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Recent Challenges in Actuarial Science
16 references·1 citing·41 second hop
Recent Challenges in Actuarial Science (2021)Recent Challenges in Actuarial ScienceMaking and Evaluating Point Forecasts (2011)Making and Evaluating Point F…On Modeling and Interpreting the Economics of Catastrophic Climate Change (2009)On Modeling and Interpreting …A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)A Quantitative Comparison of …Robust forecasting of mortality and fertility rates: A functional data approach (2006)Robust forecasting of mortali…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)A Two‐Factor Model for Stocha…A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)A cohort-based extension to t…Coherent mortality forecasts for a group of populations: An extension of the lee-carter method (2005)Coherent mortality forecasts …On the coherence of expected shortfall (2002)On the coherence of expected …A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)A Poisson log-bilinear regres…The Economics of Risk and Time (2001)The Economics of Risk and TimeValue At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Modelling Extremal Events (1997)Modelling Extremal EventsDistribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates (1993)Distribution-free Calculation…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Hotelling T2 Control Chart for Detecting Changes in Mortality Models Based on Machine-Learning Decision Tree (2023)Hotelling T2 Control Chart fo…Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)Strategic Asset Allocation (2002)Idiosyncratic Risk Matters! (2003)Eliciting Risk and Time Preferences (2008)Theory of games and economic behavior (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)A better measure of relative prediction accuracy for model selection and model estimation (2014)Probabilistic Forecasting (2014)Forecasting: theory and practice (2022)The "Stern Review" on the Economics of Climate Change (2006)A Review of the Stern Review on the Economics of Climate Change (2007)The Economics of Climate Change: The Stern Review (2007)The Economics of Climate Change (2010)Carbon Taxes, Path Dependency, and Directed Technical Change: Evidence from the Auto Industry (2016)Estimating economic damage from climate change in the United States (2017)Modeling and Forecasting U. S. Mortality (1992)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Mortality density forecasts: An analysis of six stochastic mortality models (2011)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Exponential smoothing: The state of the art (1985)Using daily stock returns (1985)
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References

  • 1977Time Series Analysis: Forecasting and Control6,446 cited
  • 1997Modelling Extremal Events4,397 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2009On Modeling and Interpreting the Economics of Catastrophic Climate Change1,789 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2001The Economics of Risk and Time1,361 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited
  • 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
  • 2006A cohort-based extension to the Lee–Carter model for mortality reduction factors734 cited
  • 2002A Poisson log-bilinear regression approach to the construction of projected lifetables727 cited
  • 2006Robust forecasting of mortality and fertility rates: A functional data approach675 cited
  • 2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States662 cited
  • 2005Coherent mortality forecasts for a group of populations: An extension of the lee-carter method

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623 cited
  • 1993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates551 cited
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    • 2023Hotelling T2 Control Chart for Detecting Changes in Mortality Models Based on Machine-Learning Decision Tree9 cited