Insurance Mathematics & Economics

Article	Citations
Editorial Board	35
A note on portfolios of averages of lognormal variables	26
Optimal insurance with mean-deviation measures	25
Efficient hedging of life insurance portfolio for loss-averse insurers	23
A life insurance model with asymmetric time preferences	21
Risk-neutral valuation of GLWB riders in variable annuities	17
No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses	16
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves	15
Optimal timing of green technology adoption for climate risk mitigation	15
Robust asset-liability management games for n players under multivariate stochastic covariance models	14
Modelling seasonal mortality: An age–period–cohort approach	14
Optimal consumption-leisure-investment and retirement choices with nonconcave aspirational utility	14
Optimal ratcheting of dividends with irreversible reinsurance	14
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	13
Editorial Board	12
Similar risks have similar prices: A useful and exact quantification	12
The principle of a single big jump from the perspective of tail moment risk measure	12
The big Thaw: Unfreeze defined benefit pension with cash balance plans	11
Multi-constrained optimal reinsurance model from the duality perspectives	11
Granular mortality modeling with temperature and epidemic shocks: A three-state regime-switching approach	11
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization	11
Counter-monotonic risk sharing with heterogeneous distortion risk measures	11
Self-protection under Nth-degree risk increase of random unit cost	11
Law-invariant return and star-shaped risk measures	10
Intergenerational actuarial fairness when longevity increases: Amending the retirement age	10

Cyber risk frequency, severity and insurance viability	10
Optimal reinsurance design under convex premium principles and distortion risk measures	9
An age–period–cohort model in a Dirichlet framework: A coherent causes of death estimation	9
The ultimate drawdown insurance and its state-dependent premium	9
Editorial Board	8
Efficient and proper generalised linear models with power link functions	8
Forecasting and backtesting gradient allocations of expected shortfall	8
Variance insurance contracts	8
Data-rich economic forecasting for actuarial applications	8
Pitfalls in machine learning interpretability: Manipulating partial dependence plots to hide discrimination	8
Dynamic optimal adjustment policies of hybrid pension plans	7
Asymptotics for a time-dependent by-claim model with dependent subexponential claims	7
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns	7
Cause-of-death mortality forecasting using adaptive penalized tensor decompositions	7
Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash	7
A mean field game approach to optimal investment and risk control for competitive insurers	7
A Dirichlet process mixture regression model for the analysis of competing risk events	7
Probabilistic approach to risk processes with level-dependent premium rate	6
A new characterization of second-order stochastic dominance	6
Nonparametric density estimation and risk quantification from tabulated sample moments	6
Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility	6
Automobile Insurance Fraud Detection Based on PSO-XGBoost Model and Interpretable Machine Learning Method	6
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics	6
Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model	6
Pricing extreme mortality risk in the wake of the COVID-19 pandemic	6
On convex order and supermodular order without finite mean	6
Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes	6
Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation	6
Frequency and severity estimation of cyber attacks using spatial clustering analysis	6
The last passage time before ruin: Theory and applications in liquidation risk management	6
Stochastic orderings for set-valued risk measures	6
Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models	5
Rethinking the annuity puzzle: The role of loss aversion and money-back guarantees	5
An analysis of precautionary behavior in retirement decision making with an application to pension system reform	5
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims	5
Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses	5
Numerical methods for computing risk measures of variable annuities under exponential Lévy models	5
Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model	5
Insurance loss modeling with gradient tree-boosted mixture models	5
Tweedie multivariate semi-parametric credibility with the exchangeable correlation	5
A usage-based insurance (UBI) pricing model considering customer retention	5
Learning from COVID-19: A catastrophe mortality bond solution in the post-pandemic era	5
Editorial to the virtual special issue on emerging risks and insurance technology	5
Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility	5
Risk measures on Musielak-Orlicz spaces: A state-dependent perspective for insurance	5
A two-layer stochastic game approach to reinsurance contracting and competition	5
Optimal entry decision of unemployment insurance under partial information	5
Multi-population modelling and forecasting life-table death counts	5
The impact of intermediaries on insurance demand and pricing	5
Stochastic mortality dynamics driven by mixed fractional Brownian motion	5

Prolonging life by vitagions: Modelling of mortality improvement shocks	5
Combining multi-asset and intrinsic risk measures	5
The Cramér-Lundberg model with a fluctuating number of clients	5
Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks	5
Two-stage nested simulation of tail risk measurement: A likelihood ratio approach	5
On potential information asymmetries in long-term care insurance: A simulation study using data from Switzerland	5
Editorial Board	4
A new class of copula regression models for modelling multivariate heavy-tailed data	4
Diagnostic tests before modeling longitudinal actuarial data	4
A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment	4
Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option	4
Diversification quotients based on VaR and ES	4
A complete proof of the De Vylder and Goovaerts conjecture for homogeneous risk models	4
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables	4
Tail similarity	4
Axiomatic risk sharing and capital allocation	4
S-shaped narrow framing, skewness and the demand for insurance	4
Model mortality rates using property and casualty insurance reserving methods	4
Aggregate Markov models in life insurance: Properties and valuation	4
Asymptotics of systemic risk in a renewal model with multiple business lines and heterogeneous claims	4
Intergenerational sharing of unhedgeable inflation risk	4
Basis risk management and randomly scaled uncertainty	4
Transformers-based least square Monte Carlo for solvency calculation in life insurance	4
Distributionally robust tail bounds based on Wasserstein distance and f-divergence	4
An observation-driven state-space count model for experience rating	4
On expectiles and almost stochastic dominance	4
Three-step risk inference in insurance ratemaking	4
Bowley solution under the reinsurer's default risk	4
Editorial Board	3
Are reference measures of law-invariant functionals unique?	3
Optimal insurance design under asymmetric Nash bargaining	3
Earthquake parametric insurance with Bayesian spatial quantile regression	3
Editorial Board	3
Multivariate claim processes with rough intensities: Properties and estimation	3
Distributional refinement network: Distributional forecasting via deep learning	3
The changing landscape of cyber risk: An empirical analysis of loss severity and tail dynamics	3
Risk aggregation with FGM copulas	3
Empirical tail risk management with model-based annealing random search	3
Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach	3
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks	3
Editorial Board	3
Editorial Board	3
Optimal risk management with reinsurance and its counterparty risk hedging	3
Stackelberg differential game for insurance under model ambiguity	3
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models	3
Individual survivor fund account: The impact of bequest motives on tontine participation	3
Bivariate Tail Conditional Co-Expectation for elliptical distributions	3
Equilibrium investment strategies for a defined contribution pension plan with random risk aversion	3
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin	3
Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk	3
Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments	3
The joint model of default and prepayment for a mortgage loan and its application in mortgage insurance	3
Parametric expectile regression and its application for premium calculation	3
Blended insurance scheme: A synergistic conventional-index insurance mixture	3
Optimal consumption and annuity equivalent wealth with mortality model uncertainty	3
Sample recycling method – a new approach to efficient nested Monte Carlo simulations	3
Editorial Board	3
Approximations of multi-period liability values by simple formulas	3
Distributionally robust insurance under the Wasserstein distance	3
Parametric measures of variability induced by risk measures	2
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory	2
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data	2
Comparing utility derivative premia under additive and multiplicative risks	2
Portfolio selection and risk sharing via risk budgeting	2
Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm	2
Optimal life insurance and annuity decisions under money illusion	2
On the factors determining the health profiles and care needs of institutionalized elders	2
Imbalanced learning for insurance using modified loss functions in tree-based models	2
Uncertainty in heteroscedastic Bayesian model averaging	2
As-if-Markov reserves for reserve-dependent payments	2
Inf-convolution and optimal allocations for mixed-VaRs	2
A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference	2
Stochastic optimal control of Lévy tax processes with bailouts	2
Green nested simulation via likelihood ratio: Applications to longevity risk management	2
Iterated poisson processes for catastrophic risk modeling in ruin theory	2
Benefit volatility-targeting strategies in lifetime pension pools	2
Bootstrap consistency for the Mack bootstrap	2
Valuation of variable annuity portfolios using finite and infinite width neural networks	2
Valuation of guaranteed lifelong withdrawal benefit with the long-term care option	2
Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models	2

Risk exchange under infinite-mean Pareto models	2
Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm	2
Risk quantization by magnitude and propensity	2
Robust parameter estimation for the Lee-Carter family: A probabilistic principal component approach	2
Insuring longevity risk and long-term care: Bequest, housing and liquidity	2
The Gerber-Shiu discounted penalty function: A review from practical perspectives	2
Testing for auto-calibration with Lorenz and Concentration curves	2
Mortality modeling via vitality: Model constructions and actuarial applications	2
From risk reduction to risk elimination by conditional mean risk sharing of independent losses	2
Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach	2
Dividend corridors and a ruin constraint	2
Financing aged care with home equity allowing for government age pension and aged care support	2
BERT-based NLP techniques for classification and severity modeling in basic warranty data study	2
On the area in the red of Lévy risk processes and related quantities	2
Bayesian CART models for aggregate claim modeling	2
Subgame perfect Nash equilibria in large reinsurance markets	2
Optimal dividends under Markov-modulated bankruptcy level	2
Optimal investment, consumption and life insurance purchase with learning about return predictability	1
Editorial Board	1
A new stochastic dominance criterion for dependent random variables with applications	1
Controlling the effects of adverse selection in flexible benefit plans: A pricing-based approach	1
Editorial Board	1
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls	1
The location of a minimum variance squared distance functional	1
Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach	1
Portfolio choice with illiquid asset for a loss-averse pension fund investor	1
Optimal payout strategies when Bruno de Finetti meets model uncertainty	1
Dynamic asset-liability management with frictions	1
Multivariate matrix-exponential affine mixtures and their applications in risk theory	1
Inter-order relations between equivalence for L-quantiles of the Student's t distribution	1
Welfare-enhancing annuity divisor for notional defined contribution design	1
Robust indifference valuation of catastrophe bonds	1
Revisiting the optimal insurance design under adverse selection: Distortion risk measures and tail-risk overestimation	1
Experience rating in the Cramér-Lundberg model	1
Tail mean-variance portfolio selection with estimation risk	1
Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants	1
Annuity and insurance choice under habit formation	1
A family of variability measures based on the cumulative residual entropy and distortion functions	1
Scenario selection with LASSO regression for the valuation of variable annuity portfolios	1
Editorial Board	1
Satisficing pooling insurance design	1
Star-shaped acceptability indexes	1
Scanning the horizon: integrating expert knowledge into the calibration of stochastic mortality models	1
Actuarial intelligence in auto insurance: Claim frequency modeling with driving behavior features and improved boosted trees	1
A Hawkes model with CARMA(p,q) intensity	1
Editorial Board	1
Editorial Board	1
Probabilistic loss reserving prediction via denoising diffusion model	1
Bayesian CART models for insurance claims frequency	1
Optimal long-term contracts with disability insurance under limited commitment	1
Target benefit pension with longevity risk and stochastic interest rate valuation	1
Asymptotic analysis of portfolio diversification	1
Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin	1
The future of mortality – mortality forecasting by extrapolation of deaths curve evolution patterns	1
The demand for insurance with ambiguous recovery rate	1
Continuous-time optimal reporting with full insurance under the mean-variance criterion	1
Ratemaking territories and adverse selection for flood insurance	1
ADM's APPLE: The Accelerated Deaths Model with an Application to the Covid-19 Pandemic	1
Random distortion risk measures	1
Insurance demand under government interventions and distorted probabilities	1
Non-parametric estimators of scaled cash flows	1
Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels	1
Continuous-time modeling and bootstrap for chain-ladder reserving	1
Value-enhancing modeling of surrenders and lapses	1
Adjusted higher-order expected shortfall	1
Ordering higher risks in Yaari's dual theory	1
Bowley-optimal convex-loaded premium principles	1
A buy-hold-sell pension saving strategy	1
Dynamic investment-driven insurance pricing and optimal regulation	1
Length of stay in residential aged care: Patterns and determinants from a population-based cohort study	1
Optimal periodic strategies with dividends payable from gains only	1
Comparing and quantifying tail dependence	1
Correlation aversion and bivariate stochastic dominance with respect to reference functions	1
Estimating the time value of ruin in a Lévy risk model under low-frequency observation	1
COVID-19 and credit risk: A long memory perspective	1
Identifying scenarios for the own risk and Solvency assessment of insurance companies	1
Worst-case risk with unspecified risk preferences	1
Additive tree latent variable models with applications to insurance loss prediction	1
Life care reverse mortgages: Monitoring the net cashflows of a new hybrid insurance product	1
Mean-variance optimization for participating life insurance contracts	1
Analyzing the interest rate risk of equity-indexed annuities via scenario matrices	1
Uniqueness of equilibrium with survival probability heterogeneity and endogenous annuity price	1
A general optimal approach to Bühlmann credibility theory	1