Insurance Mathematics & Economics

Article	Citations
Benefit volatility-targeting strategies in lifetime pension pools	34
On the factors determining the health profiles and care needs of institutionalized elders	26
From risk reduction to risk elimination by conditional mean risk sharing of independent losses	22
Dividend corridors and a ruin constraint	20
Editorial Board	19
Editorial Board	18
Optimal investment, consumption and life insurance purchase with learning about return predictability	17
Editorial to the virtual special issue on emerging risks and insurance technology	17
Combining multi-asset and intrinsic risk measures	15
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves	15
Editorial Board	15
A combined analysis of hedge effectiveness and capital efficiency in longevity hedging	14
Capital, aggregate risk, insurance prices and regulation	14
Note from the Editors	14
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation	13
An asymptotic study of systemic expected shortfall and marginal expected shortfall	13
Reinsurance of multiple risks with generic dependence structures	12
Tail mean-variance portfolio selection with estimation risk	12
Modeling pandemic mortality risk and its application to mortality-linked security pricing	11
An analysis of precautionary behavior in retirement decision making with an application to pension system reform	10
On the ordering of credibility factors	9
Asymptotic analysis of portfolio diversification	9
Demand for non-life insurance under habit formation	9
Modeling and pricing longevity derivatives using Skellam distribution	9
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities	9

Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims	9
Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications	9
A decomposition of general premium principles into risk and deviation	9
On non-negative equity guarantee calculations with macroeconomic variables related to house prices	9
Gamma Mixture Density Networks and their application to modelling insurance claim amounts	9
Batch mode active learning framework and its application on valuing large variable annuity portfolios	9
Model mortality rates using property and casualty insurance reserving methods	8
European option pricing with market frictions, regime switches and model uncertainty	8
Three-step risk inference in insurance ratemaking	8
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims	8
Bivariate distribution regression with application to insurance data	8
Exact credibility reference Bayesian premiums	7
Asymptotic results on tail moment for light-tailed risks	7
Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm	7
A note on portfolios of averages of lognormal variables	7
Risk-neutral valuation of GLWB riders in variable annuities	7
The Cramér-Lundberg model with a fluctuating number of clients	7
Robust asset-liability management games for n players under multivariate stochastic covariance models	7
Stressing dynamic loss models	7
A unified theory of decentralized insurance	7
Diversification quotients based on VaR and ES	7
Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach	7
Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models	7
Valuation of general GMWB annuities in a low interest rate environment	6
Editorial Board	6
Sensitivity analysis and tail variability for the Wang’s actuarial index	6
Optimal insurance with mean-deviation measures	6
Comparing utility derivative premia under additive and multiplicative risks	6
A life insurance model with asymmetric time preferences	6
Automated machine learning in insurance	6
Actuarial fairness and social welfare in mixed-cohort tontines	6
Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach	6
Valuation of variable annuity portfolios using finite and infinite width neural networks	6
Precautionary risk-reduction and saving decisions: Two sides of the same coin?	5
Bayesian CART models for insurance claims frequency	5
Testing for auto-calibration with Lorenz and Concentration curves	5
Quantile mortality modelling of multiple populations via neural networks	5
Optimal control under uncertainty: Application to the issue of CAT bonds	5
Corrigendum and addendum to “Range Value-at-Risk bounds for unimodal distributions under partial information” [Insurance: Math. Econ. 94 (2020) 9–24]	5
Inter-order relations between equivalence for L-quantiles of the Student's t distribution	5
Can price collars increase insurance loss coverage?	5
Risk quantization by magnitude and propensity	5
Extension of as-if-Markov modeling to scaled payments	5
Pandemic risk management: Resources contingency planning and allocation	5
Inf-convolution and optimal allocations for mixed-VaRs	5
Actuarial intelligence in auto insurance: Claim frequency modeling with driving behavior features and improved boosted trees	5
IME's Editorial Board	4
The location of a minimum variance squared distance functional	4
A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment	4
Bootstrap consistency for the Mack bootstrap	4

A random forest based approach for predicting spreads in the primary catastrophe bond market	4
It takes two: Why mortality trend modeling is more than modeling one mortality trend	4
Controlling the effects of adverse selection in flexible benefit plans: A pricing-based approach	4
Risk aggregation and capital allocation using a new generalized Archimedean copula	4
Editorial Board	4
Intergenerational actuarial fairness when longevity increases: Amending the retirement age	4
Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels	4
A family of variability measures based on the cumulative residual entropy and distortion functions	4
Haezendonck-Goovaerts capital allocation rules	4
The annuity puzzle and consumption hump under ambiguous life expectancy	4
Similar risks have similar prices: A useful and exact quantification	4
Cyber risk frequency, severity and insurance viability	4
Aggregate Markov models in life insurance: Properties and valuation	4
Editorial Board	4
A new class of copula regression models for modelling multivariate heavy-tailed data	4
Revisiting optimal investment strategies of value-maximizing insurance firms	4
On retirement time decision making	4
Editorial Board	4
Basis risk management and randomly scaled uncertainty	4
Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model	3
Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity	3
Multi-population mortality modeling: When the data is too much and not enough	3
Moment generating function of non-Markov self-excited claims processes	3
Deep hedging of long-term financial derivatives	3
Regret-based optimal insurance design	3
Optimal insurance design under mean-variance preference with narrow framing	3
What can we learn from telematics car driving data: A survey	3
Value-enhancing modeling of surrenders and lapses	3
Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs	3
A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference	3
Portfolio risk analysis of excess of loss reinsurance	3
Effective experience rating for large insurance portfolios via surrogate modeling	3
Mortality modeling and regression with matrix distributions	3
Fees in tontines	3
Infinitely stochastic micro reserving	3
Prepayment risk in reverse mortgages: An intensity-governed surrender model	3
How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model	3
The Parisian and ultimate drawdowns of Lévy insurance models	3
Bowley-optimal convex-loaded premium principles	3
Multi-constrained optimal reinsurance model from the duality perspectives	3
On the effects of public subsidies for severe and mild dependency on long-term care insurance	3
Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions	3
Law-invariant return and star-shaped risk measures	3
Moral hazard in loss reduction and state-dependent utility	3
Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach	3
Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance	3
Optimal asset allocation, consumption and retirement time with the variation in habitual persistence	3
Multivariate dependence among cyber risks based on L-hop propagation	3
Pareto-optimal reinsurance under individual risk constraints	3
Avoiding zero probability events when computing Value at Risk contributions	3
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	3
Axiomatic risk sharing and capital allocation	3
Bowley solution of a mean–variance game in insurance	3
A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data	3
Optimal dividends under Markov-modulated bankruptcy level	3
Valuation of guaranteed lifelong withdrawal benefit with the long-term care option	3
COVID-19 and credit risk: A long memory perspective	2
Decrease of capital guarantees in life insurance products: Can reinsurance stop it?	2
Green nested simulation via likelihood ratio: Applications to longevity risk management	2
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure	2
Concave/convex weighting and utility functions for risk: A new light on classical theorems	2
Estimating and backtesting risk under heavy tails	2
Editorial Board	2
Risk aggregation with FGM copulas	2
Editorial to the special issue on Behavioral Insurance: Mathematics and Economics	2
Bowley solution under the reinsurer's default risk	2
Joint life care annuities to help retired couples to finance the cost of long-term care	2
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables	2
Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods	2
Cyber claim analysis using Generalized Pareto regression trees with applications to insurance	2
Tail similarity	2
Designing and valuing new equity-linked insurance products for couples	2
Target benefit pension with longevity risk and stochastic interest rate valuation	2
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization	2
Tail dependence and heavy tailedness in extreme risks	2
S-shaped narrow framing, skewness and the demand for insurance	2
Editorial Board	2
Revisiting the optimal insurance design under adverse selection: Distortion risk measures and tail-risk overestimation	2
Time-consistent longevity hedging with long-range dependence	2
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin	2

Editorial Board	2
Asymptotics for a time-dependent by-claim model with dependent subexponential claims	2
Editorial Board	2
Cause-of-death mortality forecasting using adaptive penalized tensor decompositions	2
Uniqueness of equilibrium with survival probability heterogeneity and endogenous annuity price	2
Cause of death specific cohort effects in U.S. mortality	2
Optimal control of investment, premium and deductible for a non-life insurance company	2
An excursion theoretic approach to Parisian ruin problem	2
Longevity risk and capital markets: The 2019-20 update	2
Automatic Fatou property of law-invariant risk measures	2
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data	2
Parametric measures of variability induced by risk measures	2
Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants	2
Multivariate matrix-exponential affine mixtures and their applications in risk theory	2
Dynamic optimal adjustment policies of hybrid pension plans	2
Optimal investment for a retirement plan with deferred annuities	2
The Gerber-Shiu discounted penalty function: A review from practical perspectives	2
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory	2
Forecasting mortality with international linkages: A global vector-autoregression approach	2
De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts	2
Self-protection with random costs	2
Dependence modeling of frequency-severity of insurance claims using waiting time	2
Variable annuities: Market incompleteness and policyholder behavior	2
A risk measurement approach from risk-averse stochastic optimization of score functions	2
On capital allocation for a risk measure derived from ruin theory	2
Robust claim frequency modeling through phase-type mixture-of-experts regression	2
Hawkes processes in insurance: Risk model, application to empirical data and optimal investment	2
Continuous-time optimal reporting with full insurance under the mean-variance criterion	1
Sample recycling method – a new approach to efficient nested Monte Carlo simulations	1
Longevity hedge effectiveness using socioeconomic indices	1
Editorial Board	1
Intergenerational sharing of unhedgeable inflation risk	1
Incorporating statistical clustering methods into mortality models to improve forecasting performances	1
Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools	1
Pricing guaranteed annuity options in a linear-rational Wishart mortality model	1
Optimal consumption and life insurance under shortfall aversion and a drawdown constraint	1
Insuring longevity risk and long-term care: Bequest, housing and liquidity	1
Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model	1
Evolution of institutional long-term care costs based on health factors	1
Stackelberg differential game for reinsurance: Mean-variance framework and random horizon	1
Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting	1
Variance insurance contracts	1
Statistical inference for tail-based cumulative residual entropy	1
Worst-case risk with unspecified risk preferences	1
Pricing extreme mortality risk in the wake of the COVID-19 pandemic	1
A Dirichlet process mixture regression model for the analysis of competing risk events	1
Editorial Board	1
Corrigendum to “Incorporating big microdata in life table construction: A hypothesis-free estimator” [Insurance Math. Econom. 88 (2019) 138–150]	1
Editorial Board	1
Optimal annuitization and asset allocation under linear habit formation	1
The merits of pooling claims: Mutual vs. stock insurers	1
Measuring and comparing risks of different types	1
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures	1
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models	1
Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin	1
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics	1
Innovative combo product design embedding variable annuity and long-term care insurance contracts	1
Frequency and severity estimation of cyber attacks using spatial clustering analysis	1
Mean-variance longevity risk-sharing for annuity contracts	1
Bilateral risk sharing in a comonotone market with rank-dependent utilities	1
Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging	1
Testing for more positive expectation dependence with application to model comparison	1
Asymptotic results on marginal expected shortfalls for dependent risks	1
Optimal risk exposure and dividend payout policies under model uncertainty	1
Optimal investment and consumption strategies for pooled annuity with partial information	1
Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin	1
Unraveling heterogeneity in cyber risks using quantile regressions	1
The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking	1
Assessing the difference between integrated quantiles and integrated cumulative distribution functions	1
Diagnostic tests before modeling longitudinal actuarial data	1
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls	1
Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability	1
Closed-form solutions for an explicit modern ideal tontine with bequest motive	1
Sensitivity analysis with χ2-divergences	1
Distributionally robust insurance under the Wasserstein distance	1
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns	1
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating	1
Optimal consumption and annuity equivalent wealth with mortality model uncertainty	1
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process	1
Optimal insurance to maximize RDEU under a distortion-deviation premium principle	1
Refundable income annuities: Feasibility of money-back guarantees	1
Two-phase selection of representative contracts for valuation of large variable annuity portfolios	1
Correlation aversion and bivariate stochastic dominance with respect to reference functions	1
Short term decumulation strategies for underspending retirees	1
A mean field game approach to optimal investment and risk control for competitive insurers	1
Bayesian credibility under a bivariate prior on the frequency and the severity of claims	1