Insurance Mathematics & Economics

Article	Citations
Optimal timing of green technology adoption for climate risk mitigation	28
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves	27
Risk-neutral valuation of GLWB riders in variable annuities	26
Editorial Board	23
A note on portfolios of averages of lognormal variables	22
Optimal insurance with mean-deviation measures	21
Optimal consumption-leisure-investment and retirement choices with nonconcave aspirational utility	20
Modelling seasonal mortality: An age–period–cohort approach	20
A life insurance model with asymmetric time preferences	19
Efficient hedging of life insurance portfolio for loss-averse insurers	16
Law-invariant return and star-shaped risk measures	15
Robust asset-liability management games for n players under multivariate stochastic covariance models	15
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization	14
Multi-constrained optimal reinsurance model from the duality perspectives	14
Similar risks have similar prices: A useful and exact quantification	14
Pitfalls in machine learning interpretability: Manipulating partial dependence plots to hide discrimination	13
Cyber risk frequency, severity and insurance viability	13
Editorial Board	13
Intergenerational actuarial fairness when longevity increases: Amending the retirement age	13
Multivariate dependence among cyber risks based on L-hop propagation	12
Risk aggregation and capital allocation using a new generalized Archimedean copula	12
Self-protection under Nth-degree risk increase of random unit cost	12
The principle of a single big jump from the perspective of tail moment risk measure	11
Haezendonck-Goovaerts capital allocation rules	11
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	10

Efficient and proper generalised linear models with power link functions	10
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns	10
Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash	10
Editorial Board	9
Cause-of-death mortality forecasting using adaptive penalized tensor decompositions	9
A mean field game approach to optimal investment and risk control for competitive insurers	9
Variance insurance contracts	9
Asymptotics for a time-dependent by-claim model with dependent subexponential claims	9
Forecasting and backtesting gradient allocations of expected shortfall	9
Dynamic optimal adjustment policies of hybrid pension plans	9
Editorial Board	9
Pricing extreme mortality risk in the wake of the COVID-19 pandemic	8
Testing for more positive expectation dependence with application to model comparison	8
Data-rich economic forecasting for actuarial applications	8
A Dirichlet process mixture regression model for the analysis of competing risk events	8
Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model	8
Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation	8
Risk aggregation under dependence uncertainty and an order constraint	8
Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models	7
Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility	7
Nonparametric density estimation and risk quantification from tabulated sample moments	7
Frequency and severity estimation of cyber attacks using spatial clustering analysis	7
A new characterization of second-order stochastic dominance	7
A two-layer stochastic game approach to reinsurance contracting and competition	7
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics	7
When is utilitarian welfare higher under insurance risk pooling?	7
Automobile Insurance Fraud Detection Based on PSO-XGBoost Model and Interpretable Machine Learning Method	7
Insurance loss modeling with gradient tree-boosted mixture models	7
Probabilistic approach to risk processes with level-dependent premium rate	7
Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes	7
Optimal entry decision of unemployment insurance under partial information	6
On potential information asymmetries in long-term care insurance: A simulation study using data from Switzerland	6
Corrigendum and addendum to “From risk sharing to pure premium for a large number of heterogeneous losses” [Insurance: Mathematics and Economics 96 (2021) 116–126]	6
The impact of intermediaries on insurance demand and pricing	6
Stochastic mortality dynamics driven by mixed fractional Brownian motion	6
Tweedie multivariate semi-parametric credibility with the exchangeable correlation	5
Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model	5
An analysis of precautionary behavior in retirement decision making with an application to pension system reform	5
Editorial to the virtual special issue on emerging risks and insurance technology	5
Diversification quotients based on VaR and ES	5
A usage-based insurance (UBI) pricing model considering customer retention	5
Numerical methods for computing risk measures of variable annuities under exponential Lévy models	5
Optimal reinsurance under the α-maxmin mean-variance criterion	5
Two-stage nested simulation of tail risk measurement: A likelihood ratio approach	5
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims	5
The Cramér-Lundberg model with a fluctuating number of clients	5
Combining multi-asset and intrinsic risk measures	5
Multi-population modelling and forecasting life-table death counts	5
Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses	5
Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks	5

Three-step risk inference in insurance ratemaking	5
Model mortality rates using property and casualty insurance reserving methods	5
Gamma Mixture Density Networks and their application to modelling insurance claim amounts	5
S-shaped narrow framing, skewness and the demand for insurance	4
An observation-driven state-space count model for experience rating	4
Approximations of multi-period liability values by simple formulas	4
Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option	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
Axiomatic risk sharing and capital allocation	4
Risk aggregation with FGM copulas	4
Editorial Board	4
Transformers-based least square Monte Carlo for solvency calculation in life insurance	4
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds	4
Editorial to the special issue on Behavioral Insurance: Mathematics and Economics	4
De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts	4
Tail similarity	4
A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment	4
Distributionally robust tail bounds based on Wasserstein distance and f-divergence	4
Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility	4
Diagnostic tests before modeling longitudinal actuarial data	4
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin	4
Editorial Board	4
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables	4
Optimal consumption and annuity equivalent wealth with mortality model uncertainty	4
Optimal control of investment, premium and deductible for a non-life insurance company	4
Corrigendum to “Incorporating big microdata in life table construction: A hypothesis-free estimator” [Insurance Math. Econom. 88 (2019) 138–150]	4
Equilibrium investment strategies for a defined contribution pension plan with random risk aversion	4
Learning from COVID-19: A catastrophe mortality bond solution in the post-pandemic era	4
Basis risk management and randomly scaled uncertainty	4
Intergenerational sharing of unhedgeable inflation risk	4
Statistical inference for tail-based cumulative residual entropy	4
Bivariate Tail Conditional Co-Expectation for elliptical distributions	4
Sample recycling method – a new approach to efficient nested Monte Carlo simulations	4
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models	4
Bowley solution under the reinsurer's default risk	4
Risk measures induced by efficient insurance contracts	3
Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk	3
On the area in the red of Lévy risk processes and related quantities	3
Optimal risk management with reinsurance and its counterparty risk hedging	3
Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach	3
Fourier based methods for the management of complex life insurance products	3
Distributionally robust insurance under the Wasserstein distance	3
Stackelberg differential game for insurance under model ambiguity	3
Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments	3
Valuation of variable annuity portfolios using finite and infinite width neural networks	3
Uncertainty in heteroscedastic Bayesian model averaging	3
BERT-based NLP techniques for classification and severity modeling in basic warranty data study	3
As-if-Markov reserves for reserve-dependent payments	3
Optimal insurance design under asymmetric Nash bargaining	3
Editorial Board	3
Editorial Board	3
Parametric expectile regression and its application for premium calculation	3
Stackelberg differential game for reinsurance: Mean-variance framework and random horizon	3
Asymptotic results on marginal expected shortfalls for dependent risks	3
Empirical tail risk management with model-based annealing random search	3
Optimal annuity demand for general expected utility agents	3
Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models	3
Bayesian CART models for aggregate claim modeling	3
Imbalanced learning for insurance using modified loss functions in tree-based models	3
Enhancing an insurer's expected value by reinsurance and external financing	3
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks	3
Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm	3
Earthquake parametric insurance with Bayesian spatial quantile regression	3
Multivariate claim processes with rough intensities: Properties and estimation	3
Blended insurance scheme: A synergistic conventional-index insurance mixture	3
Individual survivor fund account: The impact of bequest motives on tontine participation	3
Editorial Board	3
Are reference measures of law-invariant functionals unique?	3
Dividend corridors and a ruin constraint	3
Risk exchange under infinite-mean Pareto models	3
A special Tweedie sub-family with application to loss reserving prediction error	2
On the factors determining the health profiles and care needs of institutionalized elders	2
Comparing utility derivative premia under additive and multiplicative risks	2
Optimal life insurance and annuity decisions under money illusion	2
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data	2
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory	2
Optimal dividends under Markov-modulated bankruptcy level	2
Ratemaking territories and adverse selection for flood insurance	2
Editorial Board	2

Inf-convolution and optimal allocations for mixed-VaRs	2
A new stochastic dominance criterion for dependent random variables with applications	2
Risk quantization by magnitude and propensity	2
A general optimal approach to Bühlmann credibility theory	2
Insuring longevity risk and long-term care: Bequest, housing and liquidity	2
A buy-hold-sell pension saving strategy	2
Robust parameter estimation for the Lee-Carter family: A probabilistic principal component approach	2
On the ordering of credibility factors	2
Testing for auto-calibration with Lorenz and Concentration curves	2
The Gerber-Shiu discounted penalty function: A review from practical perspectives	2
Bootstrap consistency for the Mack bootstrap	2
Parametric measures of variability induced by risk measures	2
A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference	2
Editorial Board	2
Star-shaped acceptability indexes	2
Pandemic risk management: Resources contingency planning and allocation	2
Adjusted higher-order expected shortfall	2
Annuity and insurance choice under habit formation	2
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls	2
A Hawkes model with CARMA(p,q) intensity	2
Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm	2
From risk reduction to risk elimination by conditional mean risk sharing of independent losses	2
Green nested simulation via likelihood ratio: Applications to longevity risk management	2
Valuation of guaranteed lifelong withdrawal benefit with the long-term care option	2
Portfolio selection and risk sharing via risk budgeting	2
A random forest based approach for predicting spreads in the primary catastrophe bond market	2
Estimating the time value of ruin in a Lévy risk model under low-frequency observation	2
Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach	2
Random distortion risk measures	2
Non-parametric estimators of scaled cash flows	2
Benefit volatility-targeting strategies in lifetime pension pools	2
Optimal long-term contracts with disability insurance under limited commitment	2
Scenario selection with LASSO regression for the valuation of variable annuity portfolios	2
Optimal investment, consumption and life insurance purchase with learning about return predictability	1
Two-phase selection of representative contracts for valuation of large variable annuity portfolios	1
Inter-order relations between equivalence for L-quantiles of the Student's t distribution	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
COVID-19 and credit risk: A long memory perspective	1
Correlation aversion and bivariate stochastic dominance with respect to reference functions	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
Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims	1
Uniqueness of equilibrium with survival probability heterogeneity and endogenous annuity price	1
Dynamic investment-driven insurance pricing and optimal regulation	1
Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates	1
Optimal asset allocation, consumption and retirement time with the variation in habitual persistence	1
Efficient evaluation of risk allocations	1
A family of variability measures based on the cumulative residual entropy and distortion functions	1
Equilibria and efficiency in a reinsurance market	1
Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs	1
Unraveling heterogeneity in cyber risks using quantile regressions	1
Tail mean-variance portfolio selection with estimation risk	1
Stochastic orders and distortion risk contribution ratio measures	1
Asymptotic analysis of portfolio diversification	1
Worst-case risk with unspecified risk preferences	1
Identifying scenarios for the own risk and Solvency assessment of insurance companies	1
Multivariate matrix-exponential affine mixtures and their applications in risk theory	1
Length of stay in residential aged care: Patterns and determinants from a population-based cohort study	1
Revisiting the optimal insurance design under adverse selection: Distortion risk measures and tail-risk overestimation	1
Subjective survival beliefs and the life-cycle model	1
Dynamic asset-liability management with frictions	1
Continuous-time optimal reporting with full insurance under the mean-variance criterion	1
Editorial Board	1
Performance-based variable premium scheme and reinsurance design	1
Value-enhancing modeling of surrenders and lapses	1
Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information	1
The location of a minimum variance squared distance functional	1
Editorial Board	1
Bowley-optimal convex-loaded premium principles	1
Egalitarian pooling and sharing of longevity risk a.k.a. can an administrator help skin the tontine cat?	1
Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels	1
Innovative combo product design embedding variable annuity and long-term care insurance contracts	1
Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach	1
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating	1
Bayesian CART models for insurance claims frequency	1
Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin	1
Optimal payout strategies when Bruno de Finetti meets model uncertainty	1
Experience rating in the Cramér-Lundberg model	1
Additive tree latent variable models with applications to insurance loss prediction	1
Analyzing the interest rate risk of equity-indexed annuities via scenario matrices	1
Optimal insurance to maximize RDEU under a distortion-deviation premium principle	1
Actuarial intelligence in auto insurance: Claim frequency modeling with driving behavior features and improved boosted trees	1
Robust indifference valuation of catastrophe bonds	1
Multi-population mortality modeling: When the data is too much and not enough	1
Hidden semi-Markov models for rainfall-related insurance claims	1
Editorial Board	1
Multinomial backtesting of distortion risk measures	1
Controlling the effects of adverse selection in flexible benefit plans: A pricing-based approach	1
Mean-variance optimization for participating life insurance contracts	1
Ordering higher risks in Yaari's dual theory	1
Optimal investment and consumption strategies for pooled annuity with partial information	1
Demand for non-life insurance under habit formation	1
Optimal consumption and life insurance under shortfall aversion and a drawdown constraint	1