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ASTIN Bulletin / Cambridge University Press

Citation Profile [Updated: 2024-11-03 20:16:59]
5 Years H Index
35
Impact Factor (IF)
0.39
5 Years IF
0.49
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 0 21 21 129 0 48 112 0 0 0.05
1991 0 0.1 0 0 25 46 181 0 46 114 0 0 0.05
1992 0 0.11 0 0 21 67 63 0 46 112 0 0 0.06
1993 0 0.13 0 0 20 87 198 0 46 115 0 0 0.06
1994 0.02 0.14 0.1 0.03 26 113 145 11 11 41 1 112 3 0 0 0.07
1995 0.22 0.22 0.33 0.11 16 129 58 42 53 46 10 113 12 0 1 0.06 0.09
1996 0.1 0.25 0.23 0.09 24 153 396 35 88 42 4 108 10 0 0 0.12
1997 0.13 0.25 0.19 0.11 30 183 242 34 122 40 5 107 12 0 0 0.11
1998 0.17 0.28 0.23 0.1 22 205 123 48 170 54 9 116 12 1 2.1 1 0.05 0.13
1999 0.1 0.31 0.35 0.19 27 232 135 81 251 52 5 118 22 0 0 0.15
2000 0.16 0.36 0.26 0.16 24 256 167 67 318 49 8 119 19 0 2 0.08 0.16
2001 0.08 0.39 0.22 0.17 23 279 171 60 378 51 4 127 22 0 0 0.17
2002 0.11 0.41 0.31 0.1 23 302 180 94 472 47 5 126 13 0 1 0.04 0.21
2003 0.2 0.44 0.29 0.17 31 333 255 95 567 46 9 119 20 0 3 0.1 0.22
2004 0.22 0.5 0.27 0.2 29 362 129 96 663 54 12 128 25 0 1 0.03 0.22
2005 0.15 0.51 0.29 0.18 31 393 186 113 776 60 9 130 24 2 1.8 1 0.03 0.24
2006 0.07 0.51 0.28 0.15 29 422 345 117 893 60 4 137 21 6 5.1 6 0.21 0.23
2007 0.17 0.46 0.25 0.13 24 446 326 112 1005 60 10 143 19 0 0 0.2
2008 0.55 0.49 0.46 0.38 30 476 327 217 1223 53 29 144 54 0 2 0.07 0.23
2009 0.35 0.48 0.45 0.31 32 508 174 231 1454 54 19 143 44 3 1.3 0 0.24
2010 0.32 0.49 0.43 0.39 38 546 204 235 1689 62 20 146 57 1 0.4 3 0.08 0.21
2011 0.14 0.52 0.3 0.33 25 571 329 174 1863 70 10 153 50 0 6 0.24 0.24
2012 0.43 0.52 0.42 0.42 26 597 165 249 2112 63 27 149 62 0 0 0.22
2013 0.45 0.56 0.51 0.34 18 615 152 312 2425 51 23 151 51 0 7 0.39 0.24
2014 0.45 0.55 0.41 0.37 24 639 132 263 2690 44 20 139 51 0 3 0.13 0.23
2015 0.52 0.55 0.54 0.47 25 664 147 356 3046 42 22 131 61 0 5 0.2 0.23
2016 0.59 0.53 0.68 0.74 28 692 142 473 3519 49 29 118 87 3 0.6 5 0.18 0.21
2017 0.42 0.54 0.59 0.53 31 723 140 430 3949 53 22 121 64 5 1.2 8 0.26 0.22
2018 0.68 0.55 0.59 0.67 46 769 180 451 4400 59 40 126 84 0 4 0.09 0.24
2019 0.61 0.57 0.68 0.66 33 802 176 544 4944 77 47 154 102 6 1.1 13 0.39 0.23
2020 0.67 0.68 0.67 0.57 35 837 148 560 5504 79 53 163 93 0 16 0.46 0.32
2021 1.12 0.81 0.78 0.84 30 867 39 677 6181 68 76 173 146 0 7 0.23 0.3
2022 0.62 0.86 0.56 0.62 31 898 37 504 6685 65 40 175 108 0 12 0.39 0.26
2023 0.39 0.92 0.44 0.49 31 929 11 412 7097 61 24 175 85 0 3 0.1 0.27
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
11996Premium Calculation by Transforming the Layer Premium Density. (1996). Wang, Shaun . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:01:p:71-92_00.

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254
21997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory. (1997). McNeil, Alexander J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:27:y:1997:i:01:p:117-137_01.

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134
32007A Primer on Copulas for Count Data. (2007). Nelehova, Johanna ; Genest, Christian. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:475-515_01.

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120
42008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities. (2008). Bauer, Daniel ; Russ, Jochen ; Kling, Alexander . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:621-651_01.

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118
51993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates. (1993). Mack, Thomas. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:02:p:213-225_01.

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108
62006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk. (2006). Blake, David ; Dowd, Kevin. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:01:p:79-120_01.

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106
71981Recursive Evaluation of a Family of Compound Distributions. (1981). Panjer, Harry H. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:12:y:1981:i:01:p:22-26_00.

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101
82007Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures. (2007). Cai, Jun ; Tan, Ken Seng. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:01:p:93-112_01.

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90
91996Dependency of Risks and Stop-Loss Order. (1996). Dhaene, Jan ; Goovaerts, Marc J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:02:p:201-212_00.

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77
101989A Generalization of Automobile Insurance Rating Models: The Negative Binomial Distribution with a Regression Component. (1989). Dionne, Georges ; Vanasse, Charles . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:19:y:1989:i:02:p:199-212_00.

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69
112011Bayesian Stochastic Mortality Modelling for Two Populations. (2011). Blake, David ; Khalaf-Allah, Marwa ; Coughlan, Guy D ; Dowd, Kevin. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:01:p:29-59_00.

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69
122003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling. (2003). McNeil, Alexander J ; Lindskog, Filip. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:33:y:2003:i:02:p:209-238_01.

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67
132000Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time. (2000). Cairns, Andrew . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:01:p:19-55_00.

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62
142002A Universal Framework for Pricing Financial and Insurance Risks. (2002). Wang, Shaun S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:32:y:2002:i:02:p:213-234_01.

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62
152001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed. (2001). Bacinello, Anna Rita . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:31:y:2001:i:02:p:275-297_00.

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62
162006Tail Variance Premium with Applications for Elliptical Portfolio of Risks. (2006). Landsman, Zinoviy ; Furman, Edward. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:433-462_01.

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61
171987On the Probability and Severity of Ruin. (1987). Gerber, Hans U ; Kaas, Rob ; Goovaerts, Marc J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:17:y:1987:i:02:p:151-163_00.

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59
182011Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach. (2011). Chi, Yichun ; Tan, Ken Seng. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:487-509_00.

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59
191990Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation. (1990). Denneberg, Dieter . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:02:p:181-190_00.

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52
202011Modelling Adult Mortality in Small Populations: The Saint Model. (2011). Jarner, Soren Fiig ; Kryger, Esben Masotti . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:377-418_00.

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50
211993Prediction of Outstanding Liabilities in Non-Life Insurance. (1993). Norberg, Ragnar. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:01:p:95-115_00.

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46
222004Some Optimal Dividends Problems. (2004). David, ; Waters, Howard R. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:34:y:2004:i:01:p:49-74_01.

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45
232001Design of Optimal Bonus-Malus Systems With a Frequency and a Severity Component On an Individual Basis in Automobile Insurance. (2001). Vrontos, Spyridon D ; Frangos, Nicholas E. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:31:y:2001:i:01:p:1-22_00.

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44
242011Randomized Observation Periods for the Compound Poisson Risk Model: Dividends. (2011). Albrecher, Hansjorg ; Thonhauser, Stefan. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:645-672_00.

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43
251988Mathematical Fun with the Compound Binomial Process. (1988). Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:18:y:1988:i:02:p:161-168_00.

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42
262000Pricing Risk Transfer Transactions. (2000). Lane, Morton N. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:02:p:259-293_01.

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42
272010The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis. (2010). Donnelly, Catherine ; Embrechts, Paul. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:40:y:2010:i:01:p:1-33_00.

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40
281998On Esscher Transforms in Discrete Finance Models. (1998). Shiryaev, Albert N ; Embrechts, Paul ; Delbaen, Freddy ; Buhlmann, Hans. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:28:y:1998:i:02:p:171-186_01.

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38
291979Optimal Risk Exchanges. (1979). Buhlmann, Hans ; Jewell, William S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:10:y:1979:i:03:p:243-262_00.

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38
301960Reciprocal Reinsurance Treaties. (1960). Borch, Karl . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:1:y:1960:i:04:p:170-191_00.

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37
311999Prediction of Outstanding Liabilities II. Model Variations and Extensions. (1999). Norberg, Ragnar. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:29:y:1999:i:01:p:5-25_00.

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37
321984An Application of Game Theory: Cost Allocation. (1984). Lemaire, Jean . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:14:y:1984:i:01:p:61-81_00.

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36
332013ON OPTIMAL DIVIDENDS IN THE DUAL MODEL. (2013). Bayraktar, Erhan ; Kyprianou, Andreas E ; Yamazaki, Kazutoshi. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:03:p:359-372_00.

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36
341991Cooperative Game Theory and its Insurance Applications. (1991). Lemaire, Jean . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:01:p:17-40_00.

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35
352012On the Calculation of the Solvency Capital Requirement Based on Nested Simulations. (2012). Bauer, Daniel ; Singer, Daniela ; Reuss, Andreas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:02:p:453-499_00.

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35
362007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT. (2007). Degen, Matthias ; Lambrigger, Dominik D ; Embrechts, Paul. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:265-291_01.

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34
371974On Additive Premium Calculation Principles. (1974). Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:7:y:1974:i:03:p:215-222_00.

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34
381998Designing Optimal Bonus-Malus Systems from Different Types of Claims. (1998). Pinquet, Jean. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:28:y:1998:i:02:p:205-220_01.

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33
392019SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES. (2019). Denuit, Michel. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:49:y:2019:i:03:p:591-617_00.

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32
402005EM Algorithm for Mixed Poisson and Other Discrete Distributions. (2005). Karlis, Dimitris. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:35:y:2005:i:01:p:3-24_01.

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32
411989Hedging by Sequential Regression: an Introduction to the Mathematics of Option Trading. (1989). Follmer, H ; Schweizer, M. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:19:y:1989:i:s1:p:29-42_00.

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32
422008Optimal Dividends in the Dual Model with Diffusion. (2008). Avanzi, Benjamin ; Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:653-667_01.

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32
431991Risk Theory with the Gamma Process. (1991). Dufresne, Franois ; Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:21:y:1991:i:02:p:177-192_00.

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31
442002Erlangian Approximations for Finite-Horizon Ruin Probabilities. (2002). Asmussen, Soren ; Usabel, Miguel ; Avram, Florin. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:32:y:2002:i:02:p:267-281_01.

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31
452002Fitting Tweedies Compound Poisson Model to Insurance Claims Data: Dispersion Modelling. (2002). Jorgensen, Bent ; Smyth, Gordon K. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:32:y:2002:i:01:p:143-157_01.

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29
462006On the Tail Behavior of Sums of Dependent Risks. (2006). Genest, Christian ; Barbe, Philippe ; Fougeres, Anne-Laure . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:361-373_01.

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28
472009Risk Measures and Efficient use of Capital. (2009). Artzner, Philippe ; Delbaen, Freddy ; Koch-Medina, Pablo. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:39:y:2009:i:01:p:101-116_00.

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27
481981Further Results on Recursive Evaluation of Compound Distributions. (1981). Sundt, Bjorn ; Jewell, William S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:12:y:1981:i:01:p:27-39_00.

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27
491999On Multivariate Panjer Recursions. (1999). Sundt, Bjorn . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:29:y:1999:i:01:p:29-45_00.

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26
502013INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK. (2013). Pigeon, Mathieu ; Antonio, Katrien ; Denuit, Michel. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:03:p:399-428_00.

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26
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
11996Premium Calculation by Transforming the Layer Premium Density. (1996). Wang, Shaun . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:26:y:1996:i:01:p:71-92_00.

Full description at Econpapers || Download paper

36
22007A Primer on Copulas for Count Data. (2007). Nelehova, Johanna ; Genest, Christian. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:02:p:475-515_01.

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23
32020DISTORTION RISKMETRICS ON GENERAL SPACES. (2020). Wei, Yunran ; Wang, Ruodu. In: ASTIN Bulletin. RePEc:cup:astinb:v:50:y:2020:i:3:p:827-851_6.

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22
42008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities. (2008). Bauer, Daniel ; Russ, Jochen ; Kling, Alexander . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:621-651_01.

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18
51993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates. (1993). Mack, Thomas. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:02:p:213-225_01.

Full description at Econpapers || Download paper

18
62007Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures. (2007). Cai, Jun ; Tan, Ken Seng. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:01:p:93-112_01.

Full description at Econpapers || Download paper

18
72019SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES. (2019). Denuit, Michel. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:49:y:2019:i:03:p:591-617_00.

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17
81997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory. (1997). McNeil, Alexander J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:27:y:1997:i:01:p:117-137_01.

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13
92006Tail Variance Premium with Applications for Elliptical Portfolio of Risks. (2006). Landsman, Zinoviy ; Furman, Edward. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:02:p:433-462_01.

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13
102011Bayesian Stochastic Mortality Modelling for Two Populations. (2011). Blake, David ; Khalaf-Allah, Marwa ; Coughlan, Guy D ; Dowd, Kevin. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:01:p:29-59_00.

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13
111990Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation. (1990). Denneberg, Dieter . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:20:y:1990:i:02:p:181-190_00.

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13
122018PRICING OF CYBER INSURANCE CONTRACTS IN A NETWORK MODEL. (2018). Fahrenwaldt, Matthias A ; Weske, Kerstin ; Weber, Stefan. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:48:y:2018:i:03:p:1175-1218_00.

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11
132019CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION. (2019). Yuan, Zhongyi ; Tang, Qihe. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:49:y:2019:i:02:p:457-490_00.

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11
142011Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach. (2011). Chi, Yichun ; Tan, Ken Seng. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:487-509_00.

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11
152007Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds. (2007). Zimbidis, Alexandros A ; Pantelous, Athanasios A ; Frangos, Nickolaos E. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:37:y:2007:i:01:p:163-183_01.

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10
162019ON THE OPTIMALITY OF A STRAIGHT DEDUCTIBLE UNDER BELIEF HETEROGENEITY. (2019). Chi, Yichun. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:49:y:2019:i:01:p:243-262_00.

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10
172012On the Calculation of the Solvency Capital Requirement Based on Nested Simulations. (2012). Bauer, Daniel ; Singer, Daniela ; Reuss, Andreas . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:02:p:453-499_00.

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10
182010The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis. (2010). Donnelly, Catherine ; Embrechts, Paul. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:40:y:2010:i:01:p:1-33_00.

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10
192018ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER. (2018). Chen, LV ; Shen, Yang. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:48:y:2018:i:02:p:905-960_00.

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202019TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN. (2019). Klein, Jakob K ; Hieber, Peter ; Chen, AN. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:49:y:2019:i:01:p:5-30_00.

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212006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk. (2006). Blake, David ; Dowd, Kevin. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:36:y:2006:i:01:p:79-120_01.

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222018A NEURAL-NETWORK ANALYZER FOR MORTALITY FORECAST. (2018). Hainaut, Donatien. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:48:y:2018:i:02:p:481-508_00.

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

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241985The Reinsurers Monopoly and the Bowley Solution. (1985). Chan, Fung-Yee ; Gerber, Hans U. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:15:y:1985:i:02:p:141-148_00.

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252011Modelling Adult Mortality in Small Populations: The Saint Model. (2011). Jarner, Soren Fiig ; Kryger, Esben Masotti . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:41:y:2011:i:02:p:377-418_00.

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262020VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD. (2020). Hieber, Peter ; Gnameho, Kossi ; Devolder, Pierre ; Deelstra, Griselda. In: ASTIN Bulletin. RePEc:cup:astinb:v:50:y:2020:i:3:p:709-742_2.

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272015Actuarial Fairness and Solidarity in Pooled Annuity Funds. (2015). Donnelly, Catherine . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:45:y:2015:i:01:p:49-74_00.

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282005EM Algorithm for Mixed Poisson and Other Discrete Distributions. (2005). Karlis, Dimitris. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:35:y:2005:i:01:p:3-24_01.

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292008Dividend Moments in the Dual Risk Model: Exact and Approximate Approaches. (2008). , Eric ; Drekic, Steve . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:38:y:2008:i:02:p:399-422_01.

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302020LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING. (2020). Robert, Christian Y ; Denuit, Michel. In: ASTIN Bulletin. RePEc:cup:astinb:v:50:y:2020:i:3:p:1093-1122_14.

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312019ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION. (2019). Tang, Qihe ; Li, Han. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:49:y:2019:i:03:p:823-846_00.

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322020WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS. (2020). Liu, Haiyan. In: ASTIN Bulletin. RePEc:cup:astinb:v:50:y:2020:i:2:p:647-673_11.

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332009New Goodness-of-Fit Tests for Pareto Distributions. (2009). Rizzo, Maria L. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:39:y:2009:i:02:p:691-715_00.

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342019A CLASS OF MIXTURE OF EXPERTS MODELS FOR GENERAL INSURANCE: APPLICATION TO CORRELATED CLAIM FREQUENCIES. (2019). Lin, Sheldon X ; Badescu, Andrei L ; Fung, Tsz Chai. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:49:y:2019:i:03:p:647-688_00.

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352016Optimal Reinsurance from the Perspectives of both an Insurer and a Reinsurer. (2016). Cai, Jun ; Liu, Fangda ; Lemieux, Christiane . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:46:y:2016:i:03:p:815-849_00.

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362017A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES. (2017). Villegas, Andres M ; Millossovich, Pietro ; Kaishev, Vladimir K ; Haberman, Steven. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:47:y:2017:i:03:p:631-679_00.

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372016Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating. (2016). Milevsky, Moshe A ; Salisbury, Thomas S. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:46:y:2016:i:03:p:571-604_00.

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382002Fitting Tweedies Compound Poisson Model to Insurance Claims Data: Dispersion Modelling. (2002). Jorgensen, Bent ; Smyth, Gordon K. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:32:y:2002:i:01:p:143-157_01.

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392016Pricing in Reinsurance Bargaining with Comonotonic Additive Utility Functions. (2016). Zhuang, Sheng Chao ; Boonen, Tim J ; Tan, Ken Seng. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:46:y:2016:i:02:p:507-530_00.

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402015Fitting Mixtures of Erlangs to Censored and Truncated Data Using the EM Algorithm. (2015). Verbelen, Roel ; Antonio, Katrien ; Lin, Sheldon ; Badescu, Andrei ; Gong, Lan . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:45:y:2015:i:03:p:729-758_00.

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412000Pricing Risk Transfer Transactions. (2000). Lane, Morton N. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:02:p:259-293_01.

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422013INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK. (2013). Pigeon, Mathieu ; Antonio, Katrien ; Denuit, Michel. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:43:y:2013:i:03:p:399-428_00.

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431969On a class of measures of dispersion with application to optimal reinsurance. (1969). Ohlin, Jan . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:5:y:1969:i:02:p:249-266_00.

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442012The Impact of Culture on the Demand for Non-Life Insurance. (2012). Park, Sojung Carol ; Lemaire, Jean . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:42:y:2012:i:02:p:501-527_00.

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452020OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION. (2020). Escobar Anel, Marcos ; Ren, Jiandong ; Escobar-Anel, Marcos ; Jiang, Wenjun. In: ASTIN Bulletin. RePEc:cup:astinb:v:50:y:2020:i:2:p:619-646_10.

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462022MODERN LIFE-CARE TONTINES. (2022). Lucas, Nathalie ; Hieber, Peter. In: ASTIN Bulletin. RePEc:cup:astinb:v:52:y:2022:i:2:p:563-589_7.

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472000Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time. (2000). Cairns, Andrew . In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:30:y:2000:i:01:p:19-55_00.

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482003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling. (2003). McNeil, Alexander J ; Lindskog, Filip. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:33:y:2003:i:02:p:209-238_01.

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491993Prediction of Outstanding Liabilities in Non-Life Insurance. (1993). Norberg, Ragnar. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:23:y:1993:i:01:p:95-115_00.

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502022MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS. (2022). Robert, Christian Y ; Hieber, Peter ; Denuit, Michel. In: ASTIN Bulletin. RePEc:cup:astinb:v:52:y:2022:i:3:p:813-834_5.

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Citing documents used to compute impact factor: 24
YearTitle
2023Special Issue “Data Science in Insurance”. (2023). Zappa, Diego ; Savelli, Nino ; della Corte, Francesco ; Clemente, Gian Paolo. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:5:p:80-:d:1131080.

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2023
2023.

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2023Endowment contingency funds for mutual aid and public financing. (2023). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023009.

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2023Modelling maximum cyber incident losses of German organisations: an empirical study and modified extreme value distribution approach. (2023). Teuteberg, Frank ; Raschke, Mathias ; Skarczinski, Bennet. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:48:y:2023:i:2:d:10.1057_s41288-023-00293-x.

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2023From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures. (2023). Nedeltchev, Dragomir C ; Zaevski, Tsvetelin S. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001618.

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2023Should Selection of the Optimum Stochastic Mortality Model Be Based on the Original or the Logarithmic Scale of the Mortality Rate?. (2023). Santolino, Miguel. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:10:p:170-:d:1250189.

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2023Including individual Customer Lifetime Value and competing risks in tree-based lapse management strategy. (2023). Olympio, Anani Ayodele ; Milhaud, Xavier ; Valla, Mathias. In: Working Papers. RePEc:hal:wpaper:hal-03903047.

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2023Can Regulation Affect the Solvency of Insurers? New Evidence from European Insurers. (2023). Agiropoulos, Charalampos ; Chen, James Ming ; Poufinas, Thomas ; Siopi, Evaggelia. In: International Advances in Economic Research. RePEc:kap:iaecre:v:29:y:2023:i:1:d:10.1007_s11294-023-09867-w.

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2023Including individual Customer Lifetime Value and competing risks in tree-based lapse management strategies. (2023). Olympio, Anani Ayodele ; Milhaud, Xavier ; Valla, Mathias. In: Post-Print. RePEc:hal:journl:hal-03903047.

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2023A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2208.14809.

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2023Automatic Segmentation of Insurance Rating Classes Under Ordinal Constraints via Group Fused Lasso. (2023). Shunichi, Nomura ; Atsumori, Takahashi. In: Asia-Pacific Journal of Risk and Insurance. RePEc:bpj:apjrin:v:17:y:2023:i:1:p:113-142:n:1.

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2023Bivariate Poisson credibility model and bonus-malus scale for claim and near-claim events. (2023). Denuit, Michel ; Trufin, Julien ; Simon, Pierre-Alexandre. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023014.

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2023Locally-coherent multi-population mortality modelling via neural networks. (2023). Scognamiglio, Salvatore ; Perla, Francesca. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:46:y:2023:i:1:d:10.1007_s10203-022-00382-x.

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2023Transaction time models in multi-state life insurance. (2022). Sandqvist, Oliver Lunding ; Furrer, Christian ; Buchardt, Kristian. In: Papers. RePEc:arx:papers:2209.06902.

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2023
2023An axiomatic theory for anonymized risk sharing. (2022). Wang, Ruodu ; Liu, Yang ; Jiao, Zhanyi. In: Papers. RePEc:arx:papers:2208.07533.

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2023
2023
2023Joint life care annuities to help retired couples to finance the cost of long-term care. (2023). VIDAL-MELIA, CARLOS ; Ventura-Marco, Manuel ; Perez-Salamero, Juan Manuel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:122-139.

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2023Backtesting stochastic mortality models by prediction interval-based metrics. (2023). Marino, Mario ; Scognamiglio, Salvatore. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:4:d:10.1007_s11135-022-01537-z.

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

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2023Mean-field Libor market model and valuation of long term guarantees. (2023). Schachinger, Gabriel ; Kienbacher, Eva ; Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2310.09022.

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Recent citations
Recent citations received in 2023
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2023.

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2023Markov-Switching Bayesian Vector Autoregression Model in Mortality Forecasting. (2023). Droms, Sean ; Brewer, Patrick ; Smith, Barry R ; Fu, Wanying. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:9:p:152-:d:1222432.

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Recent citations received in 2022
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2022Allocation of benefits in mutual aid and survivor funds. (2022). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022029.

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2022A multi-task network approach for calculating discrimination-free insurance prices. (2022). Wuthrich, Mario V ; Tsanakas, Andreas ; Richman, Ronald ; Lindholm, Mathias. In: Papers. RePEc:arx:papers:2207.02799.

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2022A Discussion of Discrimination and Fairness in Insurance Pricing. (2022). Wuthrich, Mario V ; Tsanakas, Andreas ; Richman, Ronald ; Lindholm, Mathias. In: Papers. RePEc:arx:papers:2209.00858.

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2022Leveraging deep neural networks to estimate age-specific mortality from life expectancy at birth. (2022). Aburto, Jose Manuel ; Levantesi, Susanna ; Nigri, Andrea. In: Demographic Research. RePEc:dem:demres:v:47:y:2022:i:8.

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2022Future global electricity demand load curves. (2022). Muoz, Raul Maicas ; de Boer, Harmen-Sytze ; Castillo, Victhalia Zapata ; van Vuuren, Detlef ; Benders, Rene. In: Energy. RePEc:eee:energy:v:258:y:2022:i:c:s0360544222016449.

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2022Insurance with heterogeneous preferences. (2022). Liu, Fangda ; Boonen, Tim J. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:102:y:2022:i:c:s030440682200074x.

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2022Sex Differential Dynamics in Coherent Mortality Models. (2022). Jallbjorn, Snorre ; Jarner, Soren Fiig. In: Forecasting. RePEc:gam:jforec:v:4:y:2022:i:4:p:45-844:d:929756.

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2022.

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2022Heat Equation as a Tool for Outliers Mitigation in Run-Off Triangles for Valuing the Technical Provisions in Non-Life Insurance Business. (2022). Mokrisova, Martina ; Rovnak, Martin ; Bakon, Matus ; Barlak, Jan. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:9:p:171-:d:899780.

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2022Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models. (2022). Ziveyi, Jonathan ; Villegas, Andres M ; Sherris, Michael ; Huang, Zhiping. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:9:p:183-:d:915479.

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2022Analysis of IBNR Liabilities with Interevent Times Depending on Claim Counts. (2022). Geiger, Daniel J ; Adekpedjou, Akim. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-022-09950-5.

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Recent citations received in 2021
YearCiting document
2021Risk measures induced by efficient insurance contracts. (2021). Zitikis, Ricardas ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2109.00314.

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2021A 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.

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2021An 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.

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2021Stochastic Claims Reserving Methods with State Space Representations: A Review. (2021). Johannssen, Arne ; Chukhrova, Nataliya. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:11:p:198-:d:672160.

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2021Kalman 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.

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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 ; Hakim, Arief ; Syuhada, Khreshna. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:125-:d:587197.

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Recent citations received in 2020
YearCiting document
2020From risk sharing to pure premium for a large number of heterogeneous losses. (2020). Robert, C Y ; Denuit, M. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020015.

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2020Risk reduction by conditional mean risk sharing with application to collaborative insurance. (2020). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020024.

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2020Life-Care Tontines. (2020). Lucas, Nathalie ; Hieber, Peter. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020026.

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2020Stop-loss protection for a large P2P insurance pool. (2020). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020028.

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2020A 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.

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2020Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market. (2020). Mildenhall, Stephen J ; Major, John A. In: Papers. RePEc:arx:papers:2008.12427.

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2020Volterra mortality model: Actuarial valuation and risk management with long-range dependence. (2020). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Papers. RePEc:arx:papers:2009.09572.

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2020Fast and efficient nested simulation for large variable annuity portfolios: A surrogate modeling approach. (2020). Yang, Shuai ; Lin, Sheldon X. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:85-103.

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2020Optimal dynamic asset allocation for DC plan accumulation/decumulation: Ambition-CVAR. (2020). Forsyth, Peter A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:230-245.

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2020Positivity properties of the ARFIMA(0,d,0) specifications and credibility analysis of frequency risks. (2020). Pinquet, Jean . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:159-165.

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2020EM estimation for the Poisson-Inverse Gamma regression model with varying dispersion: an application to insurance ratemaking. (2020). Tzougas, George. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:106539.

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2020Neural Networks for the Joint Development of Individual Payments and Claim Incurred. (2020). Wuthrich, Mario V ; Delong, Ukasz. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:33-:d:342279.

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2020EM Estimation for the Poisson-Inverse Gamma Regression Model with Varying Dispersion: An Application to Insurance Ratemaking. (2020). Tzougas, George. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:97-:d:412191.

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2020Application of a Vine Copula for Multi-Line Insurance Reserving. (2020). Dey, Dipak ; Jeong, Himchan. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:111-:d:432602.

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2020On quantile based co-risk measures and their estimation. (2020). Wolfgang, Trutschnig ; Sebastian, Fuchs. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:396-416:n:19.

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2020On quantile based co-risk measures and their estimation. (2020). Wolfgang, Trutschnig ; Sebastian, Fuchs. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:396-416:n:21.

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