Insurance: Mathematics and Economics

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Recent citations and documents published in this series in EconPapers.

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.04 0.18 25 10 57 2 0 0.08 1997 0.22 41 48 53 0 1 0.02 0.09 1998 0.25 41 42 66 0 1 0.02 0.1 1999 0.05 0.31 51 50 82 4 0 0.15 2000 0.04 0.42 51 62 92 4 0 0.19 2001 0.06 0.41 48 47 102 6 0 3 0.06 0.16 2002 0.08 0.44 57 97 99 8 0 7 0.12 0.2 2003 0.13 0.46 70 69 105 14 0 1 0.01 0.21 2004 0.08 0.51 62 60 127 10 0 1 0.02 0.23 2005 0.11 0.54 70 47 132 15 0 3 0.04 0.24 2006 0.12 0.56 72 39 132 16 0 7 0.1 0.24 2007 0.1 0.45 63 26 142 14 0 2 0.03 0.21 2008 0.11 0.5 162 53 135 15 0 11 0.07 0.24
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series in year y D2Y: Number of articles published in y-1 plus y-2 C2Y: Cites in y to articles published in y-1 plus y-2 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 IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:	Immediacy Index:
Documents published:	Citations received:

Most cited documents in this series:

(1) RePEc:eee:insuma:v:31:y:2002:i:1:p:3-33 The concept of comonotonicity in actuarial science and finance: theory (2002).
Cited: 40 times.

(2) RePEc:eee:insuma:v:31:y:2002:i:2:p:133-161 The concept of comonotonicity in actuarial science and finance: applications (2002).
Cited: 29 times.

(3) RePEc:eee:insuma:v:27:y:2000:i:2:p:151-168 Upper and lower bounds for sums of random variables (2000).
Cited: 25 times.

(4) RePEc:eee:insuma:v:21:y:1997:i:2:p:173-183 Axiomatic characterization of insurance prices (1997).
Cited: 24 times.

(5) RePEc:eee:insuma:v:33:y:2003:i:1:p:29-47 Pensionmetrics 2: stochastic pension plan design during the distribution phase (2003).
Cited: 16 times.

(6) RePEc:eee:insuma:v:31:y:2002:i:1:p:35-69 Optimal investment strategies and risk measures in defined contribution pension schemes (2002).
Cited: 14 times.

(7) RePEc:eee:insuma:v:17:y:1995:i:1:p:43-54 Insurance pricing and increased limits ratemaking by proportional hazards transforms (1995).
Cited: 13 times.

(8) RePEc:eee:insuma:v:31:y:2002:i:2:p:249-265 Optimal portfolio and background risk: an exact and an approximated solution (2002).
Cited: 12 times.

(9) RePEc:eee:insuma:v:31:y:2002:i:3:p:373-393 A Poisson log-bilinear regression approach to the construction of projected lifetables (2002).
Cited: 12 times.

(10) RePEc:eee:insuma:v:24:y:1999:i:1-2:p:139-148 Fitting bivariate loss distributions with copulas (1999).
Cited: 11 times.

(11) RePEc:eee:insuma:v:31:y:2002:i:2:p:267-284 Insurance premia consistent with the market (2002).
Cited: 11 times.

(12) RePEc:eee:insuma:v:42:y:2008:i:1:p:343-358 The role of longevity bonds in optimal portfolios (2008).
Cited: 10 times.

(13) RePEc:eee:insuma:v:22:y:1998:i:2:p:145-161 Ordering risks: Expected utility theory versus Yaaris dual theory of risk (1998).
Cited: 9 times.

(14) RePEc:eee:insuma:v:30:y:2002:i:2:p:199-209 Optimal asset allocation in life annuities: a note (2002).
Cited: 9 times.

(15) RePEc:eee:insuma:v:16:y:1995:i:3:p:225-253 Equity-linked life insurance: A model with stochastic interest rates (1995).
Cited: 9 times.

(16) RePEc:eee:insuma:v:37:y:2005:i:1:p:101-114 Bivariate option pricing using dynamic copula models (2005).
Cited: 9 times.

(17) RePEc:eee:insuma:v:4:y:1985:i:3:p:179-189 On convex principles of premium calculation (1985).
Cited: 8 times.

(18) RePEc:eee:insuma:v:21:y:1997:i:2:p:113-127 Reserving for maturity guarantees: Two approaches (1997).
Cited: 8 times.

(19) RePEc:eee:insuma:v:8:y:1989:i:1:p:77-95 Decision theoretic foundations of credibility theory (1989).
Cited: 8 times.

(20) RePEc:eee:insuma:v:23:y:1998:i:3:p:263-286 Pension schemes as options on pension fund assets: implications for pension fund management (1998).
Cited: 8 times.

(21) RePEc:eee:insuma:v:35:y:2004:i:1:p:113-136 Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts (2004).
Cited: 7 times.

(22) RePEc:eee:insuma:v:26:y:2000:i:2-3:p:175-183 An easy computable upper bound for the price of an arithmetic Asian option (2000).
Cited: 7 times.

(23) RePEc:eee:insuma:v:10:y:1991:i:1:p:51-59 Risk theory for the compound Poisson process that is perturbed by diffusion (1991).
Cited: 6 times.

(24) RePEc:eee:insuma:v:33:y:2003:i:2:p:255-272 Lee-Carter mortality forecasting with age-specific enhancement (2003).
Cited: 6 times.

(25) RePEc:eee:insuma:v:35:y:2004:i:2:p:299-319 An optimization approach to the dynamic allocation of economic capital (2004).
Cited: 6 times.

(26) RePEc:eee:insuma:v:38:y:2006:i:3:p:556-570 A cohort-based extension to the Lee-Carter model for mortality reduction factors (2006).
Cited: 6 times.

(27) RePEc:eee:insuma:v:34:y:2004:i:3:p:505-516 Some new classes of consistent risk measures (2004).
Cited: 6 times.

(28) RePEc:eee:insuma:v:16:y:1995:i:1:p:7-22 Ruin estimates under interest force (1995).
Cited: 6 times.

(29) RePEc:eee:insuma:v:24:y:1999:i:1-2:p:67-81 Modelling different types of automobile insurance fraud behaviour in the Spanish market (1999).
Cited: 6 times.

(30) RePEc:eee:insuma:v:22:y:1998:i:3:p:235-242 Comonotonicity, correlation order and premium principles (1998).
Cited: 6 times.

(31) RePEc:eee:insuma:v:35:y:2004:i:2:p:321-342 Optimal investment choices post-retirement in a defined contribution pension scheme (2004).
Cited: 6 times.

(32) RePEc:eee:insuma:v:38:y:2006:i:1:p:132-148 Stochastic orders and risk measures: Consistency and bounds (2006).
Cited: 5 times.

(33) RePEc:eee:insuma:v:35:y:2004:i:2:p:187-203 Another look at the Picard-Lefevre formula for finite-time ruin probabilities (2004).
Cited: 5 times.

(34) RePEc:eee:insuma:v:25:y:1999:i:3:p:337-347 A synthesis of risk measures for capital adequacy (1999).
Cited: 5 times.

(35) RePEc:eee:insuma:v:29:y:2001:i:3:p:375-386 An improved finite-time ruin probability formula and its Mathematica implementation (2001).
Cited: 5 times.

(36) RePEc:eee:insuma:v:42:y:2008:i:2:p:578-593 Valuation of intergenerational transfers in funded collective pension schemes (2008).
Cited: 5 times.

(37) RePEc:eee:insuma:v:29:y:2001:i:1:p:35-45 Minimization of risks in pension funding by means of contributions and portfolio selection (2001).
Cited: 5 times.

(38) RePEc:eee:insuma:v:19:y:1997:i:3:p:243-253 On the dependency of risks in the individual life model (1997).
Cited: 5 times.

(39) RePEc:eee:insuma:v:38:y:2006:i:3:p:427-440 Mortality-dependent financial risk measures (2006).
Cited: 5 times.

(40) RePEc:eee:insuma:v:33:y:2003:i:2:p:337-356 High volatility, thick tails and extreme value theory in value-at-risk estimation (2003).
Cited: 5 times.

(41) RePEc:eee:insuma:v:33:y:2003:i:1:p:189-207 Optimal investment strategies in the presence of a minimum guarantee (2003).
Cited: 5 times.

(42) RePEc:eee:insuma:v:7:y:1988:i:1:p:49-57 A gamma-minimax result in credibility theory (1988).
Cited: 5 times.

(43) RePEc:eee:insuma:v:22:y:1998:i:3:p:209-228 Stochastic cooperative games in insurance (1998).
Cited: 5 times.

(44) RePEc:eee:insuma:v:29:y:2001:i:2:p:187-215 Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase (2001).
Cited: 5 times.

(45) RePEc:eee:insuma:v:42:y:2008:i:1:p:396-408 Following the rules: Integrating asset allocation and annuitization in retirement portfolios (2008).
Cited: 5 times.

(46) RePEc:eee:insuma:v:37:y:2005:i:3:p:443-468 Affine processes for dynamic mortality and actuarial valuations (2005).
Cited: 5 times.

(47) RePEc:eee:insuma:v:25:y:1999:i:1:p:11-21 The safest dependence structure among risks (1999).
Cited: 5 times.

(48) RePEc:eee:insuma:v:34:y:2004:i:1:p:79-95 Optimal pension management in a stochastic framework (2004).
Cited: 4 times.

(49) RePEc:eee:insuma:v:26:y:2000:i:1:p:37-57 Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000).
Cited: 4 times.

(50) RePEc:eee:insuma:v:27:y:2000:i:2:p:215-228 Optimal investment for insurers (2000).
Cited: 4 times.

Recent citations received in: | 2008 | 2007 | 2006 | 2005

Recent citations received in: 2008

(1) RePEc:arx:papers:0802.3250 Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities (2008). arXiv.org / Quantitative Finance Papers

(2) RePEc:arx:papers:0806.4125 Ruin models with investment income (2008). arXiv.org / Quantitative Finance Papers

(3) RePEc:arx:papers:0812.4978 Optimal dividend distribution under Markov-regime switching (2008). arXiv.org / Quantitative Finance Papers

(4) RePEc:eca:wpaper:2008_004 Pricing and Hedging Asian Basket Spread Options (2008). Université Libre de Bruxelles, Ecares / Working Papers

(5) RePEc:ide:wpaper:7179 Free Cash-Flow, Issuance Costs and Stock Price Volatility (2008). Institut d'Économie Industrielle (IDEI), Toulouse / IDEI Working Papers

(6) RePEc:kap:decono:v:156:y:2008:i:1:p:73-93 Market Valuation, Pension Fund Policy and Contribution Volatility (2008). De Economist

(7) RePEc:mrr:papers:wp177 Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts (2008). University of Michigan, Michigan Retirement Research Center / Working Papers

(8) RePEc:mrr:papers:wp178 Deferred Annuities and Strategic Asset Allocation (2008). University of Michigan, Michigan Retirement Research Center / Working Papers

(9) RePEc:nbr:nberwo:14055 Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts (2008). National Bureau of Economic Research, Inc / NBER Working Papers

(10) RePEc:nbr:nberwo:14332 Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints (2008). National Bureau of Economic Research, Inc / NBER Working Papers

(11) RePEc:xrp:wpaper:xreap2008-09 A priori ratemaking using bivariate poisson regression models (2008). Xarxa de Referència en Economia Aplicada (XREAP) / Working Papers

Recent citations received in: 2007

(1) RePEc:lmu:msmdpa:1982 Assessing Investment and Longevity Risks within Immediate Annuities (2007). University of Munich, Munich School of Management / Discussion Papers in Business Administration

(2) RePEc:uts:rpaper:187 Optimal Numeraires for Risk Measures (2007). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

Recent citations received in: 2006

(1) RePEc:arx:papers:math/0606520 Multivariate risks and depth-trimmed regions (2006). arXiv.org / Quantitative Finance Papers

(2) RePEc:bca:bocawp:06-43 Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets (2006). Bank of Canada / Working Papers

(3) RePEc:cte:wsrepe:ws063815 MULTIVARIATE RISKS AND DEPTH-TRIMMED REGIONS (2006). Universidad Carlos III, Departamento de Estadística y Econometría / Statistics and Econometrics Working Papers

(4) RePEc:dgr:uvatin:20060062 Insurance Sector Risk (2006). Tinbergen Institute / Tinbergen Institute Discussion Papers

(5) RePEc:hhb:aarbfi:2006-09 Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs (2006). Aarhus School of Business, Department of Business Studies / Finance Research Group Working Papers

(6) RePEc:lmu:msmdpa:1220 The Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees (2006). University of Munich, Munich School of Management / Discussion Papers in Business Administration

(7) RePEc:nbr:nberwo:11984 Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk (2006). National Bureau of Economic Research, Inc / NBER Working Papers

Recent citations received in: 2005

(1) RePEc:bon:bonedp:bgse19_2005 Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies (2005). University of Bonn, Germany / Bonn Econ Discussion Papers

(2) RePEc:dnb:dnbwpp:063 Defined Benefit Pension Plans and Regulation (2005). Netherlands Central Bank, Research Department / DNB Working Papers

(3) RePEc:ins:quaeco:qf05010 Multivariate hazard orderings of discrete random vectors (2005). Department of Economics, University of Insubria / Economics and Quantitative Methods

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