Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

Insurance: Mathematics and Economics / Elsevier

0.56

Impact Factor

0.7

5-Years IF

42

5-Years H index

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1343410.031317118055 (42%)0.04
19910.060.10.02255940.07114714174463 (55.3%)0.04
19920.094410310.011135915950 (44.2%)10.020.04
19930.010.110.014214510.01139691174182 (59%)0.05
19940.030.120.0429174150.09156863182796 (61.5%)10.030.04
19950.10.190.0928202400.219971717415117 (58.8%)10.040.07
19960.210.230.1725227500.2219157121682874 (38.7%)0.09
19970.150.260.2341268740.2848653816838243 (50%)20.050.09
19980.290.280.2541309750.24365661916541182 (49.9%)20.050.1
19990.40.320.35513601220.34447823316457207 (46.3%)50.10.13
20000.220.390.29514111090.27453922018654237 (52.3%)60.120.15
20010.270.390.33484591570.345151022820970266 (51.7%)60.130.14
20020.430.40.47575162580.56589943232108321 (48.8%)140.250.17
20030.540.430.52705862830.4866010557248128275 (41.7%)60.090.18
20040.350.480.42626482620.465412745277116301 (46%)50.080.19
20050.310.520.42707182880.467113241288121280 (41.7%)50.070.2
20060.480.510.51727903970.577413263307158297 (38.4%)100.140.2
20070.380.450.45638533370.450314254331150214 (42.5%)50.080.18
20080.860.480.9116210157610.751078135116337308431 (40%)350.220.2
20090.490.490.5910611216820.61994225111429255272 (27.4%)170.160.19
20100.550.460.6510812297890.64626268148473309261 (41.7%)170.160.17
20110.610.490.589513247800.59527214130511298229 (43.5%)130.140.19
20120.570.520.6411514399980.69545203115534344240 (44%)250.220.19
20130.730.580.91142158114480.92544210154586535226 (41.5%)250.180.2
20140.60.60.75104168511670.69350257155566425138 (39.4%)210.20.2
20150.740.610.84139182415020.82292246181564472112 (38.4%)270.190.19
20160.780.680.87145196917450.8913824319059551659 (42.8%)190.130.2
20170.560.730.7104207315130.736828416064544922 (32.4%)200.190.22
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

229
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

186
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

182
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

149
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

139
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

127
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

105
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.

Full description at Econpapers || Download paper

104
92001Mortality derivatives and the option to annuitise. (2001). Promislow, David S. ; Milevsky, Moshe A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:3:p:299-318.

Full description at Econpapers || Download paper

99
102006A 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

98
112005Affine 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

96
121997Controlled diffusion models for optimal dividend pay-out. (1997). Taksar, Michael ; Asmussen, Soren. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:20:y:1997:i:1:p:1-15.

Full description at Econpapers || Download paper

74
131996Valuation of the early-exercise price for options using simulations and nonparametric regression. (1996). Carriere, Jacques F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:19:y:1996:i:1:p:19-30.

Full description at Econpapers || Download paper

74
142001Optimal 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.

Full description at Econpapers || Download paper

64
151985On 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

63
162003Lee-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

61
172006Valuation 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.

Full description at Econpapers || Download paper

61
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

60
192000Upper 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.

Full description at Econpapers || Download paper

58
202003Pensionmetrics 2: stochastic pension plan design during the distribution phase. (2003). Dowd, Kevin ; Blake, David ; Cairns, Andrew J. G., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:1:p:29-47.

Full description at Econpapers || Download paper

58
212006Financial 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

56
222000Optimal 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.

Full description at Econpapers || Download paper

56
231991Risk 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.

Full description at Econpapers || Download paper

55
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

53
251997The 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.

Full description at Econpapers || Download paper

52
262011Mortality 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

51
272005Estimating the tail-dependence coefficient: Properties and pitfalls. (2005). Frahm, Gabriel ; Schmidt, Rafael ; Junker, Markus. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:1:p:80-100.

Full description at Econpapers || Download paper

51
281998Comonotonicity, 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

51
292003Optimal 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.

Full description at Econpapers || Download paper

48
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.

Full description at Econpapers || Download paper

48
312011Variable 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

46
322001Pensionmetrics: 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.

Full description at Econpapers || Download paper

46
331999Fitting 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.

Full description at Econpapers || Download paper

45
342001On 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.

Full description at Econpapers || Download paper

45
352008Optimal 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

44
361997Stop-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.

Full description at Econpapers || Download paper

44
371995Ruin 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.

Full description at Econpapers || Download paper

43
382005Bivariate 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.

Full description at Econpapers || Download paper

43
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.

Full description at Econpapers || Download paper

43
402004Some 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.

Full description at Econpapers || Download paper

43
411999A 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.

Full description at Econpapers || Download paper

43
422004Optimal 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.

Full description at Econpapers || Download paper

43
432002Optimal 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.

Full description at Econpapers || Download paper

42
442008Coherent 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.

Full description at Econpapers || Download paper

41
452004On 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.

Full description at Econpapers || Download paper

40
462001Optimal 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.

Full description at Econpapers || Download paper

40
472003Rational hedging and valuation of integrated risks under constant absolute risk aversion. (2003). Becherer, Dirk. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:1:p:1-28.

Full description at Econpapers || Download paper

40
482009On stochastic mortality modeling. (2009). Plat, Richard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:45:y:2009:i:3:p:393-404.

Full description at Econpapers || Download paper

40
492006Consistent 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.

Full description at Econpapers || Download paper

40
501999Analysis 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.

Full description at Econpapers || Download paper

40

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

83
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

50
32002A 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

38
42006A 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

38
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

35
62002The 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

35
71997Axiomatic 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

34
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

29
92014Generalized 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.

Full description at Econpapers || Download paper

28
102006Financial 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

28
112004Stochastic 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

28
121996Valuation 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

27
132003Lee-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

22
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

22
152000Fair 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

21
162011Variable 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

21
172009On stochastic mortality modeling. (2009). Plat, Richard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:45:y:2009:i:3:p:393-404.

Full description at Econpapers || Download paper

20
182001Mortality 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

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

Full description at Econpapers || Download paper

18
202012Modeling 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.

Full description at Econpapers || Download paper

18
212008The 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.

Full description at Econpapers || Download paper

18
221997Controlled diffusion models for optimal dividend pay-out. (1997). Taksar, Michael ; Asmussen, Soren. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:20:y:1997:i:1:p:1-15.

Full description at Econpapers || Download paper

18
232008Optimal 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

17
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

17
252006Valuation 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.

Full description at Econpapers || Download paper

17
262005Optimal 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

16
272010Evaluating 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.

Full description at Econpapers || Download paper

15
282013Optimal 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.

Full description at Econpapers || Download paper

15
292009Optimal 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.

Full description at Econpapers || Download paper

15
302005Estimating the tail-dependence coefficient: Properties and pitfalls. (2005). Frahm, Gabriel ; Schmidt, Rafael ; Junker, Markus. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:1:p:80-100.

Full description at Econpapers || Download paper

15
312011Optimal 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.

Full description at Econpapers || Download paper

15
322011Explicit 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.

Full description at Econpapers || Download paper

15
332003Optimal 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.

Full description at Econpapers || Download paper

15
342014Optimal 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.

Full description at Econpapers || Download paper

14
352002Optimal 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.

Full description at Econpapers || Download paper

14
362007Optimal 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

14
371998Comonotonicity, 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

14
381986The 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.

Full description at Econpapers || Download paper

14
392006Evaluating 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.

Full description at Econpapers || Download paper

14
402001Optimal 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.

Full description at Econpapers || Download paper

14
412006Consistent 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.

Full description at Econpapers || Download paper

14
422013Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles. (2013). Yang, Jingping ; Cui, Wei ; Wu, Lan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:1:p:74-85.

Full description at Econpapers || Download paper

13
432011Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives. (2011). Ngai, Andrew ; Sherris, Michael. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:1:p:100-114.

Full description at Econpapers || Download paper

13
442008Coherent 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.

Full description at Econpapers || Download paper

13
452008Optimal 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.

Full description at Econpapers || Download paper

13
462003Risk capital allocation by coherent risk measures based on one-sided moments. (2003). Fischer, T.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:32:y:2003:i:1:p:135-146.

Full description at Econpapers || Download paper

13
472015Optimal 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.

Full description at Econpapers || Download paper

13
482014On 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.

Full description at Econpapers || Download paper

12
492011Optimality 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.

Full description at Econpapers || Download paper

12
502001Optimal 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.

Full description at Econpapers || Download paper

12

Citing documents used to compute impact factor 160:

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Measuring systemic risk with regime switching in tails. (2017). Liu, Xiaochun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:55-72.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Risk based capital for guaranteed minimum withdrawal benefit. (2017). Feng, Runhuan ; Vecer, Jan. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:3:p:471-478.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017“Multivariate count data generalized linear models: Three approaches based on the Sarmanov distribution”. (2017). Bolance, Catalina ; Vernic, Raluca. In: IREA Working Papers. RePEc:ira:wpaper:201718.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Optimal Change-Loss Reinsurance Contract Design under Tail Risk Measures for Catastrophe Insurance. (2017). Zhu, Nanjun ; Feng, Yulin. In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:4:p:225-242.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES. (2017). Boonen, Tim J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:47:y:2017:i:01:p:303-329_00.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk. (2017). Mahayni, Antje ; Muck, Matthias. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:3:d:10.1007_s11147-017-9131-9.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017A quantitative comparison of risk measures. (2017). Pichler, Alois. In: Annals of Operations Research. RePEc:spr:annopr:v:254:y:2017:i:1:d:10.1007_s10479-017-2397-3.

Full description at Econpapers || Download paper

2017Diversified models for portfolio selection based on uncertain semivariance. (2017). Chen, Lin ; Rosyida, Isnaini ; Zhang, BO ; Peng, Jin. In: International Journal of Systems Science. RePEc:taf:tsysxx:v:48:y:2017:i:3:p:637-648.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Testing the Gaussian and Students t copulas in a risk management framework. (2017). Lourme, Alexandre ; Maurer, Frantz. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:203-214.

Full description at Econpapers || Download paper

Recent citations (cites in year: CiY)

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Redistributive Consequences of Abolishing Uniform Contribution Policies in Pension Funds. (2017). van Wijnbergen, Sweder ; Chen, Damiaan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12497.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

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

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