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IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1990 | 0 | 0.08 | 0.03 | 0 | 34 | 34 | 135 | 1 | 1 | 71 | 180 | 0 | 0 | 0.04 | ||||
1991 | 0.06 | 0.08 | 0.07 | 0.02 | 25 | 59 | 115 | 4 | 5 | 71 | 4 | 174 | 4 | 1 | 25 | 0 | 0.04 | |
1992 | 0 | 0.08 | 0.01 | 0 | 43 | 102 | 116 | 1 | 6 | 59 | 159 | 0 | 1 | 0.02 | 0.04 | |||
1993 | 0.01 | 0.1 | 0.01 | 0.01 | 42 | 144 | 147 | 1 | 7 | 68 | 1 | 173 | 1 | 0 | 0 | 0.05 | ||
1994 | 0.04 | 0.11 | 0.09 | 0.04 | 29 | 173 | 159 | 14 | 22 | 85 | 3 | 181 | 7 | 0 | 1 | 0.03 | 0.05 | |
1995 | 0.07 | 0.19 | 0.2 | 0.06 | 28 | 201 | 214 | 40 | 62 | 71 | 5 | 173 | 11 | 37 | 92.5 | 1 | 0.04 | 0.08 |
1996 | 0.21 | 0.22 | 0.23 | 0.13 | 25 | 226 | 206 | 51 | 113 | 57 | 12 | 167 | 21 | 35 | 68.6 | 0 | 0.1 | |
1997 | 0.15 | 0.22 | 0.27 | 0.16 | 41 | 267 | 506 | 71 | 184 | 53 | 8 | 167 | 26 | 59 | 83.1 | 2 | 0.05 | 0.09 |
1998 | 0.23 | 0.26 | 0.26 | 0.18 | 41 | 308 | 381 | 81 | 265 | 66 | 15 | 165 | 29 | 59 | 72.8 | 2 | 0.05 | 0.12 |
1999 | 0.34 | 0.28 | 0.34 | 0.22 | 51 | 359 | 480 | 122 | 387 | 82 | 28 | 164 | 36 | 105 | 86.1 | 7 | 0.14 | 0.14 |
2000 | 0.17 | 0.33 | 0.27 | 0.18 | 51 | 410 | 487 | 111 | 498 | 92 | 16 | 186 | 34 | 82 | 73.9 | 6 | 0.12 | 0.15 |
2001 | 0.25 | 0.36 | 0.34 | 0.23 | 48 | 458 | 549 | 156 | 654 | 102 | 25 | 209 | 49 | 103 | 66 | 7 | 0.15 | 0.15 |
2002 | 0.39 | 0.39 | 0.52 | 0.28 | 57 | 515 | 690 | 266 | 921 | 99 | 39 | 232 | 64 | 181 | 68 | 15 | 0.26 | 0.21 |
2003 | 0.46 | 0.4 | 0.49 | 0.37 | 70 | 585 | 692 | 289 | 1210 | 105 | 48 | 248 | 91 | 178 | 61.6 | 6 | 0.09 | 0.2 |
2004 | 0.28 | 0.45 | 0.4 | 0.26 | 62 | 647 | 714 | 261 | 1471 | 127 | 36 | 277 | 71 | 181 | 69.3 | 9 | 0.15 | 0.2 |
2005 | 0.3 | 0.46 | 0.41 | 0.26 | 70 | 717 | 719 | 293 | 1765 | 132 | 39 | 288 | 75 | 180 | 61.4 | 5 | 0.07 | 0.22 |
2006 | 0.42 | 0.46 | 0.51 | 0.34 | 72 | 789 | 842 | 401 | 2169 | 132 | 56 | 307 | 104 | 173 | 43.1 | 12 | 0.17 | 0.21 |
2007 | 0.34 | 0.42 | 0.4 | 0.31 | 63 | 852 | 540 | 335 | 2507 | 142 | 48 | 331 | 101 | 157 | 46.9 | 7 | 0.11 | 0.18 |
2008 | 0.8 | 0.44 | 0.76 | 0.6 | 162 | 1014 | 1177 | 768 | 3279 | 135 | 108 | 337 | 202 | 415 | 54 | 42 | 0.26 | 0.21 |
2009 | 0.43 | 0.44 | 0.62 | 0.38 | 106 | 1120 | 1111 | 691 | 3974 | 225 | 96 | 429 | 163 | 294 | 42.5 | 17 | 0.16 | 0.21 |
2010 | 0.5 | 0.43 | 0.66 | 0.46 | 108 | 1228 | 680 | 811 | 4788 | 268 | 135 | 473 | 217 | 406 | 50.1 | 19 | 0.18 | 0.18 |
2011 | 0.53 | 0.46 | 0.6 | 0.37 | 95 | 1323 | 597 | 794 | 5582 | 214 | 114 | 511 | 191 | 374 | 47.1 | 14 | 0.15 | 0.21 |
2012 | 0.47 | 0.47 | 0.7 | 0.42 | 115 | 1438 | 630 | 1000 | 6582 | 203 | 96 | 534 | 225 | 461 | 46.1 | 32 | 0.28 | 0.19 |
2013 | 0.59 | 0.53 | 0.92 | 0.57 | 142 | 1580 | 641 | 1458 | 8040 | 210 | 124 | 586 | 333 | 688 | 47.2 | 28 | 0.2 | 0.22 |
2014 | 0.53 | 0.55 | 0.7 | 0.51 | 104 | 1684 | 416 | 1182 | 9222 | 257 | 136 | 566 | 290 | 476 | 40.3 | 25 | 0.24 | 0.22 |
2015 | 0.61 | 0.56 | 0.84 | 0.5 | 139 | 1823 | 377 | 1530 | 10752 | 246 | 149 | 564 | 282 | 682 | 44.6 | 31 | 0.22 | 0.21 |
2016 | 0.71 | 0.58 | 0.89 | 0.55 | 145 | 1968 | 247 | 1759 | 12511 | 243 | 173 | 595 | 328 | 660 | 37.5 | 21 | 0.14 | 0.2 |
2017 | 0.51 | 0.6 | 0.74 | 0.45 | 104 | 2072 | 142 | 1540 | 14051 | 284 | 146 | 645 | 290 | 477 | 31 | 22 | 0.21 | 0.22 |
2018 | 0.44 | 0.76 | 0.69 | 0.4 | 103 | 2175 | 66 | 1493 | 15544 | 249 | 110 | 634 | 252 | 599 | 40.1 | 20 | 0.19 | 0.31 |
IF: | Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for series in RePEc in year y |
CIF: | Cumulative impact factor |
IF5: | Impact Factor: C5Y / D5Y |
DOC: | Number of documents published in year y |
CDO: | Cumulative number of documents published until year y |
CIT: | Number of citations to papers published in year y |
NCI: | Number of citations in year y |
CCU: | Cumulative number of citations to papers published until year y |
D2Y: | Number of articles published in y-1 plus y-2 |
C2Y: | Cites in y to articles published in y-1 plus y-2 |
D5Y: | Number of articles published in y-1 until y-5 |
C5Y: | Cites in y to articles published in y-1 until y-5 |
SC: | selft citations in y to articles published in y-1 plus y-2 |
%SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
CiY: | Cites in year y to documents published in year y |
II: | Immediacy Index: CiY / Documents. |
AII: | Average Immediacy Index for series in RePEc in year y |
# | Year | Title | Cited |
---|---|---|---|
1 | 2009 | Pair-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 | 259 |
2 | 2009 | Goodness-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 | 197 |
3 | 2002 | The 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 | 190 |
4 | 2002 | The 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 | 154 |
5 | 1997 | Axiomatic 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 | 148 |
6 | 2002 | A 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 | 133 |
7 | 2000 | Fair 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 | 117 |
8 | 2004 | Stochastic 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 | 113 |
9 | 2006 | A 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 | 109 |
10 | 2001 | Mortality 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 | 104 |
11 | 2005 | Affine 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 | 104 |
12 | 1996 | Valuation 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 | 85 |
13 | 1997 | Controlled 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 | 79 |
14 | 1985 | On 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. Full description at Econpapers || Download paper | 68 |
15 | 2006 | Valuation 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 | 68 |
16 | 2001 | Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. (2001). Taillard, Gregory ; Huang, ShaoJuan ; Boulier, Jean-Francois. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:2:p:173-189. Full description at Econpapers || Download paper | 66 |
17 | 2005 | Optimal 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 | 66 |
18 | 2003 | Lee-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 | 63 |
19 | 2006 | Financial 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 | 61 |
20 | 2000 | Upper 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. Full description at Econpapers || Download paper | 60 |
21 | 2003 | Pensionmetrics 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. Full description at Econpapers || Download paper | 59 |
22 | 2000 | Optimal 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. Full description at Econpapers || Download paper | 59 |
23 | 2006 | Affine stochastic mortality. (2006). Schrager, David F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:81-97. Full description at Econpapers || Download paper | 56 |
24 | 1991 | Risk 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. Full description at Econpapers || Download paper | 55 |
25 | 2006 | Risk measures via g-expectations. (2006). RosazzaGianin, Emanuela . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:1:p:19-34. Full description at Econpapers || Download paper | 55 |
26 | 2011 | Mortality 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 | 54 |
27 | 2005 | Estimating 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 | 54 |
28 | 2011 | Variable 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 | 53 |
29 | 2003 | Optimal 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. Full description at Econpapers || Download paper | 53 |
30 | 1997 | The 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. Full description at Econpapers || Download paper | 53 |
31 | 1998 | Comonotonicity, 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. Full description at Econpapers || Download paper | 52 |
32 | 2008 | Optimal 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. Full description at Econpapers || Download paper | 50 |
33 | 2001 | Optimal reinsurance under mean-variance premium principles. (2001). Kaluszka, Marek . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:1:p:61-67. Full description at Econpapers || Download paper | 47 |
34 | 2001 | On 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. Full description at Econpapers || Download paper | 47 |
35 | 1999 | A 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. Full description at Econpapers || Download paper | 46 |
36 | 2009 | On 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 | 46 |
37 | 1999 | Fitting 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. Full description at Econpapers || Download paper | 46 |
38 | 2001 | Pensionmetrics: 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. Full description at Econpapers || Download paper | 46 |
39 | 2007 | Optimal 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 | 45 |
40 | 2004 | Some 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. Full description at Econpapers || Download paper | 45 |
41 | 2005 | Bivariate 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. Full description at Econpapers || Download paper | 44 |
42 | 1997 | Stop-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. Full description at Econpapers || Download paper | 44 |
43 | 1995 | Ruin 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. Full description at Econpapers || Download paper | 43 |
44 | 2004 | Optimal investment choices post-retirement in a defined contribution pension scheme. (2004). Vigna, Elena ; Haberman, Steven ; Gerrard, Russell. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:2:p:321-342. Full description at Econpapers || Download paper | 43 |
45 | 1993 | Pricing equity-linked life insurance with endogenous minimum guarantees. (1993). Ortu, Fulvio ; Bacinello, Anna Rita . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:12:y:1993:i:3:p:245-257. Full description at Econpapers || Download paper | 43 |
46 | 2011 | Optimal 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. Full description at Econpapers || Download paper | 43 |
47 | 2002 | Optimal investment strategies and risk measures in defined contribution pension schemes. (2002). Vigna, Elena ; Haberman, Steven. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:35-69. Full description at Econpapers || Download paper | 42 |
48 | 2008 | Coherent 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. Full description at Econpapers || Download paper | 42 |
49 | 2003 | Rational 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. Full description at Econpapers || Download paper | 41 |
50 | 2006 | Consistent risk measures for portfolio vectors. (2006). Burgert, Christian ; Ruschendorf, Ludger. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:2:p:289-297. Full description at Econpapers || Download paper | 41 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2009 | Pair-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 | 85 |
2 | 2009 | Goodness-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 | 48 |
3 | 2006 | A 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 | 35 |
4 | 2002 | A 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 | 32 |
5 | 2014 | Generalized quantiles as risk measures. (2014). Müller, Alfred ; Muller, Alfred ; Bellini, Fabio ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Klar, Bernhard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:41-48. Full description at Econpapers || Download paper | 28 |
6 | 1997 | Axiomatic 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 | 25 |
7 | 1996 | Valuation 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 | 25 |
8 | 2002 | The 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 | 24 |
9 | 2002 | The 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 | 24 |
10 | 2005 | Affine 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 |
11 | 2004 | Stochastic 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 | 22 |
12 | 2006 | Risk measures via g-expectations. (2006). RosazzaGianin, Emanuela . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:1:p:19-34. Full description at Econpapers || Download paper | 21 |
13 | 2012 | Modeling dependence dynamics through copulas with regime switching. (2012). Ziegelmann, Flavio Augusto ; Silva Filho, Osvaldo Candido da, ; Dueker, Michael J.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:50:y:2012:i:3:p:346-356. Full description at Econpapers || Download paper | 20 |
14 | 2009 | On 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 | 18 |
15 | 2006 | Financial 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 | 18 |
16 | 2003 | Lee-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 | 18 |
17 | 2000 | Fair 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 | 18 |
18 | 2011 | Mortality 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 | 17 |
19 | 2003 | Optimal 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. Full description at Econpapers || Download paper | 16 |
20 | 2011 | Optimal 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. Full description at Econpapers || Download paper | 16 |
21 | 2009 | To split or not to split: Capital allocation with convex risk measures. (2009). Tsanakas, Andreas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:268-277. Full description at Econpapers || Download paper | 16 |
22 | 2006 | Valuation 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 | 15 |
23 | 1997 | Controlled 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 | 15 |
24 | 2005 | Optimal 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 | 15 |
25 | 2005 | Estimating 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 |
26 | 2008 | Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. (2008). Guo, Junyi ; Bai, Lihua . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:3:p:968-975. Full description at Econpapers || Download paper | 15 |
27 | 2011 | Variable 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 | 14 |
28 | 2001 | Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. (2001). Taillard, Gregory ; Huang, ShaoJuan ; Boulier, Jean-Francois. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:2:p:173-189. Full description at Econpapers || Download paper | 13 |
29 | 2009 | Optimal reinsurance with general risk measures. (2009). Balbas, Alejandro ; Heras, Antonio . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:3:p:374-384. Full description at Econpapers || Download paper | 13 |
30 | 2001 | Optimal reinsurance under mean-variance premium principles. (2001). Kaluszka, Marek . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:1:p:61-67. Full description at Econpapers || Download paper | 13 |
31 | 2013 | Optimal 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. Full description at Econpapers || Download paper | 13 |
32 | 2008 | Optimal 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. Full description at Econpapers || Download paper | 13 |
33 | 2013 | Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles. (2013). Yang, Jingping ; Cui, Wei ; Wu, Lan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:1:p:74-85. Full description at Econpapers || Download paper | 13 |
34 | 2006 | Consistent risk measures for portfolio vectors. (2006). Burgert, Christian ; Ruschendorf, Ludger. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:2:p:289-297. Full description at Econpapers || Download paper | 13 |
35 | 1999 | Optimal 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. Full description at Econpapers || Download paper | 13 |
36 | 2011 | Longevity 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. Full description at Econpapers || Download paper | 13 |
37 | 2010 | On the pricing of longevity-linked securities. (2010). Bauer, Daniel ; Borger, Matthias ; Ru, Jochen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:46:y:2010:i:1:p:139-149. Full description at Econpapers || Download paper | 13 |
38 | 1999 | Analytic and bootstrap estimates of prediction errors in claims reserving. (1999). England, Peter ; Verrall, Richard. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:3:p:281-293. Full description at Econpapers || Download paper | 13 |
39 | 2014 | On 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. Full description at Econpapers || Download paper | 13 |
40 | 2011 | Explicit 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. Full description at Econpapers || Download paper | 12 |
41 | 2012 | Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?. (2012). Eling, Martin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:2:p:239-248. Full description at Econpapers || Download paper | 12 |
42 | 2012 | Optimal time-consistent investment and reinsurance strategies for insurers under Hestonâs 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. Full description at Econpapers || Download paper | 12 |
43 | 2006 | Affine stochastic mortality. (2006). Schrager, David F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:81-97. Full description at Econpapers || Download paper | 12 |
44 | 1986 | The determination of life premiums: An international cross-section analysis 1970-1981. (1986). Beenstock, Michael ; Dickinson, Gerry ; Khajuria, Sajay. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:5:y:1986:i:4:p:261-270. Full description at Econpapers || Download paper | 12 |
45 | 2016 | Marginal Indemnification Function formulation for optimal reinsurance. (2016). Zhuang, Sheng Chao ; Assa, Hirbod ; Tan, Ken Seng ; Weng, Chengguo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:65-76. Full description at Econpapers || Download paper | 12 |
46 | 2013 | Optimal excess-of-loss reinsurance and investment problem for an insurer with jumpâdiffusion risk process under the Heston model. (2013). Zhao, Yonggan ; Rong, Ximin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:504-514. Full description at Econpapers || Download paper | 12 |
47 | 2004 | An optimization approach to the dynamic allocation of economic capital. (2004). Laeven, Roger ; Goovaerts, Marc ; Laeven, Roger J. A., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:2:p:299-319. Full description at Econpapers || Download paper | 12 |
48 | 2007 | Optimal 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 | 12 |
49 | 2014 | Optimal reinsurance and investment with unobservable claim size and intensity. (2014). Bayraktar, Erhan ; Liang, Zhibin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:156-166. Full description at Econpapers || Download paper | 11 |
50 | 2006 | Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval. (2006). Shapiro, Arnold F. ; Koissi, Marie-Claire ; Hognas, Goran. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:1-20. Full description at Econpapers || Download paper | 11 |
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2018 | Banach Contraction Principle and ruin probabilities in regime-switching models. (2018). Gajek, Lesaw ; Rud, Marcin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:45-53. Full description at Econpapers || Download paper | |
2018 | One-Year Change Methodologies for Fixed-Sum Insurance Contracts. (2018). Dacorogna, Michel ; Krief, David ; Ferriero, Alessandro. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:75-:d:160853. Full description at Econpapers || Download paper | |
2018 | The Impact of Management Fees on the Pricing of Variable Annuity Guarantees. (2018). Sun, Jin ; Fung, Man Chung ; Shevchenko, Pavel V. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:103-:d:170856. Full description at Econpapers || Download paper | |
2018 | An analysis of the Solvency II regulatory frameworkâs Smith-Wilson model for the term structure of risk-free interest rates. (2018). Jorgensen, Peter Lochte . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:219-237. Full description at Econpapers || Download paper | |
2018 | Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates. (2018). Kang, Boda ; Ziveyi, Jonathan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:43-56. Full description at Econpapers || Download paper | |
2018 | Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities. (2018). Jeon, Junkee ; Kwak, Minsuk. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:93-109. Full description at Econpapers || Download paper | |
2018 | LLN-type approximations for large portfolio losses. (2018). Liu, Jing. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:71-77. Full description at Econpapers || Download paper | |
2018 | On the optimal investment-consumption and life insurance selection problem with an external stochastic factor. (2018). Guambe, Calisto ; Kufakunesu, Rodwell. In: Papers. RePEc:arx:papers:1808.04608. Full description at Econpapers || Download paper | |
2018 | A unifying approach to constrained and unconstrained optimal reinsurance. (2018). Yin, Chuancun ; Huang, Yuxia. In: Papers. RePEc:arx:papers:1807.06892. Full description at Econpapers || Download paper | |
2018 | Optimal reinsurance under risk and uncertainty on Orlicz hearts. (2018). Kong, Dezhou ; Wu, Yonghong ; Liu, Lishan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:108-116. Full description at Econpapers || Download paper | |
2018 | Minimizing the probability of ruin: Optimal per-loss reinsurance. (2018). Liang, Xiaoqing ; Young, Virginia R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:181-190. Full description at Econpapers || Download paper | |
2018 | Insurance choice under third degree stochastic dominance. (2018). Chi, Yichun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:198-205. Full description at Econpapers || Download paper | |
2018 | Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. (2018). Zeng, Yan ; Yang, Zhou ; Chen, Zheng ; Li, Danping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:70-103. Full description at Econpapers || Download paper | |
2018 | Optimal asset allocation for a DC plan with partial information under inflation and mortality risks. (2018). Beyers, Conrad ; van Zyl, Gusti ; Kufakunesu, Rodwell ; Guambe, Calisto. In: Papers. RePEc:arx:papers:1808.06337. Full description at Econpapers || Download paper | |
2018 | Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause. (2018). Bian, Lihua ; Yao, Haixiang ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:78-94. Full description at Econpapers || Download paper | |
2018 | Time-consistent meanâvariance portfolio optimization: A numerical impulse control approach. (2018). van Staden, Pieter M ; Forsyth, Peter A ; Dang, Duy-Minh. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:9-28. Full description at Econpapers || Download paper | |
2018 | Ordering the smallest claim amounts from two sets of interdependent heterogeneous portfolios. (2018). Dolati, Ali ; Torabi, Hamzeh ; Nadeb, Hossein. In: Papers. RePEc:arx:papers:1812.06166. Full description at Econpapers || Download paper | |
2018 | Stochastic comparisons of the largest claim amounts from two sets of interdependent heterogeneous portfolios. (2018). Dolati, Ali ; Torabi, Hamzeh ; Nadeb, Hossein. In: Papers. RePEc:arx:papers:1812.08343. Full description at Econpapers || Download paper | |
2018 | A comparative study of pricing approaches for longevity instruments. (2018). Leung, Melvern ; Ohare, Colin ; Fung, Man Chung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:95-116. Full description at Econpapers || Download paper | |
2018 | Bootstrapping Average Value at Risk of Single and Collective Risks. (2018). Beutner, Eric ; Zahle, Henryk. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:96-:d:169405. Full description at Econpapers || Download paper | |
2018 | Reduced-form framework under model uncertainty. (2018). Zhang, Yinglin ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1707.04475. Full description at Econpapers || Download paper | |
2018 | Extended Reduced-Form Framework for Non-Life Insurance. (2018). Zhang, Yinglin ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1802.07741. Full description at Econpapers || Download paper | |
2018 | Insurance with multiple insurers: A game-theoretic approach. (2018). Asimit, Vali ; Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:2:p:778-790. Full description at Econpapers || Download paper | |
2018 | Optimal risk allocation in reinsurance networks. (2018). Bauerle, Nicole ; Glauner, Alexander. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:37-47. Full description at Econpapers || Download paper | |
2018 | Valuation of Large Variable Annuity Portfolios Using Linear Models with Interactions. (2018). Gan, Guojun. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:71-:d:157549. Full description at Econpapers || Download paper | |
2018 | Using Neural Networks to Price and Hedge Variable Annuity Guarantees. (2018). Doyle, Daniel ; Groendyke, Chris . In: Risks. RePEc:gam:jrisks:v:7:y:2018:i:1:p:1-:d:192723. Full description at Econpapers || Download paper | |
2018 | Optimal dividends under Erlang(2) inter-dividend decision times. (2018). Avanzi, Benjamin ; Wong, Bernard ; Tu, Vincent . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:225-242. Full description at Econpapers || Download paper | |
2018 | American options under periodic exercise opportunities. (2018). Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Statistics & Probability Letters. RePEc:eee:stapro:v:135:y:2018:i:c:p:92-101. Full description at Econpapers || Download paper | |
2018 | On optimal periodic dividend strategies for Lévy risk processes. (2018). Noba, Kei ; Yano, Kouji ; Yamazaki, Kazutoshi ; Perez, Jose-Luis. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:29-44. Full description at Econpapers || Download paper | |
2018 | On generalized log-Moyal distribution: A new heavy tailed size distribution. (2018). Bhati, Deepesh ; Ravi, Sreenivasan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:247-259. Full description at Econpapers || Download paper | |
2018 | Dynamic derivative-based investment strategy for meanâvariance assetâliability management with stochastic volatility. (2018). Li, Danping ; Zeng, Yan ; Shen, Yang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:72-86. Full description at Econpapers || Download paper | |
2018 | Optimal insurance design under background risk with dependence. (2018). Lu, ZhiYi ; Han, Ziqi ; Liu, LePing ; Meng, Shengwang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:15-28. Full description at Econpapers || Download paper | |
2018 | The strong Fatou property of risk measures. (2018). Xanthos, Foivos ; Gao, Niushan ; Chen, Shengzhong. In: Papers. RePEc:arx:papers:1805.05259. Full description at Econpapers || Download paper | |
2018 | Law-invariant insurance pricing and its limitations. (2018). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:1808.00821. Full description at Econpapers || Download paper | |
2018 | Risk sharing for capital requirements with multidimensional security markets. (2018). Svindland, Gregor ; Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:1809.10015. Full description at Econpapers || Download paper | |
2018 | The Role of Inflation-Indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phase. (2018). Zhang, Xiaoyi ; Guo, Junyi. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:24-:d:137519. Full description at Econpapers || Download paper | |
2018 | Strategic asset allocation for insurers under Solvency II. (2018). Kouwenberg, Roy. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:7:d:10.1057_s41260-018-0097-4. Full description at Econpapers || Download paper | |
2018 | On a Multiplicative Multivariate Gamma Distribution with Applications in Insurance. (2018). Semenikhine, Vadim ; Su, Jianxi ; Furman, Edward. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:79-:d:163347. Full description at Econpapers || Download paper | |
2018 | Risk- and value-based management for non-life insurers under solvency constraints. (2018). Eckert, Johanna ; Gatzert, Nadine. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:2:p:761-774. Full description at Econpapers || Download paper | |
2018 | Using fuzzy logic to interpret dependent risks. (2018). Kemaloglu, Sibel Acik ; Apaydin, Aysen ; Tank, Fatih ; Shapiro, Arnold F. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:101-106. Full description at Econpapers || Download paper | |
2018 | The Italian Pension Gap: a Stochastic Optimal Control Approach. (2018). Vigna, Elena ; Milazzo, Alessandro. In: Papers. RePEc:arx:papers:1804.05354. Full description at Econpapers || Download paper | |
2018 | The Italian Pension Gap: A Stochastic Optimal Control Approach. (2018). Milazzo, Alessandro ; Vigna, Elena. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:48-:d:143783. Full description at Econpapers || Download paper | |
2018 | Market consistent valuations with financial imperfection. (2018). Gospodinov, Nikolay ; Assa, Hirbod. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:1:d:10.1007_s10203-018-0207-2. Full description at Econpapers || Download paper | |
2018 | Equity Solvency Capital Requirements - What Institutional Regulation Can Learn from Private Investor Regulation. (2018). Swinkels, Laurens ; Hallerbach, Winfried ; Vliet, Pim ; Blitz, David. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:43:y:2018:i:4:d:10.1057_s41288-018-0086-3. Full description at Econpapers || Download paper | |
2018 | Two-side exit problems for taxed Lévy risk process involving the general draw-down time. (2018). Wang, Wenyuan ; Ming, Ruixing. In: Statistics & Probability Letters. RePEc:eee:stapro:v:138:y:2018:i:c:p:66-74. Full description at Econpapers || Download paper | |
2018 | Stochastic Drawdowns. (2018). Zhang, Hongzhong. In: World Scientific Books. RePEc:wsi:wsbook:10078. Full description at Econpapers || Download paper | |
2018 | Poissonian potential measures for Lévy risk models. (2018). Landriault, David ; Xu, DI ; Li, Bin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:152-166. Full description at Econpapers || Download paper | |
2018 | Properties of Stochastic Arrangement Increasing and Their Applications in Allocation Problems. (2018). Wei, Wei. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:49-:d:143924. Full description at Econpapers || Download paper | |
2018 | A copula-based flexible-stochastic programming method for planning regional energy system under multiple uncertainties: A case study of the urban agglomeration of Beijing and Tianjin. (2018). Yu, L ; Nie, S ; Fan, Y R ; Huang, G H ; Li, Y P. In: Applied Energy. RePEc:eee:appene:v:210:y:2018:i:c:p:60-74. Full description at Econpapers || Download paper | |
2018 | A two-decrement model for the valuation and risk measurement of a guaranteed annuity option. (2018). Zhao, Yixing ; GAO, Huan ; Mamon, Rogemar. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:231-249. Full description at Econpapers || Download paper | |
2018 | Steinâs lemma for truncated elliptical random vectors. (2018). Shushi, Tomer. In: Statistics & Probability Letters. RePEc:eee:stapro:v:137:y:2018:i:c:p:297-303. Full description at Econpapers || Download paper | |
2018 | A multivariate tail covariance measure for elliptical distributions. (2018). Landsman, Zinoviy ; Shushi, Tomer ; Makov, Udi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:27-35. Full description at Econpapers || Download paper | |
2018 | On Two Mixture-Based Clustering Approaches Used in Modeling an Insurance Portfolio. (2018). Miljkovic, Tatjana ; Fernandez, Daniel. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:57-:d:147107. Full description at Econpapers || Download paper | |
2018 | Estimating Major Risk Factor Relativities in Rate Filings Using Generalized Linear Models. (2018). Xie, Shengkun ; Lawniczak, Anna T. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:4:p:84-:d:174838. Full description at Econpapers || Download paper | |
2018 | Does hunger for bonuses drive the dependence between claim frequency and severity?. (2018). Park, Sojung C ; Ahn, Jae Youn. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:32-46. Full description at Econpapers || Download paper | |
2018 | A Risk-Based Approach for Asset Allocation with A Defaultable Share. (2018). Siu, Tak Kuen ; Shen, Yang. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:14-:d:133788. Full description at Econpapers || Download paper | |
2018 | Choice of Benchmark When Forecasting Long-term Stock Returns. (2018). Scholz, Michael ; Nielsen, Jens Perch ; Mousavi, Parastoo ; Kyriakou, Ioannis. In: Graz Economics Papers. RePEc:grz:wpaper:2018-08. Full description at Econpapers || Download paper | |
2018 | Bayesian nonparametric regression models for modeling and predicting healthcare claims. (2018). Richardson, Robert ; Hartman, Brian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:1-8. Full description at Econpapers || Download paper | |
2018 | Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing. (2018). Gu, Ailing ; Yao, Haixiang ; Viens, Frederi G. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:93-109. Full description at Econpapers || Download paper | |
2018 | Time-consistent proportional reinsurance and investment strategies under ambiguous environment. (2018). Guan, Guohui ; Feng, Jian ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:122-133. Full description at Econpapers || Download paper | |
2018 | A residual inaccuracy measure based on the relevation transform. (2018). Psarrakos, Georgios ; di Crescenzo, Antonio. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:81:y:2018:i:1:d:10.1007_s00184-017-0633-0. Full description at Econpapers || Download paper | |
2018 | . Full description at Econpapers || Download paper | |
2018 | Exact probability distribution function for the volatility of cumulative production. (2018). Zadourian, Rubina ; Klumper, Andreas . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:59-66. Full description at Econpapers || Download paper | |
2018 | Cliquet option pricing in a jump-diffusion L\{e}vy model. (2018). Hess, Markus. In: Papers. RePEc:arx:papers:1810.09670. Full description at Econpapers || Download paper | |
2018 | The value of a liability cash flow in discrete time subject to capital requirements. (2018). Lindskog, Filip ; Lindensjo, Kristoffer ; Engsner, Hampus . In: Papers. RePEc:arx:papers:1808.03328. Full description at Econpapers || Download paper | |
2018 | . Full description at Econpapers || Download paper | |
2018 | Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance. (2018). Josa-Fombellida, Ricardo ; Rincon-Zapatero, Juan Pablo ; Lopez-Casado, Paula. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:73-86. Full description at Econpapers || Download paper | |
2018 | Optimality of multi-refraction control strategies in the dual model. (2018). Czarna, Irmina ; Yamazaki, Kazutoshi ; Perez, Jose-Luis. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:148-160. Full description at Econpapers || Download paper | |
2018 | Dividends: From refracting to ratcheting. (2018). Albrecher, Hansjorg ; Bladt, Martin ; Bauerle, Nicole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:47-58. Full description at Econpapers || Download paper | |
2018 | The dual risk model with dividends taken at arrival. (2018). Boxma, Onno ; Frostig, Esther. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:83-92. Full description at Econpapers || Download paper | |
2018 | The economics of sharing macro-longevity risk. (2018). Ool, Annick ; Broeders, Dirk ; van Ool, Annick ; Mehlkopf, Roel. In: DNB Working Papers. RePEc:dnb:dnbwpp:618. Full description at Econpapers || Download paper | |
2018 | Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching. (2018). Wang, Yongjin ; Liao, Huafu ; Bo, Lijun. In: Papers. RePEc:arx:papers:1807.05513. Full description at Econpapers || Download paper | |
2018 | Retirement spending and biological age. (2018). Salisbury, Thomas S ; Milevsky, Moshe A ; Huang, Huaxiong . In: Papers. RePEc:arx:papers:1811.09921. Full description at Econpapers || Download paper | |
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2018 | Optimal investment management for a defined contribution pension fund under imperfect information. (2018). Zhang, Ling ; Yao, Haixiang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:210-224. Full description at Econpapers || Download paper | |
2018 | The Life Expectancy of Older Couples and Surviving Spouses. (2018). Pollak, Robert A ; Compton, Janice. In: Working Papers. RePEc:hka:wpaper:2018-072. Full description at Econpapers || Download paper | |
2018 | The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems. (2018). Chai, Shanglei ; Zhou, P. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:64-75. Full description at Econpapers || Download paper | |
2018 | Weighted risk capital allocations in the presence of systematic risk. (2018). Furman, Edward ; Zitikis, Riardas ; Kuznetsov, Alexey. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:75-81. Full description at Econpapers || Download paper | |
2018 | Robust evaluation of SCR for participating life insurances under Solvency II. (2018). Pelsser, Antoon ; Devolder, Pierre ; Hainaut, Donatien. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:107-123. Full description at Econpapers || Download paper | |
2018 | Portfolio management with targeted constant market volatility. (2018). Doan, Bao ; Sherris, Michael ; Reeves, Jonathan J ; Papageorgiou, Nicolas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:134-147. Full description at Econpapers || Download paper | |
2018 | An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. (2018). Zhao, Yixing ; Mamon, Rogemar. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:1-12. Full description at Econpapers || Download paper | |
2018 | Valuation of contingent convertible catastrophe bonds - the case for equity conversion. (2018). Burnecki, Krzysztof ; Palmowski, Zbigniew ; Nicol, Mario. In: Papers. RePEc:arx:papers:1804.07997. Full description at Econpapers || Download paper | |
2018 | Empirical analysis of market reactions to the UKâs referendum results â How strong will Brexit be?. (2018). Aristeidis, Samitas ; Elias, Kampouris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:263-286. Full description at Econpapers || Download paper | |
2018 | Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Luger, Richard ; Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4. Full description at Econpapers || Download paper | |
2018 | A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection. (2018). Liu, Xin ; Jiang, Wenjun ; Yang, Chen ; Wu, Jiang. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:115-:d:174402. Full description at Econpapers || Download paper | |
2018 | Distortion measures and homogeneous financial derivatives. (2018). Major, John A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:82-91. Full description at Econpapers || Download paper | |
2018 | Enhancing risk management for an aging world. (2018). Mitchell, Olivia S. In: The Geneva Papers on Risk and Insurance Theory. RePEc:kap:geneva:v:43:y:2018:i:2:d:10.1057_s10713-018-0027-x. Full description at Econpapers || Download paper | |
2018 | Enhancing risk management for an aging world. (2018). Mitchell, Olivia S. In: The Geneva Risk and Insurance Review. RePEc:pal:genrir:v:43:y:2018:i:2:d:10.1057_s10713-018-0027-x. Full description at Econpapers || Download paper | |
2018 | Mortality in a heterogeneous population - Lee-Carters methodology. (2018). Jod, Kamil . In: Papers. RePEc:arx:papers:1803.11233. Full description at Econpapers || Download paper | |
2018 | Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement. (2018). Risk, James ; Ludkovski, Michael. In: Papers. RePEc:arx:papers:1710.05204. Full description at Econpapers || Download paper | |
2018 | Parameter uncertainty and reserve risk under Solvency II. (2018). Frohlich, Andreas ; Weng, Annegret . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:130-141. Full description at Econpapers || Download paper | |
2018 | On a multivariate renewal-reward process involving time delays and discounting: applications to IBNR processes and infinite server queues. (2018). Rabehasaina, Landy ; Woo, Jae-Kyung. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:90:y:2018:i:3:d:10.1007_s11134-018-9583-0. Full description at Econpapers || Download paper | |
2018 | The average risk sharing problem under risk measure and expected utility theory. (2018). Mao, Tiantian ; Liu, Haiyan ; Hu, Jiuyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:170-179. Full description at Econpapers || Download paper | |
2018 | Which eligible assets are compatible with comonotonic capital requirements?. (2018). Koch-Medina, Pablo ; Svindland, Gregor ; Munari, Cosimo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:18-26. Full description at Econpapers || Download paper | |
2018 | On the evaluation of some multivariate compound distributions with Sarmanovâs counting distribution. (2018). Vernic, Raluca. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:184-193. Full description at Econpapers || Download paper | |
2018 | Parametric inference for ruin probability in the classical risk model. (2018). Oshime, Takayoshi ; Shimizu, Yasutaka. In: Statistics & Probability Letters. RePEc:eee:stapro:v:133:y:2018:i:c:p:28-37. Full description at Econpapers || Download paper | |
2018 | Optimal proportional reinsurance and investment for stochastic factor models. (2018). Ceci, Claudia ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:1806.01223. Full description at Econpapers || Download paper | |
2018 | Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. (2018). Phelan, Carolyn E ; Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:1:p:210-223. Full description at Econpapers || Download paper | |
2018 | Insurance Risks Management Methodology. (2018). Ivanovna, Kartashova Olga ; Turgaeva, Axana ; Vladimirovna, Molchanova Olga. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:75-:d:179193. Full description at Econpapers || Download paper | |
2018 | On a Class of Singular Stochastic Control Problems for Reflected Diffusions. (2018). Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:592. Full description at Econpapers || Download paper | |
2018 | An Optimal Dividend Problem with Capital Injections over a Finite Horizon. (2018). Schuhmann, Patrick ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:595. Full description at Econpapers || Download paper | |
2018 | A martingale concept for non-monotone information in a jump process framework. (2018). Christiansen, Marcus C. In: Papers. RePEc:arx:papers:1811.00952. Full description at Econpapers || Download paper | |
2018 | Aggregated moving functional median in robust prediction of hierarchical functional time series - an application to forecasting web portal users behaviors. (2018). Rydlewski, Jerzy P ; Mielczarek, Dominik ; Kosiorowski, Daniel. In: Papers. RePEc:arx:papers:1710.02669. Full description at Econpapers || Download paper | |
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2018 | Forecasting of a Hierarchical Functional Time Series on Example of Macromodel for the Day and Night Air Pollution in Silesia Region - A Critical Overview. (2018). Kosiorowski, Daniel ; Rydlewski, Jerzy P ; Mielczarek, Dominik. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:10:y:2018:i:1:p:53-73. Full description at Econpapers || Download paper | |
2018 | Some Results on Measures of Interaction between Paired Risks. (2018). Fang, Rui ; Li, Xiaohu. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:88-:d:166067. Full description at Econpapers || Download paper | |
2018 | Upper bounds for strictly concave distortion risk measures on moment spaces. (2018). Cornilly, D ; Vanduffel, S ; Ruschendorf, L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:141-151. Full description at Econpapers || Download paper | |
2018 | Copula approaches for modeling cross-sectional dependence of data breach losses. (2018). Eling, Martin ; Jung, Kwangmin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:167-180. Full description at Econpapers || Download paper | |
2018 | Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility. (2018). Wang, Pei ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:67-83. Full description at Econpapers || Download paper | |
2018 | Optimal meanâvariance investment and reinsurance problem for an insurer with stochastic volatility. (2018). Sun, Zhongyang ; Guo, Junyi. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:88:y:2018:i:1:d:10.1007_s00186-017-0628-7. Full description at Econpapers || Download paper |
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2018 | Probability measure-valued polynomial diffusions. (2018). Svaluto-Ferro, Sara ; Larsson, Martin ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1807.03229. Full description at Econpapers || Download paper | |
2018 | . Full description at Econpapers || Download paper | |
2018 | Waiting for Godot: the Failure of SMEs in the Italian Manufacturing Industry to Grow. (2018). Autore, Quarto ; Secondo, Universita Cattolicaauthor-Name. In: DISCE - Quaderni del Dipartimento di Scienze Economiche e Sociali. RePEc:ctc:serie2:dises132. Full description at Econpapers || Download paper | |
2018 | A two-decrement model for the valuation and risk measurement of a guaranteed annuity option. (2018). Zhao, Yixing ; GAO, Huan ; Mamon, Rogemar. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:231-249. Full description at Econpapers || Download paper | |
2018 | Upper bounds for strictly concave distortion risk measures on moment spaces. (2018). Cornilly, D ; Vanduffel, S ; Ruschendorf, L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:141-151. Full description at Econpapers || Download paper | |
2018 | Poissonian potential measures for Lévy risk models. (2018). Landriault, David ; Xu, DI ; Li, Bin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:152-166. Full description at Econpapers || Download paper | |
2018 | Non-parametric inference of transition probabilities based on AalenâJohansen integral estimators for acyclic multi-state models: application to LTC insurance. (2018). Guibert, Quentin ; Planchet, Frederic. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:21-36. Full description at Econpapers || Download paper | |
2018 | Time-consistent proportional reinsurance and investment strategies under ambiguous environment. (2018). Guan, Guohui ; Feng, Jian ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:122-133. Full description at Econpapers || Download paper | |
2018 | Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018). (2018). Pesenti, Silvana M ; Millossovich, Pietro ; Tsanakas, Andreas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:29-31. Full description at Econpapers || Download paper | |
2018 | Gini estimation under infinite variance. (2018). Fontanari, Andrea ; Cirillo, Pasquale ; Taleb, Nassim Nicholas. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:256-269. Full description at Econpapers || Download paper | |
2018 | Why Insurers Are Wrong about Adverse Selection. (2018). Thomas, Guy R. In: Laws. RePEc:gam:jlawss:v:7:y:2018:i:2:p:13-:d:141165. Full description at Econpapers || Download paper | |
2018 | Company Value with Ruin Constraint in Lundberg Models. (2018). Hipp, Christian. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:73-:d:159090. Full description at Econpapers || Download paper | |
2018 | On a Multiplicative Multivariate Gamma Distribution with Applications in Insurance. (2018). Semenikhine, Vadim ; Su, Jianxi ; Furman, Edward. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:79-:d:163347. Full description at Econpapers || Download paper | |
2018 | On the Evaluation of the Distribution of a General Multivariate Collective Model: Recursions versus Fast Fourier Transform. (2018). Vernic, Raluca. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:87-:d:165887. Full description at Econpapers || Download paper | |
2018 | Some Results on Measures of Interaction between Paired Risks. (2018). Fang, Rui ; Li, Xiaohu. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:88-:d:166067. Full description at Econpapers || Download paper | |
2018 | A Quantum-Type Approach to Non-Life Insurance Risk Modelling. (2018). Lefevre, Claude ; Utev, Sergey ; Tamturk, Muhsin ; Loisel, Stephane. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:99-:d:169842. Full description at Econpapers || Download paper | |
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2018 | Risk management with multiple VaR constraints. (2018). Chen, AN ; Stadje, Mitja ; Nguyen, Thai. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:88:y:2018:i:2:d:10.1007_s00186-018-0637-1. Full description at Econpapers || Download paper |
Year | Citing document | |
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2017 | Parameter uncertainty and reserve risk under Solvency II. (2017). Frohlich, Andreas ; Weng, Annegret . In: Papers. RePEc:arx:papers:1612.03066. Full description at Econpapers || Download paper | |
2017 | Risk-Minimizing Hedging of Counterparty Risk. (2017). Ceci, Claudia ; Capponi, Agostino ; Bo, Lijun. In: Papers. RePEc:arx:papers:1709.01115. Full description at Econpapers || Download paper | |
2017 | Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach. (2017). Kufakunesu, Rodwell ; Guambe, Calisto. In: Papers. RePEc:arx:papers:1711.01760. Full description at Econpapers || Download paper | |
2017 | Forecasting of a Hierarchical Functional Time Series on Example of Macromodel for Day and Night Air Pollution in Silesia Region: A Critical Overview. (2017). Rydlewski, Jerzy P ; Mielczarek, Dominik ; Kosiorowski, Daniel. In: Papers. RePEc:arx:papers:1712.03797. Full description at Econpapers || Download paper | |
2017 | Redistributive Consequences of Abolishing Uniform Contribution Policies in Pension Funds. (2017). van Wijnbergen, Sweder ; Chen, Damiaan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12497. Full description at Econpapers || Download paper | |
2017 | The compound Poisson risk model under a mixed dividend strategy. (2017). Zhang, Zhimin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:315:y:2017:i:c:p:1-12. Full description at Econpapers || Download paper | |
2017 | Parisian ruin for a refracted Lévy process. (2017). Lkabous, Mohamed Amine ; Renaud, Jean-Franois ; Czarna, Irmina. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:153-163. Full description at Econpapers || Download paper | |
2017 | Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:46-62. Full description at Econpapers || Download paper | |
2017 | A general approach to full-range tail dependence copulas. (2017). Su, Jianxi ; Hua, Lei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:49-64. Full description at Econpapers || Download paper | |
2017 | Interplay of subexponential and dependent insurance and financial risks. (2017). Chen, Yiqing. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:78-83. Full description at Econpapers || Download paper | |
2017 | The composite iteration algorithm for finding efficient and financially fair risk-sharing rules. (2017). Schumacher, Johannes ; Pazdera, Jaroslav. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:72:y:2017:i:c:p:122-133. Full description at Econpapers || Download paper | |
2017 | The Solvency II Standard Formula, Linear Geometry, and Diversification. (2017). Paulusch, Joachim. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:11-:d:98991. Full description at Econpapers || Download paper | |
2017 | Intelligent Decision Support in ProportionalâStop-Loss Reinsurance Using Multiple Attribute Decision-Making (MADM). (2017). Xuan, Shirley Jie ; Poh, Kim Leng. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:22-:d:120649. Full description at Econpapers || Download paper | |
2017 | Asymptotic Estimates for the One-Year Ruin Probability under Risky Investments. (2017). Liu, Jing ; Zhang, Huan. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:28-:d:97825. Full description at Econpapers || Download paper | |
2017 | Actuarial Geometry. (2017). Mildenhall, Stephen J. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:31-:d:101685. Full description at Econpapers || Download paper | |
2017 | Valuation of Non-Life Liabilities from Claims Triangles. (2017). Lindholm, Mathias ; Wahl, Felix ; Lindskog, Filip. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:39-:d:105172. Full description at Econpapers || Download paper | |
2017 | Assessment of Policy Changes to Means-Tested Age Pension Using the Expected Utility Model: Implication for Decisions in Retirement. (2017). Andreasson, Johan G ; Shevchenko, Pavel V. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:47-:d:111425. Full description at Econpapers || Download paper | |
2017 | Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks. (2017). Targino, Rodrigo ; Wuthrich, Mario V ; Peters, Gareth W. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:53-:d:112832. Full description at Econpapers || Download paper | |
2017 | Optimal Initial Capital Induced by the Optimized Certainty Equivalent. (2017). Nishide, Katsumasa ; Arai, Takuji ; Asano, Takao. In: KIER Working Papers. RePEc:kyo:wpaper:981. Full description at Econpapers || Download paper | |
2017 | Rising interest rates, lapse risk, and the stability of life insurers. (2017). Gründl, Helmut ; Kubitza, Christian ; Grundl, Helmut ; Berdin, Elia. In: ICIR Working Paper Series. RePEc:zbw:icirwp:2917. Full description at Econpapers || Download paper |
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2016 | Some Mathematical Aspects of Price Optimisation. (2016). Bai, Y ; Tamraz, M ; Ratovomirija, G ; Hashorva, E. In: Papers. RePEc:arx:papers:1605.05814. Full description at Econpapers || Download paper | |
2016 | Efficient Valuation of SCR via a Neural Network Approach. (2016). Hejazi, Seyed Amir ; Jackson, Kenneth R. In: Papers. RePEc:arx:papers:1610.01946. Full description at Econpapers || Download paper | |
2016 | Multiple risk factor dependence structures: Copulas and related properties. (2016). Furman, Edward ; Su, Jianxi. In: Papers. RePEc:arx:papers:1610.02126. Full description at Econpapers || Download paper | |
2016 | VaR as the CVaR sensitivity : applications in risk optimization. (2016). Balbs, Raquel . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:id-16-01. Full description at Econpapers || Download paper | |
2016 | Alpha-robust mean-variance reinsurance-investment strategy. (2016). Li, Bin ; Xiong, Dewen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:101-123. Full description at Econpapers || Download paper | |
2016 | Optimal investment and reinsurance strategies for insurers with generalized meanâvariance premium principle and no-short selling. (2016). Zhang, Xin ; Zeng, Yan ; Meng, Hui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:125-132. Full description at Econpapers || Download paper | |
2016 | The role of a representative reinsurer in optimal reinsurance. (2016). Zhuang, Sheng Chao ; Boonen, Tim J ; Tan, Ken Seng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:196-204. Full description at Econpapers || Download paper | |
2016 | A micro-level claim count model with overdispersion and reporting delays. (2016). Avanzi, Benjamin ; Yang, Xinda ; Wong, Bernard. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:1-14. Full description at Econpapers || Download paper | |
2016 | Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return. (2016). Li, Jinzhu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:195-204. Full description at Econpapers || Download paper | |
2016 | Constrained investmentâreinsurance optimization with regime switching under variance premium principle. (2016). Shen, Yang ; Wang, Wei ; Qian, Linyi ; Chen, LV. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:253-267. Full description at Econpapers || Download paper | |
2016 | A pair of optimal reinsuranceâinvestment strategies in the two-sided exit framework. (2016). Li, Danping ; Landriault, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:284-294. Full description at Econpapers || Download paper | |
2016 | Issues with the SmithâWilson method. (2016). Lindholm, Mathias ; Lagers, Andreas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:93-102. Full description at Econpapers || Download paper | |
2016 | Understanding Reporting Delay in General Insurance. (2016). Wthrich, Mario V. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:25-:d:73548. Full description at Econpapers || Download paper | |
2016 | Optimal Reinsurance with Heterogeneous Reference Probabilities. (2016). Boonen, Tim J. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:26-:d:73448. Full description at Econpapers || Download paper | |
2016 | Deflation Risk and Implications for Life Insurers. (2016). Begin, Jean-Franois . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:46-:d:84409. Full description at Econpapers || Download paper | |
2016 | How Does Reinsurance Create Value to an Insurer? A Cost-Benefit Analysis Incorporating Default Risk. (2016). Lo, Ambrose . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:48-:d:85331. Full description at Econpapers || Download paper | |
2016 | Smooth investment. (2016). Bruhn, Kenneth ; Steffensen, Mogens ; Jensen, Ninna Reitzel . In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:3:d:10.1007_s10436-016-0283-7. Full description at Econpapers || Download paper | |
2016 | Multivariate extreme value statistics for risk assessment. (2016). He, Yi. In: Other publications TiSEM. RePEc:tiu:tiutis:119cc8b9-5198-41d6-a648-f72501cd4229. Full description at Econpapers || Download paper | |
2016 | NOTE ON THE SMITHâWILSON INTEREST RATE CURVE. (2016). Gach, Florian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:07:n:s0219024916500394. Full description at Econpapers || Download paper |
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2015 | Optimal risk allocation in a market with non-convex preferences. (2015). Assa, Hirbod. In: Papers. RePEc:arx:papers:1503.04460. Full description at Econpapers || Download paper | |
2015 | SMC-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. Full description at Econpapers || Download paper | |
2015 | Optimal Dividend Strategies for Two Collaborating Insurance Companies. (2015). Albrecher, Hansjoerg ; Muler, Nora ; Azcue, Pablo . In: Papers. RePEc:arx:papers:1505.03980. Full description at Econpapers || Download paper | |
2015 | Statistical Emulators for Pricing and Hedging Longevity Risk Products. (2015). Risk, James ; Ludkovski, Michael. In: Papers. RePEc:arx:papers:1508.00310. Full description at Econpapers || Download paper | |
2015 | Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption. (2015). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R. In: Papers. RePEc:arx:papers:1508.01914. Full description at Econpapers || Download paper | |
2015 | Bayesian Poisson log-bilinear models for mortality projections with multiple populations. (2015). Ouburg, Wilbert ; Bardoutsos, Anastasios ; Antonio, Katrien. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1505. Full description at Econpapers || Download paper | |
2015 | Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions. (2015). Guillen, Montserrat ; Chuliá, Helena. In: Working Papers. RePEc:bak:wpaper:201503. Full description at Econpapers || Download paper | |
2015 | Valuing commodity options and futures options with changing economic conditions. (2015). Siu, Tak Kuen ; Fan, Kun ; Wang, Rongming ; Shen, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:524-533. Full description at Econpapers || Download paper | |
2015 | Minimizing the expected lifetime spent in drawdown under proportional consumption. (2015). Bayraktar, Erhan ; Young, Virginia R ; Angoshtari, Bahman. In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:106-114. Full description at Econpapers || Download paper | |
2015 | On 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. Full description at Econpapers || Download paper | |
2015 | Business 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. Full description at Econpapers || Download paper | |
2015 | A 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. Full description at Econpapers || Download paper | |
2015 | Time-consistent reinsuranceâinvestment strategy for a meanâvariance 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. Full description at Econpapers || Download paper | |
2015 | Maxentropic 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. Full description at Econpapers || Download paper | |
2015 | On the convex transform and right-spread orders of smallest claim amounts. (2015). Barmalzan, Ghobad ; Payandeh, Amir T. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:380-384. Full description at Econpapers || Download paper | |
2015 | Equilibrium investment strategy for defined-contribution pension schemes with generalized meanâvariance 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. Full description at Econpapers || Download paper | |
2015 | Convex 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. Full description at Econpapers || Download paper | |
2015 | Comparisons 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. Full description at Econpapers || Download paper | |
2015 | Higher 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. Full description at Econpapers || Download paper | |
2015 | Ambiguity on the insurerâs 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. Full description at Econpapers || Download paper | |
2015 | A 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. Full description at Econpapers || Download paper | |
2015 | Occupation 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. Full description at Econpapers || Download paper | |
2015 | Dependence 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. Full description at Econpapers || Download paper | |
2015 | On ambiguity apportionment. (2015). REY, Beatrice ; Courbage, Christophe. In: Working Papers. RePEc:gat:wpaper:1527. Full description at Econpapers || Download paper | |
2015 | Kriging of financial term-structures. (2015). Cousin, Areski ; Maatouk, Hassan . In: Working Papers. RePEc:hal:wpaper:hal-01206388. Full description at Econpapers || Download paper | |
2015 | On ambiguity apportionment. (2015). REY, Beatrice ; Courbage, Christophe ; Rey-Fournier, Beatrice. In: Working Papers. RePEc:hal:wpaper:halshs-01223230. Full description at Econpapers || Download paper | |
2015 | Modeling and projecting mortality. A new model of heterogeneity and selection in survivorship. (2015). Hansen, Hans Oluf . In: Discussion Papers. RePEc:kud:kuiedp:1516. Full description at Econpapers || Download paper |