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Life Insurance Mathematics
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Life Insurance Mathematics (1995)Life Insurance MathematicsModelling Mortality with Actuarial Applications (2018)Modelling Mortality with Actu…Longevity Risk (2010)Longevity RiskStochastic Mortality: The Impact on Target Capital (2009)Stochastic Mortality: The Imp…Longevity risk in pension annuities with exchange options: The effect of product design (2009)Longevity risk in pension ann…Mortality risk via affine stochastic intensities: calibration and empirical relevance (2008)Mortality risk via affine sto…Longevity risk in portfolios of pension annuities (2007)Longevity risk in portfolios …Estimating the term structure of mortality (2007)Estimating the term structure…On non-monotonic ageing properties from the Laplace transform, with actuarial applications (2006)On non-monotonic ageing prope…A Bidimensional Approach to Mortality Risk (2006)A Bidimensional Approach to M…Non Mean Reverting Affine Processes for Stochastic Mortality (2005)Non Mean Reverting Affine Pro…Nonparametric Tests for Positive Quadrant Dependence (2004)Nonparametric Tests for Posit…Measuring the Impact of a Dependence Among Insured Lifelengths (2001)Measuring the Impact of a Dep…On life insurance reserves in a stochastic mortality and interest rates environment (1999)On life insurance reserves in…Estimating Adverse Selection Costs from Genetic Testing for Breast and Ovarian Cancer: The Case of Life Insurance (1999)Estimating Adverse Selection …Stochastic Analysis of the Interaction Between Investment and Insurance Risks (1997)Stochastic Analysis of the In…Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences (1997)Some new classes of stochasti…Broken Heart: A Statistical Study of Increased Mortality among Widowers (1969)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Understanding Relationships Using Copulas (1998)Types of dependence and time-dependent association between two lifetimes in single parameter copula models (2006)Markovian Approaches to Joint-Life Mortality (2011)Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives (2012)A Theory of Auctions and Competitive Bidding (1982)Modelling of extremal events in insurance and finance (1994)An Introduction to Copulas (1999)Nonparametric Estimation of Copulas for Time Series (2003)Some Statistical Pitfalls in Copula Modeling for Financial Applications (2004)Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation (2011)Separation of Inflation and other Effects from the Distribution of Non-Life Insurance Claim Delays (1977)Differential equations for moments of present values in life insurance (1995)Medical Selection of Life Risks (2000)Recursive Evaluation of a Family of Compound Distributions (1981)Effective actuarial methods (1990)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION (2016)Modeling and Forecasting U. S. Mortality (1992)The Econometrics of Financial Markets (1997)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Inter- and Intra-generational Consequences of Pension Buffer Policy under Demographic, Financial, and Economic Shocks (2010)Longevity Risk, Retirement Savings and Financial Innovation (2011)Longevity Risk in Notional Defined Contribution Pension Schemes: A Solution (2015)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Dynamic Asset Pricing Theory. (1993)Oligarchic Versus Democratic Societies (2008)Heterogeneity in Intra-Monthly Consumption Patterns, Self-Control, and Savings at Retirement (2009)College Cost and Time to Complete a Degree: Evidence from Tuition Discontinuities (2011)Stochastic Differential Equations: Theory and Applications. (1976)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Delta–Gamma hedging of mortality and interest rate risk (2012)Mortality surface by means of continuous time cohort models (2013)Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities (2014)XXIV. On the nature of the function expressive of the law of human mortality, and on a new mode of determining the value of life contingencies. In a letter to Francis Baily, Esq. F. R. S. &c (1825)Measurement of Inequality of Incomes (1921)A Hermite-spline model of post-retirement mortality (2019)Mortality models incorporating long memory for life table estimation: a comprehensive analysis (2021)On the Gompertz–Makeham law: A useful mortality model to deal with human mortality (2022)The impact of heterogeneity in individual frailty on the dynamics of mortality (1979)Point Processes and Queues (1981)Point Processes and Queues: Martingale Dynamics. (1983)Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging (2011)Managing longevity and disability risks in life annuities with long term care (2012)TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN (2018)Longevity Risk: Measurement and Application Perspectives (2002)Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods (2020)
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  • 2005Non Mean Reverting Affine Processes for Stochastic Mortality131 cited
  • 2007Longevity risk in portfolios of pension annuities105 cited
  • 1999Estimating Adverse Selection Costs from Genetic Testing for Breast and Ovarian Cancer: The Case of Life Insurance83 cited
  • 2008Mortality risk via affine stochastic intensities: calibration and empirical relevance82 cited
  • 2018Modelling Mortality with Actuarial Applications79 cited
  • 2004Nonparametric Tests for Positive Quadrant Dependence78 cited
  • 1997Stochastic Analysis of the Interaction Between Investment and Insurance Risks62 cited
  • 2001Measuring the Impact of a Dependence Among Insured Lifelengths58 cited
  • 1997Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences55 cited
  • 2009Stochastic Mortality: The Impact on Target Capital50 cited
  • 2007Estimating the term structure of mortality46 cited
  • 2010Longevity Risk42 cited
  • 2006On non-monotonic ageing properties from the Laplace transform, with actuarial applications42 cited
  • 2006A Bidimensional Approach to Mortality Risk40 cited

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2009
Longevity risk in pension annuities with exchange options: The effect of product design
35 cited
  • 1999On life insurance reserves in a stochastic mortality and interest rates environment33 cited