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Citation Profile [Updated: 2020-01-06 15:15:11]
5 Years H
43
Impact Factor
0.5
5 Years IF
0.37
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.08 0.03 0 34 34 135 1 1 71 180 0 0 0.04
1991 0.06 0.08 0.07 0.02 25 59 115 4 5 71 4 174 4 1 25 0 0.04
1992 0 0.08 0.01 0 43 102 116 1 6 59 159 0 1 0.02 0.04
1993 0.01 0.1 0.01 0.01 42 144 148 1 7 68 1 173 1 0 0 0.05
1994 0.04 0.11 0.09 0.04 29 173 159 14 22 85 3 181 7 0 1 0.03 0.05
1995 0.07 0.19 0.2 0.06 28 201 214 40 62 71 5 173 11 37 92.5 1 0.04 0.08
1996 0.21 0.22 0.23 0.13 25 226 207 51 113 57 12 167 21 35 68.6 0 0.1
1997 0.15 0.22 0.27 0.16 41 267 507 71 184 53 8 167 26 59 83.1 2 0.05 0.09
1998 0.23 0.26 0.26 0.18 41 308 382 81 265 66 15 165 29 59 72.8 2 0.05 0.12
1999 0.34 0.28 0.34 0.22 51 359 480 122 387 82 28 164 36 105 86.1 7 0.14 0.14
2000 0.17 0.33 0.27 0.18 51 410 489 111 498 92 16 186 34 82 73.9 6 0.12 0.15
2001 0.25 0.36 0.34 0.23 48 458 550 156 654 102 25 209 49 103 66 7 0.15 0.15
2002 0.39 0.38 0.52 0.28 57 515 692 266 921 99 39 232 64 181 68 15 0.26 0.21
2003 0.46 0.4 0.49 0.37 70 585 697 289 1210 105 48 248 91 178 61.6 6 0.09 0.2
2004 0.28 0.45 0.4 0.26 62 647 717 261 1471 127 36 277 71 181 69.3 9 0.15 0.2
2005 0.3 0.46 0.41 0.26 70 717 721 293 1765 132 39 288 75 180 61.4 5 0.07 0.21
2006 0.42 0.46 0.51 0.34 72 789 847 401 2169 132 56 307 104 173 43.1 12 0.17 0.21
2007 0.34 0.42 0.4 0.31 63 852 542 335 2507 142 48 331 101 157 46.9 7 0.11 0.18
2008 0.8 0.44 0.76 0.6 162 1014 1185 768 3279 135 108 337 202 415 54 42 0.26 0.21
2009 0.43 0.44 0.62 0.38 106 1120 1116 691 3974 225 96 429 163 294 42.5 17 0.16 0.21
2010 0.5 0.43 0.66 0.46 108 1228 683 811 4788 268 135 473 217 406 50.1 19 0.18 0.18
2011 0.53 0.46 0.6 0.37 95 1323 603 794 5582 214 114 511 191 374 47.1 14 0.15 0.21
2012 0.47 0.47 0.7 0.42 115 1438 633 1000 6582 203 96 534 225 461 46.1 32 0.28 0.19
2013 0.59 0.53 0.92 0.57 142 1580 644 1458 8040 210 124 586 333 688 47.2 28 0.2 0.22
2014 0.53 0.55 0.7 0.51 104 1684 422 1182 9222 257 136 566 290 476 40.3 25 0.24 0.22
2015 0.61 0.56 0.84 0.5 139 1823 381 1530 10752 246 149 564 282 682 44.6 31 0.22 0.21
2016 0.71 0.57 0.89 0.55 145 1968 253 1759 12511 243 173 595 328 660 37.5 21 0.14 0.2
2017 0.51 0.59 0.75 0.45 104 2072 147 1544 14055 284 146 645 290 477 30.9 22 0.21 0.21
2018 0.44 0.75 0.69 0.4 103 2175 69 1492 15547 249 109 634 251 599 40.1 20 0.19 0.3
2019 0.5 0.61 0.37 78 2253 9 1374 16921 207 104 595 222 480 34.9 11 0.14
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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: selft citations in y to articles published in y-1 plus y-2
%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

260
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.

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198
32002The 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.

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191
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.

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155
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.

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148
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.

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133
72000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. (2000). Jørgensen, Peter ; Grosen, Anders ; Jorgensen, Peter Lochte . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:26:y:2000:i:1:p:37-57.

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117
82004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts. (2004). Dahl, Mikkel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:1:p:113-136.

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113
92006A 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.

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109
102001Mortality derivatives and the option to annuitise. (2001). Promislow, David S. ; Milevsky, Moshe A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:3:p:299-318.

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104
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.

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104
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.

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86
131997Controlled diffusion models for optimal dividend pay-out. (1997). Taksar, Michael ; Asmussen, Soren. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:20:y:1997:i:1:p:1-15.

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79
142006Valuation and hedging of life insurance liabilities with systematic mortality risk. (2006). Dahl, Mikkel ; Moller, Thomas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:2:p:193-217.

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68
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.

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68
162001Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. (2001). Taillard, Gregory ; Huang, ShaoJuan ; Boulier, Jean-Francois. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:2:p:173-189.

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67
172005Optimal investment for insurer with jump-diffusion risk process. (2005). Zhang, Lihong ; Yang, Hailiang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:615-634.

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66
182003Lee-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.

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64
192006Financial valuation of guaranteed minimum withdrawal benefits. (2006). Milevsky, Moshe A. ; Salisbury, Thomas S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:21-38.

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62
202000Upper and lower bounds for sums of random variables. (2000). Goovaerts, Marc ; Dhaene, Jan ; Kaas, Rob . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:27:y:2000:i:2:p:151-168.

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60
212003Pensionmetrics 2: stochastic pension plan design during the distribution phase. (2003). Dowd, Kevin ; Blake, David ; Cairns, Andrew J. G., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:1:p:29-47.

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59
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.

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59
232006Affine stochastic mortality. (2006). Schrager, David F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:81-97.

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56
241991Risk theory for the compound Poisson process that is perturbed by diffusion. (1991). Dufresne, Francois ; Gerber, Hans U.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:10:y:1991:i:1:p:51-59.

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55
252006Risk measures via g-expectations. (2006). RosazzaGianin, Emanuela . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:1:p:19-34.

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55
262005Estimating the tail-dependence coefficient: Properties and pitfalls. (2005). Frahm, Gabriel ; Schmidt, Rafael ; Junker, Markus. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:1:p:80-100.

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54
272011Variable annuities: A unifying valuation approach. (2011). Millossovich, Pietro ; Olivieri, Annamaria ; Pitacco, Ermanno ; Bacinello, Anna Rita . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:3:p:285-297.

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54
282003Optimal investment strategies in the presence of a minimum guarantee. (2003). Deelstra, Griselda ; Koehl, Pierre-Francois ; Grasselli, Martino. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:1:p:189-207.

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54
292011Mortality density forecasts: An analysis of six stochastic mortality models. (2011). Blake, David ; Cairns, Andrew J. G., ; Khalaf-Allah, Marwa ; Dowd, Kevin ; Coughlan, Guy D. ; Epstein, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:3:p:355-367.

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54
301997The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. (1997). Gerber, Hans U. ; Shiu, Elias S. W., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:2:p:129-137.

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53
311998Comonotonicity, correlation order and premium principles. (1998). Dhaene, Jan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:22:y:1998:i:3:p:235-242.

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52
322008Optimal reinsurance under VaR and CTE risk measures. (2008). Weng, Chengguo ; Zhang, YI ; Tan, Ken Seng ; Cai, Jun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:1:p:185-196.

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51
332001Optimal reinsurance under mean-variance premium principles. (2001). Kaluszka, Marek . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:1:p:61-67.

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47
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.

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47
352009On stochastic mortality modeling. (2009). Plat, Richard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:45:y:2009:i:3:p:393-404.

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46
361999Fitting bivariate loss distributions with copulas. (1999). Parsa, Rahul ; Klugman, Stuart A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:24:y:1999:i:1-2:p:139-148.

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46
372001Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase. (2001). Dowd, Kevin ; Blake, David ; Cairns, Andrew J. G., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:2:p:187-215.

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46
381999A synthesis of risk measures for capital adequacy. (1999). Wirch, Julia Lynn ; Hardy, Mary R.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:3:p:337-347.

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46
392004Some new classes of consistent risk measures. (2004). Goovaerts, Marc ; Dhaene, Jan ; Tang, Qihe ; Kaas, Rob . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:34:y:2004:i:3:p:505-516.

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45
402007Optimal dividends in the dual model. (2007). Avanzi, Benjamin ; S. W. Shiu, Elias, ; Gerber, Hans U.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:41:y:2007:i:1:p:111-123.

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45
411997Stop-loss order for portfolios of dependent risks. (1997). Müller, Alfred. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:3:p:219-223.

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44
422005Bivariate option pricing using dynamic copula models. (2005). Werker, Bas ; van den Goorbergh, Rob ; Genest, Christian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:1:p:101-114.

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44
432014Generalized quantiles as risk measures. (2014). Müller, Alfred ; Muller, Alfred ; Bellini, Fabio ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Klar, Bernhard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:41-48.

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43
441995Ruin estimates under interest force. (1995). Sundt, Bjorn ; TEUGELS, Jozef L.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:16:y:1995:i:1:p:7-22.

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43
452004Optimal investment choices post-retirement in a defined contribution pension scheme. (2004). Vigna, Elena ; Haberman, Steven ; Gerrard, Russell. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:2:p:321-342.

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43
461993Pricing equity-linked life insurance with endogenous minimum guarantees. (1993). Ortu, Fulvio ; Bacinello, Anna Rita . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:12:y:1993:i:3:p:245-257.

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43
472011Optimal time-consistent investment and reinsurance policies for mean-variance insurers. (2011). Zeng, Yan ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:1:p:145-154.

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43
482008Coherent risk measures, coherent capital allocations and the gradient allocation principle. (2008). Buch, A. ; Dorfleitner, G.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:1:p:235-242.

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42
492002Optimal investment strategies and risk measures in defined contribution pension schemes. (2002). Vigna, Elena ; Haberman, Steven. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:35-69.

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42
502006Consistent risk measures for portfolio vectors. (2006). Burgert, Christian ; Ruschendorf, Ludger. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:2:p:289-297.

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41
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

59
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

30
31996Valuation 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

23
42014Generalized quantiles as risk measures. (2014). Müller, Alfred ; Muller, Alfred ; Bellini, Fabio ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Klar, Bernhard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:41-48.

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20
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

17
62006A 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

16
72002A Poisson log-bilinear regression approach to the construction of projected lifetables. (2002). Vermunt, Jeroen K. ; Brouhns, Natacha ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:3:p:373-393.

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16
82012Modeling dependence dynamics through copulas with regime switching. (2012). Ziegelmann, Flavio Augusto ; Silva Filho, Osvaldo Candido da, ; Dueker, Michael J.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:50:y:2012:i:3:p:346-356.

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14
92004Stochastic 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

14
101997Controlled diffusion models for optimal dividend pay-out. (1997). Taksar, Michael ; Asmussen, Soren. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:20:y:1997:i:1:p:1-15.

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13
112009On 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

13
122005Affine 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

13
132000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. (2000). Jørgensen, Peter ; Grosen, Anders ; Jorgensen, Peter Lochte . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:26:y:2000:i:1:p:37-57.

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13
142006Valuation and hedging of life insurance liabilities with systematic mortality risk. (2006). Dahl, Mikkel ; Moller, Thomas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:2:p:193-217.

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12
152003Lee-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.

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12
162009To split or not to split: Capital allocation with convex risk measures. (2009). Tsanakas, Andreas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:268-277.

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12
172008Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. (2008). Guo, Junyi ; Bai, Lihua . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:3:p:968-975.

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12
182013Optimal 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.

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11
192002The 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.

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11
201999Optimal insurance under Wangs premium principle. (1999). Young, Virginia R.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:2:p:109-122.

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11
212011Optimal 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

11
222006Risk measures via g-expectations. (2006). RosazzaGianin, Emanuela . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:1:p:19-34.

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11
232004An optimization approach to the dynamic allocation of economic capital. (2004). Laeven, Roger ; Goovaerts, Marc ; Laeven, Roger J. A., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:2:p:299-319.

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11
242002The 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.

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11
252014On optimal periodic dividend strategies in the dual model with diffusion. (2014). Avanzi, Benjamin ; Tu, Vincent ; Wong, Bernard. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:210-224.

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10
262012Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. (2012). Zeng, Yan ; Li, Zhongfei ; Lai, Yongzeng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:1:p:191-203.

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10
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.

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282006Financial valuation of guaranteed minimum withdrawal benefits. (2006). Milevsky, Moshe A. ; Salisbury, Thomas S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:21-38.

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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.

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302010On the pricing of longevity-linked securities. (2010). Bauer, Daniel ; Borger, Matthias ; Ru, Jochen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:46:y:2010:i:1:p:139-149.

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312011Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process. (2011). Guo, Junyi ; Liang, Zhibin ; Yuen, Kam Chuen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:2:p:207-215.

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322011Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives. (2011). Ngai, Andrew ; Sherris, Michael. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:1:p:100-114.

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332013Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model. (2013). Zhao, Yonggan ; Rong, Ximin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:504-514.

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342016Marginal Indemnification Function formulation for optimal reinsurance. (2016). Zhuang, Sheng Chao ; Assa, Hirbod ; Tan, Ken Seng ; Weng, Chengguo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:65-76.

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352013Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. (2013). Yi, BO ; Li, Zhongfei ; Zeng, Yan ; Viens, Frederi G.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:601-614.

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362011Mortality density forecasts: An analysis of six stochastic mortality models. (2011). Blake, David ; Cairns, Andrew J. G., ; Khalaf-Allah, Marwa ; Dowd, Kevin ; Coughlan, Guy D. ; Epstein, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:3:p:355-367.

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372015Optimal reinsurance under risk and uncertainty. (2015). Balbas, Alejandro ; Heras, Antonio . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:61-74.

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382016Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps. (2016). Zeng, Yan ; Gu, Ailing ; Li, Danping. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:138-152.

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392014Optimal reinsurance and investment with unobservable claim size and intensity. (2014). Bayraktar, Erhan ; Liang, Zhibin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:156-166.

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402005Optimal investment for insurer with jump-diffusion risk process. (2005). Zhang, Lihong ; Yang, Hailiang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:615-634.

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9
412008Optimal reinsurance under VaR and CTE risk measures. (2008). Weng, Chengguo ; Zhang, YI ; Tan, Ken Seng ; Cai, Jun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:1:p:185-196.

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9
421999Analytic and bootstrap estimates of prediction errors in claims reserving. (1999). England, Peter ; Verrall, Richard. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:3:p:281-293.

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9
432001Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. (2001). Taillard, Gregory ; Huang, ShaoJuan ; Boulier, Jean-Francois. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:2:p:173-189.

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442009Optimal reinsurance with general risk measures. (2009). Balbas, Alejandro ; Heras, Antonio . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:3:p:374-384.

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8
452012Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?. (2012). Eling, Martin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:2:p:239-248.

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462011Variable annuities: A unifying valuation approach. (2011). Millossovich, Pietro ; Olivieri, Annamaria ; Pitacco, Ermanno ; Bacinello, Anna Rita . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:3:p:285-297.

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472006Multivariate skew-normal distributions with applications in insurance. (2006). Vernic, Raluca. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:2:p:413-426.

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482017Optimal investment and reinsurance for an insurer under Markov-modulated financial market. (2017). Xu, Lin ; Yao, Dingjun ; Zhang, Liming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:7-19.

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492008Optimal dividend and issuance of equity policies in the presence of proportional costs. (2008). Lokka, Arne ; Zervos, Mihail. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:3:p:954-961.

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8
502013Optimal reinsurance with general premium principles. (2013). Chi, Yichun ; Tan, Ken Seng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:52:y:2013:i:2:p:180-189.

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Citing documents used to compute impact factor: 104
YearTitle
2019
2019Risk-adjusted Bowley reinsurance under distorted probabilities. (2019). Zhang, Yiying ; Phillip, Sheung Chi ; Cheung, Ka Chun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:64-72.

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2019Optimal insurance under rank-dependent expected utility. (2019). Ghossoub, Mario. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:51-66.

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2019On a spectrally negative Lévy risk process with periodic dividends and capital injections. (2019). Zhou, Xiaowen ; Dong, Hua. In: Statistics & Probability Letters. RePEc:eee:stapro:v:155:y:2019:i:c:16.

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2019On modeling left-truncated loss data using mixtures of distributions. (2019). Miljkovic, Tatjana ; Blostein, Martin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:35-46.

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2019Severity modeling of extreme insurance claims for tariffication. (2019). Wenzel, Jorg ; Desmettre, Sascha ; Laudage, Christian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:77-92.

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2019Mortality Forecasting: How Far Back Should We Look in Time?. (2019). Ohare, Colin ; Li, Han. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:22-:d:208293.

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2019Time-consistent investment-proportional reinsurance strategy with random coefficients for mean–variance insurers. (2019). Wei, Jiaqin ; Wang, Rongming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:104-114.

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2019Forecasting mortality rate improvements with a high-dimensional VAR. (2019). Piette, Pierrick ; Lopez, Olivier ; Guibert, Quentin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:255-272.

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2019Indifference pricing of pure endowments via BSDEs under partial information. (2019). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:1804.00223.

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2019A Renewal Shot Noise Process with Subexponential Shot Marks. (2019). Chen, Yiqing. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:63-:d:237466.

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2019A Continuous Differentiable Wavelet Shrinkage Function for Economic Data Denoising. (2019). He, Xuansen. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9849-y.

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2019Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences. (2019). Chong, Wing Fung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:93-107.

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2019Optimal initial capital induced by the optimized certainty equivalent. (2019). Nishide, Katsumasa ; Asano, Takao ; Arai, Takuji. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:115-125.

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2019Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes?. (2019). Cifuentes, Arturo ; Vallado, Davi ; Pagnoncelli, Bernardo ; Gutierrez, Tomas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:134-144.

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2019Defined Contribution Pension Plans: Who Has Seen the Risk?. (2019). Vetzal, Kenneth R ; Forsyth, Peter A. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:70-:d:225342.

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2019A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans. (2019). Forsyth, Peter A ; Li, Yuying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:189-204.

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2019Collective risk models with dependence. (2019). Marceau, Etienne ; Cossette, Helene ; Mtalai, Itre. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:153-168.

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2019A generalization of Expected Shortfall based capital allocation. (2019). Zhou, Yong ; Xun, LI. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:193-199.

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2019Stability properties of Haezendonck-Goovaerts premium principles. (2019). Xanthos, Foivos ; Munari, Cosimo ; Gao, Niushan. In: Papers. RePEc:arx:papers:1909.10735.

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2019Affordable and adequate annuities with stable payouts: Fantasy or reality?. (2019). Linders, Daniel ; van Bilsen, Servaas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:19-42.

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2019Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency. (2019). Dhaene, Jan ; Chen, ZE ; Barigou, Karim. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:19-29.

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2019Fair valuation of insurance liability cash-flow streams in continuous time: Theory. (2019). Barigou, Karim ; Dhaene, Jan ; Delong, Ukasz. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:196-208.

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2019Optimal implementation delay of taxation with trade-off for L\{e}vy risk Processes. (2019). Chi, Cheng ; Wu, Xueyuan ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:1910.08158.

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2019Optimal loss-carry-forward taxation for L\{e}vy risk processes stopped at general draw-down time. (2019). Zhang, Zhimin ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:1904.08029.

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2019
2019Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns. (2019). Li, Xiaohu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:84-91.

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2019Single machine scheduling with stochastically dependent times. (2019). Wei, Wei. In: Journal of Scheduling. RePEc:spr:jsched:v:22:y:2019:i:6:d:10.1007_s10951-019-00600-2.

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2019Value adjustments and dynamic hedging of reinsurance counterparty risk. (2019). Kock, Verena ; FREY, RDIGER ; Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:1909.04354.

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2019Hedging longevity risk in defined contribution pension schemes. (2019). Wang, Yongjie. In: Papers. RePEc:arx:papers:1904.10229.

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2019Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion. (2019). Zeng, Yan ; Shen, Yang ; Zhao, Hui ; Zhang, Wenjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:159-180.

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2019Robust non-zero-sum investment and reinsurance game with default risk. (2019). Wang, Ning ; Qian, Linyi ; Jin, Zhuo ; Zhang, Nan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:115-132.

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2019On optimal reinsurance treaties in cooperative game under heterogeneous beliefs. (2019). Hong, Hanping ; Yang, Chen ; Ren, Jiandong ; Jiang, Wenjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:173-184.

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2019Sharp asymptotics for large portfolio losses under extreme risks. (2019). Yang, Yang ; Tang, Zhaofeng. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:2:p:710-722.

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2019Forecasting compositional risk allocations. (2019). Boonen, Tim J ; Santolino, Miguel ; Guillen, Montserrat. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:79-86.

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2019Dynamic capital allocation with irreversible investments. (2019). Zanjani, George ; Ping, Xiaohu ; Kamiya, Shinichi ; Bauer, Daniel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:138-152.

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2019Optimal investment for participating insurance contracts under VaR-Regulation. (2019). Stadje, Mitja ; Nguyen, Thai. In: Papers. RePEc:arx:papers:1805.09068.

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2019Constrained non-concave utility maximization: An application to life insurance contracts with guarantees. (2019). Chen, AN ; Nguyen, Thai ; Hieber, Peter. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:3:p:1119-1135.

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2019Optimal investment of DC pension plan under short-selling constraints and portfolio insurance. (2019). Zheng, Harry ; Dong, Yinghui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:47-59.

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2019Special Issue “Risk, Ruin and Survival: Decision Making in Insurance and Finance”. (2019). Zitikis, Riardas ; Sendova, Kristina ; Ren, Jiandong. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:96-:d:265178.

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2019An interpretation of the condition for precautionary saving: the case of greater higher-order interest rate risk. (2019). Wong, Kit Pong. In: Journal of Economics. RePEc:kap:jeczfn:v:126:y:2019:i:3:d:10.1007_s00712-018-0629-x.

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2019Optimal saving and health prevention. (2019). Menegatti, Mario ; Liu, Desu. In: Journal of Economics. RePEc:kap:jeczfn:v:128:y:2019:i:2:d:10.1007_s00712-018-00652-6.

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2019How do changes in risk and risk aversion affect self-protection with Selden/Kreps–Porteus preferences?. (2019). Ho Yin Yick, ; Wang, Hongxia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:1-6.

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2019Mortality Options: the Point of View of an Insurer. (2019). Schmidli, Hanspeter ; Schmeck, Maren Diane. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:616.

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2019Optimal life-cycle consumption and investment decisions under age-dependent risk preferences. (2019). Zagst, Rudi ; Shevchenko, Pavel V ; Lichtenstern, Andreas. In: Papers. RePEc:arx:papers:1908.09976.

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2019Conditional tail risk measures for the skewed generalised hyperbolic family. (2019). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:98-114.

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2019A note on Parisian ruin under a hybrid observation scheme. (2019). Lkabous, Mohamed Amine. In: Statistics & Probability Letters. RePEc:eee:stapro:v:145:y:2019:i:c:p:147-157.

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2019On occupation times in the red of L\evy risk models. (2019). Lkabous, Mohamed Amine ; Li, Bin ; Landriault, David. In: Papers. RePEc:arx:papers:1903.03721.

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2019A note on Parisian ruin under a hybrid observation scheme. (2019). Lkabous, Mohamed Amine. In: Papers. RePEc:arx:papers:1907.09993.

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2019Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets. (2019). Cai, Jun ; Bi, Junna. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:1-14.

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2019Moment constrained optimal dividends: precommitment \& consistent planning. (2019). Lindensjo, Kristoffer ; Christensen, Soren. In: Papers. RePEc:arx:papers:1909.10749.

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2019Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion. (2019). Zhang, Zhimin ; Su, Wen ; Yang, Yang. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:147-155.

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2019Redistributive Consequences of Abolishing Uniform Contribution Policies in Pension Funds. (2019). van Wijnbergen, Sweder ; Chen, Damiaan. In: DNB Working Papers. RePEc:dnb:dnbwpp:641.

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2019Derivatives trading for insurers. (2019). Xue, Xiaole ; Weng, Chengguo ; Wei, Pengyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:40-53.

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2019Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case. (2019). Sun, Li-Hsien ; Sheu, Shuenn-Jyi ; Hata, Hiroaki. In: Papers. RePEc:arx:papers:1903.08957.

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2019Optimal Reinsurance and Investment Strategies under Mean-Variance Criteria: Partial and Full Information. (2019). Shi, Jingtao ; Zhu, Shihao. In: Papers. RePEc:arx:papers:1906.08410.

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2019Optimal proportional reinsurance and investment for stochastic factor models. (2019). Ceci, C ; Brachetta, M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:15-33.

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2019A general framework for time-changed Markov processes and applications. (2019). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:785-800.

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2019Quantitative modeling of risk management strategies: Stochastic reserving and hedging of variable annuity guaranteed benefits. (2019). Yi, Bingji ; Feng, Runhuan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:60-73.

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2019A hybrid stochastic differential reinsurance and investment game with bounded memory. (2019). Zhong, Feimin ; Gao, Rui ; Xiao, Helu ; Zhou, Zhongbao ; Bai, Yanfei. In: Papers. RePEc:arx:papers:1910.09834.

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2019Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation. (2019). Thogersen, Julie ; Christensen, Bent Jesper ; Asmussen, Soren. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:49-:d:227500.

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2019Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market. (2019). Christensen, Bent Jesper ; Asmussen, Soren ; Thogersen, Julie. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:92-100.

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2019Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model. (2019). Zhang, Chengke ; Cao, Ming ; Zhu, Huainian. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:280-291.

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2019Hierarchical Forecasting. (2019). Hyndman, Rob ; Affan, Mohamed ; Panagiotelis, Anastasios ; Gamakumara, Puwasala ; Athanasopoulos, George. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-2.

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2019A forecast reconciliation approach to cause-of-death mortality modeling. (2019). Lu, Yang ; Li, Hong ; Panagiotelis, Anastasios. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:122-133.

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2019Asymptotics of multivariate conditional risk measures for Gaussian risks. (2019). Ling, Chengxiu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:205-215.

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2019Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework. (2019). Shen, Yang ; Chen, LV. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:120-137.

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2019Cyber bonds and their pricing models. (2019). Solovjovs, Sergejs ; Smagulov, Daulet ; Markov, Alexander ; Kolesnikov, Oleg. In: Papers. RePEc:arx:papers:1911.06698.

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2019Energy Commodities: A Review of Optimal Hedging Strategies. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:20:p:3979-:d:278200.

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2019Fraud risk assessment within blockchain transactions. (2019). Goffard, Pierre-Olivier. In: Working Papers. RePEc:hal:wpaper:hal-01716687.

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2019The move towards riskier pensions: The importance of mortality. (2019). Rangvid, Jesper ; Kallestrup-Lamb, Malene ; Balter, Anne G. In: CREATES Research Papers. RePEc:aah:create:2019-22.

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2019Continuous time model for notional defined contribution pension schemes: Liquidity and solvency. (2019). Devolder, Pierre ; Alonso-Garcia, Jennifer. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:57-76.

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2019Systemic Risk: Conditional Distortion Risk Measures. (2019). Laeven, Roger ; Dhaene, Jan ; Zhang, Yiying. In: Papers. RePEc:arx:papers:1901.04689.

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2019On a family of risk measures based on largest claims. (2019). Sordo, M A ; Pigueiras, G ; Castao-Martinez, A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:92-97.

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2019DERIVING ROBUST BAYESIAN PREMIUMS UNDER BANDS OF PRIOR DISTRIBUTIONS WITH APPLICATIONS. (2019). Gomez-Deniz, E ; Suarez-Llorens, A ; Sordo, M A ; Sanchez-Sanchez, M. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:49:y:2019:i:01:p:147-168_00.

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2019On the role of dependence in residual lifetimes. (2019). Pellerey, Franco ; Longobardi, Maria . In: Statistics & Probability Letters. RePEc:eee:stapro:v:153:y:2019:i:c:p:56-64.

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2019
2019Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

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2019Pricing of Longevity Derivatives and Cost of Capital. (2019). Zeddouk, Fadoua ; Devolder, Pierre. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:41-:d:222838.

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2019The Impact of Jumps on American Option Pricing: The S&P 100 Options Case. (2019). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Taruvinga, Blessing ; Kang, Boda. In: Research Paper Series. RePEc:uts:rpaper:397.

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2019Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis. (2019). Zoccolan, Ivan ; Bacinello, Anna Rita . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00255-w.

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2019The Leland-Toft optimal capital structure model under Poisson observations. (2019). Yamazaki, Kazutoshi ; Surya, Budhi Arta ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1904.03356.

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2019Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans. (2019). Wang, Suxin ; Zhao, Hui ; Rong, Ximin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:346:y:2019:i:c:p:205-218.

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2019Risk Management of Pension Fund: A Model for Salary Evolution. (2019). Petroni, Filippo ; Lika, Ada ; D'Amico, Guglielmo. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:3:p:44-:d:259293.

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2019Research on long-term care insurance: status quo and directions for future research. (2019). Ghavibazoo, Omid ; Eling, Martin. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:44:y:2019:i:2:d:10.1057_s41288-018-00114-6.

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2019Long-term care insurance research and trajectory. (2019). Costa-i-Font, Joan ; Wagner, Joel ; Courbage, Christophe ; Costa-Font, Joan ; costa -Font, Joan . In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:44:y:2019:i:2:d:10.1057_s41288-019-00122-0.

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2019A market-consistent framework for the fair evaluation of insurance contracts under Solvency II. (2019). Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo ; Gambaro, Anna Maria. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00242-1.

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2019Stochastic ordering of Gini indexes for multivariate elliptical random variables. (2019). Yin, Chuancun. In: Papers. RePEc:arx:papers:1908.01943.

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2019Asymmetric clusters and outliers: Mixtures of multivariate contaminated shifted asymmetric Laplace distributions. (2019). Browne, Ryan P ; McNicholas, Paul D ; Punzo, Antonio ; Morris, Katherine . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:132:y:2019:i:c:p:145-166.

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2019CEO Overconfidence and Shadow-Banking Life Insurer Performance Under Government Purchases of Distressed Assets. (2019). Huang, Fu-Wei ; Yao, Wenyu ; Lin, Jyh-Horng ; Chen, Shi. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:28-:d:211106.

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2019The efficiency effects of life settlement on the life insurance market. (2019). Hong, Jimin ; Seog, Hun S. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:56:y:2019:i:c:p:395-412.

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2019Systemic Optimal Risk Transfer Equilibrium. (2019). Meyer-Brandis, Thilo ; Frittelli, Marco ; Fouque, Jean-Pierre ; Doldi, Alessandro ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1907.04257.

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2019Equivalent distortion risk measures on moment spaces. (2019). Vanduffel, Steven ; Cornilly, Dries. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:187-192.

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2019Analysis of risk bounds in partially specified additive factor models. (2019). Ruschendorf, L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:115-121.

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2019Portfolio Optimization with Expectile and Omega Functions. (2019). Uryasev, Stan ; Wagner, Alexander . In: Papers. RePEc:arx:papers:1910.14005.

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2019Risk Management with Tail Quasi-Linear Means. (2019). Shushi, Tomer ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1902.06941.

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2019Continuous-time optimal reinsurance strategy with nontrivial curved structures. (2019). Siu, Tak Kuen ; Liao, PU ; Meng, Hui. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:363:y:2019:i:c:38.

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2019Optimal XL-insurance under Wasserstein-type ambiguity. (2019). Ch, Georg ; Birghila, Corina. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:30-43.

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2019Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria. (2019). Timonina-Farkas, Anna ; Silm, Kadri ; Balkovi, Juraj ; Hochrainer-Stigler, Stefan. In: Computational Management Science. RePEc:spr:comgts:v:16:y:2019:i:4:d:10.1007_s10287-018-0339-4.

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2019Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates. (2019). Bayraktar, Erhan ; Young, Virginia R ; Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1806.07499.

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2019Optimal ratcheting of dividends in insurance. (2019). Muler, Nora ; Azcue, Pablo ; Albrecher, Hansjoerg. In: Papers. RePEc:arx:papers:1910.06910.

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2019Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application. (2019). Lindensjo, Kristoffer ; Christensen, Soren. In: Papers. RePEc:arx:papers:1909.11921.

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2019Extreme-aggregation measures in the RDEU model. (2019). Hu, Taizhong ; Chen, Ouxiang. In: Statistics & Probability Letters. RePEc:eee:stapro:v:148:y:2019:i:c:p:155-163.

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Recent citations
Recent citations received in 2019

YearCiting document
2019Optimal excess-of-loss reinsurance for stochastic factor risk models. (2019). Ceci, Claudia ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:1904.05422.

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2019Nash Equilibria in Optimal Reinsurance Bargaining. (2019). Anthropelos, Michail ; Boonen, Tim J. In: Papers. RePEc:arx:papers:1909.01739.

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2019A BSDE-based approach for the optimal reinsurance problem under partial information. (2019). Ceci, Claudia ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:1910.05999.

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2019A hybrid stochastic differential reinsurance and investment game with bounded memory. (2019). Zhong, Feimin ; Gao, Rui ; Xiao, Helu ; Zhou, Zhongbao ; Bai, Yanfei. In: Papers. RePEc:arx:papers:1910.09834.

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2019Optimal robust insurance with a finite uncertainty set. (2019). Hu, Junlei ; Asimit, Alexandru V ; Xie, Yuantao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:67-81.

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2019Fair valuation of insurance liability cash-flow streams in continuous time: Theory. (2019). Barigou, Karim ; Dhaene, Jan ; Delong, Ukasz. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:196-208.

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2019On the existence of a representative reinsurer under heterogeneous beliefs. (2019). Ghossoub, Mario ; Boonen, Tim J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:209-225.

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2019Stochastic differential reinsurance games with capital injections. (2019). Qian, Linyi ; Jin, Zhuo ; Zhang, Nan ; Fan, Kun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:7-18.

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2019Optimal Excess-of-Loss Reinsurance for Stochastic Factor Risk Models. (2019). Ceci, Claudia ; Brachetta, Matteo. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:48-:d:227464.

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2019Does the pension system’s income statement really matter? A proposal for an NDC scheme with disability and minimum pension benefits. (2019). Vidal-Melia, Carlos ; Ventura-Marco, Manuel ; Garvey, Anne M. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1922.

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Recent citations received in 2018

YearCiting document
2018Probability measure-valued polynomial diffusions. (2018). Svaluto-Ferro, Sara ; Larsson, Martin ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1807.03229.

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2018.

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2018Waiting for Godot: the Failure of SMEs in the Italian Manufacturing Industry to Grow. (2018). Autore, Quarto ; Secondo, Universita Cattolicaauthor-Name. In: DISCE - Quaderni del Dipartimento di Scienze Economiche e Sociali. RePEc:ctc:serie2:dises132.

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2018A two-decrement model for the valuation and risk measurement of a guaranteed annuity option. (2018). Zhao, Yixing ; GAO, Huan ; Mamon, Rogemar. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:231-249.

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2018Upper bounds for strictly concave distortion risk measures on moment spaces. (2018). Cornilly, D ; Vanduffel, S ; Ruschendorf, L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:141-151.

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2018Poissonian potential measures for Lévy risk models. (2018). Landriault, David ; Xu, DI ; Li, Bin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:152-166.

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2018Non-parametric inference of transition probabilities based on Aalen–Johansen integral estimators for acyclic multi-state models: application to LTC insurance. (2018). Guibert, Quentin ; Planchet, Frederic. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:21-36.

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2018Time-consistent proportional reinsurance and investment strategies under ambiguous environment. (2018). Guan, Guohui ; Feng, Jian ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:122-133.

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2018Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018). (2018). Pesenti, Silvana M ; Millossovich, Pietro ; Tsanakas, Andreas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:29-31.

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2018Gini estimation under infinite variance. (2018). Fontanari, Andrea ; Cirillo, Pasquale ; Taleb, Nassim Nicholas. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:256-269.

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2018Why Insurers Are Wrong about Adverse Selection. (2018). Thomas, Guy R. In: Laws. RePEc:gam:jlawss:v:7:y:2018:i:2:p:13-:d:141165.

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2018Company Value with Ruin Constraint in Lundberg Models. (2018). Hipp, Christian. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:73-:d:159090.

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2018On a Multiplicative Multivariate Gamma Distribution with Applications in Insurance. (2018). Semenikhine, Vadim ; Su, Jianxi ; Furman, Edward. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:79-:d:163347.

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2018On the Evaluation of the Distribution of a General Multivariate Collective Model: Recursions versus Fast Fourier Transform. (2018). Vernic, Raluca. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:87-:d:165887.

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2018Some Results on Measures of Interaction between Paired Risks. (2018). Fang, Rui ; Li, Xiaohu. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:88-:d:166067.

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2018A Quantum-Type Approach to Non-Life Insurance Risk Modelling. (2018). Lefevre, Claude ; Utev, Sergey ; Tamturk, Muhsin ; Loisel, Stephane. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:99-:d:169842.

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2018
2018
2018Risk management with multiple VaR constraints. (2018). Chen, AN ; Stadje, Mitja ; Nguyen, Thai. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:88:y:2018:i:2:d:10.1007_s00186-018-0637-1.

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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.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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Recent citations received in 2016

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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