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Citation Profile [Updated: 2022-08-02 06:44:01]
5 Years H
52
Impact Factor
0.89
5 Years IF
0.67
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 0.1 0.03 0 34 34 183 1 1 71 180 0 0 0.05
1991 0.06 0.1 0.07 0.02 25 59 144 4 5 71 4 174 4 1 25 0 0.05
1992 0 0.11 0.01 0 43 102 182 1 6 59 159 0 1 0.02 0.05
1993 0.01 0.13 0.01 0.01 42 144 199 2 8 68 1 173 2 0 0 0.06
1994 0.04 0.14 0.09 0.04 29 173 203 15 24 85 3 181 7 0 1 0.03 0.06
1995 0.07 0.22 0.21 0.06 28 201 260 42 66 71 5 173 11 37 88.1 1 0.04 0.1
1996 0.25 0.25 0.27 0.16 25 226 285 60 126 57 14 167 26 41 68.3 0 0.12
1997 0.19 0.24 0.29 0.17 41 267 664 77 203 53 10 167 28 64 83.1 2 0.05 0.11
1998 0.23 0.28 0.31 0.19 41 308 498 93 297 66 15 165 31 68 73.1 2 0.05 0.13
1999 0.39 0.3 0.4 0.25 51 359 602 142 439 82 32 164 41 120 84.5 8 0.16 0.15
2000 0.23 0.35 0.32 0.22 51 410 639 132 571 92 21 186 41 88 66.7 8 0.16 0.17
2001 0.25 0.38 0.37 0.24 48 458 699 168 739 102 26 209 51 107 63.7 7 0.15 0.17
2002 0.4 0.4 0.55 0.28 57 515 910 282 1022 99 40 232 66 193 68.4 15 0.26 0.21
2003 0.47 0.44 0.54 0.38 70 585 892 314 1336 105 49 248 93 186 59.2 7 0.1 0.21
2004 0.3 0.48 0.45 0.27 62 647 912 289 1625 127 38 277 76 191 66.1 9 0.15 0.22
2005 0.33 0.5 0.49 0.3 70 717 965 351 1977 132 44 288 85 187 53.3 6 0.09 0.23
2006 0.47 0.5 0.58 0.37 72 789 1174 452 2432 132 62 307 113 177 39.2 12 0.17 0.22
2007 0.38 0.45 0.44 0.33 63 852 730 368 2806 142 54 331 109 163 44.3 7 0.11 0.2
2008 0.83 0.49 0.83 0.63 162 1014 1607 835 3645 135 112 337 213 428 51.3 45 0.28 0.23
2009 0.5 0.47 0.74 0.43 106 1120 1639 823 4472 225 113 429 186 313 38 20 0.19 0.23
2010 0.58 0.48 0.76 0.52 108 1228 960 933 5408 268 155 473 244 432 46.3 26 0.24 0.21
2011 0.59 0.51 0.69 0.43 95 1323 920 919 6327 214 126 511 222 389 42.3 15 0.16 0.23
2012 0.53 0.5 0.8 0.48 115 1438 991 1144 7471 203 108 534 256 472 41.3 36 0.31 0.21
2013 0.69 0.55 1.04 0.63 142 1580 1041 1637 9108 210 145 586 367 718 43.9 31 0.22 0.24
2014 0.56 0.55 0.77 0.56 104 1684 753 1296 10404 257 144 566 316 489 37.7 29 0.28 0.23
2015 0.66 0.54 0.93 0.56 139 1823 784 1694 12098 246 163 564 315 693 40.9 31 0.22 0.22
2016 0.79 0.53 0.99 0.62 145 1968 620 1957 14055 243 191 595 367 667 34.1 23 0.16 0.21
2017 0.58 0.54 0.86 0.5 104 2072 445 1786 15841 284 164 645 325 480 26.9 24 0.23 0.21
2018 0.51 0.58 0.82 0.47 103 2175 338 1776 17617 249 128 634 299 613 34.5 25 0.24 0.24
2019 0.66 0.6 0.87 0.51 92 2267 238 1973 19591 207 137 595 304 564 28.6 19 0.21 0.24
2020 0.75 0.75 0.88 0.54 104 2371 137 2084 21675 195 146 583 313 505 24.2 31 0.3 0.34
2021 0.89 1.06 0.96 0.67 130 2501 76 2404 24079 196 174 548 366 850 35.4 50 0.38 0.4
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.

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417
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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293
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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240
41997Axiomatic 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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199
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.

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199
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.

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190
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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189
81996Valuation 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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138
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.

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135
102000Fair 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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129
112001Mortality 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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124
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.

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121
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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113
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.

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94
152014Generalized 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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91
162006Valuation 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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86
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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84
181985On 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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83
192011Mortality 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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82
202003Lee-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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81
212006Risk 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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80
222005Estimating the tail-dependence coefficient: Properties and pitfalls. (2005). Frahm, Gabriel ; Schmidt, Rafael ; Junker, Markus. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:1:p:80-100.

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79
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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77
242006Financial 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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76
252000Optimal 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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74
261991Risk 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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73
272003Pensionmetrics 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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72
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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72
292000Upper 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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71
302009On 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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70
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.

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70
321997The 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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69
331998Comonotonicity, 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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67
342008Optimal 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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66
352011Optimal 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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65
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.

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64
372003The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. (2003). Willmot, Gordon E. ; Drekic, Steve ; Lin, Sheldon X.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:3:p:551-566.

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62
382001On 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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62
392004Optimal 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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61
401999Fitting 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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59
412006Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval. (2006). Shapiro, Arnold F. ; Koissi, Marie-Claire ; Hognas, Goran. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:1-20.

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58
422002Optimal 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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57
432009To 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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56
442011Explicit ruin formulas for models with dependence among risks. (2011). Loisel, Stéphane ; Constantinescu, Corina ; Albrecher, Hansjorg. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:2:p:265-270.

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56
452008Weighted risk capital allocations. (2008). Furman, Edward ; Zitikis, Ricardas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:2:p:263-269.

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56
462008Optimal 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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55
472001Optimal reinsurance under mean-variance premium principles. (2001). Kaluszka, Marek . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:1:p:61-67.

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55
481982Estimates for the probability of ruin with special emphasis on the possibility of large claims. (1982). VERAVERBEKE, N. ; Embrechts, P.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:1:y:1982:i:1:p:55-72.

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55
492001Pensionmetrics: 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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53
502005Bivariate 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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52
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

113
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

54
32006A cohort-based extension to the Lee-Carter model for mortality reduction factors. (2006). Renshaw, A. E. ; Haberman, S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:3:p:556-570.

Full description at Econpapers || Download paper

44
42002The concept of comonotonicity in actuarial science and finance: theory. (2002). Goovaerts, Marc ; Dhaene, Jan ; Vyncke, D. ; Kaas, R. ; Denuit, M.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:3-33.

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36
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
62014Generalized 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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33
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

33
82002A 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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32
91996Valuation 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

31
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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26
112016Generalized linear models for dependent frequency and severity of insurance claims. (2016). Genest, C ; Garrido, J ; Schulz, J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:205-215.

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20
122009On 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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19
132017Fair 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.

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19
142008Weighted risk capital allocations. (2008). Furman, Edward ; Zitikis, Ricardas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:2:p:263-269.

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19
152011Optimal time-consistent investment and reinsurance policies for mean-variance insurers. (2011). Zeng, Yan ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:1:p:145-154.

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18
162015Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk. (2015). Hanewald, Katja ; Shao, Adam W ; Sherris, Michael. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:63:y:2015:i:c:p:76-90.

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18
172005Affine 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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18
182012Convex order and comonotonic conditional mean risk sharing. (2012). Dhaene, Jan ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:2:p:265-270.

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18
192016Markov regime-switching quantile regression models and financial contagion detection. (2016). Ye, Wuyi ; Miao, Baiqi ; Wu, Yuehua ; Zhu, Yangguang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:21-26.

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17
202006Risk measures via g-expectations. (2006). RosazzaGianin, Emanuela . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:1:p:19-34.

Full description at Econpapers || Download paper

16
212001Optimal 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

16
222011A comparative study of parametric mortality projection models. (2011). Renshaw, Arthur ; Haberman, Steven. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:1:p:35-55.

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16
232009To 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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16
242017Data breaches: Goodness of fit, pricing, and risk measurement. (2017). Eling, Martin ; Loperfido, Nicola . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:126-136.

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15
252005Optimal 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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15
262016Marginal 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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15
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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15
282005Risk capital decomposition for a multivariate dependent gamma portfolio. (2005). Furman, Edward ; Landsman, Zinoviy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:635-649.

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15
292018Solvency II, or how to sweep the downside risk under the carpet. (2018). Weber, Stefan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:191-200.

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14
302012Optimal asset allocation for DC pension plans under inflation. (2012). Hung, Mao-Wei ; Han, Nan-Wei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:1:p:172-181.

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14
312019Fair 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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14
322015Dependent frequency–severity modeling of insurance claims. (2015). Shi, Peng ; Ivantsova, Anastasia ; Feng, Xiaoping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:417-428.

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14
332001Mortality 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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14
342009Estimating value at risk of portfolio by conditional copula-GARCH method. (2009). Liang, Hueimei ; Lin, Wei-Fu ; Lee, Kuo-Jung ; Huang, Jen-Jsung . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:45:y:2009:i:3:p:315-324.

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14
352011Mortality 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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14
362014Risk aggregation with dependence uncertainty. (2014). Bernard, Carole ; Jiang, Xiao ; Wang, Ruodu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:93-108.

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14
372013Application of data clustering and machine learning in variable annuity valuation. (2013). Gan, Guojun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:795-801.

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13
382015Analytical pricing of vulnerable options under a generalized jump–diffusion model. (2015). Fard, Farzad Alavi ; Alavifard, Farzad. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:19-28.

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13
392015Optimal retirement income tontines. (2015). Milevsky, Moshe A ; Salisbury, Thomas S. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:91-105.

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13
402006Financial 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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13
412008Longevity risk in portfolios of pension annuities. (2008). Nijman, Theo ; Melenberg, Bertrand ; De Waegenaere, Anja ; Hari, Norbert. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:2:p:505-519.

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13
421986The determination of life premiums: An international cross-section analysis 1970-1981. (1986). Beenstock, Michael ; Dickinson, Gerry ; Khajuria, Sajay. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:5:y:1986:i:4:p:261-270.

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13
432013Optimal 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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13
442004Stochastic 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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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.

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13
462006Valuation 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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472011Explicit ruin formulas for models with dependence among risks. (2011). Loisel, Stéphane ; Constantinescu, Corina ; Albrecher, Hansjorg. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:2:p:265-270.

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482017Grouped multivariate and functional time series forecasting:An application to annuity pricing. (2017). Shang, Han Lin ; Haberman, Steven. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:166-179.

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492008Weighted premium calculation principles. (2008). Furman, Edward ; Zitikis, Ricardas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:1:p:459-465.

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502006Regret, portfolio choice, and guarantees in defined contribution schemes. (2006). Volkman-Wise, Jacqueline ; Mitchell, Olivia ; Muermann, Alexander. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:2:p:219-229.

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2021Multivariate tail covariance for generalized skew-elliptical distributions. (2021). Yin, Chuancun ; Zuo, Baishuai. In: Papers. RePEc:arx:papers:2103.05201.

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2021Closed-form Solutions for an Explicit Modern Ideal Tontine with Bequest Motive. (2020). Dagpunar, John. In: Papers. RePEc:arx:papers:2005.00715.

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2021Optimal retirement products under subjective mortality beliefs. (2021). Rach, Manuel ; Hieber, Peter ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:55-69.

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2021Sensitivity analysis and tail variability for the Wang’s actuarial index. (2021). Vliora, Polyxeni ; Psarrakos, Georgios. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:147-152.

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2021Mortality Forecasting with an Age-Coherent Sparse VAR Model. (2021). Shi, Yanlin ; Li, Hong. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:2:p:35-:d:494260.

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2021Assessing mortality inequality in the U.S.: What can be said about the future?. (2021). Hyndman, Rob J ; Li, Han. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:152-162.

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2021Gompertz law revisited: Forecasting mortality with a multi-factor exponential model. (2021). Zhu, Wenjun ; Tuljapurkar, Shripad ; Tan, Ken Seng ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:268-281.

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2021Recent declines in life expectancy: Implication on longevity risk hedging. (2021). Liu, Yanxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:376-394.

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2021Forecasting mortality with international linkages: A global vector-autoregression approach. (2021). Shi, Yanlin ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:59-75.

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2021Predicting Mortality by Causes in the Republic of Bashkortostan Using the Lee–Carter Model. (2021). Timiryanova, V M ; Askarova, Z F ; Prudnikov, V B ; Lakman, I A. In: Studies on Russian Economic Development. RePEc:spr:sorede:v:32:y:2021:i:5:d:10.1134_s1075700721050063.

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2021Common Factor Cause-Specific Mortality Model. (2021). Alonso-Garcia, Jennifer ; Zittersteyn, Geert. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:12:p:221-:d:694111.

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2021Coherent Mortality Forecasting for Less Developed Countries. (2021). Lu, Yang ; Li, Hong ; Lyu, Pintao. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:9:p:151-:d:620762.

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2021Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information. (2021). Ahn, Jae Youn ; Zhu, Dan ; Lee, Youngju ; Oh, Rosy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:127-139.

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2021Fitting Compound Archimedean Copulas to Data for Modeling Electricity Demand. (2021). Makov, Udi E ; Landsman, Zinoviy ; Kelner, Moshe. In: International Journal of Statistics and Probability. RePEc:ibn:ijspjl:v:10:y:2021:i:5:p:20.

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2021A multi-year microlevel collective risk model. (2021). Valdez, Emiliano A ; Ahn, Jae Youn ; Jeong, Himchan ; Oh, Rosy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:309-328.

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2021Pareto-optimal reinsurance policies with maximal synergy. (2021). Ren, Jiandong ; Hong, Hanping ; Jiang, Wenjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:185-198.

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2021Bayesian credibility under a bivariate prior on the frequency and the severity of claims. (2021). Woo, Jae-Kyung ; Oh, Rosy ; Ni, Weihong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:274-295.

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2021Wishart?gamma random effects models with applications to nonlife insurance. (2021). Lu, Yang ; Denuit, Michel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:2:p:443-481.

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2021Option pricing in regime-switching frameworks with the Extended Girsanov Principle. (2021). Trottier, Denis-Alexandre ; Godin, Frederic. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:116-129.

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2021Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340.

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2021Optimal reinsurance problem under fixed cost and exponential preferences. (2021). Ceci, Claudia ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:2101.04975.

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2021Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets. (2021). Ceci, Claudia ; Cretarola, Alessandra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:2105.07524.

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2021Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences. (2021). Salterini, Benedetta ; Cretarola, Alessandra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:2106.13888.

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2021Pricing in a competitive stochastic insurance market. (2021). Pantelous, Athanasios A ; Koo, Bonsoo ; Boonen, Tim J ; Mourdoukoutas, Fotios. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:44-56.

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2021A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market. (2021). Zhong, Feimin ; Gao, Rui ; Xiao, Helu ; Zhou, Zhongbao ; Bai, Yanfei. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:94:y:2021:i:3:d:10.1007_s00186-021-00760-y.

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2021Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes. (2021). Yu, Xun ; Strub, Moris S. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:2:d:10.1007_s00780-020-00444-1.

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2021Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications. (2021). Wang, Yuwei ; Strub, Moris S ; Liang, Gechun. In: Papers. RePEc:arx:papers:2110.08900.

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2021Forward rank?dependent performance criteria: Time?consistent investment under probability distortion. (2021). Strub, Moris S ; He, Xue Dong ; Zariphopoulou, Thaleia. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:683-721.

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2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-02896141.

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2021Fair dynamic valuation of insurance liabilities via convex hedging. (2021). Dhaene, Jan ; Chen, ZE ; Yang, Tianyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:1-13.

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2021Multiple-prior valuation of cash flows subject to capital requirements. (2021). Thoegersen, Julie ; Lindskog, Filip ; Engsner, Hampus. In: Papers. RePEc:arx:papers:2109.00306.

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2021Near?miss telematics in motor insurance. (2021). Perezmarin, Ana M ; Nielsen, Jens Perch ; Guillen, Montserrat. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:3:p:569-589.

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2021The Measures of Accuracy of Claim Frequency Credibility Predictor. (2021). Wolny-Dominiak, Alicja. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:21:p:11959-:d:667712.

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2021Precautionary motives with multiple instruments. (2021). Peter, Richard ; Heinzel, Christoph. In: Working Papers. RePEc:hal:wpaper:hal-03484875.

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2021Precautionary motives with multiple instruments. (2021). Peter, Richard ; Heinzel, Christoph. In: Working Papers. RePEc:ags:inrasl:316521.

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2021Precautionary motives with multiple instruments. (2021). Peter, Richard ; Christoph, Heinzel. In: Working Papers SMART. RePEc:rae:wpaper:202109.

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2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804.

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2021Insurance valuation: A two-step generalised regression approach. (2020). Bignozzi, Valeria ; Barigou, Karim ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2012.04364.

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2021A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk. (2021). Savelli, Nino ; della Corte, Francesco ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:2107.10891.

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2021Insurance valuation: A two-step generalised regression approach. (2020). Barigou, Karim ; Tsanakas, Andreas ; Bignozzi, Valeria. In: Working Papers. RePEc:hal:wpaper:hal-03043244.

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2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2021). Delong, Lukasz ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-02896141.

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2021Insurance valuation: A two-step generalised regression approach. (2021). Tsanakas, Andreas ; Bignozzi, Valeria ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03043244.

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2021A Bridge between Local GAAP and Solvency II Frameworks to Quantify Capital Requirement for Demographic Risk. (2021). Savelli, Nino ; della Corte, Francesco ; Clemente, Gian Paolo. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:10:p:175-:d:646398.

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2021Forecasting mortality with a hyperbolic spatial temporal VAR model. (2021). Chang, LE ; Shi, Yanlin ; Feng, Lingbing. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:255-273.

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2021Joint Models for Cause-of-Death Mortality in Multiple Populations. (2021). Ludkovski, Mike ; Huynh, Nhan. In: Papers. RePEc:arx:papers:2111.06631.

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2021An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount. (2021). Jeong, Himchan ; Tzougas, George. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108210.

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2021Deep Quantile and Deep Composite Model Regression. (2021). Wuthrich, Mario V ; Merz, Michael ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2112.03075.

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2021An Expectation-Maximization Algorithm for the Exponential-Generalized Inverse Gaussian Regression Model with Varying Dispersion and Shape for Modelling the Aggregate Claim Amount. (2021). Jeong, Himchan ; Tzougas, George. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:19-:d:477237.

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2021Designing Annuities with Flexibility Opportunities in an Uncertain Mortality Scenario. (2021). Olivieri, Annamaria. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:11:p:189-:d:662618.

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2021The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking. (2021). di Cerchiara, Alice Pignatelli ; Tzougas, George. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:602-625.

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2021Bivariate mixed Poisson regression models with varying dispersion. (2021). di Cerchiara, Alice Pignatelli ; Tzougas, George. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:114327.

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2021Autocalibration and Tweedie-dominance for insurance pricing with machine learning. (2021). Trufin, Julien ; Charpentier, Arthur ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021013.

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2021Risk sharing under the dominant peer-to-peer property and casualty insurance business models. (2021). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021001.

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2021Autocalibration and Tweedie-dominance for Insurance Pricing with Machine Learning. (2021). Trufin, Julien ; Charpentier, Arthur ; Denuit, Michel. In: Papers. RePEc:arx:papers:2103.03635.

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2021Testing for more positive expectation dependence with application to model comparison. (2021). Verdebout, Thomas ; Trufin, Julien ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021021.

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2021Concordance Probability for Insurance Pricing Models. (2021). Verdonck, Tim ; van Oirbeek, Robin ; Ponnet, Jolien. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:10:p:178-:d:651452.

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2021Lorenz curve, Gini coefficient, and Tweedie dominance for autocalibrated predictors. (2021). Trufin, Julien ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021036.

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2021Testing for more positive expectation dependence with application to model comparison. (2021). Verdebout, Thomas ; Trufin, Julien ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:163-172.

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2021Autocalibration and Tweedie-dominance for insurance pricing with machine learning. (2021). Trufin, Julien ; Charpentier, Arthur ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:485-497.

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2021Risk sharing under the dominant peer?to?peer property and casualty insurance business models. (2021). Robert, Christian Y ; Denuit, Michel. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:2:p:181-205.

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2021Assessing the Performance of Random Forests for Modeling Claim Severity in Collision Car Insurance. (2021). Wagner, Joel ; Staudt, Yves. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:3:p:53-:d:517868.

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2021Maximum pseudo?likelihood estimation based on estimated residuals in copula semiparametric models. (2021). Neumeyer, Natalie ; Hudecova, Arka ; Omelka, Marek. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:4:p:1433-1473.

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2021A decomposition of general premium principles into risk and deviation. (2021). Schmeck, Maren Diane ; Riedel, Frank ; Nendel, Max. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:193-209.

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2021Enhancing an insurers expected value by reinsurance and external financing. (2021). Chi, Yichun ; Liu, Fangda. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:466-484.

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2021A Priori Ratemaking Selection Using Multivariate Regression Models Allowing Different Coverages in Auto Insurance. (2021). Calderin-Ojeda, Enrique ; Gomez-Deniz, Emilio. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:137-:d:597628.

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2021Refundable income annuities: Feasibility of money-back guarantees. (2021). Salisbury, Thomas S ; Milevsky, Moshe A. In: Papers. RePEc:arx:papers:2111.01239.

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2021Probabilistic Framework For Loss Distribution Of Smart Contract Risk. (2021). Lanchier, Nicolas ; Jevtic, Petar . In: Papers. RePEc:arx:papers:2101.08964.

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2021Understanding near-miss count data on construction sites using greedy D-vine copula marginal regression. (2021). Li, Heng ; Wang, Fan ; Dong, Chao. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:213:y:2021:i:c:s0951832021002258.

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2021Bioenergy production from sugarcane bagasse with carbon capture and storage: Surrogate models for techno-economic decisions. (2021). de Queiroz, Ofelia ; Bruno, Joo ; Paes, Raphael V ; de Medeiros, Jose Luiz ; Wiesberg, Igor Lapenda. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:150:y:2021:i:c:s136403212100767x.

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2021Sample Recycling Method -- A New Approach to Efficient Nested Monte Carlo Simulations. (2021). Li, Peng ; Feng, Runhuan. In: Papers. RePEc:arx:papers:2106.06028.

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2021Optimal asset allocation subject to withdrawal risk and solvency constraints. (2021). Robert, Christian ; Jiao, Ying ; Cousin, Areski ; Zerbib, Olivier David. In: Working Papers. RePEc:hal:wpaper:hal-03244380.

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2021Batch mode active learning framework and its application on valuing large variable annuity portfolios. (2021). Li, Shu ; Gweon, Hyukjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:105-115.

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2021Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model. (2021). Brinker, Leonie Violetta. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:17-:d:475828.

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2021Smoothing, Decomposing and Forecasting Mortality Rates. (2021). Basellini, Ugofilippo ; Camarda, Carlo G. In: European Journal of Population. RePEc:spr:eurpop:v:37:y:2021:i:3:d:10.1007_s10680-021-09582-4.

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2021Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age. (2021). Palmer, Edward ; Holzmann, Robert ; Ayuso, Mercedes ; Miguelbravo, Jorge. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9408.

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2021Portfolio Selection under Median and Quantile Maximization. (2020). Kou, Steven ; Jiang, Zhaoli ; He, Xue Dong. In: Papers. RePEc:arx:papers:2008.10257.

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2021Return smoothing in life insurance from a client perspective. (2021). Schelling, Stefan ; Russ, Jochen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:91-106.

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2021Distributionally robust goal-reaching optimization in the presence of background risk. (2021). Chi, Yichun ; Zhuang, Sheng Chao ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2108.04464.

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2021Maintaining cost and ruin probability. (2021). Qin, Zhenjiang ; Ma, Xiaorong ; Lo, Chia Chun ; Karathanasopoulos, Andreas. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:2:d:10.1007_s11156-021-00960-x.

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2021Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation. (2021). Westmacott, Graham ; Vetzal, Kenneth R ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:2101.02760.

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2021Kalman Filter Learning Algorithms and State Space Representations for Stochastic Claims Reserving. (2021). Johannssen, Arne ; Chukhrova, Nataliya. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:6:p:112-:d:569870.

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2021Retrospective Reserves and Bonus with Policyholder Behavior. (2021). Nyegaard, Anna Kamille ; Falden, Debbie Kusch. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:15-:d:475059.

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2021Dynamics of state-wise prospective reserves in the presence of non-monotone information. (2021). Furrer, Christian ; Christiansen, Marcus C. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:81-98.

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2021Time-dynamic evaluations under non-monotone information generated by marked point processes. (2021). Christiansen, Marcus C. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00456-5.

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2021Dynamic hazards modelling for predictive longevity risk assessment. (2021). Wright, Nigel R ; Bakbergenuly, Ilyas ; Gitsels, Lisanne Andra ; Kulinskaya, Elena. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:222-231.

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2021Optimal Dividends under Markov-Modulated Bankruptcy Level. (2021). Ferrari, Giorgio ; Zhu, Shihao ; Schuhmann, Patrick. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:657.

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2021Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?. (2021). Huang, Fei ; He, Lingyu ; Yang, Yanrong ; Shi, Jianjie. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:14-34.

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2021Mean-Variance Portfolio Selection in Contagious Markets. (2021). Zou, Bin ; Shen, Yang. In: Papers. RePEc:arx:papers:2110.09417.

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2021Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market. (2021). Li, Shuanming ; Jin, Zhuo ; Liu, Guo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:508-524.

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2021Expected utility maximization with stochastically ordered returns. (2021). Barigou, Karim ; Gauchon, Romain. In: Working Papers. RePEc:hal:wpaper:hal-03295594.

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2021On modifications of the Bachelier model. (2021). Wan, Hongxi ; Melnikov, Alexander. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:2:d:10.1007_s10436-020-00381-1.

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2021Volterra mortality model: Actuarial valuation and risk management with long-range dependence. (2021). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:1-14.

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2021On a class of non-zero-sum stochastic differential dividend games with regime switching. (2021). Li, Shuanming ; Jin, Zhuo ; Chen, Ping ; Zhang, Jiannan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:397:y:2021:i:c:s0096300321000047.

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2021The threshold strategy for spectrally negative Levy processes and a terminal value at creeping ruin in the objective function. (2021). Zhu, Chongrui. In: Papers. RePEc:arx:papers:2107.06841.

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2021On the optimality of joint periodic and extraordinary dividend strategies. (2021). Wong, Bernard ; Lau, Hayden ; Avanzi, Benjamin. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:3:p:1189-1210.

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2021Optimal Retirement Time and Consumption with the Variation in Habitual Persistence. (2021). Ye, QI ; Song, Yilun ; Liang, Zongxia ; He, Lin. In: Papers. RePEc:arx:papers:2103.16800.

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2021A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies. (2020). Xu, Zuoquan ; Jin, Zhuo ; Zou, Bin. In: Papers. RePEc:arx:papers:2012.06703.

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2021Optimal Equilibria for Multi-dimensional Time-inconsistent Stopping Problems. (2020). Wang, Zhenhua ; Huang, Yu-Jui. In: Papers. RePEc:arx:papers:2006.00754.

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2021Hierarchical random effects model for insurance pricing of vehicles belonging to a fleet. (2021). Dionne, Georges ; Lu, Yang ; Desjardins, Denise. In: Working Papers. RePEc:ris:crcrmw:2021_002.

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2021On the ordering of credibility factors. (2021). Lu, Yang ; Jeong, Himchan ; Ahn, Jae Youn. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:626-638.

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2021Measure Transportation and Statistical Decision Theory. (2021). Hallin, Marc. In: Working Papers ECARES. RePEc:eca:wpaper:2013/318373.

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2021Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA. (2021). Hallin, Marc ; Hudecova, Sarka ; Hlubinka, Daniel. In: Working Papers ECARES. RePEc:eca:wpaper:2013/327641.

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2021Large portfolio losses in a turbulent market. (2021). Yang, Yang ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:292:y:2021:i:2:p:755-769.

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2021Sensitivity analysis with ?2-divergences. (2021). Tsanakas, Andreas ; Millossovich, Pietro ; Makam, Vaishno Devi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:372-383.

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2021Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model. (2021). Schmeck, Maren Diane ; Fabrykowski, Lukas ; Eisenberg, Julia. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:648.

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2021Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model. (2021). Eisenberg, Julia ; Schmeck, Maren Diane ; Fabrykowski, Lukas. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:4:p:73-:d:535490.

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2021Large Deviations for a Class of Multivariate Heavy-Tailed Risk Processes Used in Insurance and Finance. (2021). Hagele, Miriam ; Lehtomaa, Jaakko. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:202-:d:548135.

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2021The investor problem based on the HJM model. (2020). Zawisza, Dariusz ; Peszat, Szymon. In: Papers. RePEc:arx:papers:2010.13915.

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2021Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. (2021). Wang, Ying ; Cai, Jun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:329-349.

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2021Testing for more positive expectation dependence with application to model comparison. (2021). Verdebout, Thomas ; Trufin, Julien ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021021.

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2021Risk-sharing rules and their properties, with applications to peer-to-peer insurance. (2021). Robert, Christian Y ; Dhaene, Jan ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021037.

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2021Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets. (2021). Ceci, Claudia ; Cretarola, Alessandra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:2105.07524.

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2021Law-invariant functionals that collapse to the mean: Beyond convexity. (2021). Munari, Cosimo ; Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:2106.01281.

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2021Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340.

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2021Stochastic loss reserving with mixture density neural networks. (2021). Wong, Bernard ; Taylor, Greg ; Avanzi, Benjamin ; Al-Mudafer, Muhammed Taher. In: Papers. RePEc:arx:papers:2108.07924.

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2021Multivariate self-exciting jump processes with applications to financial data. (2021). Tjostheim, Dag ; Eyjolfsson, Heidar. In: Papers. RePEc:arx:papers:2108.10176.

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2021SINH-acceleration for B-spline projection with Option Pricing Applications. (2021). Levendorskiui, Sergei ; Boyarchenko, Svetlana ; Cui, Zhenyu ; Kirkby, Lars J. In: Papers. RePEc:arx:papers:2109.08738.

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2021Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics. (2021). Kock, Verena ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2109.11403.

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2021Wealth heterogeneity in a closed pooled annuity fund. (2021). Qu, GE ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2110.13467.

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2021Deep Quantile and Deep Composite Model Regression. (2021). Wuthrich, Mario V ; Merz, Michael ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2112.03075.

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2021Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate. (2021). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Papers. RePEc:arx:papers:2112.06602.

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2021Multivariate matrix-exponential affine mixtures and their applications in risk theory. (2021). Woo, Jae-Kyung ; Peralta, Oscar. In: Papers. RePEc:arx:papers:2201.11122.

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2021Optimal Dividends under Markov-Modulated Bankruptcy Level. (2021). Ferrari, Giorgio ; Zhu, Shihao ; Schuhmann, Patrick. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:657.

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2021Risk sharing under the dominant peer?to?peer property and casualty insurance business models. (2021). Robert, Christian Y ; Denuit, Michel. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:2:p:181-205.

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2021Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age. (2021). Palmer, Edward ; Holzmann, Robert ; Ayuso, Mercedes ; Miguelbravo, Jorge. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9408.

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2021A decomposition of general premium principles into risk and deviation. (2021). Schmeck, Maren Diane ; Riedel, Frank ; Nendel, Max. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:193-209.

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2021Stop-loss protection for a large P2P insurance pool. (2021). Robert, Christian Y ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:210-233.

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2021Concave/convex weighting and utility functions for risk: A new light on classical theorems. (2021). Yang, Jingni ; Wakker, Peter P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:429-435.

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2021Addressing the life expectancy gap in pension policy. (2021). Palmer, Edward ; Holzmann, Robert ; Ayuso, Mercedes ; Bravo, Jorge M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:200-221.

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2021Time-consistent longevity hedging with long-range dependence. (2021). Wong, Hoi Ying ; Wang, Ling. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:25-41.

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2021A combined analysis of hedge effectiveness and capital efficiency in longevity hedging. (2021). Russ, Jochen ; Freimann, Arne ; Borger, Matthias . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:309-326.

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2021Macro longevity risk and the choice between annuity products: Evidence from Denmark. (2021). Rangvid, Jesper ; Kallestrup-Lamb, Malene ; Balter, Anne G. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:355-362.

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2021Longevity risk and capital markets: The 2019-20 update. (2021). , Andrew ; Blake, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439.

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2021Efron’s asymptotic monotonicity property in the Gaussian stable domain of attraction. (2021). Robert, Christian Y ; Denuit, Michel. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000816.

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2021Designing Annuities with Flexibility Opportunities in an Uncertain Mortality Scenario. (2021). Olivieri, Annamaria. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:11:p:189-:d:662618.

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2021Mortality Forecasting with an Age-Coherent Sparse VAR Model. (2021). Shi, Yanlin ; Li, Hong. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:2:p:35-:d:494260.

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2021Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits. (2021). Bravo, Jorge M ; Oliveira, Luis ; Simes, Claudia . In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:4:p:60-:d:524060.

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2021Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters. (2021). Ayuso, Mercedes ; Palmer, Edward ; Holzmann, Robert ; Bravo, Jorge M. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:5:p:96-:d:554249.

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2021The Combined Stop-Loss and Quota-Share Reinsurance: Conditional Tail Expectation-Based Optimization from the Joint Perspective of Insurer and Reinsurer. (2021). Sari, Suci ; Hakim, Arief ; Syuhada, Khreshna. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:125-:d:587197.

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2021Progressive Pension Formula and Life Expectancy Heterogeneity. (2021). Devolder, Pierre ; Diakite, Keivan. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:127-:d:587894.

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2021Coherent Mortality Forecasting for Less Developed Countries. (2021). Lu, Yang ; Li, Hong ; Lyu, Pintao. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:9:p:151-:d:620762.

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2021An explicit split point procedure in model-based trees allowing for a quick fitting of GLM trees and GLM forests. (2021). Guibert, Quentin ; Dutang, Christophe. In: Post-Print. RePEc:hal:journl:hal-03448250.

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2021Towards Food Sovereignty: Dismantling the Capitalist Brahminic-Patriarchal Food Farming Regime. (2021). Ramdas, Sagari R. In: Development. RePEc:pal:develp:v:64:y:2021:i:3:d:10.1057_s41301-021-00307-y.

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Recent citations received in 2020

YearCiting document
2020Life-Care Tontines. (2020). Lucas, Nathalie ; Hieber, Peter. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020026.

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2020Optimal periodic dividend strategies for spectrally negative L\evy processes with fixed transaction costs. (2020). Wong, Bernard ; Lau, Hayden ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2004.01838.

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2020Parisian excursion with capital injection for draw-down reflected Levy insurance risk process. (2020). Zhou, Xiaowen ; Zhao, Xianghua ; Wang, Wenyuan ; Surya, Budhi. In: Papers. RePEc:arx:papers:2005.09214.

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2020Risk Modelling on Liquidations with L\{e}vy Processes. (2020). Chen, Ping ; Zhang, Aili ; Wang, Wenyuan ; Li, Shuanming. In: Papers. RePEc:arx:papers:2007.01426.

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2020A Stochastic Control Approach to Defined Contribution Plan Decumulation: The Nastiest, Hardest Problem in Finance. (2020). Forsyth, Peter A. In: Papers. RePEc:arx:papers:2008.06598.

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2020Retirement decision and optimal consumption-investment under addictive habit persistence. (2020). Yuan, Fengyi ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2011.10166.

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2020Optimal ratcheting of dividends in a Brownian risk model. (2020). Azcue, Pablo ; Albrecher, Hansjoerg ; Muler, Nora. In: Papers. RePEc:arx:papers:2012.10632.

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2020The participation puzzle with reference-dependent expected utility preferences. (2020). Neilson, William ; Liu, Liqun ; Wang, Jianli. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:278-287.

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2020Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data. (2020). Pitselis, Georgios ; Bozikas, Apostolos. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:353-368.

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2020Liquidation risk in insurance under contemporary regulatory frameworks. (2020). Zhu, Jinxia ; Tang, Qihe ; Liu, Haibo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:36-49.

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2020Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions. (2020). Wu, Yang-Che. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:116-128.

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2020Risk aggregation in non-life insurance: Standard models vs. internal models. (2020). Jung, Kwangmin ; Eling, Martin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:183-198.

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2020An Optimal Phase Arrangement of Distribution Transformers under Risk Assessment. (2020). Tsai, Ming-Tang ; Yang, Chung-Yuen ; Tu, Chia-Sheng. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:21:p:5852-:d:442275.

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2020Portfolio Theory in Solving the Problem Structural Choice. (2020). Sukharev, Oleg S. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:195-:d:407294.

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2020The Efficacy of the Retirement Pension Provision System: Modeling, and Assessing of the Case of Kazakhstan. (2020). Zhaumitova, Marzhan Dosymovna ; Junusbekova, Gulsara Ashirbayevna. In: Journal of Open Innovation: Technology, Market, and Complexity. RePEc:gam:joitmc:v:6:y:2020:i:4:p:158-:d:447153.

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2020Quantile Credibility Models with Common Effects. (2020). Yuan, Quan ; Yang, Zhixin ; Wen, Limin ; Wang, Wei. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:100-:d:419448.

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2020Machine Learning in P&C Insurance: A Review for Pricing and Reserving. (2020). Marceau, Etienne ; Lamontagne, Luc ; Cossette, Helene ; Blier-Wong, Christopher. In: Risks. RePEc:gam:jrisks:v:9:y:2020:i:1:p:4-:d:467315.

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2020Short-Term Exuberance and long-term stability: A simultaneous optimization of stock return predictions for short and long horizons. (2020). Mousavi, Parastoo ; Kyriakou, Ioannis ; Scholz, Michael ; Nielsen, Jens Perch. In: Graz Economics Papers. RePEc:grz:wpaper:2020-20.

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2020Optimal prevention of large risks with two types of claims. (2020). Loisel, Stéphane ; Gauchon, Romain ; Trufin, Julien ; Rulliere, Jean-Louis. In: Post-Print. RePEc:hal:journl:hal-02314914.

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2020Self-insurance and Non-concave Distortion Risk Measures. (2020). Bensalem, Sarah. In: Working Papers. RePEc:hal:wpaper:hal-02936349.

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2020A Continuous-Time Model of Self-Protection. (2020). Santibaez, Nicolas Hernandez ; Bensalem, Sarah ; Kazi-Tani, Nabil. In: Working Papers. RePEc:hal:wpaper:hal-02974961.

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2020A probabilistic projection of beneficiaries of long-term care insurance in Germany by severity of disability. (2020). Vanella, Patrizio ; Wilke, Christina B ; Hess, Moritz. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:54:y:2020:i:3:d:10.1007_s11135-020-00968-w.

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Recent citations received in 2019

YearCiting document
2019Optimal Reinsurance and Investment in a Diffusion Model. (2019). Schmidli, Hanspeter ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:1903.12426.

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

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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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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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2019Two frameworks for pricing defaultable derivatives. (2019). Kounchev, Ognyan ; Zaevski, Tsvetelin S ; Savov, Mladen . In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:123:y:2019:i:c:p:309-319.

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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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2019Explicit moments for a class of micro-models in non-life insurance. (2019). Wahl, Felix. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:89:y:2019:i:c:p:140-156.

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2019Stochastic utilities with subsistence and satiation: Optimal life insurance purchase, consumption and investment. (2019). Ye, Jinchun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:89:y:2019:i:c:p:193-212.

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2019Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan. (2019). Lu, YI ; Wang, Suxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:89:y:2019:i:c:p:46-62.

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2019Does the trans-regional transfer of resource-oriented enterprises generate a stress effect?. (2019). Li, Danping ; Dong, Mei ; Lai, Yongzeng ; Zhang, BO. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420719303009.

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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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2019On the Validation of Claims with Excess Zeros in Liability Insurance: A Comparative Study. (2019). Qazvini, Marjan. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:71-:d:244533.

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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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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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2018The Role of Inflation-Indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phase. (2018). Zhang, Xiaoyi ; Guo, Junyi. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:24-:d:137519.

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2018Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes. (2018). Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:33-:d:139765.

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2018A User-Friendly Algorithm for Detecting the Influence of Background Risks on a Model. (2018). Gribkova, Nadezhda ; Zitikis, Riardas. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:100-:d:169915.

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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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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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2018Law invariant risk measures and information divergences. (2018). Daniel, Lacker. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:228-258:n:14.

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