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ASTIN Bulletin: The Journal of the International Actuarial Association / Cambridge University Press

0.51

Impact Factor

0.76

5-Years IF

21

5-Years H index

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.121217941107 (%)0.04
19910.09234410837110 (%)0.04
19920.0922664244105 (%)0.04
19930.120869845107 (%)0.05
19940.110.032711390.0890421023 (%)0.05
19950.190.20.1116129350.274947911312 (%)10.060.07
19960.090.230.1324153320.21246434108141 (%)0.09
19970.130.270.1130183290.1613340510912 (%)0.09
19980.150.290.1223206410.27054811714 (%)10.040.1
19990.110.320.2126232730.3172536120251 (1.4%)0.13
20000.140.40.224256600.2397497119241 (1%)10.040.15
20010.10.40.1823279540.198450512723 (%)0.15
20020.130.420.1123302820.2779476126141 (1.3%)10.040.18
20030.170.440.1331333850.26118468119161 (%)20.060.19
20040.240.490.1929362790.2268541312724 (%)10.030.2
20050.150.530.1831393890.239460913023 (%)10.030.21
20060.050.510.1529422930.2216460313721 (%)10.030.2
20070.120.450.1124446900.214160714316 (%)0.18
20080.450.480.34314771900.4156532414449 (%)10.030.2
20090.250.470.28325091720.3457551414441 (%)0.19
20100.270.450.37385471890.3594631714755 (%)20.050.16
20110.140.520.32255721530.27110701015450 (%)50.20.2
20120.40.550.37265981990.3359632515056 (%)0.2
20130.350.620.36186162510.4158511815255 (%)70.390.22
20140.550.640.45246402210.3528442413962 (%)20.080.21
20150.430.690.56256652980.45294218131731 (3.4%)40.160.22
20160.510.850.76286933850.567492511890 (%)30.110.26
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
11996Premium Calculation by Transforming the Layer Premium Density. (1996). Wang, Shaun . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:01:p:71-92_00.

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141
21997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory. (1997). McNeil, Alexander J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:27:y:1997:i:01:p:117-137_01.

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73
31996Dependency of Risks and Stop-Loss Order. (1996). Dhaene, Jan ; Goovaerts, Marc J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:02:p:201-212_00.

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63
41981Recursive Evaluation of a Family of Compound Distributions. (1981). Panjer, Harry H. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:12:y:1981:i:01:p:22-26_00.

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59
52008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities. (2008). Bauer, Daniel ; Russ, Jochen ; Kling, Alexander . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:621-651_01.

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54
62006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk. (2006). Blake, David ; Dowd, Kevin . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:01:p:79-120_01.

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49
71987On the Probability and Severity of Ruin. (1987). Gerber, Hans U ; Kaas, Rob ; Goovaerts, Marc J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:17:y:1987:i:02:p:151-163_00.

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49
82007A Primer on Copulas for Count Data. (2007). Nelehova, Johanna ; Genest, Christian . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:475-515_01.

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45
91993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates. (1993). Mack, Thomas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:02:p:213-225_01.

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43
102000Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time. (2000). Cairns, Andrew . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:01:p:19-55_00.

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41
112007Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures. (2007). Cai, Jun ; Tan, Ken Seng . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:01:p:93-112_01.

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38
122001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed. (2001). Bacinello, Anna Rita . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:31:y:2001:i:02:p:275-297_00.

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35
132004Some Optimal Dividends Problems. (2004). David, ; Waters, Howard R. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:34:y:2004:i:01:p:49-74_01.

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31
142003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling. (2003). McNeil, Alexander J ; Lindskog, Filip . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:33:y:2003:i:02:p:209-238_01.

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31
152002A Universal Framework for Pricing Financial and Insurance Risks. (2002). Wang, Shaun S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:32:y:2002:i:02:p:213-234_01.

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30
161990Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation. (1990). Denneberg, Dieter . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:02:p:181-190_00.

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28
171998On Esscher Transforms in Discrete Finance Models. (1998). Shiryaev, Albert N ; Embrechts, Paul ; Delbaen, Freddy ; Buhlmann, Hans . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:28:y:1998:i:02:p:171-186_01.

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26
181988Mathematical Fun with the Compound Binomial Process. (1988). Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:18:y:1988:i:02:p:161-168_00.

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26
192011Bayesian Stochastic Mortality Modelling for Two Populations. (2011). Blake, David ; Khalaf-Allah, Marwa ; Coughlan, Guy D ; Dowd, Kevin . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:01:p:29-59_00.

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26
202006Tail Variance Premium with Applications for Elliptical Portfolio of Risks. (2006). Landsman, Zinoviy ; Furman, Edward . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:433-462_01.

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24
212011Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach. (2011). Chi, Yichun ; Tan, Ken Seng . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:487-509_00.

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22
222010The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis. (2010). Donnelly, Catherine ; Embrechts, Paul . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:40:y:2010:i:01:p:1-33_00.

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21
232007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT. (2007). Degen, Matthias ; Lambrigger, Dominik D ; Embrechts, Paul . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:265-291_01.

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21
241999On Multivariate Panjer Recursions. (1999). Sundt, Bjorn . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:29:y:1999:i:01:p:29-45_00.

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21
251981Further Results on Recursive Evaluation of Compound Distributions. (1981). Sundt, Bjorn ; Jewell, William S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:12:y:1981:i:01:p:27-39_00.

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20
261989Hedging by Sequential Regression: an Introduction to the Mathematics of Option Trading. (1989). Follmer, H ; Schweizer, M. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:19:y:1989:i:s1:p:29-42_00.

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20
271991Risk Theory with the Gamma Process. (1991). Dufresne, Franois ; Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:02:p:177-192_00.

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20
281979Optimal Risk Exchanges. (1979). Buhlmann, Hans ; Jewell, William S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:10:y:1979:i:03:p:243-262_00.

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20
292008Optimal Dividends in the Dual Model with Diffusion. (2008). Avanzi, Benjamin ; Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:653-667_01.

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19
302011Modelling Adult Mortality in Small Populations: The Saint Model. (2011). Jarner, Soren Fiig ; Kryger, Esben Masotti . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:377-418_00.

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19
312006A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier. (2006). Gerber, Hans U ; Yang, Hailiang ; Lin, Sheldon X. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:489-503_01.

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19
321995Some Stable Algorithms in Ruin Theory and Their Applications. (1995). Egidio dos Reis, Alfredo ; David, ; Waters, Howard R. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:25:y:1995:i:02:p:153-175_00.

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19
331993Prediction of Outstanding Liabilities in Non-Life Insurance. (1993). Norberg, Ragnar . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:01:p:95-115_00.

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19
341996On the Hedging Portfolio of Asian Options. (1996). Jacques, Michel. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:02:p:165-183_00.

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18
352006On the Tail Behavior of Sums of Dependent Risks. (2006). Genest, Christian ; Barbe, Philippe ; Fougeres, Anne-Laure . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:361-373_01.

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18
361974On Additive Premium Calculation Principles. (1974). Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:7:y:1974:i:03:p:215-222_00.

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18
372000Pricing Risk Transfer Transactions. (2000). Lane, Morton N. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:02:p:259-293_01.

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17
381990Fuzzy Insurance. (1990). Lemaire, Jean . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:01:p:33-55_00.

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17
391991Premium Calculation Implications of Reinsurance Without Arbitrage. (1991). Venter, Gary G. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:02:p:223-230_00.

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17
402011Randomized Observation Periods for the Compound Poisson Risk Model: Dividends. (2011). Albrecher, Hansjorg ; Thonhauser, Stefan . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:645-672_00.

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17
412005The Density of the Time to Ruin in the Classical Poisson Risk Model. (2005). David, ; Willmot, Gordon E. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:35:y:2005:i:01:p:45-60_01.

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16
421991Recursive Calculation of Survival Probabilities. (1991). Waters, Howard R ; David, . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:02:p:199-221_00.

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15
431993On the Stability of Recursive Formulas. (1993). Panjer, Harry H. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:02:p:227-258_01.

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15
441991Cooperative Game Theory and its Insurance Applications. (1991). Lemaire, Jean . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:01:p:17-40_00.

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15
451991A Simple Parametric Model for Rating Automobile Insurance or Estimating IBNR Claims Reserves. (1991). Mack, Thomas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:01:p:93-109_00.

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15
462001Design of Optimal Bonus-Malus Systems With a Frequency and a Severity Component On an Individual Basis in Automobile Insurance. (2001). Vrontos, Spyridon D ; Frangos, Nicholas E. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:31:y:2001:i:01:p:1-22_00.

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15
472013ON OPTIMAL DIVIDENDS IN THE DUAL MODEL. (2013). Bayraktar, Erhan ; Kyprianou, Andreas E ; Yamazaki, Kazutoshi . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:03:p:359-372_00.

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15
481994Some Comments on the Compound Binomial Model. (1994). David, . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:24:y:1994:i:01:p:33-45_00.

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14
491984An Application of Game Theory: Cost Allocation. (1984). Lemaire, Jean . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:14:y:1984:i:01:p:61-81_00.

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14
501994Martingale Approach to Pricing Perpetual American Options. (1994). Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:24:y:1994:i:02:p:195-220_00.

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14

50 most relevant documents in this series (papers most cited in the last two years)

#YearTitleCited
12008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities. (2008). Bauer, Daniel ; Russ, Jochen ; Kling, Alexander . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:621-651_01.

Full description at Econpapers || Download paper

32
21996Premium Calculation by Transforming the Layer Premium Density. (1996). Wang, Shaun . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:01:p:71-92_00.

Full description at Econpapers || Download paper

28
32007A Primer on Copulas for Count Data. (2007). Nelehova, Johanna ; Genest, Christian . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:475-515_01.

Full description at Econpapers || Download paper

21
41993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates. (1993). Mack, Thomas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:02:p:213-225_01.

Full description at Econpapers || Download paper

18
52007Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures. (2007). Cai, Jun ; Tan, Ken Seng . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:01:p:93-112_01.

Full description at Econpapers || Download paper

18
62011Bayesian Stochastic Mortality Modelling for Two Populations. (2011). Blake, David ; Khalaf-Allah, Marwa ; Coughlan, Guy D ; Dowd, Kevin . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:01:p:29-59_00.

Full description at Econpapers || Download paper

18
71997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory. (1997). McNeil, Alexander J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:27:y:1997:i:01:p:117-137_01.

Full description at Econpapers || Download paper

14
82011Modelling Adult Mortality in Small Populations: The Saint Model. (2011). Jarner, Soren Fiig ; Kryger, Esben Masotti . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:377-418_00.

Full description at Econpapers || Download paper

12
92011Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach. (2011). Chi, Yichun ; Tan, Ken Seng . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:487-509_00.

Full description at Econpapers || Download paper

12
102006Tail Variance Premium with Applications for Elliptical Portfolio of Risks. (2006). Landsman, Zinoviy ; Furman, Edward . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:433-462_01.

Full description at Econpapers || Download paper

12
112004Some Optimal Dividends Problems. (2004). David, ; Waters, Howard R. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:34:y:2004:i:01:p:49-74_01.

Full description at Econpapers || Download paper

11
122011Randomized Observation Periods for the Compound Poisson Risk Model: Dividends. (2011). Albrecher, Hansjorg ; Thonhauser, Stefan . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:645-672_00.

Full description at Econpapers || Download paper

11
132006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk. (2006). Blake, David ; Dowd, Kevin . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:01:p:79-120_01.

Full description at Econpapers || Download paper

10
141993Prediction of Outstanding Liabilities in Non-Life Insurance. (1993). Norberg, Ragnar . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:01:p:95-115_00.

Full description at Econpapers || Download paper

10
151981Recursive Evaluation of a Family of Compound Distributions. (1981). Panjer, Harry H. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:12:y:1981:i:01:p:22-26_00.

Full description at Econpapers || Download paper

9
162013ON OPTIMAL DIVIDENDS IN THE DUAL MODEL. (2013). Bayraktar, Erhan ; Kyprianou, Andreas E ; Yamazaki, Kazutoshi . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:03:p:359-372_00.

Full description at Econpapers || Download paper

9
171999Prediction of Outstanding Liabilities II. Model Variations and Extensions. (1999). Norberg, Ragnar . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:29:y:1999:i:01:p:5-25_00.

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9
182012On the Calculation of the Solvency Capital Requirement Based on Nested Simulations. (2012). Bauer, Daniel ; Singer, Daniela ; Reuss, Andreas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:02:p:453-499_00.

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9
191979Optimal Risk Exchanges. (1979). Buhlmann, Hans ; Jewell, William S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:10:y:1979:i:03:p:243-262_00.

Full description at Econpapers || Download paper

8
202010The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis. (2010). Donnelly, Catherine ; Embrechts, Paul . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:40:y:2010:i:01:p:1-33_00.

Full description at Econpapers || Download paper

8
211990Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation. (1990). Denneberg, Dieter . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:02:p:181-190_00.

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7
222009Risk Measures and Efficient use of Capital. (2009). Koch-Medina, Pablo ; Delbaen, Freddy . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:39:y:2009:i:01:p:101-116_00.

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7
232002A Universal Framework for Pricing Financial and Insurance Risks. (2002). Wang, Shaun S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:32:y:2002:i:02:p:213-234_01.

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7
242015On Some Properties of a Class of Multivariate Erlang Mixtures with Insurance Applications. (2015). Woo, Jae-Kyung ; Willmot, Gordon E. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:45:y:2015:i:01:p:151-173_00.

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7
252007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT. (2007). Degen, Matthias ; Lambrigger, Dominik D ; Embrechts, Paul . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:265-291_01.

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7
261989Predicting Ibnyr Events and Delays: I. Continuous Time. (1989). Jewell, William S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:19:y:1989:i:01:p:25-55_00.

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7
272012Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurers Liability. (2012). Chi, Yichun. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:02:p:529-557_00.

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7
282012Modeling Dependent Risks with Multivariate Erlang Mixtures. (2012). Lin, Sheldon X ; Simon, . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:01:p:153-180_00.

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7
292014Spectral Methods for the Calculation of Risk Measures for Variable Annuity Guaranteed Benefits. (2014). Feng, Runhuan ; Volkmer, Hans W. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:44:y:2014:i:03:p:653-681_00.

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6
302003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling. (2003). McNeil, Alexander J ; Lindskog, Filip . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:33:y:2003:i:02:p:209-238_01.

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6
312005The Density of the Time to Ruin in the Classical Poisson Risk Model. (2005). David, ; Willmot, Gordon E. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:35:y:2005:i:01:p:45-60_01.

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6
321990Estimation in the Pareto Distribution. (1990). Rytgaard, Mette . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:02:p:201-216_00.

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6
332013Participating Payout Life Annuities: Lessons from Germany. (2013). Maurer, Raimond ; Siegelin, Ivonne ; Rogalla, Ralph . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:02:p:159-187_00.

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6
342012Are Flexible Premium Variable Annuities Under-Priced?. (2012). Chi, Yichun ; Lin, Sheldon X. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:02:p:559-574_00.

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5
352005Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models. (2005). Kaluszka, Marek . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:35:y:2005:i:02:p:337-349_01.

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5
362008Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws. (2008). Ulm, Eric R. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:543-563_01.

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5
371991Cooperative Game Theory and its Insurance Applications. (1991). Lemaire, Jean . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:01:p:17-40_00.

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5
382013From Ruin to Bankruptcy for Compound Poisson Surplus Processes. (2013). Albrecher, Hansjorg ; Lautscham, Volkmar . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:02:p:213-243_00.

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5
392001Design of Optimal Bonus-Malus Systems With a Frequency and a Severity Component On an Individual Basis in Automobile Insurance. (2001). Vrontos, Spyridon D ; Frangos, Nicholas E. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:31:y:2001:i:01:p:1-22_00.

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5
401999On Multivariate Panjer Recursions. (1999). Sundt, Bjorn . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:29:y:1999:i:01:p:29-45_00.

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5
412006A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier. (2006). Gerber, Hans U ; Yang, Hailiang ; Lin, Sheldon X. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:489-503_01.

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5
422008Dividend Moments in the Dual Risk Model: Exact and Approximate Approaches. (2008). , Eric ; Drekic, Steve . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:399-422_01.

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5
432013INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK. (2013). Pigeon, Mathieu ; Antonio, Katrien ; Denuit, Michel . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:03:p:399-428_00.

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5
442010Optimal Reinsurance for Variance Related Premium Calculation Principles. (2010). Guerra, Manuel ; de Lourdes, Maria . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:40:y:2010:i:01:p:97-121_00.

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5
451994A Markov Model for Loss Reserving. (1994). Hesselager, Ole. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:24:y:1994:i:02:p:183-193_00.

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5
462008Optimal Dividends in the Dual Model with Diffusion. (2008). Avanzi, Benjamin ; Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:653-667_01.

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5
471996Dependency of Risks and Stop-Loss Order. (1996). Dhaene, Jan ; Goovaerts, Marc J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:02:p:201-212_00.

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5
482011The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities. (2011). Kling, Alexander ; Russ, Jochen ; Ruez, Frederik . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:511-545_00.

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5
492000Pricing Risk Transfer Transactions. (2000). Lane, Morton N. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:02:p:259-293_01.

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502007An Individual Claims Reserving Model. (2007). Larsen, Christian Roholte . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:01:p:113-132_01.

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4

Citing documents used to compute impact factor 25:

YearTitle
2016Robust Stability, Stabilisation and H-Infinity Control for Premium-Reserve Models in a Markovian Regime Switching Discrete-Time Framework. (2016). Assa, Hirbod ; Pantelous, Athanasios A ; Yang, Lin. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:46:y:2016:i:03:p:747-778_00.

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2016Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?. (2016). Peters, Gareth W ; Chapelle, Ariane ; Hassani, Bertrand ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1607.02319.

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2016Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?. (2016). Hassani, Bertrand K ; Peters, Gareth W ; Shevchenko, Pavel V ; Chapelle, Ariane. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16065.

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2016Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?. (2016). Peters, Gareth ; Chapelle, Ariane ; Hassani, Bertrand ; Shevchenko, Pavel . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01391091.

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2016Modeling loss data using mixtures of distributions. (2016). Miljkovic, Tatjana ; Grun, Bettina . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:387-396.

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2016Multivariate mixtures of Erlangs for density estimation under censoring. (2016). Verbelen, Roel ; Claeskens, Gerda ; Antonio, Katrien . In: Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data. RePEc:spr:lifeda:v:22:y:2016:i:3:d:10.1007_s10985-015-9343-y.

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2016A marked Cox model for the number of IBNR claims: Theory. (2016). Badescu, Andrei L ; Tang, Dameng ; Lin, Sheldon X. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:29-37.

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2016On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays. (2016). Woo, Jae-Kyung . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:354-363.

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2016Equitable retirement income tontines: Mixing cohorts without discriminating. (2016). Milevsky, M A ; Salisbury, T S. In: Papers. RePEc:arx:papers:1610.09384.

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2016Optimal retirement income tontines. (2016). Milevsky, Moshe A ; Salisbury, Thomas S. In: Papers. RePEc:arx:papers:1610.10078.

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2016Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach. (2016). Avanzi, Benjamin ; Wong, Bernard ; Vu, Phuong Anh ; Taylor, Greg . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:63-78.

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2016Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index. (2016). Blake, David ; Kallestrup-Lamb, Malene ; Dowd, Kevin . In: CREATES Research Papers. RePEc:aah:create:2016-14.

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2016Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality. (2016). Lu, YI ; Tsai, Cary Chi-Liang ; Liang, Xiaoqing . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:150-161.

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2016Impact of volatility clustering on equity indexed annuities. (2016). Hainaut, Donatien . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:367-381.

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2016Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model. (2016). Alonso-Garcia, J ; Devolder, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:224-236.

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

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2016Sarmanov family of multivariate distributions for bivariate dynamic claim counts model. (2016). Cossette, Helene ; Abdallah, Anas ; Boucher, Jean-Philippe . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:120-133.

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2016Varying transition rules in bonus–malus systems: From rules specification to determination of optimal relativities. (2016). It, Chong . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:134-140.

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2016Optimality of two-parameter strategies in stochastic control. (2016). Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1605.04995.

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2016Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach. (2016). Avanzi, Benjamin ; Wong, Bernard ; Vu, Phuong Anh ; Taylor, Greg . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:63-78.

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

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2016Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer’s risk limit. (2016). Lu, ZhiYi ; Wang, Yujin ; Shen, Qingjie ; Meng, LiLi . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:92-100.

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2016Statutory financial reporting for variable annuity guaranteed death benefits: Market practice, mathematical modeling and computation. (2016). Feng, Runhuan ; Huang, Huaxiong . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:54-64.

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2016Exponential functionals of Levy processes and variable annuity guaranteed benefits. (2016). Feng, Runhuan ; Yang, Fenghao ; Kuznetsov, Alexey . In: Papers. RePEc:arx:papers:1610.00577.

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2016On the Bayesian Risk Evaluation of Minimum Guarantees in Variable Annuities. (2016). Yoo, Byoung Hark ; Bangwon, KO ; Hark, Yoo Byoung ; Hyuk-Sung, Kwon . In: Asia-Pacific Journal of Risk and Insurance. RePEc:bpj:apjrin:v:10:y:2016:i:1:p:21-43:n:3.

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Recent citations (cites in year: CiY)

Recent citations received in 2016
YearCiting document
2016Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index. (2016). Blake, David ; Kallestrup-Lamb, Malene ; Dowd, Kevin . In: CREATES Research Papers. RePEc:aah:create:2016-14.

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2016Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model. (2016). Alonso-Garcia, J ; Devolder, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:224-236.

Full description at Econpapers || Download paper

2016Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach. (2016). Avanzi, Benjamin ; Wong, Bernard ; Vu, Phuong Anh ; Taylor, Greg . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:63-78.

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Recent citations received in 2015
YearCiting document
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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2015On two families of bivariate distributions with exponential marginals: Aggregation and capital allocation. (2015). Cossette, Helene ; Perreault, Samuel ; Marceau, Etienne . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:214-224.

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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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2015A note on order statistics in the mixed Erlang case. (2015). Landriault, David ; Willmot, Gordon E ; Moutanabbir, Khouzeima . In: Statistics & Probability Letters. RePEc:eee:stapro:v:106:y:2015:i:c:p:13-18.

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Recent citations received in 2014
YearCiting document
2014Model-Independent Pricing of Asian Options via Optimal Martingale Transport. (2014). Stebegg, Florian . In: Papers. RePEc:arx:papers:1412.1429.

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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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Recent citations received in 2013
YearCiting document
2013Optimal dividends problem with a terminal value for spectrally positive Levy processes. (2013). Yin, Chuancun ; Wen, Yuzhen . In: Papers. RePEc:arx:papers:1302.6011.

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2013Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing. (2013). Leppisaari, Matias . In: Papers. RePEc:arx:papers:1310.8604.

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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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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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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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2013On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators. (2013). Rulliere, Didier ; Elena, Di Bernardino . In: Dependence Modeling. RePEc:vrs:demode:v:1:y:2013:i::p:1-36:n:1.

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

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1st 2017. Contact: CitEc Team