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Citation Profile [Updated: 2019-12-04 10:36:47]
5 Years H
43
Impact Factor
0.44
5 Years IF
0.4
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

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
50 most cited documents in this series
#YearTitleCited
12009Pair-copula constructions of multiple dependence. (2009). Frigessi, Arnoldo ; Aas, Kjersti ; Bakken, Henrik ; Czado, Claudia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:182-198.

Full description at Econpapers || Download paper

259
22009Goodness-of-fit tests for copulas: A review and a power study. (2009). Remillard, Bruno ; Beaudoin, David ; Genest, Christian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:199-213.

Full description at Econpapers || Download paper

197
32002The concept of comonotonicity in actuarial science and finance: theory. (2002). Goovaerts, Marc ; Dhaene, Jan ; Vyncke, D. ; Kaas, R. ; Denuit, M.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:3-33.

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190
42002The concept of comonotonicity in actuarial science and finance: applications. (2002). Goovaerts, Marc ; Dhaene, Jan ; Vyncke, D. ; Kaas, R. ; Denuit, M.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:2:p:133-161.

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154
51997Axiomatic characterization of insurance prices. (1997). Panjer, Harry H. ; Young, Virginia R. ; Wang, Shaun S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:2:p:173-183.

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148
62002A Poisson log-bilinear regression approach to the construction of projected lifetables. (2002). Vermunt, Jeroen K. ; Brouhns, Natacha ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:3:p:373-393.

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133
72000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. (2000). Jørgensen, Peter ; Grosen, Anders ; Jorgensen, Peter Lochte . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:26:y:2000:i:1:p:37-57.

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117
82004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts. (2004). Dahl, Mikkel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:1:p:113-136.

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113
92006A 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.

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109
102001Mortality derivatives and the option to annuitise. (2001). Promislow, David S. ; Milevsky, Moshe A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:3:p:299-318.

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104
112005Affine 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.

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104
121996Valuation of the early-exercise price for options using simulations and nonparametric regression. (1996). Carriere, Jacques F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:19:y:1996:i:1:p:19-30.

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85
131997Controlled diffusion models for optimal dividend pay-out. (1997). Taksar, Michael ; Asmussen, Soren. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:20:y:1997:i:1:p:1-15.

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79
141985On convex principles of premium calculation. (1985). Gerber, Hans U. ; Deprez, Olivier. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:4:y:1985:i:3:p:179-189.

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68
152006Valuation and hedging of life insurance liabilities with systematic mortality risk. (2006). Dahl, Mikkel ; Moller, Thomas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:2:p:193-217.

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68
162001Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. (2001). Taillard, Gregory ; Huang, ShaoJuan ; Boulier, Jean-Francois. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:2:p:173-189.

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66
172005Optimal investment for insurer with jump-diffusion risk process. (2005). Zhang, Lihong ; Yang, Hailiang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:615-634.

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66
182003Lee-Carter mortality forecasting with age-specific enhancement. (2003). Renshaw, A. E. ; Haberman, S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:2:p:255-272.

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63
192006Financial valuation of guaranteed minimum withdrawal benefits. (2006). Milevsky, Moshe A. ; Salisbury, Thomas S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:21-38.

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61
202000Upper and lower bounds for sums of random variables. (2000). Goovaerts, Marc ; Dhaene, Jan ; Kaas, Rob . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:27:y:2000:i:2:p:151-168.

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60
212003Pensionmetrics 2: stochastic pension plan design during the distribution phase. (2003). Dowd, Kevin ; Blake, David ; Cairns, Andrew J. G., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:1:p:29-47.

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59
222000Optimal investment for insurers. (2000). Hipp, Christian ; Plum, Michael. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:27:y:2000:i:2:p:215-228.

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59
232006Affine stochastic mortality. (2006). Schrager, David F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:81-97.

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56
241991Risk theory for the compound Poisson process that is perturbed by diffusion. (1991). Dufresne, Francois ; Gerber, Hans U.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:10:y:1991:i:1:p:51-59.

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55
252006Risk measures via g-expectations. (2006). RosazzaGianin, Emanuela . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:1:p:19-34.

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55
262011Mortality density forecasts: An analysis of six stochastic mortality models. (2011). Blake, David ; Cairns, Andrew J. G., ; Khalaf-Allah, Marwa ; Dowd, Kevin ; Coughlan, Guy D. ; Epstein, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:3:p:355-367.

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54
272005Estimating the tail-dependence coefficient: Properties and pitfalls. (2005). Frahm, Gabriel ; Schmidt, Rafael ; Junker, Markus. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:1:p:80-100.

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54
282011Variable annuities: A unifying valuation approach. (2011). Millossovich, Pietro ; Olivieri, Annamaria ; Pitacco, Ermanno ; Bacinello, Anna Rita . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:3:p:285-297.

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53
292003Optimal investment strategies in the presence of a minimum guarantee. (2003). Deelstra, Griselda ; Koehl, Pierre-Francois ; Grasselli, Martino. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:1:p:189-207.

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53
301997The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. (1997). Gerber, Hans U. ; Shiu, Elias S. W., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:2:p:129-137.

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53
311998Comonotonicity, correlation order and premium principles. (1998). Dhaene, Jan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:22:y:1998:i:3:p:235-242.

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52
322008Optimal reinsurance under VaR and CTE risk measures. (2008). Weng, Chengguo ; Zhang, YI ; Tan, Ken Seng ; Cai, Jun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:1:p:185-196.

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50
332001Optimal 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.

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47
342001On the time to ruin for Erlang(2) risk processes. (2001). Hipp, Christian ; Dickson,David C. M., ; Dickson, David C. M., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:3:p:333-344.

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47
351999A synthesis of risk measures for capital adequacy. (1999). Wirch, Julia Lynn ; Hardy, Mary R.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:3:p:337-347.

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46
362009On stochastic mortality modeling. (2009). Plat, Richard . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:45:y:2009:i:3:p:393-404.

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46
371999Fitting bivariate loss distributions with copulas. (1999). Parsa, Rahul ; Klugman, Stuart A.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:24:y:1999:i:1-2:p:139-148.

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46
382001Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase. (2001). Dowd, Kevin ; Blake, David ; Cairns, Andrew J. G., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:2:p:187-215.

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46
392007Optimal dividends in the dual model. (2007). Avanzi, Benjamin ; S. W. Shiu, Elias, ; Gerber, Hans U.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:41:y:2007:i:1:p:111-123.

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45
402004Some new classes of consistent risk measures. (2004). Goovaerts, Marc ; Dhaene, Jan ; Tang, Qihe ; Kaas, Rob . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:34:y:2004:i:3:p:505-516.

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45
412005Bivariate option pricing using dynamic copula models. (2005). Werker, Bas ; van den Goorbergh, Rob ; Genest, Christian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:1:p:101-114.

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44
421997Stop-loss order for portfolios of dependent risks. (1997). Müller, Alfred. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:3:p:219-223.

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44
431995Ruin estimates under interest force. (1995). Sundt, Bjorn ; TEUGELS, Jozef L.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:16:y:1995:i:1:p:7-22.

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43
442004Optimal 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.

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43
451993Pricing 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.

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43
462011Optimal time-consistent investment and reinsurance policies for mean-variance insurers. (2011). Zeng, Yan ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:1:p:145-154.

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43
472002Optimal 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.

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42
482008Coherent risk measures, coherent capital allocations and the gradient allocation principle. (2008). Buch, A. ; Dorfleitner, G.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:1:p:235-242.

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42
492003Rational hedging and valuation of integrated risks under constant absolute risk aversion. (2003). Becherer, Dirk. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:1:p:1-28.

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41
502006Consistent 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.

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41
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12009Pair-copula constructions of multiple dependence. (2009). Frigessi, Arnoldo ; Aas, Kjersti ; Bakken, Henrik ; Czado, Claudia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:182-198.

Full description at Econpapers || Download paper

85
22009Goodness-of-fit tests for copulas: A review and a power study. (2009). Remillard, Bruno ; Beaudoin, David ; Genest, Christian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:199-213.

Full description at Econpapers || Download paper

48
32006A 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
42002A 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.

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32
52014Generalized 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.

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28
61997Axiomatic 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
71996Valuation 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
82002The 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
92002The 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
102005Affine processes for dynamic mortality and actuarial valuations. (2005). Biffis, Enrico. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:443-468.

Full description at Econpapers || Download paper

23
112004Stochastic 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
122006Risk 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
132012Modeling 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.

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20
142009On 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
152006Financial 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
162003Lee-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
172000Fair 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
182011Mortality 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
192003Optimal 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
202011Optimal 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
212009To 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.

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16
222006Valuation 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
231997Controlled 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
242005Optimal 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
252005Estimating the tail-dependence coefficient: Properties and pitfalls. (2005). Frahm, Gabriel ; Schmidt, Rafael ; Junker, Markus. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:1:p:80-100.

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15
262008Optimal 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.

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15
272011Variable annuities: A unifying valuation approach. (2011). Millossovich, Pietro ; Olivieri, Annamaria ; Pitacco, Ermanno ; Bacinello, Anna Rita . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:3:p:285-297.

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282001Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. (2001). Taillard, Gregory ; Huang, ShaoJuan ; Boulier, Jean-Francois. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:2:p:173-189.

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292009Optimal 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.

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302001Optimal 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.

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13
312013Optimal reinsurance with general premium principles. (2013). Chi, Yichun ; Tan, Ken Seng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:52:y:2013:i:2:p:180-189.

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322008Optimal reinsurance under VaR and CTE risk measures. (2008). Weng, Chengguo ; Zhang, YI ; Tan, Ken Seng ; Cai, Jun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:1:p:185-196.

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13
332013Optimal 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.

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13
342006Consistent 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.

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351999Optimal insurance under Wangs premium principle. (1999). Young, Virginia R.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:2:p:109-122.

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362011Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives. (2011). Ngai, Andrew ; Sherris, Michael. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:1:p:100-114.

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13
372010On 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.

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13
381999Analytic 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.

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13
392014On optimal periodic dividend strategies in the dual model with diffusion. (2014). Avanzi, Benjamin ; Tu, Vincent ; Wong, Bernard. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:210-224.

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402011Explicit ruin formulas for models with dependence among risks. (2011). Loisel, Stéphane ; Constantinescu, Corina ; Albrecher, Hansjorg. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:2:p:265-270.

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12
412012Fitting 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.

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422012Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. (2012). Zeng, Yan ; Li, Zhongfei ; Lai, Yongzeng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:1:p:191-203.

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12
432006Affine stochastic mortality. (2006). Schrager, David F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:81-97.

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441986The 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.

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12
452016Marginal 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.

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12
462013Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion 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.

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472004An 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.

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482007Optimal dividends in the dual model. (2007). Avanzi, Benjamin ; S. W. Shiu, Elias, ; Gerber, Hans U.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:41:y:2007:i:1:p:111-123.

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492014Optimal 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.

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502006Evaluating 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.

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Citing documents used to compute impact factor: 110
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2018Minimizing 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.

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2018Insurance 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.

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2018Optimal 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.

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2018Pre-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.

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2018Time-consistent mean–variance 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.

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2018Bootstrapping 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.

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2018Reduced-form framework under model uncertainty. (2018). Zhang, Yinglin ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1707.04475.

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2018Optimal 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.

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2018Law-invariant insurance pricing and its limitations. (2018). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:1808.00821.

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2018Risk sharing for capital requirements with multidimensional security markets. (2018). Svindland, Gregor ; Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:1809.10015.

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2018Strategic 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.

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2018Stochastic Drawdowns. (2018). Zhang, Hongzhong. In: World Scientific Books. RePEc:wsi:wsbook:10078.

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2018On 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.

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2018Estimating 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.

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2018Does 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.

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2018A 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.

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2018Choice 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.

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2018Bayesian 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.

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2018Optimal 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.

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2018Time-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.

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2018A 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.

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2018.

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2018Exact 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.

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2018Cliquet option pricing in a jump-diffusion L\{e}vy model. (2018). Hess, Markus. In: Papers. RePEc:arx:papers:1810.09670.

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2018The 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.

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2018.

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2018Portfolio 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.

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2018Optimality 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.

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2018Dividends: 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.

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2018The 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.

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2018The economics of sharing macro-longevity risk. (2018). Ool, Annick ; Broeders, Dirk ; van Ool, Annick ; Mehlkopf, Roel. In: DNB Working Papers. RePEc:dnb:dnbwpp:618.

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2018Optimal 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.

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2018Retirement spending and biological age. (2018). Salisbury, Thomas S ; Milevsky, Moshe A ; Huang, Huaxiong . In: Papers. RePEc:arx:papers:1811.09921.

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2018The Life Expectancy of Older Couples and Surviving Spouses. (2018). Pollak, Robert A ; Compton, Janice. In: Working Papers. RePEc:hka:wpaper:2018-072.

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2018The 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.

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2018Weighted 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.

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2018Robust 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.

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2018Portfolio 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.

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2018An 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.

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2018Valuation of contingent convertible catastrophe bonds - the case for equity conversion. (2018). Burnecki, Krzysztof ; Palmowski, Zbigniew ; Nicol, Mario. In: Papers. RePEc:arx:papers:1804.07997.

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2018Empirical analysis of market reactions to the UK’s referendum results – 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.

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2018Markov-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.

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2018A 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.

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2018Distortion 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.

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2018Enhancing 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.

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2018Enhancing 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.

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2018Mortality in a heterogeneous population - Lee-Carters methodology. (2018). Jod, Kamil . In: Papers. RePEc:arx:papers:1803.11233.

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2018Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement. (2018). Risk, James ; Ludkovski, Michael. In: Papers. RePEc:arx:papers:1710.05204.

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2018Parameter 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.

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2018On 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.

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2018The 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.

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2018Which 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.

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2018On the evaluation of some multivariate compound distributions with Sarmanov’s counting distribution. (2018). Vernic, Raluca. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:184-193.

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2018Parametric 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.

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2018Optimal proportional reinsurance and investment for stochastic factor models. (2018). Ceci, Claudia ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:1806.01223.

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2018Fluctuation 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.

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2018Insurance 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.

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2018On a Class of Singular Stochastic Control Problems for Reflected Diffusions. (2018). Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:592.

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2018An 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.

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2018A martingale concept for non-monotone information in a jump process framework. (2018). Christiansen, Marcus C. In: Papers. RePEc:arx:papers:1811.00952.

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2018Aggregated 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.

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2018
2018Forecasting 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.

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2018Some 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.

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2018Upper 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.

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2018Copula 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.

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2018Robust 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.

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2018Optimal mean–variance 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.

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Recent citations received in 2018

YearCiting document
2018Probability measure-valued polynomial diffusions. (2018). Svaluto-Ferro, Sara ; Larsson, Martin ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1807.03229.

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2018.

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2018Waiting 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.

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2018A 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.

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2018Upper 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.

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2018Poissonian 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.

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2018Non-parametric inference of transition probabilities based on Aalen–Johansen 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.

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2018Time-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.

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2018Euler 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.

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2018Gini 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.

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2018Why 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.

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2018Company 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.

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2018On 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.

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2018On 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.

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2018Some 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.

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2018A 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.

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2018
2018
2018Risk 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.

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Recent citations received in 2017

YearCiting document
2017Parameter uncertainty and reserve risk under Solvency II. (2017). Frohlich, Andreas ; Weng, Annegret . In: Papers. RePEc:arx:papers:1612.03066.

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2017Risk-Minimizing Hedging of Counterparty Risk. (2017). Ceci, Claudia ; Capponi, Agostino ; Bo, Lijun. In: Papers. RePEc:arx:papers:1709.01115.

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2017Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach. (2017). Kufakunesu, Rodwell ; Guambe, Calisto. In: Papers. RePEc:arx:papers:1711.01760.

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2017Forecasting 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.

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2017Redistributive Consequences of Abolishing Uniform Contribution Policies in Pension Funds. (2017). van Wijnbergen, Sweder ; Chen, Damiaan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12497.

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2017The 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.

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2017Parisian 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.

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2017Equity-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.

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2017A 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.

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2017Interplay 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.

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2017The 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.

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2017The 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.

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2017Intelligent Decision Support in Proportional–Stop-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.

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2017Asymptotic 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.

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2017Actuarial Geometry. (2017). Mildenhall, Stephen J. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:31-:d:101685.

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2017Valuation 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.

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2017Assessment 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.

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2017Bayesian 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.

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2017Optimal Initial Capital Induced by the Optimized Certainty Equivalent. (2017). Nishide, Katsumasa ; Arai, Takuji ; Asano, Takao. In: KIER Working Papers. RePEc:kyo:wpaper:981.

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2017Rising 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.

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Recent citations received in 2016

YearCiting document
2016Some Mathematical Aspects of Price Optimisation. (2016). Bai, Y ; Tamraz, M ; Ratovomirija, G ; Hashorva, E. In: Papers. RePEc:arx:papers:1605.05814.

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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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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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2016VaR as the CVaR sensitivity : applications in risk optimization. (2016). Balbs, Raquel . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:id-16-01.

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2016Alpha-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.

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2016Optimal investment and reinsurance strategies for insurers with generalized mean–variance 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.

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2016The 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.

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2016A 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.

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2016Uniform 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.

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2016Constrained investment–reinsurance 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.

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2016A pair of optimal reinsurance–investment 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.

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2016Issues with the Smith–Wilson method. (2016). Lindholm, Mathias ; Lagers, Andreas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:93-102.

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2016Understanding Reporting Delay in General Insurance. (2016). Wthrich, Mario V. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:25-:d:73548.

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2016Optimal Reinsurance with Heterogeneous Reference Probabilities. (2016). Boonen, Tim J. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:26-:d:73448.

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2016Deflation 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.

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2016How 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.

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2016Smooth 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.

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2016Multivariate extreme value statistics for risk assessment. (2016). He, Yi. In: Other publications TiSEM. RePEc:tiu:tiutis:119cc8b9-5198-41d6-a648-f72501cd4229.

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2016NOTE ON THE SMITH–WILSON 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.

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Recent citations received in 2015

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

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

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

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

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

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2015Bayesian 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.

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2015Mortality 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.

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2015Valuing 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.

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2015Minimizing 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.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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