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Insurance: Mathematics and Economics / Elsevier

0.66

Impact Factor

0.76

5-Years IF

35

5-Years H index

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1343410.031017118049 (48.5%)0.04
19910.060.090.02255940.0796714174458 (60.4%)0.04
19920.14410310.01925915948 (52.2%)10.020.04
19930.010.110.014214510.01123691174179 (64.2%)0.05
19940.020.120.0329174130.07129862182686 (66.7%)0.05
19950.080.190.0728202330.1618071617412108 (60%)20.070.07
19960.190.220.1625227490.2215457111682769 (44.8%)0.09
19970.130.270.2141268690.2640653716836227 (55.9%)20.050.09
19980.240.270.2241309670.22288661616536156 (54.2%)10.020.1
19990.40.310.35513601210.34366823316457190 (51.9%)50.10.13
20000.210.40.28514111050.26375921918652211 (56.3%)50.10.15
20010.270.40.33484591560.344131022820969234 (56.7%)60.130.15
20020.420.420.46575162520.495299942232106282 (53.3%)140.250.18
20030.50.440.48705862620.4550510553248118230 (45.5%)60.090.18
20040.350.490.4626482460.3850012745277112257 (51.4%)50.080.2
20050.280.530.39707182720.3850913237288112237 (46.6%)60.090.21
20060.440.510.49727903470.4455113258307149236 (42.8%)70.10.2
20070.350.440.41638533070.3638614250331136186 (48.2%)50.080.18
20080.780.470.8316210157030.69772135105337280335 (43.4%)330.20.2
20090.430.470.5310611216020.5466122597429229211 (31.9%)150.140.19
20100.50.440.5810812296960.57422268135473276202 (47.9%)160.150.16
20110.580.510.569513247530.57354214124511285171 (48.3%)130.140.2
20120.560.560.6111514399520.66327203113534328165 (50.5%)250.220.21
20130.690.660.82142158112890.82276210145586481132 (47.8%)230.160.23
20140.440.670.5510416858900.5314725711256631372 (49%)170.160.22
20150.660.820.76139182413530.7410424616256442840 (38.5%)280.20.27
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:

#YearTitleCited
12002The 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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153
22009Pair-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

152
32009Goodness-of-fit tests for copulas: A review and a power study. (2009). Remillard, Bruno ; Beaudoin, David ; Genest, Christian . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:199-213.

Full description at Econpapers || Download paper

131
42002The concept of comonotonicity in actuarial science and finance: applications. (2002). Goovaerts, Marc ; Dhaene, Jan ; Vyncke, D. ; Kaas, R. ; Denuit, M.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:2:p:133-161.

Full description at Econpapers || Download paper

116
51997Axiomatic characterization of insurance prices. (1997). Panjer, Harry H. ; Young, Virginia R. ; Wang, Shaun S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:2:p:173-183.

Full description at Econpapers || Download paper

105
62002A Poisson log-bilinear regression approach to the construction of projected lifetables. (2002). Vermunt, Jeroen K. ; Brouhns, Natacha ; Denuit, Michel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:3:p:373-393.

Full description at Econpapers || Download paper

88
72000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. (2000). Jørgensen, Peter ; Grosen, Anders ; Jorgensen, Peter Lochte . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:26:y:2000:i:1:p:37-57.

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80
82001Mortality 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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76
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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75
102005Affine processes for dynamic mortality and actuarial valuations. (2005). Biffis, Enrico. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:443-468.

Full description at Econpapers || Download paper

64
111997Controlled 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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56
122006A 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

54
131996Valuation of the early-exercise price for options using simulations and nonparametric regression. (1996). Carriere, Jacques F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:19:y:1996:i:1:p:19-30.

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53
142000Upper 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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53
152001Optimal 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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51
161985On 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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51
171991Risk 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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48
182005Optimal investment for insurer with jump-diffusion risk process. (2005). Zhang, Lihong ; Yang, Hailiang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:615-634.

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48
192000Optimal 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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45
201997The 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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45
212006Valuation 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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45
222003Pensionmetrics 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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45
231997Stop-loss order for portfolios of dependent risks. (1997). Müller, Alfred. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:3:p:219-223.

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44
241998Comonotonicity, 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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41
251999Fitting 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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41
261995Ruin estimates under interest force. (1995). Sundt, Bjorn ; TEUGELS, Jozef L.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:16:y:1995:i:1:p:7-22.

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40
272006Financial 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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40
282005Bivariate 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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40
291999Analysis of a defective renewal equation arising in ruin theory. (1999). Willmot, Gordon E. ; Lin, Sheldon X.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:1:p:63-84.

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39
302006Affine 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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39
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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39
322001Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase. (2001). Dowd, Kevin ; Blake, David ; Cairns, Andrew J. G., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:2:p:187-215.

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38
332001On 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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37
342003Lee-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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37
351995Insurance pricing and increased limits ratemaking by proportional hazards transforms. (1995). Shaun, Wang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:17:y:1995:i:1:p:43-54.

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35
362004Optimal investment choices post-retirement in a defined contribution pension scheme. (2004). Vigna, Elena ; Gerrard, Russell . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:2:p:321-342.

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35
372004On ruin for the Erlang(n) risk process. (2004). Li, Shuanming ; Garrido, Jose . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:34:y:2004:i:3:p:391-408.

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35
381982Estimates 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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34
392002Optimal investment strategies and risk measures in defined contribution pension schemes. (2002). Vigna, Elena . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:35-69.

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33
402004Some new classes of consistent risk measures. (2004). Goovaerts, Marc ; Dhaene, Jan ; Tang, Qihe ; Kaas, Rob . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:34:y:2004:i:3:p:505-516.

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33
412011Mortality 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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33
421995Equity-linked life insurance: A model with stochastic interest rates. (1995). Sandmann, Klaus ; Nielsen, Aase J.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:16:y:1995:i:3:p:225-253.

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33
431999A synthesis of risk measures for capital adequacy. (1999). Wirch, Julia Lynn ; Hardy, Mary R.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:3:p:337-347.

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33
441999The safest dependence structure among risks. (1999). Dhaene, Jan ; Denuit, Michel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:1:p:11-21.

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32
452007Optimal 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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32
461997Reserving for maturity guarantees: Two approaches. (1997). Hardy, Mary R. ; Boyle, Phelim P.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:2:p:113-127.

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32
472003Optimal 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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32
482005Estimating 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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31
492006Risk measures via g-expectations. (2006). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:1:p:19-34.

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31
502004Survival models in a dynamic context: a survey. (2004). Pitacco, Ermanno . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:2:p:279-298.

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31

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

81
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

58
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.

Full description at Econpapers || Download paper

38
42011Variable annuities: A unifying valuation approach. (2011). Millossovich, Pietro ; Olivieri, Annamaria ; Pitacco, Ermanno ; Bacinello, Anna Rita . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:3:p:285-297.

Full description at Econpapers || Download paper

33
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

31
62006Financial valuation of guaranteed minimum withdrawal benefits. (2006). Milevsky, Moshe A. ; Salisbury, Thomas S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:21-38.

Full description at Econpapers || Download paper

30
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.

Full description at Econpapers || Download paper

29
82006A 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

25
91997Axiomatic 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

24
102005Affine processes for dynamic mortality and actuarial valuations. (2005). Biffis, Enrico. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:443-468.

Full description at Econpapers || Download paper

23
112000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. (2000). Jørgensen, Peter ; Grosen, Anders ; Jorgensen, Peter Lochte . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:26:y:2000:i:1:p:37-57.

Full description at Econpapers || Download paper

19
121996Valuation of the early-exercise price for options using simulations and nonparametric regression. (1996). Carriere, Jacques F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:19:y:1996:i:1:p:19-30.

Full description at Econpapers || Download paper

18
132006Risk measures via g-expectations. (2006). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:1:p:19-34.

Full description at Econpapers || Download paper

18
142011Mortality density forecasts: An analysis of six stochastic mortality models. (2011). Blake, David ; Cairns, Andrew J. G., ; Khalaf-Allah, Marwa ; Dowd, Kevin ; Coughlan, Guy D. ; Epstein, David . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:3:p:355-367.

Full description at Econpapers || Download paper

18
152006Valuation and hedging of life insurance liabilities with systematic mortality risk. (2006). Dahl, Mikkel ; Moller, Thomas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:2:p:193-217.

Full description at Econpapers || Download paper

17
162008The effect of modelling parameters on the value of GMWB guarantees. (2008). Vetzal, K. ; Chen, Z. ; Forsyth, P. A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:1:p:165-173.

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17
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.

Full description at Econpapers || Download paper

16
182011Optimal 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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16
191997Controlled diffusion models for optimal dividend pay-out. (1997). Taksar, Michael ; Asmussen, Soren . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:20:y:1997:i:1:p:1-15.

Full description at Econpapers || Download paper

16
202009On stochastic mortality modeling. (2009). Plat, Richard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:45:y:2009:i:3:p:393-404.

Full description at Econpapers || Download paper

16
212005Estimating the tail-dependence coefficient: Properties and pitfalls. (2005). Frahm, Gabriel ; Schmidt, Rafael ; Junker, Markus. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:1:p:80-100.

Full description at Econpapers || Download paper

15
222003Rational hedging and valuation of integrated risks under constant absolute risk aversion. (2003). Becherer, Dirk . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:1:p:1-28.

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15
232001Mortality derivatives and the option to annuitise. (2001). Promislow, David S. ; Milevsky, Moshe A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:3:p:299-318.

Full description at Econpapers || Download paper

15
242011Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives. (2011). Ngai, Andrew ; Sherris, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:1:p:100-114.

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14
252004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts. (2004). Dahl, Mikkel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:1:p:113-136.

Full description at Econpapers || Download paper

14
262008Optimal 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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14
272003Lee-Carter mortality forecasting with age-specific enhancement. (2003). Renshaw, A. E. ; Haberman, S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:2:p:255-272.

Full description at Econpapers || Download paper

13
282008Coherent risk measures, coherent capital allocations and the gradient allocation principle. (2008). Buch, A. ; Dorfleitner, G.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:1:p:235-242.

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13
292007Optimal dividends in the dual model. (2007). Avanzi, Benjamin ; S. W. Shiu, Elias, ; Gerber, Hans U.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:41:y:2007:i:1:p:111-123.

Full description at Econpapers || Download paper

13
302014Risk 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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13
311999Optimal insurance under Wangs premium principle. (1999). Young, Virginia R.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:2:p:109-122.

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12
322003Optimal 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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12
332012Optimal 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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12
341985On 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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12
352006Risk-neutral valuation of participating life insurance contracts. (2006). Kling, Alexander ; Kiesel, Rudiger ; Russ, Jochen ; Bauer, Daniel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:2:p:171-183.

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12
362005Fair valuation of participating policies with surrender options and regime switching. (2005). Siu, Tak Kuen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:533-552.

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11
372012Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. (2012). Zeng, Yan ; Li, Zhongfei ; Lai, Yongzeng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:1:p:191-203.

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11
382013Optimal reinsurance with general premium principles. (2013). Chi, Yichun ; Tan, Ken Seng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:52:y:2013:i:2:p:180-189.

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392001Optimal 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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402013Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps. (2013). Zeng, Yan ; Li, Zhongfei ; Lai, Yongzeng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:52:y:2013:i:3:p:498-507.

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412014Generalized quantiles as risk measures. (2014). Müller, Alfred ; Muller, Alfred ; Bellini, Fabio ; 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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11
422007Minimizing the probability of lifetime ruin under borrowing constraints. (2007). Bayraktar, Erhan ; Young, Virginia R.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:41:y:2007:i:1:p:196-221.

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432013Pricing and securitization of multi-country longevity risk with mortality dependence. (2013). Wang, Chou-Wen ; Yang, Sharon S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:52:y:2013:i:2:p:157-169.

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10
442010Optimizing the equity-bond-annuity portfolio in retirement: The impact of uncertain health expenses. (2010). Pang, Gaobo ; Warshawsky, Mark . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:46:y:2010:i:1:p:198-209.

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452005Bayesian Poisson log-bilinear mortality projections. (2005). Delwarde, Antoine ; Denuit, Michel ; Czado, Claudia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:36:y:2005:i:3:p:260-284.

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462011Explicit 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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472008Stochastic optimal control of DC pension funds. (2008). Gao, Jianwei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:3:p:1159-1164.

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10
481998Comonotonicity, 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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492010Constant elasticity of variance model for proportional reinsurance and investment strategies. (2010). Gu, Mengdi ; Yang, Yipeng ; Li, Shoude . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:46:y:2010:i:3:p:580-587.

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10
502008Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. (2008). Bai, Lihua . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:3:p:968-975.

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Citing documents used to compute impact factor 162:

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2015Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives. (2015). Fung, Man Chung ; Sherris, Michael ; Ignatieva, Katja . In: Papers. RePEc:arx:papers:1508.00090.

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2015On rational pricing for a profit-seeking insurer in the year of hard market. (2015). Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:107-117.

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2015Business planning for a profit-seeking insurer under deficiency of information. (2015). Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:215-226.

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2015Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior. (2015). Dhaene, Jan ; Jing, Xiaochen ; Feng, Runhuan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150008.

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2015Tail Mutual Exclusivity and Tail-Var Lower Bounds. (2015). Dhaene, Jan ; Denuit, Michel ; Cheung, Ka Chun . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150024.

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2015Negative Dependence Concept in Copulas and the Marginal Free Herd Behavior Index. (2015). Ahn, Jae Youn . In: Papers. RePEc:arx:papers:1503.03180.

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2015Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2015). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:47-60.

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2015Using R In Generalized Linear Models. (2015). COVRIG, Mihaela ; Tindeche, Alexandru ; Coser, Alexandru ; Zbaganu, Gheorghita ; Mircea, Iulian . In: Romanian Statistical Review. RePEc:rsr:journl:v:63:y:2015:i:3:p:33-45.

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2015Water and irrigation policy impact assessment using business simulation games: Evidence from northern Germany. (2015). Musshoff, Oliver ; Holst, Gesa ; Buchholz, Matthias . In: DARE Discussion Papers. RePEc:zbw:daredp:1505.

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2015Beyond Conventional Wage Discrimination Analysis: Assessing Comprehensive Wage Distributions of Males and Females Using Structured Additive Distributional Regression. (2015). Sohn, Alexander . In: SOEPpapers on Multidisciplinary Panel Data Research. RePEc:diw:diwsop:diw_sp802.

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2015Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk. (2015). Li, Danping ; Zhao, Hui ; Rong, Ximin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:28-44.

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2015Time-consistent reinsurance and investment strategies for mean–variance insurer under partial information. (2015). Liang, Zongxia ; Song, Min . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:66-76.

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2015Dynamic mean–variance portfolio selection with liability and stochastic interest rate. (2015). Chang, Hao . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:172-182.

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2015Optimal reinsurance and investment problem for an insurer with counterparty risk. (2015). Deng, Chao ; Yue, Shengjie ; Zhu, Huiming . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:242-254.

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2015Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process. (2015). Zeng, Yan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:118-137.

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2015The time of deducting fees for variable annuities under the state-dependent fee structure. (2015). Zhou, Jiang ; Wu, Lan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:125-134.

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2015Valuing equity-linked death benefits with a threshold expense strategy. (2015). Zhou, Jiang ; Wu, Lan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:79-90.

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2015The effect of objective formulation on retirement decision making. (2015). Khemka, Gaurav . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:385-395.

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2015Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk. (2015). Wu, Huiling ; Zeng, Yan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:396-408.

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2015Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits. (2015). Mitchell, Olivia ; Steinorth, Petra . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:246-258.

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2015Optimal 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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2015Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks. (2015). Cai, Jun ; Wei, Wei . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:138:y:2015:i:c:p:156-169.

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2015Stochastic comparisons of weighted sums of arrangement increasing random variables. (2015). Pan, Xiaoqing ; Kochar, Subhash C. ; Yuan, Min . In: Statistics & Probability Letters. RePEc:eee:stapro:v:102:y:2015:i:c:p:42-50.

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2015The bounds of premium and optimality of stop loss insurance under uncertain random environments. (2015). Liu, Ying . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:273-278.

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2015Nonparametric prediction of stock returns based on yearly data: The long-term view. (2015). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:143-155.

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2015Asymptotic results for conditional measures of association of a random sum. (2015). Asimit, Alexandru V. ; Chen, Yiqing . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:11-18.

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2015Estimación del riesgo mediante el ajuste de cópulas. (2015). Guillen, Montserrat ; Padilla, Alemar ; Bolance, Catalina . In: Working Papers. RePEc:bak:wpaper:201501.

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2015On the forward rate concept in multi-state life insurance. (2015). Niemeyer, Andreas ; Christiansen, Marcus . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:2:p:295-327.

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2015Life Insurance Cash Flows with Policyholder Behavior. (2015). Buchardt, Kristian ; Moller, Thomas . In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:3:p:290-317:d:53175.

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2015Minimal representation of insurance prices. (2015). Pichler, Alois ; Shapiro, Alexander . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:184-193.

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2015Optimality of doubly reflected Lévy processes in singular control. (2015). Baurdoux, Erik J ; Yamazaki, Kazutoshi . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:61617.

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2015Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets. (2015). Linders, Daniël ; Dhaene, Jan ; Daniël Linders, ; Schoutens, Wim . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150002.

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2015Reducing model risk via positive and negative dependence assumptions. (2015). Puccetti, Giovanni ; Bignozzi, Valeria ; Ruschendorf, Ludger . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:17-26.

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2015Studying mixability with supermodular aggregating functions. (2015). Puccetti, Giovanni ; Bignozzi, Valeria . In: Statistics & Probability Letters. RePEc:eee:stapro:v:100:y:2015:i:c:p:48-55.

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2015On aggregation sets and lower-convex sets. (2015). Wang, Ruodu ; Mao, Tiantian . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:138:y:2015:i:c:p:170-181.

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2015A directional multivariate value at risk. (2015). Torres, Raul ; Laniado, Henry ; Lillo, Rosa E. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:111-123.

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2015A new approach to assessing model risk in high dimensions. (2015). Bernard, Carole ; Vanduffel, Steven . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:58:y:2015:i:c:p:166-178.

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2015Some ruin problems for the MAP risk model. (2015). Li, Jingchao ; David, . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:1-8.

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2015On multivariate extensions of the conditional Value-at-Risk measure. (2015). Di Bernardino, E. ; Rodriguez-Griolo, M. R. ; Fernandez-Ponce, J. M. ; Palacios-Rodriguez, F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:1-16.

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2015Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011. (2015). Sutcliffe, Charles. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2015-05.

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2015Longevity bond pricing under the threshold CIR model. (2015). Dong, Fangyuan ; Wong, Hoi Ying . In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:195-207.

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

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2015Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform. (2015). Hao, Xuemiao ; Li, Xuan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:103-110.

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2015Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk. (2015). Ratovomirija, Gildas . In: Papers. RePEc:arx:papers:1501.07297.

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2015Dynamic portfolio selection with mispricing and model ambiguity. (2015). Law, Baron ; Li, Zhongfei ; Viens, Frederi ; Yi, Bo. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:37-75.

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2015Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model. (2015). , Chunxiang ; Li, Zhongfei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:181-196.

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2015Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process. (2015). Zeng, Yan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:118-137.

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2015Robust investment–reinsurance optimization with multiscale stochastic volatility. (2015). Pun, Chi Seng ; Wong, Hoi Ying . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:245-256.

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2015Valuation of large variable annuity portfolios under nested simulation: A functional data approach. (2015). Gan, Guojun ; Lin, Sheldon X.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:138-150.

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2015Optimal proportional reinsurance with common shock dependence. (2015). Zhou, Ming ; Liang, Zhibin ; Yuen, Kam Chuen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:1-13.

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2015Optimal debt ratio and dividend payment strategies with reinsurance. (2015). Jin, Zhuo ; Yin, G ; Yang, Hailiang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:351-363.

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2015Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives. (2015). Fung, Man Chung ; Sherris, Michael ; Ignatieva, Katja . In: Papers. RePEc:arx:papers:1508.00090.

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

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2015Analysis of a drawdown-based regime-switching Lévy insurance model. (2015). Li, Bin ; Landriault, David . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:98-107.

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2015A multivariate Tweedie lifetime model: Censoring and truncation. (2015). Alai, Daniel H ; Sherris, Michael ; Landsman, Zinoviy . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:203-213.

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2015Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk. (2015). Wu, Huiling ; Zeng, Yan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:396-408.

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2015Optimal dynamic asset allocation of pension fund in mortality and salary risks framework. (2015). Liang, Zongxia ; Ma, Ming . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:151-161.

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2015Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims. (2015). He, Lin ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:227-234.

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2015Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns. (2015). Guan, Guohui ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:99-109.

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2015Nash equilibrium strategies for a defined contribution pension management. (2015). Wu, Huiling ; Chen, Hua . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:202-214.

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2015Personal Pensions with Risk sharing: Affordable, Adequate and Stable Private Pensions in Europe. (2015). Bovenberg, Lans A ; Nijman, Theo E. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10538.

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2015Reverse 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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2015Dependent 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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2015Tail negative dependence and its applications for aggregate loss modeling. (2015). Hua, Lei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:135-145.

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2015Bayesian total loss estimation using shared random effects. (2015). Baumgartner, Carolin ; Czado, Claudia ; Gruber, Lutz F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:194-201.

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2015Extreme negative dependence and risk aggregation. (2015). Wang, Bin . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:136:y:2015:i:c:p:12-25.

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2015Reducing model risk via positive and negative dependence assumptions. (2015). Puccetti, Giovanni ; Bignozzi, Valeria ; Ruschendorf, Ludger . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:17-26.

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2015Studying mixability with supermodular aggregating functions. (2015). Puccetti, Giovanni ; Bignozzi, Valeria . In: Statistics & Probability Letters. RePEc:eee:stapro:v:100:y:2015:i:c:p:48-55.

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2015On aggregation sets and lower-convex sets. (2015). Wang, Ruodu ; Mao, Tiantian . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:138:y:2015:i:c:p:170-181.

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2015Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Wang, Ruodu ; Embrechts, Paul . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:763-790.

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2015A new approach to assessing model risk in high dimensions. (2015). Bernard, Carole ; Vanduffel, Steven . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:58:y:2015:i:c:p:166-178.

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2015Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets. (2015). Linders, Daniël ; Dhaene, Jan ; Daniël Linders, ; Schoutens, Wim . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150002.

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2015Age-specific copula-AR-GARCH mortality models. (2015). Tsai, Cary Chi-Liang ; Lin, Tzuling ; Wang, Chou-Wen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:110-124.

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2015Forecasting mortality in subpopulations using Lee–Carter type models: A comparison. (2015). Danesi, Ivan Luciano ; Millossovich, Pietro . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:151-161.

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2015Modelling longevity bonds: Analysing the Swiss Re Kortis bond. (2015). Blake, David ; Hunt, Andrew . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:63:y:2015:i:c:p:12-29.

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2015Taylors power law in human mortality. (2015). Bohk, Christina ; Cohen, Joel E ; Rau, Roland . In: Demographic Research. RePEc:dem:demres:v:33:y:2015:i:21.

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2015A reinsurance game between two insurance companies with nonlinear risk processes. (2015). Meng, Hui ; Jin, Zhuo ; Li, Shuanming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:91-97.

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2015Safety Margins for Systematic Biometric and Financial Risk in a Semi-Markov Life Insurance Framework. (2015). Niemeyer, Andreas . In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:1:p:35-60:d:44878.

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2015Tail Mutual Exclusivity and Tail-Var Lower Bounds. (2015). Dhaene, Jan ; Denuit, Michel ; Cheung, Ka Chun . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150024.

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2015On the Joint Analysis of the Total Discounted Payments to Policyholders and Shareholders: Dividend Barrier Strategy. (2015). , Eric ; Woo, Jae-Kyung ; Liu, Haibo . In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:491-514:d:58578.

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2015Some ruin problems for the MAP risk model. (2015). Li, Jingchao ; David, . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:1-8.

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2015A risk model with varying premiums: Its risk management implications. (2015). Lemieux, Christiane ; Li, Shu ; Landriault, David . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:38-46.

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2015On some risk measures. (2015). Boczek, Micha . In: Collegium of Economic Analysis Annals. RePEc:sgh:annals:i:37:y:2015:p:323-338.

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2015On the effectiveness of natural hedging for insurance companies and pension plans. (2015). Li, Jackie . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:286-297.

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2015A step-by-step guide to building two-population stochastic mortality models. (2015). Li, Johnny Siu-Hang ; Hardy, Mary ; Zhou, Rui . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:63:y:2015:i:c:p:121-134.

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2015Multi-population mortality models: A factor copula approach. (2015). Chen, Hua ; Sun, Tao ; MacMinn, Richard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:63:y:2015:i:c:p:135-146.

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2015Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach. (2015). Wang, Chou-Wen ; Huang, Hong-Chih ; Yang, Sharon S. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:63:y:2015:i:c:p:30-39.

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2015Univariate conditioning of vine copulas. (2015). Jaworski, Piotr . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:138:y:2015:i:c:p:89-103.

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2015Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio. (2015). Bruneau, Catherine ; Peng, Zhun ; Flageollet, Alexis . In: Documents de recherche. RePEc:eve:wpaper:15-03.

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2015Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios. (2015). Nguyen, Duc Khuong ; Bekiros, Stelios ; Hammoudeh, Shawkat ; Hernandez, Jose Arreola . In: Resources Policy. RePEc:eee:jrpoli:v:46:y:2015:i:p2:p:1-11.

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2015Assessing the solvency of insurance portfolios via a continuous-time cohort model. (2015). Regis, Luca ; Jevti, Petar . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:36-47.

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2015Optimal reinsurance and investment problem for an insurer with counterparty risk. (2015). Deng, Chao ; Yue, Shengjie ; Zhu, Huiming . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:242-254.

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2015On rational pricing for a profit-seeking insurer in the year of hard market. (2015). Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:107-117.

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2015Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior. (2015). Dhaene, Jan ; Jing, Xiaochen ; Feng, Runhuan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150008.

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2015Fourier-cosine method for Gerber–Shiu functions. (2015). Yang, H. ; Yam, S. C. P., ; Chau, K. W.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:170-180.

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2015Dynamic mean–variance portfolio selection with liability and stochastic interest rate. (2015). Chang, Hao . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:172-182.

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2015Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk. (2015). Li, Danping ; Zhao, Hui ; Rong, Ximin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:28-44.

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2015Time-consistent investment strategy under partial information. (2015). Li, Yongwu ; Wang, Shouyang ; Qiao, Han . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:187-197.

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2015Time-consistent reinsurance and investment strategies for mean–variance insurer under partial information. (2015). Liang, Zongxia ; Song, Min . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:66-76.

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2015A utility- and CPT-based comparison of life insurance contracts with guarantees. (2015). Chen, AN ; Klein, Jakob K ; Hentschel, Felix . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:61:y:2015:i:c:p:327-339.

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

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2015Asymptotic results for conditional measures of association of a random sum. (2015). Asimit, Alexandru V. ; Chen, Yiqing . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:11-18.

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2015Comparative ambiguity aversion and downside ambiguity aversion. (2015). Huang, Yi-Chieh ; Zhao, Lin ; Tzeng, Larry Y.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:257-269.

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2015Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. (2015). Gerber, Hans U ; Yang, Hailiang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:313-325.

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2015The time of deducting fees for variable annuities under the state-dependent fee structure. (2015). Zhou, Jiang ; Wu, Lan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:125-134.

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2015Valuing equity-linked death benefits with a threshold expense strategy. (2015). Zhou, Jiang ; Wu, Lan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:79-90.

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2015Mortality Risk Minimisation and Optional Martingale Representation Theorem for Enlarged Filtration. (2015). Choulli, Tahir ; Vanmaele, Michele ; Daveloose, Catherine . In: Papers. RePEc:arx:papers:1510.05858.

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2015Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching. (2015). Chen, Hua ; Wu, Huiling . In: Economic Modelling. RePEc:eee:ecmode:v:46:y:2015:i:c:p:79-90.

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2015Pricing annuity guarantees under a double regime-switching model. (2015). Siu, Tak Kuen ; Fan, Kun ; Wang, Rongming . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:62-78.

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2015Convex ordering for insurance preferences. (2015). Cheung, K C ; Chong, W F. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:409-416.

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2015Optimal 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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2015Optimal retention for a stop-loss reinsurance with incomplete information. (2015). HU, Xiang ; Zhang, Lianzeng ; Yang, Hailiang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:15-21.

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2015Estimation of multivariate critical layers: Applications to rainfall data. (2015). Rulliere, Didier ; di Bernardino, Elena . In: Post-Print. RePEc:hal:journl:hal-00940089.

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2015On an asymmetric extension of multivariate Archimedean copulas. (2015). Rulliere, Didier ; di Bernardino, Elena . In: Working Papers. RePEc:hal:wpaper:hal-01147778.

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2015A modified insurance risk process with uncertainty. (2015). Yao, Kai ; Qin, Zhongfeng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:227-233.

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2015New fuzzy insurance pricing method for giga-investment project insurance. (2015). Luukka, Pasi ; Collan, Mikael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:22-29.

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2015Limit theorems for discrete Hawkes processes. (2015). Seol, Youngsoo . In: Statistics & Probability Letters. RePEc:eee:stapro:v:99:y:2015:i:c:p:223-229.

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2015On the Hawkes Process with Different Exciting Functions. (2015). Mehrdad, Behzad ; Zhu, Lingjiong . In: Papers. RePEc:arx:papers:1403.0994.

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2015A State-Dependent Dual Risk Model. (2015). Zhu, Lingjiong . In: Papers. RePEc:arx:papers:1510.03920.

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2015A risk model with renewal shot-noise Cox process. (2015). Jang, Jiwook ; Zhao, Hongbiao . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:55-65.

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2015Risk concentration based on Expectiles for extreme risks under FGM copula. (2015). Mao, Tiantian ; Yang, Fan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:429-439.

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2015Ruin with insurance and financial risks following the least risky FGM dependence structure. (2015). Chen, Yiqing ; Liu, Fei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:98-106.

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2015Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns. (2015). Qin, Zhongfeng . In: European Journal of Operational Research. RePEc:eee:ejores:v:245:y:2015:i:2:p:480-488.

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2015On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps. (2015). , Jeff . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:280-290.

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2015Occupation times in the MAP risk model. (2015). Landriault, David ; Shi, Tianxiang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:75-82.

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

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2015Optimal non-life reinsurance under Solvency II Regime. (2015). Chi, Yichun ; Hu, Junlei ; Asimit, Alexandru V. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:227-237.

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2015Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks. (2015). Dai, Tian-Shyr ; Liu, Liang-Chih ; Yang, Sharon S. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:364-379.

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2015Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits. (2015). Mitchell, Olivia ; Steinorth, Petra . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:246-258.

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2015Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model. (2015). Doko Tchatoka, Firmin ; Sriananthakumar, Sivagowry ; Tchakota, Firmin Doko ; Fard, Farzad Alavi . In: School of Economics Working Papers. RePEc:adl:wpaper:2015-17.

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2015Optimal risk allocation in a market with non-convex preferences. (2015). Assa, Hirbod . In: Papers. RePEc:arx:papers:1503.04460.

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2015On optimal reinsurance policy with distortion risk measures and premiums. (2015). Assa, Hirbod . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:70-75.

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2015The investment management for a downside-protected equity-linked annuity under interest rate risk. (2015). Han, Nan-wei ; Hung, Mao-Wei . In: Finance Research Letters. RePEc:eee:finlet:v:13:y:2015:i:c:p:113-124.

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2015Prospective mortality tables: Taking heterogeneity into account. (2015). PLANCHET, Frédéric ; Tomas, Julien . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:63:y:2015:i:c:p:169-190.

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2015Optimal financing and dividend distribution in a general diffusion model with regime switching. (2015). Zhu, Jinxia ; Yang, Hailiang . In: Papers. RePEc:arx:papers:1506.08360.

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2015Optimal Dividend Policy When Cash Surplus Follows Telegraph Process. (2015). Radionov, Stanislav ; Pospelov, Igor G. In: HSE Working papers. RePEc:hig:wpaper:48/fe/2015.

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2015A multi-period fuzzy portfolio optimization model with minimum transaction lots. (2015). Zhang, Wei-Guo ; Liu, Yong-Jun . In: European Journal of Operational Research. RePEc:eee:ejores:v:242:y:2015:i:3:p:933-941.

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2015Estimación del riesgo mediante el ajuste de cópulas. (2015). Guillen, Montserrat ; Padilla, Alemar ; Bolance, Catalina . In: Working Papers. RePEc:bak:wpaper:201501.

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2015On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes. (2015). Jørgensen, Peter ; Bohnert, Alexander ; Gatzert, Nadine . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:83-97.

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2015Optimal rebalance rules for the constant proportion portfolio insurance strategy – Evidence from China. (2015). Zhang, Tao ; Gu, Feng ; Zhou, Hongfeng . In: Economic Systems. RePEc:eee:ecosys:v:39:y:2015:i:3:p:413-422.

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2015Modeling trends in cohort survival probabilities. (2015). Hatzopoulos, P ; Haberman, S. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:162-179.

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2015In-sample forecasting applied to reserving and mesothelioma mortality. (2015). Mammen, Enno ; Martinez Miranda, Maria Dolores, ; Nielsen, Jens Perch . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:76-86.

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2015Minimal representation of insurance prices. (2015). Pichler, Alois ; Shapiro, Alexander . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:184-193.

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2015Discrete Schur-constant models. (2015). Loisel, Stéphane ; Castañer, Anna ; Lefevre, C ; Claramunt, M M ; Castaer, A. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:140:y:2015:i:c:p:343-362.

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2015Optimal risk allocation in a market with non-convex preferences. (2015). Assa, Hirbod . In: Papers. RePEc:arx:papers:1503.04460.

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2015SMC-ABC methods for the estimation of stochastic simulation models of the limit order book. (2015). Panayi, Efstathios ; Peters, Gareth W. ; Septier, Francois . In: Papers. RePEc:arx:papers:1504.05806.

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

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

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2015Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption. (2015). Bayraktar, Erhan ; Young, Virginia R ; Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1508.01914.

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

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2015Valuing commodity options and futures options with changing economic conditions. (2015). Siu, Tak Kuen ; Fan, Kun ; Wang, Rongming . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:524-533.

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2015Minimizing the expected lifetime spent in drawdown under proportional consumption. (2015). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R. In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:106-114.

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2015On rational pricing for a profit-seeking insurer in the year of hard market. (2015). Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:107-117.

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2015Business planning for a profit-seeking insurer under deficiency of information. (2015). Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:215-226.

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2015A bivariate risk model with mutual deficit coverage. (2015). Ivanovs, Jevgenijs ; Boxma, Onno . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:126-134.

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2015Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk. (2015). Li, Danping ; Zhao, Hui ; Rong, Ximin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:28-44.

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2015Maxentropic approach to decompound aggregate risk losses. (2015). Gzyl, Henryk ; Gomes-Gonalves, Erika ; Mayoral, Silvia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:326-336.

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2015On the convex transform and right-spread orders of smallest claim amounts. (2015). Barmalzan, Ghobad . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:380-384.

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2015Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk. (2015). Wu, Huiling ; Zeng, Yan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:396-408.

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2015Convex ordering for insurance preferences. (2015). Cheung, K C ; Chong, W F. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:409-416.

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2015Comparisons on aggregate risks from two sets of heterogeneous portfolios. (2015). Zhang, Yiying ; Zhao, Peng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:124-135.

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2015Higher order tail densities of copulas and hidden regular variation. (2015). Li, Haijun ; Hua, Lei . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:138:y:2015:i:c:p:143-155.

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2015Ambiguity on the insurer’s side: The demand for insurance. (2015). Phelps, Edmund ; Ghossoub, Mario ; amarante, massimiliano. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:58:y:2015:i:c:p:61-78.

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2015A correction term for the covariance of renewal-reward processes with multivariate rewards. (2015). Patch, Brendan ; Taimre, Thomas ; Nazarathy, Yoni . In: Statistics & Probability Letters. RePEc:eee:stapro:v:102:y:2015:i:c:p:1-7.

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2015Occupation times of refracted double exponential jump diffusion processes. (2015). Zhou, Jiang ; Wu, Lan . In: Statistics & Probability Letters. RePEc:eee:stapro:v:106:y:2015:i:c:p:218-227.

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2015Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars . In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385.

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2015Sustainable Street Lighting Design Supported by Hypergraph-Based Computational Model. (2015). Sedziwy, Adam . In: Sustainability. RePEc:gam:jsusta:v:8:y:2015:i:1:p:13-:d:61509.

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2015Sustainable Street Lighting Design Supported by Hypergraph-Based Computational Model. (2015). Sedziwy, Adam . In: Sustainability. RePEc:gam:jsusta:v:8:y:2015:i:1:p:13:d:61509.

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

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

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

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

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Recent citations received in 2014
YearCiting document
2014Capital adequacy tests and limited liability of financial institutions. (2014). Munari, Cosimo ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo . In: Papers. RePEc:arx:papers:1401.3133.

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2014Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs. (2014). Yin, Chuancun ; Yuen, Kam Chuen . In: Papers. RePEc:arx:papers:1409.0407.

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

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2014Characterizing mutual exclusivity as the strongest negative multivariate dependence structure. (2014). Lo, Ambrose ; Cheung, Ka Chun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:180-190.

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

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2014Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk. (2014). Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:301-309.

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2014Annual intrinsic value of a company in a competitive insurance market. (2014). Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:310-318.

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2014Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach. (2014). Huang, H. ; Salisbury, T. S. ; Milevsky, M. A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:56:y:2014:i:c:p:102-111.

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2014On the multidimensional extension of countermonotonicity and its applications. (2014). Ahn, Jae Youn ; Lee, Woojoo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:56:y:2014:i:c:p:68-79.

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2014GlueVaR risk measures in capital allocation applications. (2014). Guillen, Montserrat ; Belles-Sampera, Jaume ; Santolino, Miguel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:132-137.

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2014Pricing and hedging of variable annuities with state-dependent fees. (2014). Delong, Ukasz . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:24-33.

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2014Optimal investment and risk control policies for an insurer: Expected utility maximization. (2014). Cadenillas, Abel ; Zou, Bin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:57-67.

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2014Price of anarchy for non-atomic congestion games with stochastic demands. (2014). Chen, BO ; Doan, Xuan Vinh ; Wang, Chenlan . In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:70:y:2014:i:c:p:90-111.

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2014Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk. (2014). Malinovskii, Vsevolod K.. In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:3:p:249-259:d:37899.

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2014Forecasting Generalized Quantiles of Electricity Demand: A Functional Data Approach. (2014). Schulz, Franziska ; López Cabrera, Brenda. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-030.

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2014Assessing the solvency of insurance portfolios via a continuous time cohort model. (2014). Regis, Luca ; Jevtic, Petar . In: Working Papers. RePEc:ial:wpaper:7/2014.

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2014A Hybrid Model for Pricing and Hedging of Long Dated Bonds. (2014). Platen, Eckhard ; Baldeaux, Jan ; Fung, Man Chung ; Ignatieva, Katja . In: Research Paper Series. RePEc:uts:rpaper:343.

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Recent citations received in 2013
YearCiting document
2013Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk. (2013). Regis, Luca ; luciano, elisa. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:308.

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2013Robust goal programming for multi-objective portfolio selection problem. (2013). Ghahtarani, Alireza ; Najafi, Amir Abbas . In: Economic Modelling. RePEc:eee:ecmode:v:33:y:2013:i:c:p:588-592.

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2013Optimal reinsurance subject to Vajda condition. (2013). Chi, Yichun ; Weng, Chengguo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:1:p:179-189.

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2013Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion. (2013). Li, Yongwu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:1:p:86-97.

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2013Rationale of underwriters’ pricing conduct on competitive insurance market. (2013). Malinovskii, Vsevolod K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:2:p:325-333.

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2013On the mortality/longevity risk hedging with mortality immunization. (2013). Tsai, Cary Chi-Liang ; Lin, Tzuling . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:580-596.

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2013Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework. (2013). He, Lin ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:643-649.

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2013Optimal reinsurance in the presence of counterparty default risk. (2013). Badescu, Alexandru M. ; Cheung, Ka Chun ; Asimit, Alexandru V.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:690-697.

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2013Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution. (2013). Rassoul, Abdelaziz . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:698-703.

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2013Fuzzy portfolio optimization model under real constraints. (2013). Zhang, Wei-Guo ; Liu, Yong-Jun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:704-711.

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2013Optimal dividend problem with a terminal value for spectrally positive Lévy processes. (2013). Yin, Chuancun ; Wen, Yuzhen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:769-773.

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2013Application 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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2013Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model. (2013). Yao, Haixiang ; Yang, Zhou ; Chen, Ping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:851-863.

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2013General lower bounds on convex functionals of aggregate sums. (2013). Lo, Ambrose ; Cheung, Ka Chun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:884-896.

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2013Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity. (2013). Durante, Fabrizio ; Sempi, Carlo ; Sanchez, Juan Fernandez . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:897-905.

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2013Optimal Reinsurance: A Risk Sharing Approach. (2013). Balbas, Alejandro . In: Risks. RePEc:gam:jrisks:v:1:y:2013:i:2:p:45-56:d:27724.

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2013A Risk Model with an Observer in a Markov Environment. (2013). Albrecher, Hansjorg ; Ivanovs, Jevgenijs . In: Risks. RePEc:gam:jrisks:v:1:y:2013:i:3:p:148-161:d:30342.

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2013On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators. (2013). Rulliere, Didier ; di Bernardino, Elena . In: Post-Print. RePEc:hal:journl:hal-00834000.

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2013On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators. (2013). Rulliere, Didier ; di Bernardino, Elena . In: Working Papers. RePEc:hal:wpaper:hal-00834000.

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2013“Indicators for the characterization of discrete Choquet integrals”. (2013). Merigó, José M. ; Guillen, Montserrat ; Santolino, Miguel ; Merigo, Jose M. ; Belles-Sampera, Jaume . In: IREA Working Papers. RePEc:ira:wpaper:201311.

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2013Iteracyjność składek ubezpieczeniowych w ujęciu teorii skumulowanej perspektywy i teorii nieokreśloności. (2013). Kauszka, Marek ; Krzeszowiec, Micha . In: Collegium of Economic Analysis Annals. RePEc:sgh:annals:i:31:y:2013:p:45-56.

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2013Linear–Quadratic Time-Inconsistent Mean Field Games. (2013). Bensoussan, A. ; Yam, S. ; Sung, K.. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:3:y:2013:i:4:p:537-552.

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2013An Analysis of Black-box Optimization Problems in Reinsurance: Evolutionary-based Approaches. (2013). Castañer, Anna ; Castaer, Anna ; Salcedo-Sanz, Sancho ; Claramunt, Merce ; Marmol, Maite ; Carro-Calvo, L.. In: Working Papers. RePEc:xrp:wpaper:xreap2013-04.

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Recent citations received in 2012
YearCiting document
2012Risk minimizing of derivatives via dynamic g-expectation and related topics. (2012). Wang, Tianxiao . In: Papers. RePEc:arx:papers:1208.2068.

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2012Smooth Nonparametric Bernstein Vine Copulas. (2012). Weiss, Gregor ; Scheffer, Marcus . In: Papers. RePEc:arx:papers:1210.2043.

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2012Solvency assessment within the ORSA framework: issues and quantitative methodologies. (2012). Vedani, Julien ; Devineau, Laurent . In: Papers. RePEc:arx:papers:1210.6000.

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2012On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures. (2012). Linders, Daniël ; Goovaerts, Marc ; Van Weert, Koen ; Tank, Fatih . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:1:p:10-18.

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2012Haezendonck–Goovaerts risk measures and Orlicz quantiles. (2012). Gianin, Emanuela Rosazza ; Bellini, Fabio ; RosazzaGianin, Emanuela . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:1:p:107-114.

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2012On the Lp-metric between a probability distribution and its distortion. (2012). Suarez-Llorens, Alfonso ; Lopez-Diaz, Miguel ; Sordo, Miguel A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:2:p:257-264.

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2012Optimal reinsurance under variance related premium principles. (2012). Chi, Yichun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:2:p:310-321.

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2012Second-order properties of the Haezendonck–Goovaerts risk measure for extreme risks. (2012). Hu, Taizhong ; Mao, Tiantian . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:2:p:333-343.

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2012Maximizing the utility of consumption with commutable life annuities. (2012). Wang, Ting ; Young, Virginia R.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:2:p:352-369.

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2012A note on weighted premium calculation principles. (2012). Laeven, Roger ; Okolewski, A. ; Kaluszka, M. ; Laeven, R. J. A., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:2:p:379-381.

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2012Optimal insurance under multiple sources of risk with positive dependence. (2012). Zhang, JianYu ; Lu, ZhiYi ; Meng, LiLi ; Liu, LePing . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:2:p:462-471.

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2012Skew mixture models for loss distributions: A Bayesian approach. (2012). Maruotti, Antonello ; Bernardi, Mauro ; Petrella, Lea . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:3:p:617-623.

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2012Quantifying credit and market risk under Solvency II: Standard approach versus internal model. (2012). Martin, Michael ; Gatzert, Nadine . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:3:p:649-666.

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2012Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. (2012). Gu, Ailing ; Li, Zhongfei ; Zeng, Yan ; Guo, Xianping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:3:p:674-684.

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2012Isotonicity properties of generalized quantiles. (2012). Bellini, Fabio . In: Statistics & Probability Letters. RePEc:eee:stapro:v:82:y:2012:i:11:p:2017-2024.

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2012Sequential maximum likelihood estimation for reflected generalized Ornstein–Uhlenbeck processes. (2012). YANG, Xuewei ; Bo, Lijun. In: Statistics & Probability Letters. RePEc:eee:stapro:v:82:y:2012:i:7:p:1374-1382.

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2012Solvency assessment within the ORSA framework: issues and quantitative methodologies. (2012). Vedani, Julien ; Devineau, Laurent . In: Working Papers. RePEc:hal:wpaper:hal-00744351.

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2012Dominances on fuzzy variables based on credibility measure. (2012). SADEFO KAMDEM, Jules ; Tassak, Christian ; Fono, Louis Aime . In: Working Papers. RePEc:hal:wpaper:hal-00796215.

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2012Single and cross-generation natural hedging of longevity and financial risk. (2012). Regis, Luca ; luciano, elisa ; Vigna, Elena . In: ICER Working Papers. RePEc:icr:wpicer:04-2012.

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2012Demographic risk transfer: is it worth for annuity providers?. (2012). Regis, Luca ; luciano, elisa. In: ICER Working Papers. RePEc:icr:wpicer:11-2012.

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2012The connection between distortion risk measures and ordered weighted averaging operators. (2012). Merigó, José M. ; Guillen, Montserrat ; Belles-Sampera, Jaume ; Santolino, Miguel ; Merigo, Jose M.. In: IREA Working Papers. RePEc:ira:wpaper:201201.

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2012Skew mixture models for loss distributions: a Bayesian approach. (2012). Maruotti, Antonello ; Bernardi, Mauro ; Lea, Petrella . In: MPRA Paper. RePEc:pra:mprapa:39826.

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2012Risk measures for Skew Normal mixtures. (2012). Bernardi, Mauro. In: MPRA Paper. RePEc:pra:mprapa:39828.

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2012A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems. (2012). Norde, Henk ; De Waegenaere, Anja ; De Waegenaere , A. M. B., ; Boonen, T. J. ; De Waegenaere, A. M. B., . In: Discussion Paper. RePEc:tiu:tiucen:2c502ef8-76f0-47f5-ab45-1833b5f41103.

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2012Nonparametric estimation of Value-at-Risk. (2012). Guillen, Montserrat ; Bolance, Catalina ; Alemany, Ramon . In: Working Papers. RePEc:xrp:wpaper:xreap2012-19.

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