . In: ICIR Working Paper Series. RePEc:zbw:icirwp:2917.

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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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2016NOTE ON THE SMITH–WILSON INTEREST RATE CURVE. (2016). Gach, Florian . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:07:n:s0219024916500394.

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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, 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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