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Insurance: Mathematics and Economics / Elsevier

Citation Profile [Updated: 2025-11-20 18:08:17]
5 Years H Index
58
Impact Factor (IF)
0.79
5 Years IF
0.54
Data available in this report

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

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.11 0.06 0 34 34 195 2 2 71 180 0 0 0.05
1991 0.06 0.11 0.07 0.02 25 59 153 4 6 71 4 174 4 1 25 0 0.06
1992 0 0.12 0.01 0 43 102 202 1 7 59 159 0 1 0.02 0.06
1993 0.01 0.13 0.01 0.01 42 144 215 2 9 68 1 173 2 0 0 0.06
1994 0.04 0.14 0.09 0.04 29 173 228 15 25 85 3 181 7 0 1 0.03 0.06
1995 0.07 0.22 0.21 0.06 28 201 281 42 67 71 5 173 11 37 88.1 1 0.04 0.09
1996 0.25 0.25 0.26 0.15 25 226 330 58 125 57 14 167 25 41 70.7 0 0.11
1997 0.19 0.24 0.29 0.17 41 267 752 78 203 53 10 167 28 65 83.3 2 0.05 0.11
1998 0.23 0.27 0.31 0.19 41 308 563 93 297 66 15 165 31 69 74.2 2 0.05 0.13
1999 0.39 0.29 0.4 0.26 51 359 683 145 442 82 32 164 42 121 83.4 8 0.16 0.14
2000 0.23 0.34 0.32 0.22 51 410 690 132 574 92 21 186 41 88 66.7 8 0.16 0.16
2001 0.26 0.38 0.38 0.25 48 458 771 172 746 102 27 209 53 108 62.8 7 0.15 0.17
2002 0.4 0.39 0.55 0.28 57 515 1027 283 1030 99 40 232 66 193 68.2 15 0.26 0.2
2003 0.48 0.43 0.54 0.38 70 585 988 315 1345 105 50 248 94 188 59.7 7 0.1 0.21
2004 0.3 0.47 0.45 0.27 62 647 1018 291 1636 127 38 277 76 193 66.3 9 0.15 0.21
2005 0.33 0.5 0.5 0.29 70 717 1086 355 1992 132 44 288 84 190 53.5 6 0.09 0.23
2006 0.48 0.49 0.58 0.36 72 789 1346 455 2450 132 63 307 112 180 39.6 12 0.17 0.22
2007 0.38 0.44 0.44 0.33 63 852 821 367 2822 142 54 331 108 166 45.2 5 0.08 0.2
2008 0.83 0.47 0.83 0.64 162 1014 1881 839 3663 135 112 337 214 431 51.4 44 0.27 0.22
2009 0.52 0.46 0.76 0.45 106 1120 1935 843 4510 225 118 429 191 317 37.6 20 0.19 0.23
2010 0.58 0.46 0.77 0.52 108 1228 1110 941 5454 268 155 473 246 439 46.7 26 0.24 0.2
2011 0.59 0.51 0.7 0.43 95 1323 1117 923 6377 214 127 511 222 393 42.6 15 0.16 0.24
2012 0.54 0.5 0.8 0.49 115 1438 1224 1157 7534 203 109 534 259 474 41 36 0.31 0.21
2013 0.7 0.54 1.05 0.64 142 1580 1317 1657 9191 210 146 586 373 719 43.4 31 0.22 0.24
2014 0.57 0.53 0.78 0.57 104 1684 989 1314 10505 257 146 566 321 489 37.2 30 0.29 0.22
2015 0.67 0.53 0.92 0.56 139 1823 1102 1684 12189 246 164 564 316 693 41.2 32 0.23 0.22
2016 0.77 0.5 0.97 0.61 145 1968 914 1913 14102 243 186 595 362 668 34.9 25 0.17 0.2
2017 0.58 0.52 0.87 0.51 104 2072 676 1798 15900 284 164 645 328 481 26.8 24 0.23 0.21
2018 0.53 0.53 0.83 0.48 103 2175 611 1800 17700 249 132 634 305 614 34.1 25 0.24 0.22
2019 0.67 0.54 0.88 0.52 92 2267 483 1987 19690 207 138 595 307 564 28.4 20 0.22 0.21
2020 0.75 0.64 0.88 0.54 104 2371 377 2093 21783 195 146 583 313 506 24.2 26 0.25 0.3
2021 0.89 0.74 0.98 0.68 130 2501 412 2449 24232 196 175 548 370 855 34.9 52 0.4 0.27
2022 0.58 0.74 0.77 0.54 92 2593 237 1985 26217 234 135 533 288 367 18.5 14 0.15 0.22
2023 0.66 0.7 0.72 0.55 62 2655 98 1924 28141 222 147 521 287 412 21.4 13 0.21 0.2
2024 0.79 0.82 0.66 0.54 80 2735 64 1810 29951 154 122 480 258 442 24.4 18 0.23 0.24
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
50 most cited documents in this series
#YearTitleCited
12009Pair-copula constructions of multiple dependence. (2009). Aas, Kjersti ; Bakken, Henrik ; Czado, Claudia ; Frigessi, Arnoldo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:182-198.

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512
22009Goodness-of-fit tests for copulas: A review and a power study. (2009). Remillard, Bruno ; Beaudoin, David ; Genest, Christian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:199-213.

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334
32002The concept of comonotonicity in actuarial science and finance: theory. (2002). Dhaene, Jan ; Kaas, R. ; Denuit, M. ; Vyncke, D.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:3-33.

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276
41997Axiomatic characterization of insurance prices. (1997). Young, Virginia R. ; Wang, Shaun S. ; Panjer, Harry H.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:2:p:173-183.

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246
52002A Poisson log-bilinear regression approach to the construction of projected lifetables. (2002). Brouhns, Natacha ; Denuit, Michel ; Vermunt, Jeroen K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:3:p:373-393.

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238
62002The concept of comonotonicity in actuarial science and finance: applications. (2002). Dhaene, Jan ; Kaas, R. ; Denuit, M. ; Vyncke, D.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:2:p:133-161.

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229
72006A cohort-based extension to the Lee-Carter model for mortality reduction factors. (2006). Haberman, S. ; Renshaw, A. E.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:3:p:556-570.

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225
81996Valuation of the early-exercise price for options using simulations and nonparametric regression. (1996). Carriere, Jacques F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:19:y:1996:i:1:p:19-30.

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153
92004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts. (2004). Dahl, Mikkel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:1:p:113-136.

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146
102014Generalized quantiles as risk measures. (2014). Müller, Alfred ; Bellini, Fabio ; Gianin, Emanuela Rosazza ; Klar, Bernhard ; Muller, Alfred. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:41-48.

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144
112005Affine processes for dynamic mortality and actuarial valuations. (2005). Biffis, Enrico. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:443-468.

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143
122000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. (2000). Jørgensen, Peter ; Grosen, Anders ; Jorgensen, Peter Lochte. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:26:y:2000:i:1:p:37-57.

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140
132001Mortality derivatives and the option to annuitise. (2001). Milevsky, Moshe ; Promislow, David S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:3:p:299-318.

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139
141997Controlled diffusion models for optimal dividend pay-out. (1997). Asmussen, Soren ; Taksar, Michael. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:20:y:1997:i:1:p:1-15.

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131
152001Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. (2001). Huang, ShaoJuan ; Boulier, Jean-Francois ; Taillard, Gregory. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:2:p:173-189.

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114
162011Mortality density forecasts: An analysis of six stochastic mortality models. (2011). Blake, David ; Khalaf-Allah, Marwa ; Dowd, Kevin ; Coughlan, Guy D. ; Epstein, David ; Cairns, Andrew J. G., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:48:y:2011:i:3:p:355-367.

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99
172003Lee-Carter mortality forecasting with age-specific enhancement. (2003). Haberman, S. ; Renshaw, A. E.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:2:p:255-272.

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99
182006Risk measures via g-expectations. (2006). Gianin, Emanuela Rosazza. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:1:p:19-34.

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96
191985On convex principles of premium calculation. (1985). Deprez, Olivier ; Gerber, Hans U.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:4:y:1985:i:3:p:179-189.

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95
202005Estimating the tail-dependence coefficient: Properties and pitfalls. (2005). Schmidt, Rafael ; Junker, Markus ; Frahm, Gabriel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:1:p:80-100.

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93
212005Optimal investment for insurer with jump-diffusion risk process. (2005). Zhang, Lihong ; Yang, Hailiang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:615-634.

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93
222006Financial valuation of guaranteed minimum withdrawal benefits. (2006). Milevsky, Moshe ; Salisbury, Thomas S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:21-38.

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93
232006Valuation and hedging of life insurance liabilities with systematic mortality risk. (2006). Moller, Thomas ; Dahl, Mikkel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:2:p:193-217.

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93
242011Variable annuities: A unifying valuation approach. (2011). Millossovich, Pietro ; Pitacco, Ermanno ; Bacinello, Anna Rita ; Olivieri, Annamaria. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:3:p:285-297.

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91
252009On stochastic mortality modeling. (2009). Plat, Richard. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:45:y:2009:i:3:p:393-404.

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89
262006Affine stochastic mortality. (2006). Schrager, David F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:81-97.

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86
272011Optimal time-consistent investment and reinsurance policies for mean-variance insurers. (2011). Li, Zhongfei ; Zeng, Yan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:1:p:145-154.

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83
282003Optimal investment strategies in the presence of a minimum guarantee. (2003). Koehl, Pierre-Francois ; Grasselli, Martino ; Deelstra, Griselda. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:1:p:189-207.

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82
292008Optimal reinsurance under VaR and CTE risk measures. (2008). Zhang, YI ; Tan, Ken Seng ; Cai, Jun ; Weng, Chengguo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:1:p:185-196.

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80
302000Optimal investment for insurers. (2000). Plum, Michael ; Hipp, Christian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:27:y:2000:i:2:p:215-228.

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79
312000Upper and lower bounds for sums of random variables. (2000). Dhaene, Jan ; Kaas, Rob. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:27:y:2000:i:2:p:151-168.

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77
321991Risk theory for the compound Poisson process that is perturbed by diffusion. (1991). Gerber, Hans U. ; Dufresne, Francois. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:10:y:1991:i:1:p:51-59.

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77
332009To split or not to split: Capital allocation with convex risk measures. (2009). Tsanakas, Andreas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:268-277.

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75
341998Comonotonicity, correlation order and premium principles. (1998). Dhaene, Jan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:22:y:1998:i:3:p:235-242.

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74
352003Pensionmetrics 2: stochastic pension plan design during the distribution phase. (2003). Dowd, Kevin ; Blake, David ; Cairns, Andrew J. G., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:1:p:29-47.

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74
361997The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. (1997). Shiu, Elias S. W., ; Gerber, Hans U.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:2:p:129-137.

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70
372008Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. (2008). Bai, Lihua ; Guo, Junyi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:3:p:968-975.

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70
382008Weighted risk capital allocations. (2008). Zitikis, Ricardas ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:2:p:263-269.

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69
391996Actuarial bridges to dynamic hedging and option pricing. (1996). Shiu, Elias S. W., ; Gerber, Hans U.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:18:y:1996:i:3:p:183-218.

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69
402001On the time to ruin for Erlang(2) risk processes. (2001). Dickson, David C. M., ; Hipp, Christian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:29:y:2001:i:3:p:333-344.

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67
412003The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. (2003). Drekic, Steve ; Lin, Sheldon X. ; Willmot, Gordon E.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:3:p:551-566.

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67
422006Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval. (2006). Koissi, Marie-Claire ; Hognas, Goran ; Shapiro, Arnold F.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:1-20.

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67
432002Optimal investment strategies and risk measures in defined contribution pension schemes. (2002). Haberman, Steven ; Vigna, Elena. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:35-69.

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66
442007Optimal dividends in the dual model. (2007). S. W. Shiu, Elias, ; Gerber, Hans U. ; Avanzi, Benjamin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:41:y:2007:i:1:p:111-123.

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65
452004Optimal investment choices post-retirement in a defined contribution pension scheme. (2004). Haberman, Steven ; Gerrard, Russell ; Vigna, Elena. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:35:y:2004:i:2:p:321-342.

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65
462004Optimal pension management in a stochastic framework. (2004). Menoncin, Francesco ; Battocchio, Paolo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:34:y:2004:i:1:p:79-95.

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64
471986The determination of life premiums: An international cross-section analysis 1970-1981. (1986). Beenstock, Michael ; Khajuria, Sajay ; Dickinson, Gerry. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:5:y:1986:i:4:p:261-270.

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64
481999Fitting bivariate loss distributions with copulas. (1999). Klugman, Stuart A. ; Parsa, Rahul. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:24:y:1999:i:1-2:p:139-148.

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63
492008Weighted premium calculation principles. (2008). Zitikis, Ricardas ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:1:p:459-465.

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63
502001Optimal reinsurance under mean-variance premium principles. (2001). Kaluszka, Marek. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:1:p:61-67.

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63
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12009Pair-copula constructions of multiple dependence. (2009). Aas, Kjersti ; Bakken, Henrik ; Czado, Claudia ; Frigessi, Arnoldo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:182-198.

Full description at Econpapers || Download paper

76
22014Generalized quantiles as risk measures. (2014). Müller, Alfred ; Bellini, Fabio ; Gianin, Emanuela Rosazza ; Klar, Bernhard ; Muller, Alfred. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:41-48.

Full description at Econpapers || Download paper

51
31997Axiomatic characterization of insurance prices. (1997). Young, Virginia R. ; Wang, Shaun S. ; Panjer, Harry H.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:21:y:1997:i:2:p:173-183.

Full description at Econpapers || Download paper

44
42009Goodness-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

34
52002The concept of comonotonicity in actuarial science and finance: theory. (2002). Dhaene, Jan ; Kaas, R. ; Denuit, M. ; Vyncke, D.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:1:p:3-33.

Full description at Econpapers || Download paper

30
62002The concept of comonotonicity in actuarial science and finance: applications. (2002). Dhaene, Jan ; Kaas, R. ; Denuit, M. ; Vyncke, D.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:2:p:133-161.

Full description at Econpapers || Download paper

24
72002A Poisson log-bilinear regression approach to the construction of projected lifetables. (2002). Brouhns, Natacha ; Denuit, Michel ; Vermunt, Jeroen K.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:31:y:2002:i:3:p:373-393.

Full description at Econpapers || Download paper

21
81997Controlled diffusion models for optimal dividend pay-out. (1997). Asmussen, Soren ; Taksar, Michael. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:20:y:1997:i:1:p:1-15.

Full description at Econpapers || Download paper

20
92011Variable annuities: A unifying valuation approach. (2011). Millossovich, Pietro ; Pitacco, Ermanno ; Bacinello, Anna Rita ; Olivieri, Annamaria. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:3:p:285-297.

Full description at Econpapers || Download paper

20
102001Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. (2001). Huang, ShaoJuan ; Boulier, Jean-Francois ; Taillard, Gregory. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:28:y:2001:i:2:p:173-189.

Full description at Econpapers || Download paper

20
111996Actuarial bridges to dynamic hedging and option pricing. (1996). Shiu, Elias S. W., ; Gerber, Hans U.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:18:y:1996:i:3:p:183-218.

Full description at Econpapers || Download paper

20
122006A cohort-based extension to the Lee-Carter model for mortality reduction factors. (2006). Haberman, S. ; Renshaw, A. E.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:3:p:556-570.

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20
132005Affine processes for dynamic mortality and actuarial valuations. (2005). Biffis, Enrico. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:443-468.

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18
142015Modeling loss data using composite models. (2015). Nadarajah, S. ; Hamzah, N. A. ; Maghsoudi, M. ; Abu Bakar, S. A., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:146-154.

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18
152018Solvency II, or how to sweep the downside risk under the carpet. (2018). Weber, Stefan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:191-200.

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18
162017Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Kirkby, Lars J ; Nguyen, Duy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:46-62.

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18
172009To split or not to split: Capital allocation with convex risk measures. (2009). Tsanakas, Andreas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:44:y:2009:i:2:p:268-277.

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17
182015Optimal retirement income tontines. (2015). Milevsky, Moshe ; Salisbury, Thomas S. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:91-105.

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17
191996Valuation 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

17
201999The safest dependence structure among risks. (1999). Dhaene, Jan ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:25:y:1999:i:1:p:11-21.

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17
212015On optimal reinsurance policy with distortion risk measures and premiums. (2015). Assa, Hirbod. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:70-75.

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17
222006Risk measures via g-expectations. (2006). Gianin, Emanuela Rosazza. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:39:y:2006:i:1:p:19-34.

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17
232016Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps. (2016). Zeng, Yan ; Li, Danping ; Gu, Ailing. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:138-152.

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17
242014Risk aggregation with dependence uncertainty. (2014). Jiang, Xiao ; Wang, Ruodu ; Bernard, Carole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:93-108.

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17
252019Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework. (2019). Shen, Yang ; Chen, LV. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:120-137.

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17
262018Life insurance settlement and the monopolistic insurance market. (2018). Hong, Jimin ; Seog, Hun S. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:36-50.

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16
272013Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles. (2013). Cui, Wei ; Wu, Lan ; Yang, Jingping. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:1:p:74-85.

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16
282009On stochastic mortality modeling. (2009). Plat, Richard. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:45:y:2009:i:3:p:393-404.

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16
292022Systemic risk: Conditional distortion risk measures. (2022). Laeven, Roger ; Dhaene, Jan ; Zhang, Yiying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:126-145.

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16
302012Convex 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.

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16
312012Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?. (2012). Eling, Martin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:2:p:239-248.

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16
322006Financial valuation of guaranteed minimum withdrawal benefits. (2006). Milevsky, Moshe ; Salisbury, Thomas S.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:38:y:2006:i:1:p:21-38.

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16
332011Optimal time-consistent investment and reinsurance policies for mean-variance insurers. (2011). Li, Zhongfei ; Zeng, Yan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:49:y:2011:i:1:p:145-154.

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15
342004Optimal pension management in a stochastic framework. (2004). Menoncin, Francesco ; Battocchio, Paolo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:34:y:2004:i:1:p:79-95.

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14
352021Deep hedging of long-term financial derivatives. (2021). Carbonneau, Alexandre. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:327-340.

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14
362020Convex risk functionals: Representation and applications. (2020). Wang, Ruodu ; Cai, Jun ; Liu, Fangda ; Lemieux, Christiane. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:66-79.

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14
372016Marginal Indemnification Function formulation for optimal reinsurance. (2016). Zhuang, Sheng Chao ; Tan, Ken Seng ; Assa, Hirbod ; Weng, Chengguo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:65-76.

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14
382008Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. (2008). Bai, Lihua ; Guo, Junyi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:3:p:968-975.

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14
392008Optimal consumption and portfolio choice for pooled annuity funds. (2008). Stamos, Michael Z.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:43:y:2008:i:1:p:56-68.

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14
402003Lee-Carter mortality forecasting with age-specific enhancement. (2003). Haberman, S. ; Renshaw, A. E.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:33:y:2003:i:2:p:255-272.

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13
412017Grouped 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.

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13
422016Generalized linear models for dependent frequency and severity of insurance claims. (2016). Schulz, J ; Garrido, J ; Genest, C. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:205-215.

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13
432013Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. (2013). Li, Zhongfei ; Zeng, Yan ; Viens, Frederi G. ; Yi, BO. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:601-614.

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13
442012Optimal asset allocation for DC pension plans under inflation. (2012). Han, Nan-Wei ; Hung, Mao-Wei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:1:p:172-181.

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12
452019A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans. (2019). Li, Yuying ; Forsyth, Peter A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:189-204.

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12
462013Pricing catastrophe risk bonds: A mixed approximation method. (2013). Ma, Zong-Gang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:52:y:2013:i:2:p:243-254.

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12
472005Optimal investment for insurer with jump-diffusion risk process. (2005). Zhang, Lihong ; Yang, Hailiang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:37:y:2005:i:3:p:615-634.

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11
482019Risk-adjusted Bowley reinsurance under distorted probabilities. (2019). Zhang, Yiying ; Phillip, Sheung Chi ; Cheung, Ka Chun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:64-72.

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11
491986The determination of life premiums: An international cross-section analysis 1970-1981. (1986). Beenstock, Michael ; Khajuria, Sajay ; Dickinson, Gerry. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:5:y:1986:i:4:p:261-270.

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11
502008Optimal dividend and issuance of equity policies in the presence of proportional costs. (2008). Zervos, Mihail ; Lokka, Arne. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:42:y:2008:i:3:p:954-961.

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11
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2024Differential Quantile-Based Sensitivity in Discontinuous Models. (2024). Pesenti, Silvana M ; Millossovich, Pietro ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2310.06151.

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2024Forecasting and Backtesting Gradient Allocations of Expected Shortfall. (2024). Koike, Takaaki. In: Papers. RePEc:arx:papers:2401.11701.

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2024Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages. (2024). Sibillo, M ; Piscopo, G ; Lorenzo, E. In: Computational Management Science. RePEc:spr:comgts:v:21:y:2024:i:1:d:10.1007_s10287-023-00491-x.

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2024Optimal dividend and risk control strategies for an insurer when there are multiple reinsurers with different risk attitudes. (2024). Cheng, Gongpin ; Zhou, Hua ; Yao, Dingjun. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324010407.

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2024Stackelberg reinsurance and premium decisions with MV criterion and irreversibility. (2024). Liang, Zongxia ; Luo, Xiaodong. In: Papers. RePEc:arx:papers:2402.11580.

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2024Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures. (2024). Chong, Wing Fung ; Zhu, Michael B ; Ghossoub, Mario. In: Papers. RePEc:arx:papers:2409.05103.

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2024Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach. (2024). Boonen, Tim J ; Mourdoukoutas, Fotios ; Pantelous, Athanasios A ; Koo, Bonsoo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:32-47.

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2024Gap in many dimensions: Application to gender. (2024). Maasoumi, Esfandiar ; Kobus, Martyna ; Kapera, Marek. In: Labour Economics. RePEc:eee:labeco:v:89:y:2024:i:c:s0927537124000770.

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2024Ensemble distributional forecasting for insurance loss reserving. (2024). Li, Yanfeng ; Wong, Bernard ; Avanzi, Benjamin ; Xian, Alan. In: Papers. RePEc:arx:papers:2206.08541.

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2024Distributional Refinement Network: Distributional Forecasting via Deep Learning. (2024). Laub, Patrick J ; Dong, Eric ; Wong, Bernard ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2406.00998.

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2024Systemic Risk Asymptotics in a Renewal Model with Multiple Business Lines and Heterogeneous Claims. (2024). Wan, Hongfu ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2410.00158.

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2024Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction. (2024). Zhao, Zifeng ; Shi, Peng. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000228.

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2024Dependent conditional tail expectation for extreme levels. (2024). Goegebeur, Yuri ; Qin, Jing ; Guillou, Armelle. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:171:y:2024:i:c:s030441492400036x.

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2024Estimation of the conditional tail moment for Weibull‐type distributions. (2024). Qin, Jing ; Guillou, Armelle ; Goegebeur, Yuri. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:4:p:1782-1815.

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2024Getting the right tail right: Modeling tails of health expenditure distributions. (2024). Ziebarth, Nicolas ; Karlsson, Martin ; Wang, Yulong. In: Journal of Health Economics. RePEc:eee:jhecon:v:97:y:2024:i:c:s0167629624000572.

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2024Conditional tail moment and reinsurance premium estimation under random right censoring. (2024). Goegebeur, Yuri ; Qin, Jing ; Guillou, Armelle. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:1:d:10.1007_s11749-023-00890-x.

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2024Insurtech in Europe: identifying the top investment priorities for driving innovation. (2024). Gokalp, Yaar ; Eti, Serkan ; Yuksel, Serhat ; Meral, Hasan ; Diner, Hasan. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00541-y.

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2024Investment–consumption optimization with transaction cost and learning about return predictability. (2024). Siu, Tak Kuen ; Wang, Ning. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:877-891.

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2024Regime Tracking in Markets with Markov Switching. (2024). Borisov, Andrey. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:3:p:423-:d:1328156.

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2024A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition. (2024). Liang, Zongxia ; Xia, YI ; Zou, Bin. In: Papers. RePEc:arx:papers:2405.06235.

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2024Robust Investment and Proportional Reinsurance Strategy with Delay and Jumps in a Stochastic Stackelberg Differential Game. (2024). Zhang, Qiang ; Cui, Qianqian. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:4:d:10.1007_s11009-024-10108-8.

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2024Asymptotic results on tail moment for light-tailed risks. (2024). Li, Jinzhu ; Wang, Bingjie. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:43-55.

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2024Stochastic Loss Reserving: Dependence and Estimation. (2024). Shen, Yang ; Furman, Edward ; Fleck, Andrew. In: Papers. RePEc:arx:papers:2410.14985.

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2024On the Tail Behavior for Randomly Weighted Sums of Dependent Random Variables with its Applications to Risk Measures. (2024). Cheng, Dongya. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:4:d:10.1007_s11009-024-10118-6.

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2024Life-cycle model with subsistence consumption constraint and state-dependent utilities. (2024). Siu, Tak Kuen ; Hu, Shujie ; Wang, Ning. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001074.

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2024Optimal life insurance and annuity decision under money illusion. (2024). Wei, Pengyu ; Li, Wenyuan. In: Papers. RePEc:arx:papers:2410.20128.

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2024Adjusted higher-order expected shortfall. (2024). Zou, Zhenfeng ; Hu, Taizhong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:1-12.

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2024A novel robust method for estimating the covariance matrix of financial returns with applications to risk management. (2024). Toscano, Pietro ; Leccadito, Arturo ; Staino, Alessandro. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00642-2.

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2024Can multi-period auto-portfolio systems improve returns? Evidence from Chinese and U.S. stock markets. (2024). Zhao, Yang ; Wang, Shuai ; Lv, Mengzheng ; Gao, Jialu. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003508.

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2024The Effect of Financial Literacy Confidence on Financial Risk Preference Confidence. A Lab Experiment Approach. (2024). Mudzingiri, Calvin. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:2:p:21582440241253911.

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2024On the factors determining the health profiles and care needs of institutionalized elders. (2024). Wagner, Joel ; Shemendyuk, Aleksandr. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:223-241.

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2024Canonical insurance models: stochastic equations and comparison theorems. (2024). Furrer, Christian ; Christiansen, Marcus C. In: Papers. RePEc:arx:papers:2411.12522.

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2024Variance insurance contracts. (2024). Chi, Yichun ; Yu, Xun ; Zhuang, Sheng Chao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:62-82.

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2024Risk-neutral valuation of GLWB riders in variable annuities. (2024). Maggistro, Rosario ; Zoccolan, Ivan ; Bacinello, Anna Rita. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:1-14.

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2024Guaranteed minimum withdrawal benefits with high-water mark fee structure. (2024). Han, Jiaqi ; Li, Dongchen ; Wu, Lianxia. In: PLOS ONE. RePEc:plo:pone00:0302740.

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2024Testing for auto-calibration with Lorenz and Concentration curves. (2024). Verdebout, Thomas ; Denuit, Michel ; Trufin, Julien ; Huyghe, Julie. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:130-139.

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2024Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation. (2024). Zitikis, R ; Su, J ; Gribkova, N V. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:76:y:2024:i:5:d:10.1007_s10463-024-00904-x.

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2024Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk. (2024). Zhang, Zhimin ; Zhong, Wei. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:478:y:2024:i:c:s0096300324002947.

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2024Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets. (2024). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2412.09157.

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2024The equilibrium strategy of insurance companies’ dividends and reinsurance games. (2024). Wang, Yueyang ; Xu, Xin ; Yang, BO ; Yao, Dingjun. In: Economics Letters. RePEc:eee:ecolet:v:245:y:2024:i:c:s016517652400524x.

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2024The Fourier Cosine Method for Discrete Probability Distributions. (2024). Liu, Chengguang ; Fang, Fang ; Shen, Xiaoyu. In: Papers. RePEc:arx:papers:2410.04487.

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2024The valuation of American options with the stochastic liquidity risk and jump risk. (2024). Guo, Xunxiang ; Huang, Shoude ; Wang, KE ; Zhang, Hongyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:650:y:2024:i:c:s0378437124004205.

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2024Bayesian CART models for insurance claims frequency. (2024). Zhang, Yaojun ; Ji, Lanpeng ; Aivaliotis, Georgios ; Taylor, Charles. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:108-131.

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2024Big data and machine learning-based decision support system to reshape the vaticination of insurance claims. (2024). Tiwari, Aviral ; Gupta, Shashank ; Jaiswal, Rachana. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:209:y:2024:i:c:s0040162524006279.

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2024Improving Business Insurance Loss Models by Leveraging InsurTech Innovation. (2024). Quan, Zhiyu ; Dong, Panyi ; Valdez, Emiliano A ; Hu, Changyue. In: Papers. RePEc:arx:papers:2401.16723.

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2024Quantile mortality modelling of multiple populations via neural networks. (2024). Marino, Zelda ; Corsaro, Stefania ; Scognamiglio, Salvatore. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:114-133.

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2024The Role of Direct Capital Cash Transfers Towards Poverty and Extreme Poverty Alleviation -- An Omega Risk Process. (2024). Arnold, S'Everine. In: Papers. RePEc:arx:papers:2401.06141.

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2024The Gerber-Shiu Expected Discounted Penalty Function: An Application to Poverty Trapping. (2024). . In: Papers. RePEc:arx:papers:2402.11715.

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2024Telematics data for geospatial and temporal mapping of urban mobility: New insights into travel characteristics and vehicle specific power. (2024). Ghaffarpasand, Omid ; Pope, Francis D. In: Journal of Transport Geography. RePEc:eee:jotrge:v:115:y:2024:i:c:s0966692324000243.

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2024Machine learning in accounting and finance research: a literature review. (2024). Alexandridis, Antonios ; Nerantzidis, Michail ; Liaras, Evangelos. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:4:d:10.1007_s11156-024-01306-z.

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2024Claim Reserving via Inverse Probability Weighting: A Micro-Level Chain-Ladder Method. (2024). Lin, Sheldon X ; Calcetero-Vanegas, Sebastian ; Badescu, Andrei L. In: Papers. RePEc:arx:papers:2307.10808.

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2024Reinsurance with neural networks. (2024). Eisenberg, Julia ; Arandjelovi, Aleksandar. In: Papers. RePEc:arx:papers:2408.06168.

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2024Portfolio and reinsurance optimization under unknown market price of risk. (2024). Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:2408.07432.

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2024A novel k-generation propagation model for cyber risk and its application to cyber insurance. (2024). Zhang, Xin ; Ren, NA. In: Papers. RePEc:arx:papers:2408.14151.

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2024No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses. (2024). Robert, Christian Y ; Ortega-Jimenez, Patricia ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024019.

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2024Conditional Mean Risk Sharing of Independent Discrete Losses in Large Pools. (2024). Denuit, Michel ; Robert, Christian Y. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:4:d:10.1007_s11009-024-10106-w.

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2024Optimal allocation for stock market-excluded retirees: Effects of interest rates, longevity risk, and upfront fees. (2024). Liao, Yuexin ; Zhong, Zhuoqing ; Koumba, UR ; Anyomi, Siegfried Kafui ; Emire, Ebenezer Fiifi. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013497.

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2024An analysis of precautionary behavior in retirement decision making with an application to pension system reform. (2024). Magnani, Marco. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:99-113.

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2024Agricultural commodities market reaction to COVID-19. (2024). Iuga, Iulia ; Mudakkar, Syeda Rabab ; Dragolea, Larisa Loredana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000801.

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Recent citations received in 2024
YearCiting document
2024Stackelberg reinsurance and premium decisions with MV criterion and irreversibility. (2024). Liang, Zongxia ; Luo, Xiaodong. In: Papers. RePEc:arx:papers:2402.11580.

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2024Worst-cases of distortion riskmetrics and weighted entropy with partial information. (2024). Yin, Chuancun ; Zuo, Baishuai. In: Papers. RePEc:arx:papers:2405.19075.

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2024A new paradigm of mortality modeling via individual vitality dynamics. (2024). Wang, Zijia ; Zhu, Xiaobai ; Zhou, Kenneth Q. In: Papers. RePEc:arx:papers:2407.15388.

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2024Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures. (2024). Chong, Wing Fung ; Zhu, Michael B ; Ghossoub, Mario. In: Papers. RePEc:arx:papers:2409.05103.

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2024Contract Structure and Risk Aversion in Longevity Risk Transfers. (2024). Zhang, Yuanyuan ; Li, Hong ; Landriault, David. In: Papers. RePEc:arx:papers:2409.08914.

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2024Optimal life insurance and annuity decision under money illusion. (2024). Wei, Pengyu ; Li, Wenyuan. In: Papers. RePEc:arx:papers:2410.20128.

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2024Neural Operators Can Play Dynamic Stackelberg Games. (2024). Yang, Xuwei ; Kratsios, Anastasis ; Ekren, Ibrahim ; Alvarez, Guillermo. In: Papers. RePEc:arx:papers:2411.09644.

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2024Pareto‐efficient risk sharing in centralized insurance markets with application to flood risk. (2024). Chong, Wing Fung ; Ghossoub, Mario ; Boonen, Tim J. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:91:y:2024:i:2:p:449-488.

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2024Multi-agent Equilibrium Model with Heterogeneous Views on Fundamental Risks in Incomplete Market. (2024). Saito, Taiga ; Kizaki, Keisuke ; Takahashi, Akihiko. In: CARF F-Series. RePEc:cfi:fseres:cf578.

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2024Modeling stationary, periodic, and long memory processes by superposed jump-driven processes. (2024). Yoshioka, Hidekazu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:188:y:2024:i:c:s0960077924009093.

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2024Deferred annuities with gender-neutral pricing: Benefitting most women without adversely affecting too many men. (2024). Ying, Yinan ; Lau, Sau-Him Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001398.

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2024Star-shaped acceptability indexes. (2024). Righi, Marcelo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:170-181.

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2024Valuation of guaranteed lifelong withdrawal benefit with the long-term care option. (2024). Chen, Shaoying ; Yang, Yang ; Zhang, Zhimin ; Cui, Zhenyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:179-193.

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2024A two-layer stochastic game approach to reinsurance contracting and competition. (2024). Xia, YI ; Liang, Zongxia ; Zou, Bin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:226-237.

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2024Dependence Modelling for Heavy-Tailed Multi-Peril Insurance Losses. (2024). Lu, YI ; Yan, Tianxing ; Jeong, Himchan. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:6:p:97-:d:1416036.

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2024Optimal insurance for repetitive natural disasters under moral hazard. (2024). Hong, Jimin ; Lee, Minha. In: Journal of Economics. RePEc:kap:jeczfn:v:143:y:2024:i:3:d:10.1007_s00712-024-00876-9.

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2024Multi-agent Equilibrium Model with Heterogeneous Views on Fundamental Risks in Incomplete Market. (2024). Saito, Taiga ; Kizaki, Keisuke ; Takahashi, Akihiko. In: CIRJE F-Series. RePEc:tky:fseres:2024cf1224.

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Recent citations received in 2023
YearCiting document
2023Conditional mean risk sharing of independent discrete losses in large pools. (2023). Denuit, Michel ; Robert, Christian Y. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023010.

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2023Pairwise counter-monotonicity. (2023). Wang, Ruodu ; Lin, Liyuan ; Lauzier, Jean-Gabriel. In: Papers. RePEc:arx:papers:2302.11701.

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2023Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty. (2023). Tian, Dejian ; Li, Weiwei. In: Papers. RePEc:arx:papers:2304.04396.

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2023Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint. (2023). Xu, Zuo Quan ; Mi, Hui ; Yang, Dongfang. In: Papers. RePEc:arx:papers:2309.01936.

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2023Optimal dividend strategies for a catastrophe insurer. (2023). Azcue, Pablo ; Muler, Nora ; Albrecher, Hansjoerg. In: Papers. RePEc:arx:papers:2311.05781.

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2023Optimal insurance with mean-deviation measures. (2023). Han, Xia ; Boonen, Tim J. In: Papers. RePEc:arx:papers:2312.01813.

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2023Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost. (2023). Federico, Salvatore ; Torrente, Maria Laura ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:682.

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2023Pairwise counter-monotonicity. (2023). Wang, Ruodu ; Lin, Liyuan ; Lauzier, Jean-Gabriel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:111:y:2023:i:c:p:279-287.

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2023Robust optimal asset-liability management with mispricing and stochastic factor market dynamics. (2023). Zhang, Yumo ; Wang, Ning. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:251-273.

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2023Estimating the Gerber–Shiu Function in the Two-Sided Jumps Risk Model by Laguerre Series Expansion. (2023). Deng, Yingchun ; Huang, YA. In: Mathematics. RePEc:gam:jmathe:v:11:y:2023:i:9:p:1994-:d:1130818.

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2023On Risk Management of Mortality and Longevity Capital Requirement: A Predictive Simulation Approach. (2023). Yang, Shuai ; Zhou, Kenneth Q. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:12:p:206-:d:1288573.

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2023Modelling Motor Insurance Claim Frequency and Severity Using Gradient Boosting. (2023). Bravo, Jorge ; Guerreiro, Gracinda R ; Clemente, Carina. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:9:p:163-:d:1238092.

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2023Interest rate risk of Chinese commercial banks based on the GARCH-EVT model. (2023). Shan, Zhangming ; Chen, Xin ; Boamah, Valentina ; Tang, Decai ; Zhou, Biao. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-02321-6.

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Recent citations received in 2022
YearCiting document
2022The Gerber-Shiu discounted penalty function: A review from practical perspectives. (2022). He, Yue ; Shimizu, Yasutaka ; Kawai, Reiichiro ; Yamazaki, Kazutoshi. In: Papers. RePEc:arx:papers:2203.10680.

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2022Choquet regularization for reinforcement learning. (2022). Yu, Xun ; Han, Xia ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2208.08497.

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2022mCube: Multinomial Micro-level reserving Model. (2022). Verdonck, Tim ; van Oirbeek, Robin ; Ponnet, Jolien ; Menvouta, Emmanuel Jordy. In: Papers. RePEc:arx:papers:2212.00101.

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2022A Stackelberg reinsurance-investment game under $\alpha$-maxmin mean-variance criterion and stochastic volatility. (2022). Liang, Zongxia ; Song, Yilun ; Guan, Guohui. In: Papers. RePEc:arx:papers:2212.14327.

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2022Equilibrium mean–variance reinsurance and investment strategies for a general insurance company under smooth ambiguity. (2022). Hu, Xiang ; Guan, Guohui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001310.

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2022Stackelberg differential game for insurance under model ambiguity. (2022). Young, Virginia R ; Cao, Jingyi ; Li, Dongchen ; Zou, Bin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:128-145.

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2022Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants. (2022). Zitikis, R ; Gribkova, N V ; Su, J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:199-222.

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2022Bilateral risk sharing in a comonotone market with rank-dependent utilities. (2022). Jiang, Wenjun ; Boonen, Tim J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:361-378.

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2022Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model. (2022). Li, Jinzhu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:38-56.

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2022Nonparametric Estimation of the Expected Shortfall Regression for Quasi-Associated Functional Data. (2022). Kaid, Zoulikha ; Rachdi, Mustapha ; Ait-Hennani, Larbi ; Laksaci, Ali. In: Mathematics. RePEc:gam:jmathe:v:10:y:2022:i:23:p:4508-:d:987723.

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2022Relief Policy and the Sustainability of COVID-19 Pandemic: Empirical Evidence from the Italian Manufacturing Industry. (2022). Ippoliti, Roberto ; Falavigna, Greta. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:22:p:15437-:d:978890.

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2022Heterogeneity in cyber loss severity and its impact on cyber risk measurement. (2022). Jung, Kwangmin ; Eling, Martin. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:4:d:10.1057_s41283-022-00095-w.

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2022Segmentation and estimation of claim severity in motor third-party liability insurance through contrast analysis. (2022). Oltesova, Tatiana ; Zelinova, Silvia ; Komara, Silvia ; Reiff, Marian. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:17:y:2022:i:3:p:803-842.

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2022Entropy as Leading Indicator for Extreme Systemic Risk Events. (2022). Lupu, Iulia ; Stamule, Tanase ; Roman, Mihai. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2022:i:4:p:58-73.

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Recent citations received in 2021
YearCiting document
2021Testing for more positive expectation dependence with application to model comparison. (2021). Verdebout, Thomas ; Denuit, Michel ; Trufin, Julien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021021.

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2021Risk-sharing rules and their properties, with applications to peer-to-peer insurance. (2021). Dhaene, Jan ; Denuit, Michel ; Robert, Christian Y. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021037.

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2021Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets. (2021). Colaneri, Katia ; Ceci, Claudia ; Cretarola, Alessandra. In: Papers. RePEc:arx:papers:2105.07524.

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2021Law-invariant functionals that collapse to the mean: Beyond convexity. (2021). Liebrich, Felix-Benedikt ; Munari, Cosimo. In: Papers. RePEc:arx:papers:2106.01281.

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2021Deep 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.

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2021Stochastic loss reserving with mixture density neural networks. (2021). Al-Mudafer, Muhammed Taher ; Taylor, Greg ; Wong, Bernard ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2108.07924.

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2021Multivariate self-exciting jump processes with applications to financial data. (2021). Eyjolfsson, Heidar ; Tjostheim, Dag. In: Papers. RePEc:arx:papers:2108.10176.

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2021SINH-acceleration for B-spline projection with Option Pricing Applications. (2021). Boyarchenko, Svetlana ; Cui, Zhenyu ; Levendorskiui, Sergei ; Kirkby, Lars J. In: Papers. RePEc:arx:papers:2109.08738.

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2021Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics. (2021). Kock, Verena ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2109.11403.

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2021Deep Quantile and Deep Composite Model Regression. (2021). Fissler, Tobias ; Merz, Michael ; Wuthrich, Mario V. In: Papers. RePEc:arx:papers:2112.03075.

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2021Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate. (2021). Chiu, Mei Choi ; Wang, Ling ; Wong, Hoi Ying. In: Papers. RePEc:arx:papers:2112.06602.

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2021Multivariate matrix-exponential affine mixtures and their applications in risk theory. (2021). Peralta, Oscar ; Woo, Jae-Kyung. In: Papers. RePEc:arx:papers:2201.11122.

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2021Optimal Dividends under Markov-Modulated Bankruptcy Level. (2021). Zhu, Shihao ; Schuhmann, Patrick ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:657.

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2021Risk sharing under the dominant peer‐to‐peer property and casualty insurance business models. (2021). Denuit, Michel ; Robert, Christian Y. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:2:p:181-205.

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2021Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age. (2021). Holzmann, Robert ; Bravo, Jorge ; Ayuso, Mercedes ; Palmer, Edward. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9408.

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2021A decomposition of general premium principles into risk and deviation. (2021). Riedel, Frank ; Nendel, Max ; Schmeck, Maren Diane. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:193-209.

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2021Stop-loss protection for a large P2P insurance pool. (2021). Denuit, Michel ; Robert, Christian Y. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:210-233.

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2021Concave/convex weighting and utility functions for risk: A new light on classical theorems. (2021). Wakker, Peter ; Yang, Jingni. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:429-435.

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2021Addressing the life expectancy gap in pension policy. (2021). Holzmann, Robert ; Bravo, Jorge ; Ayuso, Mercedes ; Palmer, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:200-221.

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2021Time-consistent longevity hedging with long-range dependence. (2021). Wang, Ling ; Wong, Hoi Ying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:25-41.

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2021A combined analysis of hedge effectiveness and capital efficiency in longevity hedging. (2021). Borger, Matthias ; Russ, Jochen ; Freimann, Arne. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:309-326.

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2021Macro longevity risk and the choice between annuity products: Evidence from Denmark. (2021). Kallestrup-Lamb, Malene ; Rangvid, Jesper ; Balter, Anne G. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:355-362.

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2021Longevity risk and capital markets: The 2019-20 update. (2021). Blake, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439.

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2021Efron’s asymptotic monotonicity property in the Gaussian stable domain of attraction. (2021). Denuit, Michel ; Robert, Christian Y. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000816.

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2021Particle Filtering: A Priori Estimation of Observational Errors of a State-Space Model with Linear Observation Equation. (2021). Lykou, Rodi ; Tsaklidis, George. In: Mathematics. RePEc:gam:jmathe:v:9:y:2021:i:12:p:1445-:d:578778.

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2021Mortality/Longevity Risk-Minimization with or without Securitization. (2021). Choulli, Tahir ; Vanmaele, Michele ; Daveloose, Catherine. In: Mathematics. RePEc:gam:jmathe:v:9:y:2021:i:14:p:1629-:d:591860.

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2021Covariance Principle for Capital Allocation: A Time-Varying Approach. (2021). Urbina, Jilber ; Guillen, Montserrat ; Santolino, Miguel. In: Mathematics. RePEc:gam:jmathe:v:9:y:2021:i:16:p:2005-:d:619131.

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2021Calendar Effect and In-Sample Forecasting Applied to Mesothelioma Mortality Data. (2021). Krummaker, Simone ; Martinez-Miranda, Maria Dolores ; Rickayzen, Ben ; Isakson, Alex. In: Mathematics. RePEc:gam:jmathe:v:9:y:2021:i:18:p:2260-:d:635586.

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2021On the Increasing Convex Order of Relative Spacings of Order Statistics. (2021). Sordo, Miguel A ; Pigueiras, Gema ; Castao-Martinez, Antonia. In: Mathematics. RePEc:gam:jmathe:v:9:y:2021:i:6:p:618-:d:517154.

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2021Stochastic Comparisons of Some Distances between Random Variables. (2021). Ortega-Jimenez, Patricia ; Sordo, Miguel A ; Suarez-Llorens, Alfonso. In: Mathematics. RePEc:gam:jmathe:v:9:y:2021:i:9:p:981-:d:544609.

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2021Designing 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.

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2021Mortality 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.

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2021Calibration of Transition Intensities for a Multistate Model: Application to Long-Term Care. (2021). Real, Pedro Corte ; Oliveira, Matilde C ; Esquivel, Manuel L ; Guerreiro, Gracinda R. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:2:p:37-:d:495746.

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2021Immunization 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.

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2021Automatic 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.

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2021The Combined Stop-Loss and Quota-Share Reinsurance: Conditional Tail Expectation-Based Optimization from the Joint Perspective of Insurer and Reinsurer. (2021). Sari, Suci ; Syuhada, Khreshna ; Hakim, Arief. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:125-:d:587197.

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2021Progressive 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.

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2021Coherent 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.

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2021An explicit split point procedure in model-based trees allowing for a quick fitting of GLM trees and GLM forests. (2021). Dutang, Christophe ; Guibert, Quentin. In: Post-Print. RePEc:hal:journl:hal-03448250.

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2021Towards 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.

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