Insurance Mathematics & Economics

Article	Citations
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves	30
Editorial Board	28
A note on portfolios of averages of lognormal variables	23
Optimal insurance with mean-deviation measures	22
Robust asset-liability management games for n players under multivariate stochastic covariance models	21
A life insurance model with asymmetric time preferences	19
Efficient hedging of life insurance portfolio for loss-averse insurers	15
Modelling seasonal mortality: An age–period–cohort approach	14
No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses	14
Optimal timing of green technology adoption for climate risk mitigation	14
Optimal consumption-leisure-investment and retirement choices with nonconcave aspirational utility	14
Risk-neutral valuation of GLWB riders in variable annuities	13
Optimal reinsurance design under convex premium principles and distortion risk measures	13
An age–period–cohort model in a Dirichlet framework: A coherent causes of death estimation	13
The ultimate drawdown insurance and its state-dependent premium	12
Similar risks have similar prices: A useful and exact quantification	11
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization	11
Editorial Board	11
The principle of a single big jump from the perspective of tail moment risk measure	11
Self-protection under Nth-degree risk increase of random unit cost	10
Multi-constrained optimal reinsurance model from the duality perspectives	10
Pitfalls in machine learning interpretability: Manipulating partial dependence plots to hide discrimination	10
Law-invariant return and star-shaped risk measures	9
Risk aggregation and capital allocation using a new generalized Archimedean copula	9
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	9

Intergenerational actuarial fairness when longevity increases: Amending the retirement age	9
Variance insurance contracts	9
Cyber risk frequency, severity and insurance viability	9
Editorial Board	8
A Dirichlet process mixture regression model for the analysis of competing risk events	8
Forecasting and backtesting gradient allocations of expected shortfall	8
Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation	7
A mean field game approach to optimal investment and risk control for competitive insurers	7
Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash	7
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns	7
Dynamic optimal adjustment policies of hybrid pension plans	7
Efficient and proper generalised linear models with power link functions	7
Data-rich economic forecasting for actuarial applications	7
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics	7
Asymptotics for a time-dependent by-claim model with dependent subexponential claims	7
Cause-of-death mortality forecasting using adaptive penalized tensor decompositions	7
Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model	6
A new characterization of second-order stochastic dominance	6
Risk aggregation under dependence uncertainty and an order constraint	6
Nonparametric density estimation and risk quantification from tabulated sample moments	6
Frequency and severity estimation of cyber attacks using spatial clustering analysis	6
Pricing extreme mortality risk in the wake of the COVID-19 pandemic	6
Probabilistic approach to risk processes with level-dependent premium rate	6
Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses	5
The last passage time before ruin: Theory and applications in liquidation risk management	5
Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes	5
Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model	5
The impact of intermediaries on insurance demand and pricing	5
Numerical methods for computing risk measures of variable annuities under exponential Lévy models	5
A two-layer stochastic game approach to reinsurance contracting and competition	5
Automobile Insurance Fraud Detection Based on PSO-XGBoost Model and Interpretable Machine Learning Method	5
Stochastic orderings for set-valued risk measures	5
Optimal entry decision of unemployment insurance under partial information	5
On potential information asymmetries in long-term care insurance: A simulation study using data from Switzerland	5
Risk measures on Musielak-Orlicz spaces: A state-dependent perspective for insurance	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
Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility	5
Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models	5
Tweedie multivariate semi-parametric credibility with the exchangeable correlation	5
Insurance loss modeling with gradient tree-boosted mixture models	5
Multi-population modelling and forecasting life-table death counts	5
Stochastic mortality dynamics driven by mixed fractional Brownian motion	5
A complete proof of the De Vylder and Goovaerts conjecture for homogeneous risk models	4
Model mortality rates using property and casualty insurance reserving methods	4
Learning from COVID-19: A catastrophe mortality bond solution in the post-pandemic era	4
Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility	4
Editorial to the virtual special issue on emerging risks and insurance technology	4
A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment	4
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin	4

Diagnostic tests before modeling longitudinal actuarial data	4
Distributionally robust tail bounds based on Wasserstein distance and f-divergence	4
Prolonging life by vitagions: Modelling of mortality improvement shocks	4
Three-step risk inference in insurance ratemaking	4
An analysis of precautionary behavior in retirement decision making with an application to pension system reform	4
A usage-based insurance (UBI) pricing model considering customer retention	4
Diversification quotients based on VaR and ES	4
Axiomatic risk sharing and capital allocation	4
S-shaped narrow framing, skewness and the demand for insurance	4
Aggregate Markov models in life insurance: Properties and valuation	4
A new class of copula regression models for modelling multivariate heavy-tailed data	4
On expectiles and almost stochastic dominance	4
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims	4
The Cramér-Lundberg model with a fluctuating number of clients	4
Combining multi-asset and intrinsic risk measures	4
Basis risk management and randomly scaled uncertainty	4
Asymptotics of systemic risk in a renewal model with multiple business lines and heterogeneous claims	4
Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option	4
The changing landscape of cyber risk: An empirical analysis of loss severity and tail dynamics	3
Parametric expectile regression and its application for premium calculation	3
Editorial Board	3
Editorial Board	3
Multivariate claim processes with rough intensities: Properties and estimation	3
Stackelberg differential game for insurance under model ambiguity	3
Statistical inference for tail-based cumulative residual entropy	3
Bivariate Tail Conditional Co-Expectation for elliptical distributions	3
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables	3
Intergenerational sharing of unhedgeable inflation risk	3
Equilibrium investment strategies for a defined contribution pension plan with random risk aversion	3
Sample recycling method – a new approach to efficient nested Monte Carlo simulations	3
Stackelberg differential game for reinsurance: Mean-variance framework and random horizon	3
Earthquake parametric insurance with Bayesian spatial quantile regression	3
Optimal insurance design under asymmetric Nash bargaining	3
Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach	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
Editorial Board	3
Tail similarity	3
Risk aggregation with FGM copulas	3
Distributionally robust insurance under the Wasserstein distance	3
Bowley solution under the reinsurer's default risk	3
Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk	3
Optimal risk management with reinsurance and its counterparty risk hedging	3
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks	3
Empirical tail risk management with model-based annealing random search	3
Asymptotic results on marginal expected shortfalls for dependent risks	3
Optimal consumption and annuity equivalent wealth with mortality model uncertainty	3
Approximations of multi-period liability values by simple formulas	3
Editorial Board	3
Transformers-based least square Monte Carlo for solvency calculation in life insurance	3
An observation-driven state-space count model for experience rating	3
Parametric measures of variability induced by risk measures	2
Mortality modeling via vitality: Model constructions and actuarial applications	2
Benefit volatility-targeting strategies in lifetime pension pools	2
Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm	2
Portfolio selection and risk sharing via risk budgeting	2
Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models	2
Valuation of guaranteed lifelong withdrawal benefit with the long-term care option	2
Uncertainty in heteroscedastic Bayesian model averaging	2
A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference	2
Imbalanced learning for insurance using modified loss functions in tree-based models	2
Editorial Board	2
Blended insurance scheme: A synergistic conventional-index insurance mixture	2
Dividend corridors and a ruin constraint	2
Insuring longevity risk and long-term care: Bequest, housing and liquidity	2
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls	2
The Gerber-Shiu discounted penalty function: A review from practical perspectives	2
Financing aged care with home equity allowing for government age pension and aged care support	2
On the area in the red of Lévy risk processes and related quantities	2
Valuation of variable annuity portfolios using finite and infinite width neural networks	2
Inf-convolution and optimal allocations for mixed-VaRs	2
Risk exchange under infinite-mean Pareto models	2
Optimal dividends under Markov-modulated bankruptcy level	2
Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments	2
Optimal life insurance and annuity decisions under money illusion	2
Risk measures induced by efficient insurance contracts	2
Are reference measures of law-invariant functionals unique?	2
On the factors determining the health profiles and care needs of institutionalized elders	2
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data	2
Iterated poisson processes for catastrophic risk modeling in ruin theory	2

Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory	2
Green nested simulation via likelihood ratio: Applications to longevity risk management	2
Robust parameter estimation for the Lee-Carter family: A probabilistic principal component approach	2
A Hawkes model with CARMA(p,q) intensity	2
Comparing utility derivative premia under additive and multiplicative risks	2
Bootstrap consistency for the Mack bootstrap	2
BERT-based NLP techniques for classification and severity modeling in basic warranty data study	2
Testing for auto-calibration with Lorenz and Concentration curves	2
Bayesian CART models for aggregate claim modeling	2
Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach	2
As-if-Markov reserves for reserve-dependent payments	2
Editorial Board	2
Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm	2
Risk quantization by magnitude and propensity	2
From risk reduction to risk elimination by conditional mean risk sharing of independent losses	2
Correlation aversion and bivariate stochastic dominance with respect to reference functions	1
Dynamic investment-driven insurance pricing and optimal regulation	1
Portfolio choice with illiquid asset for a loss-averse pension fund investor	1
Target benefit pension with longevity risk and stochastic interest rate valuation	1
Optimal investment, consumption and life insurance purchase with learning about return predictability	1
Revisiting the optimal insurance design under adverse selection: Distortion risk measures and tail-risk overestimation	1
Identifying scenarios for the own risk and Solvency assessment of insurance companies	1
COVID-19 and credit risk: A long memory perspective	1
Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach	1
Additive tree latent variable models with applications to insurance loss prediction	1
A general optimal approach to Bühlmann credibility theory	1
Random distortion risk measures	1
Multi-population mortality modeling: When the data is too much and not enough	1
Continuous-time modeling and bootstrap for chain-ladder reserving	1
Optimal asset allocation, consumption and retirement time with the variation in habitual persistence	1
Annuity and insurance choice under habit formation	1
A buy-hold-sell pension saving strategy	1
Asymptotic analysis of portfolio diversification	1
Length of stay in residential aged care: Patterns and determinants from a population-based cohort study	1
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating	1
Controlling the effects of adverse selection in flexible benefit plans: A pricing-based approach	1
Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin	1
Actuarial intelligence in auto insurance: Claim frequency modeling with driving behavior features and improved boosted trees	1
Ratemaking territories and adverse selection for flood insurance	1
Mean-variance optimization for participating life insurance contracts	1
Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims	1
Experience rating in the Cramér-Lundberg model	1
Optimal periodic strategies with dividends payable from gains only	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
Estimating the time value of ruin in a Lévy risk model under low-frequency observation	1
Bowley-optimal convex-loaded premium principles	1
A new stochastic dominance criterion for dependent random variables with applications	1
Value-enhancing modeling of surrenders and lapses	1
Star-shaped acceptability indexes	1
Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels	1
Non-parametric estimators of scaled cash flows	1
Bayesian CART models for insurance claims frequency	1
Tail mean-variance portfolio selection with estimation risk	1
Optimal long-term contracts with disability insurance under limited commitment	1
Optimal insurance to maximize RDEU under a distortion-deviation premium principle	1
A family of variability measures based on the cumulative residual entropy and distortion functions	1
Welfare-enhancing annuity divisor for notional defined contribution design	1
The demand for insurance with ambiguous recovery rate	1
Optimal payout strategies when Bruno de Finetti meets model uncertainty	1
Worst-case risk with unspecified risk preferences	1
Robust indifference valuation of catastrophe bonds	1
Uniqueness of equilibrium with survival probability heterogeneity and endogenous annuity price	1
Analyzing the interest rate risk of equity-indexed annuities via scenario matrices	1
Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants	1
Comparing and quantifying tail dependence	1
Editorial Board	1
Continuous-time optimal reporting with full insurance under the mean-variance criterion	1
Scenario selection with LASSO regression for the valuation of variable annuity portfolios	1
Ordering higher risks in Yaari's dual theory	1
Adjusted higher-order expected shortfall	1
Editorial Board	1
Editorial Board	1
Dynamic asset-liability management with frictions	1
Life care reverse mortgages: Monitoring the net cashflows of a new hybrid insurance product	1
Editorial Board	1
The location of a minimum variance squared distance functional	1