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IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1982 | 0 | 28 | 28 | 0 | 0 | |||||||||||||
1983 | 0 | 25 | 53 | 0 | 0 | |||||||||||||
1984 | 0 | 34 | 87 | 0 | 0 | |||||||||||||
1985 | 0 | 40 | 127 | 0 | 0 | |||||||||||||
1986 | 0 | 40 | 167 | 0 | 0 | |||||||||||||
1987 | 0 | 29 | 196 | 0 | 1 | 0 | ||||||||||||
1988 | 0 | 34 | 230 | 0 | 1 | 0 | ||||||||||||
1989 | 0 | 37 | 267 | 0 | 0 | |||||||||||||
1990 | 0 | 0.1 | 0 | 0 | 34 | 301 | 181 | 1 | 1 | 71 | 180 | 0 | 0 | 0.05 | ||||
1991 | 0.06 | 0.1 | 0.01 | 0.02 | 25 | 326 | 141 | 4 | 5 | 71 | 4 | 174 | 4 | 1 | 25 | 0 | 0.05 | |
1992 | 0 | 0.11 | 0 | 0 | 43 | 369 | 185 | 1 | 6 | 59 | 159 | 0 | 1 | 0.02 | 0.05 | |||
1993 | 0.01 | 0.13 | 0 | 0.01 | 42 | 411 | 199 | 2 | 8 | 68 | 1 | 173 | 2 | 0 | 0 | 0.06 | ||
1994 | 0.04 | 0.14 | 0.04 | 0.04 | 29 | 440 | 205 | 15 | 24 | 85 | 3 | 181 | 7 | 0 | 1 | 0.03 | 0.06 | |
1995 | 0.07 | 0.22 | 0.09 | 0.06 | 28 | 468 | 263 | 42 | 66 | 71 | 5 | 173 | 11 | 37 | 88.1 | 1 | 0.04 | 0.1 |
1996 | 0.25 | 0.25 | 0.12 | 0.15 | 25 | 493 | 286 | 58 | 124 | 57 | 14 | 167 | 25 | 41 | 70.7 | 0 | 0.12 | |
1997 | 0.19 | 0.24 | 0.14 | 0.17 | 41 | 534 | 666 | 77 | 201 | 53 | 10 | 167 | 28 | 64 | 83.1 | 2 | 0.05 | 0.11 |
1998 | 0.23 | 0.28 | 0.16 | 0.19 | 41 | 575 | 503 | 92 | 294 | 66 | 15 | 165 | 31 | 68 | 73.9 | 2 | 0.05 | 0.13 |
1999 | 0.39 | 0.3 | 0.23 | 0.25 | 51 | 626 | 607 | 142 | 436 | 82 | 32 | 164 | 41 | 120 | 84.5 | 8 | 0.16 | 0.15 |
2000 | 0.23 | 0.35 | 0.19 | 0.22 | 51 | 677 | 635 | 132 | 568 | 92 | 21 | 186 | 41 | 88 | 66.7 | 8 | 0.16 | 0.16 |
2001 | 0.25 | 0.38 | 0.23 | 0.24 | 48 | 725 | 704 | 168 | 736 | 102 | 26 | 209 | 51 | 107 | 63.7 | 7 | 0.15 | 0.17 |
2002 | 0.4 | 0.41 | 0.36 | 0.28 | 57 | 782 | 919 | 281 | 1018 | 99 | 40 | 232 | 66 | 192 | 68.3 | 15 | 0.26 | 0.21 |
2003 | 0.47 | 0.44 | 0.37 | 0.38 | 70 | 852 | 903 | 313 | 1331 | 105 | 49 | 248 | 93 | 186 | 59.4 | 7 | 0.1 | 0.22 |
2004 | 0.3 | 0.49 | 0.32 | 0.27 | 62 | 914 | 919 | 288 | 1619 | 127 | 38 | 277 | 76 | 191 | 66.3 | 9 | 0.15 | 0.22 |
2005 | 0.33 | 0.5 | 0.36 | 0.29 | 70 | 984 | 967 | 350 | 1970 | 132 | 44 | 288 | 84 | 187 | 53.4 | 6 | 0.09 | 0.23 |
2006 | 0.46 | 0.5 | 0.43 | 0.36 | 72 | 1056 | 1190 | 445 | 2419 | 132 | 61 | 307 | 111 | 177 | 39.8 | 12 | 0.17 | 0.23 |
2007 | 0.37 | 0.46 | 0.33 | 0.32 | 63 | 1119 | 729 | 360 | 2785 | 142 | 52 | 331 | 107 | 163 | 45.3 | 5 | 0.08 | 0.2 |
2008 | 0.81 | 0.49 | 0.65 | 0.62 | 162 | 1281 | 1624 | 828 | 3617 | 135 | 109 | 337 | 210 | 428 | 51.7 | 44 | 0.27 | 0.23 |
2009 | 0.5 | 0.47 | 0.59 | 0.43 | 106 | 1387 | 1657 | 813 | 4434 | 225 | 112 | 429 | 184 | 313 | 38.5 | 20 | 0.19 | 0.23 |
2010 | 0.57 | 0.48 | 0.62 | 0.51 | 108 | 1495 | 975 | 921 | 5358 | 268 | 154 | 473 | 242 | 431 | 46.8 | 26 | 0.24 | 0.21 |
2011 | 0.59 | 0.52 | 0.58 | 0.43 | 95 | 1590 | 937 | 915 | 6273 | 214 | 126 | 511 | 220 | 389 | 42.5 | 15 | 0.16 | 0.24 |
2012 | 0.53 | 0.51 | 0.67 | 0.48 | 115 | 1705 | 1015 | 1135 | 7408 | 203 | 107 | 534 | 255 | 471 | 41.5 | 36 | 0.31 | 0.22 |
2013 | 0.69 | 0.56 | 0.89 | 0.63 | 142 | 1847 | 1062 | 1636 | 9044 | 210 | 145 | 586 | 367 | 718 | 43.9 | 31 | 0.22 | 0.24 |
2014 | 0.56 | 0.55 | 0.66 | 0.56 | 104 | 1951 | 771 | 1296 | 10340 | 257 | 144 | 566 | 316 | 489 | 37.7 | 29 | 0.28 | 0.23 |
2015 | 0.66 | 0.55 | 0.81 | 0.56 | 139 | 2090 | 826 | 1690 | 12030 | 246 | 163 | 564 | 314 | 693 | 41 | 31 | 0.22 | 0.23 |
2016 | 0.76 | 0.53 | 0.85 | 0.6 | 145 | 2235 | 644 | 1898 | 13928 | 243 | 185 | 595 | 357 | 667 | 35.1 | 23 | 0.16 | 0.21 |
2017 | 0.58 | 0.55 | 0.76 | 0.5 | 104 | 2339 | 476 | 1782 | 15710 | 284 | 164 | 645 | 325 | 480 | 26.9 | 24 | 0.23 | 0.21 |
2018 | 0.52 | 0.57 | 0.73 | 0.48 | 103 | 2442 | 370 | 1774 | 17484 | 249 | 130 | 634 | 302 | 613 | 34.6 | 25 | 0.24 | 0.24 |
2019 | 0.66 | 0.6 | 0.78 | 0.51 | 92 | 2534 | 261 | 1973 | 19459 | 207 | 137 | 595 | 305 | 563 | 28.5 | 20 | 0.22 | 0.24 |
2020 | 0.75 | 0.73 | 0.79 | 0.54 | 104 | 2638 | 162 | 2085 | 21544 | 195 | 146 | 583 | 313 | 505 | 24.2 | 31 | 0.3 | 0.34 |
2021 | 0.89 | 1.02 | 0.87 | 0.67 | 130 | 2768 | 105 | 2405 | 23949 | 196 | 174 | 548 | 366 | 850 | 35.3 | 52 | 0.4 | 0.38 |
IF: | Two years Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for all series in RePEc in year y |
CIF: | Cumulative impact factor |
IF5: | Five years 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 | 426 |
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 | 296 |
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 | 245 |
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 | 204 |
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 | 202 |
6 | 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 | 198 |
7 | 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 | 194 |
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 | 138 |
9 | 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 | 138 |
10 | 2000 | Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. (2000). JÃÆørgensen, 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 | 129 |
11 | 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 | 127 |
12 | 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 | 125 |
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 | 111 |
14 | 2014 | Generalized quantiles as risk measures. (2014). MÃÆüller, 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 | 95 |
15 | 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 | 95 |
16 | 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 | 88 |
17 | 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 | 86 |
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 | 85 |
19 | 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 | 84 |
20 | 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 | 82 |
21 | 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 | 82 |
22 | 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 | 80 |
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 | 80 |
24 | 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 | 78 |
25 | 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 | 72 |
26 | 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 | 72 |
27 | 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 | 72 |
28 | 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 | 71 |
29 | 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 | 71 |
30 | 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 | 71 |
31 | 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 | 70 |
32 | 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 | 68 |
33 | 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 | 68 |
34 | 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 | 67 |
35 | 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 | 66 |
36 | 2003 | The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. (2003). Willmot, Gordon E. ; Drekic, Steve ; Lin, Sheldon X.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:3:p:551-566. Full description at Econpapers || Download paper | 63 |
37 | 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 | 62 |
38 | 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 | 62 |
39 | 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 | 60 |
40 | 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 | 59 |
41 | 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 | 59 |
42 | 2008 | Weighted risk capital allocations. (2008). Furman, Edward ; Zitikis, Ricardas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:2:p:263-269. Full description at Econpapers || Download paper | 58 |
43 | 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 | 58 |
44 | 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 | 57 |
45 | 2011 | Explicit ruin formulas for models with dependence among risks. (2011). Loisel, St̮̩phane ; 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 | 56 |
46 | 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 | 56 |
47 | 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 | 56 |
48 | 1982 | Estimates for the probability of ruin with special emphasis on the possibility of large claims. (1982). VERAVERBEKE, N. ; Embrechts, P.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:1:y:1982:i:1:p:55-72. Full description at Econpapers || Download paper | 55 |
49 | 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 | 54 |
50 | 2008 | Weighted premium calculation principles. (2008). Furman, Edward ; Zitikis, Ricardas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:1:p:459-465. Full description at Econpapers || Download paper | 54 |
# | 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 | 129 |
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 | 60 |
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 | 52 |
4 | 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 | 41 |
5 | 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 | 40 |
6 | 2014 | Generalized quantiles as risk measures. (2014). MÃÆüller, 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 | 39 |
7 | 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 | 37 |
8 | 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 | 36 |
9 | 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 | 33 |
10 | 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 | 28 |
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 | 22 |
12 | 2012 | Convex order and comonotonic conditional mean risk sharing. (2012). Dhaene, Jan ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:2:p:265-270. Full description at Econpapers || Download paper | 21 |
13 | 2008 | Weighted risk capital allocations. (2008). Furman, Edward ; Zitikis, Ricardas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:2:p:263-269. Full description at Econpapers || Download paper | 21 |
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 | 20 |
15 | 2016 | Generalized linear models for dependent frequency and severity of insurance claims. (2016). Genest, C ; Garrido, J ; Schulz, J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:205-215. Full description at Econpapers || Download paper | 20 |
16 | 2016 | Markov regime-switching quantile regression models and financial contagion detection. (2016). Ye, Wuyi ; Miao, Baiqi ; Wu, Yuehua ; Zhu, Yangguang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:21-26. Full description at Econpapers || Download paper | 19 |
17 | 2017 | Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency. (2017). Dhaene, Jan ; Chen, Ze ; Barigou, Karim ; Linders, Daniel ; Stassen, Ben . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:14-27. Full description at Econpapers || Download paper | 19 |
18 | 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 | 19 |
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20 | 2015 | Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk. (2015). Hanewald, Katja ; Shao, Adam W ; Sherris, Michael. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:63:y:2015:i:c:p:76-90. Full description at Econpapers || Download paper | 18 |
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 | 18 |
22 | 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 | 18 |
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25 | 2011 | A comparative study of parametric mortality projection models. (2011). Renshaw, Arthur ; Haberman, Steven. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:1:p:35-55. Full description at Econpapers || Download paper | 17 |
26 | 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 | 17 |
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28 | 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 | 16 |
29 | 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 | 16 |
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36 | 2019 | Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency. (2019). Dhaene, Jan ; Chen, ZE ; Barigou, Karim. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:19-29. Full description at Econpapers || Download paper | 15 |
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38 | 2009 | Estimating value at risk of portfolio by conditional copula-GARCH method. (2009). Liang, Hueimei ; Lin, Wei-Fu ; Lee, Kuo-Jung ; Huang, Jen-Jsung . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:45:y:2009:i:3:p:315-324. Full description at Econpapers || Download paper | 15 |
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41 | 2013 | Application of data clustering and machine learning in variable annuity valuation. (2013). Gan, Guojun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:795-801. Full description at Econpapers || Download paper | 14 |
42 | 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 | 14 |
43 | 2013 | Robust optimal control for an insurer with reinsurance and investment under Hestonââ¬â¢s stochastic volatility model. (2013). Yi, BO ; Li, Zhongfei ; Zeng, Yan ; Viens, Frederi G.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:601-614. Full description at Econpapers || Download paper | 14 |
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45 | 2016 | Robust equilibrium reinsurance-investment strategy for a meanââ¬âvariance insurer in a model with jumps. (2016). Zeng, Yan ; Gu, Ailing ; Li, Danping. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:138-152. Full description at Econpapers || Download paper | 14 |
46 | 2017 | Grouped multivariate and functional time series forecasting:An application to annuity pricing. (2017). Shang, Han Lin ; Haberman, Steven. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:166-179. Full description at Econpapers || Download paper | 14 |
47 | 2008 | Optimal dividend and issuance of equity policies in the presence of proportional costs. (2008). Lokka, Arne ; Zervos, Mihail. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:3:p:954-961. Full description at Econpapers || Download paper | 14 |
48 | 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 | 14 |
49 | 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 | 14 |
50 | 2015 | Dependent frequencyââ¬âseverity modeling of insurance claims. (2015). Shi, Peng ; Ivantsova, Anastasia ; Feng, Xiaoping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:417-428. Full description at Econpapers || Download paper | 14 |
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2021 | Volterra mortality model: Actuarial valuation and risk management with long-range dependence. (2021). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:1-14. Full description at Econpapers || Download paper | |
2021 | Longevity risk and capital markets: The 2019-20 update. (2021). , Andrew ; Blake, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Mean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process. (2021). Zou, Bin ; Shen, Yang. In: Papers. RePEc:arx:papers:2101.03954. Full description at Econpapers || Download paper | |
2021 | Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation. (2021). He, Xuedong ; Yu, Xun. In: Papers. RePEc:arx:papers:2105.01829. Full description at Econpapers || Download paper | |
2021 | Time-consistent longevity hedging with long-range dependence. (2021). Wong, Hoi Ying ; Wang, Ling. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:25-41. Full description at Econpapers || Download paper | |
2021 | Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate. (2021). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Papers. RePEc:arx:papers:2112.06602. Full description at Econpapers || Download paper | |
2021 | Optimal Expansion of Business Opportunity. (2021). Wong, Hoi Ying ; Chiu, Mei Choi ; Chen, Kexin ; Wang, Ling. In: Papers. RePEc:arx:papers:2112.06706. Full description at Econpapers || Download paper | |
2021 | Designing Annuities with Flexibility Opportunities in an Uncertain Mortality Scenario. (2021). Olivieri, Annamaria. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:11:p:189-:d:662618. Full description at Econpapers || Download paper | |
2021 | Optimal retirement products under subjective mortality beliefs. (2021). Rach, Manuel ; Hieber, Peter ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:55-69. Full description at Econpapers || Download paper | |
2021 | Micro-level parametric duration-frequency-severity modeling for outstanding claim payments. (2021). Pigeon, Mathieu ; Yanez, Juan Sebastian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:106-119. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints. (2021). Qian, Linyi ; Jin, Zhuo ; Zhang, Nan ; Wang, Ning. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:168-184. Full description at Econpapers || Download paper | |
2021 | On a class of non-zero-sum stochastic differential dividend games with regime switching. (2021). Li, Shuanming ; Jin, Zhuo ; Chen, Ping ; Zhang, Jiannan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:397:y:2021:i:c:s0096300321000047. Full description at Econpapers || Download paper | |
2021 | On Sustainable Aged Care Financing in Australia. (2021). Sherris, Michael. In: Australian Economic Review. RePEc:bla:ausecr:v:54:y:2021:i:2:p:275-284. Full description at Econpapers || Download paper | |
2021 | Catastrophic risks and the pricing of catastrophe equity put options. (2021). Tassinari, Gian Luca ; Quaranta, Anna Grazia ; Bianchi, Michele Leonardo ; ARNONE, MASSIMO . In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:2:d:10.1007_s10287-021-00391-y. Full description at Econpapers || Download paper | |
2021 | A Finite Mixture Modelling Perspective for Combining Expertsâ Opinions with an Application to Quantile-Based Risk Measures. (2021). Tzougas, George ; Barrieu, Pauline ; Makariou, Despoina. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:6:p:115-:d:572157. Full description at Econpapers || Download paper | |
2021 | Gamma Mixture Density Networks and their application to modelling insurance claim amounts. (2021). Wuthrich, Mario V ; Lindholm, Mathias ; Delong, Ukasz. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:240-261. Full description at Econpapers || Download paper | |
2021 | The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking. (2021). di Cerchiara, Alice Pignatelli ; Tzougas, George. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:602-625. Full description at Econpapers || Download paper | |
2021 | Bivariate mixed Poisson regression models with varying dispersion. (2021). di Cerchiara, Alice Pignatelli ; Tzougas, George. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:114327. Full description at Econpapers || Download paper | |
2021 | A combined analysis of hedge effectiveness and capital efficiency in longevity hedging. (2021). Russ, Jochen ; Freimann, Arne ; Borger, Matthias . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:309-326. Full description at Econpapers || Download paper | |
2021 | Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy. (2021). Devolder, Pierre ; Hieber, Peter ; Hanna, Vanessa. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021010. Full description at Econpapers || Download paper | |
2021 | A collective investment problem in a stochastic volatility environment: The impact of sharing rules. (2021). Rach, Manuel ; Nguyen, Thai ; Chen, AN. In: Annals of Operations Research. RePEc:spr:annopr:v:302:y:2021:i:1:d:10.1007_s10479-021-03983-8. Full description at Econpapers || Download paper | |
2021 | Interaction effects between dynamic hybrid products and traditional deferred annuities in the German life insurance market. (2021). Bartels, Johannes ; Moretti, Nikolaj. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:35:y:2021:i:2:d:10.1007_s11408-020-00367-z. Full description at Econpapers || Download paper | |
2021 | Decrease of capital guarantees in life insurance products: can reinsurance stop it?. (2021). Kschonnek, Michel ; Havrylenko, Yevhen ; Escobar-Anel, Marcos ; Zagst, Rudi. In: Papers. RePEc:arx:papers:2111.03603. Full description at Econpapers || Download paper | |
2021 | Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs. (2021). Ghossoub, Mario ; Boonen, Tim J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:23-37. Full description at Econpapers || Download paper | |
2021 | Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance. (2021). He, Xue Dong ; Ghossoub, Mario. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:6-22. Full description at Econpapers || Download paper | |
2021 | Improved index insurance design and yield estimation using a dynamic factor forecasting approach. (2021). Zhu, Wenjun ; Tan, Ken Seng ; Porth, Lysa ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:208-221. Full description at Econpapers || Download paper | |
2021 | Reinsurance of multiple risks with generic dependence structures. (2020). Moura, Alexandra B ; Guerra, Manuel. In: Papers. RePEc:arx:papers:2009.12274. Full description at Econpapers || Download paper | |
2021 | Risk sharing with multiple indemnity environments. (2021). Chong, Wing Fung ; Chi, Yichun ; Boonen, Tim J ; Asimit, Alexandru V. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:2:p:587-603. Full description at Econpapers || Download paper | |
2021 | Structured reinsurance deals with reference to relative market performance. (2021). Krvavych, Yuriy ; Albrecher, Hansjorg ; Vincent, Leonard. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:125-139. Full description at Econpapers || Download paper | |
2021 | Reinsurance of multiple risks with generic dependence structures. (2021). de Moura, A B ; Guerra, M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:547-571. Full description at Econpapers || Download paper | |
2021 | Demand for non-life insurance under habit formation. (2021). Wei, Pengyu ; Tan, Ken Seng ; Li, Wenyuan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:38-54. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. (2021). Su, Jianxi ; Furman, Edward ; Mohammed, Nawaf. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:425-436. Full description at Econpapers || Download paper | |
2021 | A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance. (2021). Grassi, Stefano ; Casarin, Roberto ; van Dijk, Herman K ; Ravazzolo, Francesco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210016. Full description at Econpapers || Download paper | |
2021 | Some results on the risk capital allocation rule induced by the Conditional Tail Expectation risk measure. (2021). Furman, Edward ; Su, Jianxi ; Mohammed, Nawaf. In: Papers. RePEc:arx:papers:2102.05003. Full description at Econpapers || Download paper | |
2021 | Too big to fail? An analysis of the Colombian banking system through compositional data.. (2021). Vega, Juan David ; Santolino, Miguel. In: IREA Working Papers. RePEc:ira:wpaper:202111. Full description at Econpapers || Download paper | |
2021 | Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging. (2021). Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:408-428. Full description at Econpapers || Download paper | |
2021 | Pareto-optimal reinsurance policies with maximal synergy. (2021). Ren, Jiandong ; Hong, Hanping ; Jiang, Wenjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:185-198. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Fees in tontines. (2021). Rach, Manuel ; Guillen, Montserrat ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:89-106. Full description at Econpapers || Download paper | |
2021 | Longevity-risk-adjusted global age as a measure of well-being. (2021). Recchioni, Maria Cristina ; Mariani, Francesca ; Polinesi, Gloria ; Mezzelani, Mattia. In: RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies. RePEc:ite:iteeco:210403. Full description at Econpapers || Download paper | |
2021 | The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. (2021). Forsyth, Peter A ; Dang, Duy-Minh ; van Staden, Pieter M. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:2:p:774-792. Full description at Econpapers || Download paper | |
2021 | A Neural Network Monte Carlo Approximation for Expected Utility Theory. (2021). Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Zhu, Yichen. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:322-:d:593076. Full description at Econpapers || Download paper | |
2021 | Detection of arbitrage opportunities in multi-asset derivatives markets. (2020). Sarmiento, Paulo Yanez ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2002.06227. Full description at Econpapers || Download paper | |
2021 | Detection of arbitrage opportunities in multi-asset derivatives markets. (2021). Yanez, Sarmiento Paulo ; Antonis, Papapantoleon. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:439-459:n:18. Full description at Econpapers || Download paper | |
2021 | Stochastic orders and multivariate measures of risk contagion. (2021). Suarez-Llorens, A ; Sordo, M A ; Ortega-Jimenez, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:199-207. Full description at Econpapers || Download paper | |
2021 | Bowley solution of a meanâvariance game in insurance. (2021). Young, Virginia R ; Li, Danping. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:35-43. Full description at Econpapers || Download paper | |
2021 | A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures. (2021). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:437-465. Full description at Econpapers || Download paper | |
2021 | Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals. (2021). Katja, Ignatieva ; Vitali, Alexeev ; Thusitha, Liyanage. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:20:n:1. Full description at Econpapers || Download paper | |
2021 | Optimal insurance contract specification in the upstream sector of the oil and gas industry. (2021). Fanzeres, Bruno ; Torraca, Ana Patricia. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:2:p:718-732. Full description at Econpapers || Download paper | |
2021 | Closed-form Solutions for an Explicit Modern Ideal Tontine with Bequest Motive. (2020). Dagpunar, John. In: Papers. RePEc:arx:papers:2005.00715. Full description at Econpapers || Download paper | |
2021 | Closed-form solutions for an explicit modern ideal tontine with bequest motive. (2021). Dagpunar, John. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:261-273. Full description at Econpapers || Download paper | |
2021 | Mortality Forecasting with an Age-Coherent Sparse VAR Model. (2021). Li, Hong ; Shi, Yanlin. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:2:p:35-:d:494260. Full description at Econpapers || Download paper | |
2021 | Assessing mortality inequality in the U.S.: What can be said about the future?. (2021). Hyndman, Rob J ; Li, Han. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:152-162. Full description at Econpapers || Download paper | |
2021 | Gompertz law revisited: Forecasting mortality with a multi-factor exponential model. (2021). Zhu, Wenjun ; Tuljapurkar, Shripad ; Tan, Ken Seng ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:268-281. Full description at Econpapers || Download paper | |
2021 | Recent declines in life expectancy: Implication on longevity risk hedging. (2021). Liu, Yanxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:376-394. Full description at Econpapers || Download paper | |
2021 | Forecasting mortality with international linkages: A global vector-autoregression approach. (2021). Shi, Yanlin ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:59-75. Full description at Econpapers || Download paper | |
2021 | Predicting Mortality by Causes in the Republic of Bashkortostan Using the LeeâCarter Model. (2021). Askarova, Z F ; Prudnikov, V B ; Lakman, I A ; Timiryanova, V M. In: Studies on Russian Economic Development. RePEc:spr:sorede:v:32:y:2021:i:5:d:10.1134_s1075700721050063. Full description at Econpapers || Download paper | |
2021 | Common Factor Cause-Specific Mortality Model. (2021). Alonso-Garcia, Jennifer ; Zittersteyn, Geert. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:12:p:221-:d:694111. Full description at Econpapers || Download paper | |
2021 | Coherent Mortality Forecasting for Less Developed Countries. (2021). Li, Hong ; Lu, Yang ; Lyu, Pintao. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:9:p:151-:d:620762. Full description at Econpapers || Download paper | |
2021 | Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information. (2021). Ahn, Jae Youn ; Zhu, Dan ; Lee, Youngju ; Oh, Rosy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:127-139. Full description at Econpapers || Download paper | |
2021 | Fitting Compound Archimedean Copulas to Data for Modeling Electricity Demand. (2021). Makov, Udi E ; Landsman, Zinoviy ; Kelner, Moshe. In: International Journal of Statistics and Probability. RePEc:ibn:ijspjl:v:10:y:2021:i:5:p:20. Full description at Econpapers || Download paper | |
2021 | A multi-year microlevel collective risk model. (2021). Valdez, Emiliano A ; Ahn, Jae Youn ; Jeong, Himchan ; Oh, Rosy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:309-328. Full description at Econpapers || Download paper | |
2021 | Concave/convex weighting and utility functions for risk: A new light on classical theorems. (2021). Yang, Jingni ; Wakker, Peter P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:429-435. Full description at Econpapers || Download paper | |
2021 | Bayesian credibility under a bivariate prior on the frequency and the severity of claims. (2021). Woo, Jae-Kyung ; Oh, Rosy ; Ni, Weihong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:274-295. Full description at Econpapers || Download paper | |
2021 | Wishart?gamma random effects models with applications to nonlife insurance. (2021). Lu, Yang ; Denuit, Michel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:2:p:443-481. Full description at Econpapers || Download paper | |
2021 | Option pricing in regime-switching frameworks with the Extended Girsanov Principle. (2021). Trottier, Denis-Alexandre ; Godin, Frederic. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:116-129. Full description at Econpapers || Download paper | |
2021 | Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340. Full description at Econpapers || Download paper | |
2021 | Optimal reinsurance problem under fixed cost and exponential preferences. (2021). Ceci, Claudia ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:2101.04975. Full description at Econpapers || Download paper | |
2021 | Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets. (2021). Ceci, Claudia ; Cretarola, Alessandra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:2105.07524. Full description at Econpapers || Download paper | |
2021 | Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences. (2021). Salterini, Benedetta ; Cretarola, Alessandra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:2106.13888. Full description at Econpapers || Download paper | |
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2021 | Pricing in a competitive stochastic insurance market. (2021). Pantelous, Athanasios A ; Koo, Bonsoo ; Boonen, Tim J ; Mourdoukoutas, Fotios. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:44-56. Full description at Econpapers || Download paper | |
2021 | A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market. (2021). Gao, Rui ; Xiao, Helu ; Zhou, Zhongbao ; Bai, Yanfei ; Zhong, Feimin. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:94:y:2021:i:3:d:10.1007_s00186-021-00760-y. Full description at Econpapers || Download paper | |
2021 | Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-02896141. Full description at Econpapers || Download paper | |
2021 | Fair dynamic valuation of insurance liabilities via convex hedging. (2021). Dhaene, Jan ; Chen, ZE ; Yang, Tianyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:1-13. Full description at Econpapers || Download paper | |
2021 | Revisiting optimal investment strategies of value-maximizing insurance firms. (2021). Iki, Mario ; Ravanelli, Claudia ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:131-151. Full description at Econpapers || Download paper | |
2021 | Multiple-prior valuation of cash flows subject to capital requirements. (2021). Thoegersen, Julie ; Lindskog, Filip ; Engsner, Hampus. In: Papers. RePEc:arx:papers:2109.00306. Full description at Econpapers || Download paper | |
2021 | Near?miss telematics in motor insurance. (2021). Perezmarin, Ana M ; Nielsen, Jens Perch ; Guillen, Montserrat. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:3:p:569-589. Full description at Econpapers || Download paper | |
2021 | The Measures of Accuracy of Claim Frequency Credibility Predictor. (2021). Do, Tomasz ; Wolny-Dominiak, Alicja. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:21:p:11959-:d:667712. Full description at Econpapers || Download paper | |
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2021 | Precautionary motives with multiple instruments. (2021). Peter, Richard ; Heinzel, Christoph. In: Working Papers. RePEc:hal:wpaper:hal-03484875. Full description at Econpapers || Download paper | |
2021 | Precautionary motives with multiple instruments. (2021). Peter, Richard ; Heinzel, Christoph. In: Working Papers. RePEc:ags:inrasl:316521. Full description at Econpapers || Download paper | |
2021 | Precautionary motives with multiple instruments. (2021). Peter, Richard ; Christoph, Heinzel. In: Working Papers SMART. RePEc:rae:wpaper:202109. Full description at Econpapers || Download paper | |
2021 | Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804. Full description at Econpapers || Download paper | |
2021 | Insurance valuation: A two-step generalised regression approach. (2020). Bignozzi, Valeria ; Barigou, Karim ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2012.04364. Full description at Econpapers || Download paper | |
2021 | A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk. (2021). Savelli, Nino ; della Corte, Francesco ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:2107.10891. Full description at Econpapers || Download paper | |
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2021 | Insurance valuation: A two-step generalised regression approach. (2020). Barigou, Karim ; Tsanakas, Andreas ; Bignozzi, Valeria. In: Working Papers. RePEc:hal:wpaper:hal-03043244. Full description at Econpapers || Download paper | |
2021 | Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2021). Delong, Lukasz ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-02896141. Full description at Econpapers || Download paper | |
2021 | Insurance valuation: A two-step generalised regression approach. (2021). Tsanakas, Andreas ; Bignozzi, Valeria ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03043244. Full description at Econpapers || Download paper | |
2021 | A Bridge between Local GAAP and Solvency II Frameworks to Quantify Capital Requirement for Demographic Risk. (2021). Savelli, Nino ; della Corte, Francesco ; Clemente, Gian Paolo. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:10:p:175-:d:646398. Full description at Econpapers || Download paper | |
2021 | Forecasting mortality with a hyperbolic spatial temporal VAR model. (2021). Chang, LE ; Shi, Yanlin ; Feng, Lingbing. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:255-273. Full description at Econpapers || Download paper | |
2021 | Joint Models for Cause-of-Death Mortality in Multiple Populations. (2021). Ludkovski, Mike ; Huynh, Nhan. In: Papers. RePEc:arx:papers:2111.06631. Full description at Econpapers || Download paper | |
2021 | An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount. (2021). Jeong, Himchan ; Tzougas, George. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108210. Full description at Econpapers || Download paper | |
2021 | Deep Quantile and Deep Composite Model Regression. (2021). Wuthrich, Mario V ; Merz, Michael ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2112.03075. Full description at Econpapers || Download paper | |
2021 | An Expectation-Maximization Algorithm for the Exponential-Generalized Inverse Gaussian Regression Model with Varying Dispersion and Shape for Modelling the Aggregate Claim Amount. (2021). Jeong, Himchan ; Tzougas, George. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:19-:d:477237. Full description at Econpapers || Download paper | |
2021 | Autocalibration and Tweedie-dominance for insurance pricing with machine learning. (2021). Trufin, Julien ; Charpentier, Arthur ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021013. Full description at Econpapers || Download paper | |
2021 | Risk sharing under the dominant peer-to-peer property and casualty insurance business models. (2021). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021001. Full description at Econpapers || Download paper | |
2021 | Autocalibration and Tweedie-dominance for Insurance Pricing with Machine Learning. (2021). Trufin, Julien ; Charpentier, Arthur ; Denuit, Michel. In: Papers. RePEc:arx:papers:2103.03635. Full description at Econpapers || Download paper | |
2021 | Testing for more positive expectation dependence with application to model comparison. (2021). Verdebout, Thomas ; Trufin, Julien ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021021. Full description at Econpapers || Download paper | |
2021 | Concordance Probability for Insurance Pricing Models. (2021). Verdonck, Tim ; van Oirbeek, Robin ; Ponnet, Jolien. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:10:p:178-:d:651452. Full description at Econpapers || Download paper | |
2021 | Lorenz curve, Gini coefficient, and Tweedie dominance for autocalibrated predictors. (2021). Trufin, Julien ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021036. Full description at Econpapers || Download paper | |
2021 | Testing for more positive expectation dependence with application to model comparison. (2021). Verdebout, Thomas ; Trufin, Julien ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:163-172. Full description at Econpapers || Download paper | |
2021 | Autocalibration and Tweedie-dominance for insurance pricing with machine learning. (2021). Trufin, Julien ; Charpentier, Arthur ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:485-497. Full description at Econpapers || Download paper | |
2021 | Risk sharing under the dominant peer?to?peer property and casualty insurance business models. (2021). Robert, Christian Y ; Denuit, Michel. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:2:p:181-205. Full description at Econpapers || Download paper | |
2021 | Assessing the Performance of Random Forests for Modeling Claim Severity in Collision Car Insurance. (2021). Wagner, Joel ; Staudt, Yves. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:3:p:53-:d:517868. Full description at Econpapers || Download paper | |
2021 | Maximum pseudo?likelihood estimation based on estimated residuals in copula semiparametric models. (2021). Neumeyer, Natalie ; Hudecova, Arka ; Omelka, Marek. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:4:p:1433-1473. Full description at Econpapers || Download paper | |
2021 | A decomposition of general premium principles into risk and deviation. (2021). Schmeck, Maren Diane ; Riedel, Frank ; Nendel, Max. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:193-209. Full description at Econpapers || Download paper | |
2021 | Enhancing an insurers expected value by reinsurance and external financing. (2021). Chi, Yichun ; Liu, Fangda. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:466-484. Full description at Econpapers || Download paper | |
2021 | A Priori Ratemaking Selection Using Multivariate Regression Models Allowing Different Coverages in Auto Insurance. (2021). Calderin-Ojeda, Enrique ; Gomez-Deniz, Emilio. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:137-:d:597628. Full description at Econpapers || Download paper | |
2021 | Inhomogenous risk exposure in dual insurance system: selection effects in Germanyâs long-term care plans. (2021). Neusius, Thomas. In: SN Business & Economics. RePEc:spr:snbeco:v:1:y:2021:i:1:d:10.1007_s43546-020-00028-3. Full description at Econpapers || Download paper | |
2021 | Refundable income annuities: Feasibility of money-back guarantees. (2021). Salisbury, Thomas S ; Milevsky, Moshe A. In: Papers. RePEc:arx:papers:2111.01239. Full description at Econpapers || Download paper | |
2021 | Probabilistic Framework For Loss Distribution Of Smart Contract Risk. (2021). Lanchier, Nicolas ; Jevtic, Petar . In: Papers. RePEc:arx:papers:2101.08964. Full description at Econpapers || Download paper | |
2021 | Understanding near-miss count data on construction sites using greedy D-vine copula marginal regression. (2021). Li, Heng ; Wang, Fan ; Dong, Chao. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:213:y:2021:i:c:s0951832021002258. Full description at Econpapers || Download paper | |
2021 | Bioenergy production from sugarcane bagasse with carbon capture and storage: Surrogate models for techno-economic decisions. (2021). de Queiroz, Ofelia ; Bruno, Joo ; Paes, Raphael V ; de Medeiros, Jose Luiz ; Wiesberg, Igor Lapenda. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:150:y:2021:i:c:s136403212100767x. Full description at Econpapers || Download paper | |
2021 | Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model. (2021). Brinker, Leonie Violetta. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:17-:d:475828. Full description at Econpapers || Download paper | |
2021 | Smoothing, Decomposing and Forecasting Mortality Rates. (2021). Basellini, Ugofilippo ; Camarda, Carlo G. In: European Journal of Population. RePEc:spr:eurpop:v:37:y:2021:i:3:d:10.1007_s10680-021-09582-4. Full description at Econpapers || Download paper | |
2021 | Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age. (2021). Palmer, Edward ; Holzmann, Robert ; Ayuso, Mercedes ; Miguelbravo, Jorge. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9408. Full description at Econpapers || Download paper | |
2021 | Portfolio Selection under Median and Quantile Maximization. (2020). Kou, Steven ; Jiang, Zhaoli ; He, Xue Dong. In: Papers. RePEc:arx:papers:2008.10257. Full description at Econpapers || Download paper | |
2021 | Return smoothing in life insurance from a client perspective. (2021). Schelling, Stefan ; Russ, Jochen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:91-106. Full description at Econpapers || Download paper | |
2021 | Distributionally robust goal-reaching optimization in the presence of background risk. (2021). Chi, Yichun ; Zhuang, Sheng Chao ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2108.04464. Full description at Econpapers || Download paper | |
2021 | Maintaining cost and ruin probability. (2021). Ma, Xiaorong ; Lo, Chia Chun ; Karathanasopoulos, Andreas ; Qin, Zhenjiang. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:2:d:10.1007_s11156-021-00960-x. Full description at Econpapers || Download paper | |
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2021 | Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation. (2021). Westmacott, Graham ; Vetzal, Kenneth R ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:2101.02760. Full description at Econpapers || Download paper | |
2021 | Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. (2021). Wang, Ying ; Cai, Jun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:329-349. Full description at Econpapers || Download paper | |
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2021 | Kalman Filter Learning Algorithms and State Space Representations for Stochastic Claims Reserving. (2021). Johannssen, Arne ; Chukhrova, Nataliya. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:6:p:112-:d:569870. Full description at Econpapers || Download paper | |
2021 | Retrospective Reserves and Bonus with Policyholder Behavior. (2021). Nyegaard, Anna Kamille ; Falden, Debbie Kusch. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:15-:d:475059. Full description at Econpapers || Download paper | |
2021 | Dynamics of state-wise prospective reserves in the presence of non-monotone information. (2021). Furrer, Christian ; Christiansen, Marcus C. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:81-98. Full description at Econpapers || Download paper | |
2021 | Time-dynamic evaluations under non-monotone information generated by marked point processes. (2021). Christiansen, Marcus C. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00456-5. Full description at Econpapers || Download paper | |
2021 | Dynamic hazards modelling for predictive longevity risk assessment. (2021). Wright, Nigel R ; Bakbergenuly, Ilyas ; Gitsels, Lisanne Andra ; Kulinskaya, Elena. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:222-231. Full description at Econpapers || Download paper | |
2021 | Optimal Dividends under Markov-Modulated Bankruptcy Level. (2021). Ferrari, Giorgio ; Zhu, Shihao ; Schuhmann, Patrick. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:657. Full description at Econpapers || Download paper | |
2021 | Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?. (2021). Huang, Fei ; He, Lingyu ; Yang, Yanrong ; Shi, Jianjie. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:14-34. Full description at Econpapers || Download paper | |
2021 | Meanâvariance investment and risk control strategies â A time-consistent approach via a forward auxiliary process. (2021). Zou, Bin ; Shen, Yang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:68-80. Full description at Econpapers || Download paper | |
2021 | Mean-Variance Portfolio Selection in Contagious Markets. (2021). Zou, Bin ; Shen, Yang. In: Papers. RePEc:arx:papers:2110.09417. Full description at Econpapers || Download paper | |
2021 | Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market. (2021). Li, Shuanming ; Jin, Zhuo ; Liu, Guo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:508-524. Full description at Econpapers || Download paper | |
2021 | On modifications of the Bachelier model. (2021). Wan, Hongxi ; Melnikov, Alexander. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:2:d:10.1007_s10436-020-00381-1. Full description at Econpapers || Download paper | |
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2021 | Large Deviations for a Class of Multivariate Heavy-Tailed Risk Processes Used in Insurance and Finance. (2021). Lehtomaa, Jaakko ; Hagele, Miriam. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:202-:d:548135. Full description at Econpapers || Download paper | |
2021 | Large portfolio losses in a turbulent market. (2021). Yang, Yang ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:292:y:2021:i:2:p:755-769. Full description at Econpapers || Download paper | |
2021 | Sensitivity analysis with ?2-divergences. (2021). Tsanakas, Andreas ; Millossovich, Pietro ; Makam, Vaishno Devi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:372-383. Full description at Econpapers || Download paper | |
2021 | Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments. (2021). Xiong, Heng ; Mamon, Rogemar ; Zhao, Yixing. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00287-5. Full description at Econpapers || Download paper | |
2021 | One-Year and Ultimate Reserve Risk in Mack Chain Ladder Model. (2021). Delong, Ukasz ; Szatkowski, Marcin. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:9:p:152-:d:621142. Full description at Econpapers || Download paper | |
2021 | Expected utility maximization with stochastically ordered returns. (2021). Barigou, Karim ; Gauchon, Romain. In: Working Papers. RePEc:hal:wpaper:hal-03295594. Full description at Econpapers || Download paper | |
2021 | Multivariate tail covariance for generalized skew-elliptical distributions. (2021). Yin, Chuancun ; Zuo, Baishuai. In: Papers. RePEc:arx:papers:2103.05201. Full description at Econpapers || Download paper | |
2021 | The threshold strategy for spectrally negative Levy processes and a terminal value at creeping ruin in the objective function. (2021). Zhu, Chongrui. In: Papers. RePEc:arx:papers:2107.06841. Full description at Econpapers || Download paper | |
2021 | On the optimality of joint periodic and extraordinary dividend strategies. (2021). Wong, Bernard ; Lau, Hayden ; Avanzi, Benjamin. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:3:p:1189-1210. Full description at Econpapers || Download paper | |
2021 | Optimal Retirement Time and Consumption with the Variation in Habitual Persistence. (2021). Ye, QI ; Song, Yilun ; Liang, Zongxia ; He, Lin. In: Papers. RePEc:arx:papers:2103.16800. Full description at Econpapers || Download paper | |
2021 | A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies. (2020). Xu, Zuoquan ; Jin, Zhuo ; Zou, Bin. In: Papers. RePEc:arx:papers:2012.06703. Full description at Econpapers || Download paper | |
2021 | Optimal Equilibria for Multi-dimensional Time-inconsistent Stopping Problems. (2020). Wang, Zhenhua ; Huang, Yu-Jui. In: Papers. RePEc:arx:papers:2006.00754. Full description at Econpapers || Download paper | |
2021 | Measure Transportation and Statistical Decision Theory. (2021). Hallin, Marc. In: Working Papers ECARES. RePEc:eca:wpaper:2013/318373. Full description at Econpapers || Download paper | |
2021 | Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA. (2021). Hallin, Marc ; Hudecova, Sarka ; Hlubinka, Daniel. In: Working Papers ECARES. RePEc:eca:wpaper:2013/327641. Full description at Econpapers || Download paper | |
2021 | Influence of risk tolerance on long-term investments: A Malliavin calculus approach. (2021). Park, Hyungbin. In: Papers. RePEc:arx:papers:2104.00911. Full description at Econpapers || Download paper | |
2021 | Formulating the Concept of an Investment Strategy Adaptable to Changes in the Market Situation. (2021). Ivanyuk, Vera. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:3:p:95-:d:580663. Full description at Econpapers || Download paper | |
2021 | Equilibrium reinsurance-investment strategies with partial information and common shock dependence. (2021). Zeng, Yan ; Cai, Jun ; Bi, Junna. In: Annals of Operations Research. RePEc:spr:annopr:v:307:y:2021:i:1:d:10.1007_s10479-021-04317-4. Full description at Econpapers || Download paper | |
2021 | Robust equilibrium strategies in a defined benefit pension plan game. (2021). Liang, Zongxia ; Hu, Jiaqi ; Guan, Guohui. In: Papers. RePEc:arx:papers:2103.09121. Full description at Econpapers || Download paper | |
2021 | Simulating long-term impacts of mortality shocks: learning from the cholera pandemic. (2021). Kaakai, Sarah ; Hadji, Kaouther ; el Karoui, Nicole. In: Papers. RePEc:arx:papers:2111.08338. Full description at Econpapers || Download paper | |
2021 | Sample Recycling Method -- A New Approach to Efficient Nested Monte Carlo Simulations. (2021). Li, Peng ; Feng, Runhuan. In: Papers. RePEc:arx:papers:2106.06028. Full description at Econpapers || Download paper | |
2021 | Optimal asset allocation subject to withdrawal risk and solvency constraints. (2021). Robert, Christian ; Jiao, Ying ; Cousin, Areski ; Zerbib, Olivier David. In: Working Papers. RePEc:hal:wpaper:hal-03244380. Full description at Econpapers || Download paper | |
2021 | Batch mode active learning framework and its application on valuing large variable annuity portfolios. (2021). Li, Shu ; Gweon, Hyukjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:105-115. Full description at Econpapers || Download paper | |
2021 | Hierarchical random effects model for insurance pricing of vehicles belonging to a fleet. (2021). Dionne, Georges ; Lu, Yang ; Desjardins, Denise. In: Working Papers. RePEc:ris:crcrmw:2021_002. Full description at Econpapers || Download paper | |
2021 | On the ordering of credibility factors. (2021). Lu, Yang ; Jeong, Himchan ; Ahn, Jae Youn. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:626-638. Full description at Econpapers || Download paper | |
2021 | Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model. (2021). Schmeck, Maren Diane ; Fabrykowski, Lukas ; Eisenberg, Julia. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:648. Full description at Econpapers || Download paper | |
2021 | Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model. (2021). Schmeck, Maren Diane ; Fabrykowski, Lukas ; Eisenberg, Julia. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:4:p:73-:d:535490. Full description at Econpapers || Download paper | |
2021 | The investor problem based on the HJM model. (2020). Zawisza, Dariusz ; Peszat, Szymon. In: Papers. RePEc:arx:papers:2010.13915. Full description at Econpapers || Download paper | |
2021 | Evolution of the ArrowâPratt measure of risk-tolerance for predictable forward utility processes. (2021). Yu, Xun ; Strub, Moris S. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:2:d:10.1007_s00780-020-00444-1. Full description at Econpapers || Download paper | |
2021 | Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications. (2021). Wang, Yuwei ; Strub, Moris S ; Liang, Gechun. In: Papers. RePEc:arx:papers:2110.08900. Full description at Econpapers || Download paper | |
2021 | Forward rank?dependent performance criteria: Time?consistent investment under probability distortion. (2021). Strub, Moris S ; He, Xue Dong ; Zariphopoulou, Thaleia. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:683-721. Full description at Econpapers || Download paper | |
2021 | Sensitivity analysis and tail variability for the Wangâs actuarial index. (2021). Vliora, Polyxeni ; Psarrakos, Georgios. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:147-152. Full description at Econpapers || Download paper |
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2021 | Testing for more positive expectation dependence with application to model comparison. (2021). Verdebout, Thomas ; Trufin, Julien ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021021. Full description at Econpapers || Download paper | |
2021 | Risk-sharing rules and their properties, with applications to peer-to-peer insurance. (2021). Robert, Christian Y ; Dhaene, Jan ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021037. Full description at Econpapers || Download paper | |
2021 | Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets. (2021). Ceci, Claudia ; Cretarola, Alessandra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:2105.07524. Full description at Econpapers || Download paper | |
2021 | Law-invariant functionals that collapse to the mean: Beyond convexity. (2021). Munari, Cosimo ; Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:2106.01281. Full description at Econpapers || Download paper | |
2021 | Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340. Full description at Econpapers || Download paper | |
2021 | Stochastic loss reserving with mixture density neural networks. (2021). Wong, Bernard ; Taylor, Greg ; Avanzi, Benjamin ; Al-Mudafer, Muhammed Taher. In: Papers. RePEc:arx:papers:2108.07924. Full description at Econpapers || Download paper | |
2021 | Multivariate self-exciting jump processes with applications to financial data. (2021). Tjostheim, Dag ; Eyjolfsson, Heidar. In: Papers. RePEc:arx:papers:2108.10176. Full description at Econpapers || Download paper | |
2021 | SINH-acceleration for B-spline projection with Option Pricing Applications. (2021). Levendorskiui, Sergei ; Boyarchenko, Svetlana ; Cui, Zhenyu ; Kirkby, Lars J. In: Papers. RePEc:arx:papers:2109.08738. Full description at Econpapers || Download paper | |
2021 | Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics. (2021). Kock, Verena ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2109.11403. Full description at Econpapers || Download paper | |
2021 | Deep Quantile and Deep Composite Model Regression. (2021). Wuthrich, Mario V ; Merz, Michael ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2112.03075. Full description at Econpapers || Download paper | |
2021 | Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate. (2021). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Papers. RePEc:arx:papers:2112.06602. Full description at Econpapers || Download paper | |
2021 | Multivariate matrix-exponential affine mixtures and their applications in risk theory. (2021). Woo, Jae-Kyung ; Peralta, Oscar. In: Papers. RePEc:arx:papers:2201.11122. Full description at Econpapers || Download paper | |
2021 | Optimal Dividends under Markov-Modulated Bankruptcy Level. (2021). Ferrari, Giorgio ; Zhu, Shihao ; Schuhmann, Patrick. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:657. Full description at Econpapers || Download paper | |
2021 | Risk sharing under the dominant peer?to?peer property and casualty insurance business models. (2021). Robert, Christian Y ; Denuit, Michel. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:2:p:181-205. Full description at Econpapers || Download paper | |
2021 | Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age. (2021). Palmer, Edward ; Holzmann, Robert ; Ayuso, Mercedes ; Miguelbravo, Jorge. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9408. Full description at Econpapers || Download paper | |
2021 | A decomposition of general premium principles into risk and deviation. (2021). Schmeck, Maren Diane ; Riedel, Frank ; Nendel, Max. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:193-209. Full description at Econpapers || Download paper | |
2021 | Stop-loss protection for a large P2P insurance pool. (2021). Robert, Christian Y ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:210-233. Full description at Econpapers || Download paper | |
2021 | Concave/convex weighting and utility functions for risk: A new light on classical theorems. (2021). Yang, Jingni ; Wakker, Peter P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:429-435. Full description at Econpapers || Download paper | |
2021 | Addressing the life expectancy gap in pension policy. (2021). Palmer, Edward ; Holzmann, Robert ; Ayuso, Mercedes ; Bravo, Jorge M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:200-221. Full description at Econpapers || Download paper | |
2021 | Time-consistent longevity hedging with long-range dependence. (2021). Wong, Hoi Ying ; Wang, Ling. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:25-41. Full description at Econpapers || Download paper | |
2021 | A combined analysis of hedge effectiveness and capital efficiency in longevity hedging. (2021). Russ, Jochen ; Freimann, Arne ; Borger, Matthias . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:309-326. Full description at Econpapers || Download paper | |
2021 | Macro longevity risk and the choice between annuity products: Evidence from Denmark. (2021). Rangvid, Jesper ; Kallestrup-Lamb, Malene ; Balter, Anne G. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:355-362. Full description at Econpapers || Download paper | |
2021 | Longevity risk and capital markets: The 2019-20 update. (2021). , Andrew ; Blake, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439. Full description at Econpapers || Download paper | |
2021 | Efronâs asymptotic monotonicity property in the Gaussian stable domain of attraction. (2021). Robert, Christian Y ; Denuit, Michel. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000816. Full description at Econpapers || Download paper | |
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2021 | Designing Annuities with Flexibility Opportunities in an Uncertain Mortality Scenario. (2021). Olivieri, Annamaria. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:11:p:189-:d:662618. Full description at Econpapers || Download paper | |
2021 | Mortality Forecasting with an Age-Coherent Sparse VAR Model. (2021). Li, Hong ; Shi, Yanlin. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:2:p:35-:d:494260. Full description at Econpapers || Download paper | |
2021 | Calibration of Transition Intensities for a Multistate Model: Application to Long-Term Care. (2021). Oliveira, Matilde C ; Guerreiro, Gracinda R ; Esquivel, Manuel L ; Real, Pedro Corte . In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:2:p:37-:d:495746. Full description at Econpapers || Download paper | |
2021 | Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits. (2021). Bravo, Jorge ; Oliveira, Luis ; Simes, Claudia. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:4:p:60-:d:524060. Full description at Econpapers || Download paper | |
2021 | Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters. (2021). Holzmann, Robert ; Bravo, Jorge ; Ayuso, Mercedes ; Palmer, Edward. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:5:p:96-:d:554249. Full description at Econpapers || Download paper | |
2021 | The Combined Stop-Loss and Quota-Share Reinsurance: Conditional Tail Expectation-Based Optimization from the Joint Perspective of Insurer and Reinsurer. (2021). Sari, Suci ; Hakim, Arief ; Syuhada, Khreshna. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:125-:d:587197. Full description at Econpapers || Download paper | |
2021 | Progressive Pension Formula and Life Expectancy Heterogeneity. (2021). Devolder, Pierre ; Diakite, Keivan. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:127-:d:587894. Full description at Econpapers || Download paper | |
2021 | Coherent Mortality Forecasting for Less Developed Countries. (2021). Li, Hong ; Lu, Yang ; Lyu, Pintao. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:9:p:151-:d:620762. Full description at Econpapers || Download paper | |
2021 | An explicit split point procedure in model-based trees allowing for a quick fitting of GLM trees and GLM forests. (2021). Guibert, Quentin ; Dutang, Christophe. In: Post-Print. RePEc:hal:journl:hal-03448250. Full description at Econpapers || Download paper | |
2021 | Towards Food Sovereignty: Dismantling the Capitalist Brahminic-Patriarchal Food Farming Regime. (2021). Ramdas, Sagari R. In: Development. RePEc:pal:develp:v:64:y:2021:i:3:d:10.1057_s41301-021-00307-y. Full description at Econpapers || Download paper |
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2020 | Life-Care Tontines. (2020). Lucas, Nathalie ; Hieber, Peter. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020026. Full description at Econpapers || Download paper | |
2020 | Optimal periodic dividend strategies for spectrally negative L\evy processes with fixed transaction costs. (2020). Wong, Bernard ; Lau, Hayden ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2004.01838. Full description at Econpapers || Download paper | |
2020 | Parisian excursion with capital injection for draw-down reflected Levy insurance risk process. (2020). Zhou, Xiaowen ; Zhao, Xianghua ; Wang, Wenyuan ; Surya, Budhi. In: Papers. RePEc:arx:papers:2005.09214. Full description at Econpapers || Download paper | |
2020 | Risk Modelling on Liquidations with L\{e}vy Processes. (2020). Chen, Ping ; Zhang, Aili ; Wang, Wenyuan ; Li, Shuanming. In: Papers. RePEc:arx:papers:2007.01426. Full description at Econpapers || Download paper | |
2020 | A Stochastic Control Approach to Defined Contribution Plan Decumulation: The Nastiest, Hardest Problem in Finance. (2020). Forsyth, Peter A. In: Papers. RePEc:arx:papers:2008.06598. Full description at Econpapers || Download paper | |
2020 | Retirement decision and optimal consumption-investment under addictive habit persistence. (2020). Yuan, Fengyi ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2011.10166. Full description at Econpapers || Download paper | |
2020 | Optimal ratcheting of dividends in a Brownian risk model. (2020). Azcue, Pablo ; Albrecher, Hansjoerg ; Muler, Nora. In: Papers. RePEc:arx:papers:2012.10632. Full description at Econpapers || Download paper | |
2020 | The participation puzzle with reference-dependent expected utility preferences. (2020). Neilson, William ; Liu, Liqun ; Wang, Jianli. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:278-287. Full description at Econpapers || Download paper | |
2020 | Incorporating crossed classification credibility into the Leeââ¬âCarter model for multi-population mortality data. (2020). Pitselis, Georgios ; Bozikas, Apostolos. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:353-368. Full description at Econpapers || Download paper | |
2020 | Liquidation risk in insurance under contemporary regulatory frameworks. (2020). Zhu, Jinxia ; Tang, Qihe ; Liu, Haibo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:36-49. Full description at Econpapers || Download paper | |
2020 | Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions. (2020). Wu, Yang-Che. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:116-128. Full description at Econpapers || Download paper | |
2020 | Risk aggregation in non-life insurance: Standard models vs. internal models. (2020). Jung, Kwangmin ; Eling, Martin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:183-198. Full description at Econpapers || Download paper | |
2020 | Integrated evaluation as a precedence of economic security management insurance market. (2020). Poita, Iryna O ; Kalinichenko, Olena O ; Nikolaienko, Serhii M ; Vikarchuk, Olga I. In: RIVISTA DI STUDI SULLA SOSTENIBILITA'. RePEc:fan:rissri:v:html10.3280/riss2020-002-s1012. Full description at Econpapers || Download paper | |
2020 | An Optimal Phase Arrangement of Distribution Transformers under Risk Assessment. (2020). Tsai, Ming-Tang ; Yang, Chung-Yuen ; Tu, Chia-Sheng. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:21:p:5852-:d:442275. Full description at Econpapers || Download paper | |
2020 | Portfolio Theory in Solving the Problem Structural Choice. (2020). Sukharev, Oleg S. In: JRFM. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:195-:d:407294. Full description at Econpapers || Download paper | |
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2020 | The Efficacy of the Retirement Pension Provision System: Modeling, and Assessing of the Case of Kazakhstan. (2020). Zhaumitova, Marzhan Dosymovna ; Junusbekova, Gulsara Ashirbayevna. In: JOItmC. RePEc:gam:joitmc:v:6:y:2020:i:4:p:158-:d:447153. Full description at Econpapers || Download paper | |
2020 | Quantile Credibility Models with Common Effects. (2020). Yang, Zhixin ; Wen, Limin ; Wang, Wei ; Yuan, Quan. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:100-:d:419448. Full description at Econpapers || Download paper | |
2020 | Machine Learning in P&C Insurance: A Review for Pricing and Reserving. (2020). Lamontagne, Luc ; Cossette, Helene ; Blier-Wong, Christopher ; Marceau, Etienne. In: Risks. RePEc:gam:jrisks:v:9:y:2020:i:1:p:4-:d:467315. Full description at Econpapers || Download paper | |
2020 | Short-Term Exuberance and long-term stability: A simultaneous optimization of stock return predictions for short and long horizons. (2020). Mousavi, Parastoo ; Kyriakou, Ioannis ; Scholz, Michael ; Nielsen, Jens Perch. In: Graz Economics Papers. RePEc:grz:wpaper:2020-20. Full description at Econpapers || Download paper | |
2020 | Optimal prevention of large risks with two types of claims. (2020). Loisel, Stéphane ; Gauchon, Romain ; Trufin, Julien ; Rulliere, Jean-Louis. In: Post-Print. RePEc:hal:journl:hal-02314914. Full description at Econpapers || Download paper | |
2020 | Self-insurance and Non-concave Distortion Risk Measures. (2020). Bensalem, Sarah. In: Working Papers. RePEc:hal:wpaper:hal-02936349. Full description at Econpapers || Download paper | |
2020 | A probabilistic projection of beneficiaries of long-term care insurance in Germany by severity of disability. (2020). Wilke, Christina B ; Hess, Moritz ; Vanella, Patrizio. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:54:y:2020:i:3:d:10.1007_s11135-020-00968-w. Full description at Econpapers || Download paper |
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2019 | Optimal Reinsurance and Investment in a Diffusion Model. (2019). Schmidli, Hanspeter ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:1903.12426. Full description at Econpapers || Download paper | |
2019 | Optimal excess-of-loss reinsurance for stochastic factor risk models. (2019). Ceci, Claudia ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:1904.05422. Full description at Econpapers || Download paper | |
2019 | Stochastic ordering of Gini indexes for multivariate elliptical random variables. (2019). Yin, Chuancun. In: Papers. RePEc:arx:papers:1908.01943. Full description at Econpapers || Download paper | |
2019 | Optimal life-cycle consumption and investment decisions under age-dependent risk preferences. (2019). Zagst, Rudi ; Shevchenko, Pavel V ; Lichtenstern, Andreas. In: Papers. RePEc:arx:papers:1908.09976. Full description at Econpapers || Download paper | |
2019 | A hybrid stochastic differential reinsurance and investment game with bounded memory. (2019). Zhong, Feimin ; Gao, Rui ; Xiao, Helu ; Zhou, Zhongbao ; Bai, Yanfei. In: Papers. RePEc:arx:papers:1910.09834. Full description at Econpapers || Download paper | |
2019 | Two frameworks for pricing defaultable derivatives. (2019). Kounchev, Ognyan ; Zaevski, Tsvetelin S ; Savov, Mladen . In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:123:y:2019:i:c:p:309-319. Full description at Econpapers || Download paper | |
2019 | Optimal robust insurance with a finite uncertainty set. (2019). Hu, Junlei ; Asimit, Alexandru V ; Xie, Yuantao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:67-81. Full description at Econpapers || Download paper | |
2019 | Fair valuation of insurance liability cash-flow streams in continuous time: Theory. (2019). Barigou, Karim ; Dhaene, Jan ; Delong, Ukasz. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:196-208. Full description at Econpapers || Download paper | |
2019 | On the existence of a representative reinsurer under heterogeneous beliefs. (2019). Ghossoub, Mario ; Boonen, Tim J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:209-225. Full description at Econpapers || Download paper | |
2019 | Stochastic differential reinsurance games with capital injections. (2019). Qian, Linyi ; Jin, Zhuo ; Zhang, Nan ; Fan, Kun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:7-18. Full description at Econpapers || Download paper | |
2019 | Explicit moments for a class of micro-models in non-life insurance. (2019). Wahl, Felix. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:89:y:2019:i:c:p:140-156. Full description at Econpapers || Download paper | |
2019 | Stochastic utilities with subsistence and satiation: Optimal life insurance purchase, consumption and investment. (2019). Ye, Jinchun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:89:y:2019:i:c:p:193-212. Full description at Econpapers || Download paper | |
2019 | Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan. (2019). Lu, YI ; Wang, Suxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:89:y:2019:i:c:p:46-62. Full description at Econpapers || Download paper | |
2019 | Does the trans-regional transfer of resource-oriented enterprises generate a stress effect?. (2019). Li, Danping ; Dong, Mei ; Lai, Yongzeng ; Zhang, BO. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420719303009. Full description at Econpapers || Download paper | |
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2019 | Optimal Excess-of-Loss Reinsurance for Stochastic Factor Risk Models. (2019). Ceci, Claudia ; Brachetta, Matteo. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:48-:d:227464. Full description at Econpapers || Download paper | |
2019 | On the Validation of Claims with Excess Zeros in Liability Insurance: A Comparative Study. (2019). Qazvini, Marjan. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:71-:d:244533. 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 | |
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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 Aalenââ¬âJohansen 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 | The Role of Inflation-Indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phase. (2018). Guo, Junyi ; Zhang, Xiaoyi. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:24-:d:137519. Full description at Econpapers || Download paper | |
2018 | Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes. (2018). Yamazaki, Kazutoshi ; Perez, Jose-Luis. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:33-:d:139765. Full description at Econpapers || Download paper | |
2018 | A User-Friendly Algorithm for Detecting the Influence of Background Risks on a Model. (2018). Zitikis, Riardas ; Gribkova, Nadezhda. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:100-:d:169915. 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). Su, Jianxi ; Furman, Edward ; Semenikhine, Vadim. 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). Li, Xiaohu ; Fang, Rui. 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). Loisel, Stéphane ; Lefevre, Claude ; Utev, Sergey ; Tamturk, Muhsin. 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). Stadje, Mitja ; Nguyen, Thai ; Chen, AN. 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 | |
2018 | Law invariant risk measures and information divergences. (2018). Daniel, Lacker. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:228-258:n:14. Full description at Econpapers || Download paper |