Insurance: Mathematics and Economics

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.04 0.18 25 17 57 2 0 0.08 1997 0.21 41 56 53 0 1 0.02 0.08 1998 0.02 0.22 41 45 66 1 0 1 0.02 0.1 1999 0.06 0.28 51 55 82 5 0 0.13 2000 0.04 0.37 51 75 92 4 0 0.16 2001 0.08 0.37 48 61 102 8 0 4 0.08 0.16 2002 0.08 0.41 57 116 99 8 0 7 0.12 0.19 2003 0.14 0.42 70 89 105 15 0 1 0.01 0.2 2004 0.08 0.47 62 83 127 10 0 1 0.02 0.21 2005 0.14 0.5 70 59 132 18 0 3 0.04 0.23 2006 0.13 0.51 72 48 132 17 0 7 0.1 0.22 2007 0.09 0.4 63 30 142 13 0 2 0.03 0.18 2008 0.13 0.42 162 82 135 17 0 12 0.07 0.21 2009 0.16 0.43 106 40 225 36 0 5 0.05 0.19
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: 45 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: 33 times.

(3) RePEc:eee:insuma:v:21:y:1997:i:2:p:173-183 Axiomatic characterization of insurance prices (1997).
Cited: 25 times.

(4) 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.

(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: 21 times.

(6) 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: 15 times.

(7) 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: 15 times.

(8) 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: 14 times.

(9) RePEc:eee:insuma:v:17:y:1995:i:1:p:43-54 Insurance pricing and increased limits ratemaking by proportional hazards transforms (1995).
Cited: 14 times.

(10) 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: 14 times.

(11) 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: 13 times.

(12) RePEc:eee:insuma:v:34:y:2004:i:3:p:505-516 Some new classes of consistent risk measures (2004).
Cited: 12 times.

(13) RePEc:eee:insuma:v:37:y:2005:i:1:p:101-114 Bivariate option pricing using dynamic copula models (2005).
Cited: 11 times.

(14) RePEc:eee:insuma:v:42:y:2008:i:1:p:343-358 The role of longevity bonds in optimal portfolios (2008).
Cited: 11 times.

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

(16) RePEc:eee:insuma:v:16:y:1995:i:3:p:225-253 Equity-linked life insurance: A model with stochastic interest rates (1995).
Cited: 10 times.

(17) RePEc:eee:insuma:v:48:y:2011:i:3:p:355-367 Mortality density forecasts: An analysis of six stochastic mortality models (2011).
Cited: 10 times.

(18) RePEc:eee:insuma:v:44:y:2009:i:2:p:199-213 Goodness-of-fit tests for copulas: A review and a power study (2009).
Cited: 10 times.

(19) RePEc:eee:insuma:v:4:y:1985:i:3:p:179-189 On convex principles of premium calculation (1985).
Cited: 10 times.

(20) 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: 9 times.

(21) 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.

(22) RePEc:eee:insuma:v:24:y:1999:i:1-2:p:139-148 Fitting bivariate loss distributions with copulas (1999).
Cited: 9 times.

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

(24) RePEc:eee:insuma:v:8:y:1989:i:1:p:77-95 Decision theoretic foundations of credibility theory (1989).
Cited: 9 times.

(25) 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: 8 times.

(26) 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: 8 times.

(27) RePEc:eee:insuma:v:35:y:2004:i:2:p:299-319 An optimization approach to the dynamic allocation of economic capital (2004).
Cited: 8 times.

(28) 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: 8 times.

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

(30) 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: 7 times.

(31) RePEc:eee:insuma:v:11:y:1992:i:4:p:249-257 A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time (1992).
Cited: 7 times.

(32) RePEc:eee:insuma:v:29:y:2001:i:3:p:299-318 Mortality derivatives and the option to annuitise (2001).
Cited: 7 times.

(33) RePEc:eee:insuma:v:37:y:2005:i:3:p:443-468 Affine processes for dynamic mortality and actuarial valuations (2005).
Cited: 7 times.

(34) RePEc:eee:insuma:v:34:y:2004:i:1:p:79-95 Optimal pension management in a stochastic framework (2004).
Cited: 7 times.

(35) 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: 7 times.

(36) RePEc:eee:insuma:v:44:y:2009:i:2:p:182-198 Pair-copula constructions of multiple dependence (2009).
Cited: 7 times.

(37) 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: 7 times.

(38) RePEc:eee:insuma:v:33:y:2003:i:1:p:189-207 Optimal investment strategies in the presence of a minimum guarantee (2003).
Cited: 7 times.

(39) RePEc:eee:insuma:v:27:y:2000:i:2:p:215-228 Optimal investment for insurers (2000).
Cited: 6 times.

(40) RePEc:eee:insuma:v:19:y:1996:i:1:p:19-30 Valuation of the early-exercise price for options using simulations and nonparametric regression (1996).
Cited: 6 times.

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

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

(43) 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: 6 times.

(44) RePEc:eee:insuma:v:32:y:2003:i:3:p:359-370 Choquet pricing and equilibrium (2003).
Cited: 6 times.

(45) 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: 6 times.

(46) 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.

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

(48) RePEc:eee:insuma:v:35:y:2004:i:2:p:279-298 Survival models in a dynamic context: a survey (2004).
Cited: 6 times.

(49) RePEc:eee:insuma:v:33:y:2003:i:1:p:1-28 Rational hedging and valuation of integrated risks under constant absolute risk aversion (2003).
Cited: 5 times.

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

Recent citations received in: | 2009 | 2008 | 2007 | 2006

Recent citations received in: 2009

(1) RePEc:aah:create:2009-30 Long Memory and Tail dependence in Trading Volume and Volatility (2009). CREATES Research Papers

(2) RePEc:arx:papers:0904.1805 Implementing Loss Distribution Approach for Operational Risk (2009). Quantitative Finance Papers

(3) RePEc:cte:wbrepe:wb090201 Compatibility between pricing rules and risk measures: The CCVaR (2009). Business Economics Working Papers

(4) RePEc:dnb:dnbwpp:219 Dependence structure of risk factors and diversification effects (2009). DNB Working Papers

(5) RePEc:isa:wpaper:120 A Discrete Model for Patent Valuation (2009). ISAE Working Papers

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). Quantitative Finance Papers

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

(3) RePEc:eca:wpaper:2008_004 Pricing and Hedging Asian Basket Spread Options (2008). Working Papers ECARES

(4) RePEc:ide:wpaper:7179 Free Cash-Flow, Issuance Costs and Stock Price Volatility (2008). IDEI Working Papers

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

(6) RePEc:mrr:papers:wp177 Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts (2008). Working Papers

(7) RePEc:mrr:papers:wp178 Deferred Annuities and Strategic Asset Allocation (2008). Working Papers

(8) RePEc:nbr:nberwo:14055 Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts (2008). NBER Working Papers

(9) RePEc:nbr:nberwo:14332 Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints (2008). NBER Working Papers

(10) RePEc:pra:mprapa:33749 Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers (2008). MPRA Paper

(11) RePEc:ubs:wpaper:0801 Delay is not the answer: waiting time in health care & income redistribution (2008). Working Papers

(12) RePEc:xrp:wpaper:xreap2008-09 A priori ratemaking using bivariate poisson regression models (2008). Working Papers

Recent citations received in: 2007

(1) RePEc:lmu:msmdpa:1982 Assessing Investment and Longevity Risks within Immediate Annuities (2007). Discussion Papers in Business Administration

(2) RePEc:uts:rpaper:187 Optimal Numeraires for Risk Measures (2007). Research Paper Series

Recent citations received in: 2006

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

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

(3) RePEc:cte:wsrepe:ws063815 MULTIVARIATE RISKS AND DEPTH-TRIMMED REGIONS (2006). Statistics and Econometrics Working Papers

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

(5) RePEc:hhb:aarbfi:2006-09 Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs (2006). 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). Discussion Papers in Business Administration

(7) RePEc:nbr:nberwo:11984 Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk (2006). NBER Working Papers

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