Insurance Mathematics & Economics

Article	Citations
Editorial Board	34
A note on portfolios of averages of lognormal variables	24
A life insurance model with asymmetric time preferences	24
Optimal insurance with mean-deviation measures	23
A combined analysis of hedge effectiveness and capital efficiency in longevity hedging	22
Risk-neutral valuation of GLWB riders in variable annuities	19
Revisiting optimal investment strategies of value-maximizing insurance firms	18
Editorial Board	18
Self-protection under Nth-degree risk increase of random unit cost	18
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves	18
Fees in tontines	18
Robust asset-liability management games for n players under multivariate stochastic covariance models	18
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization	16
Haezendonck-Goovaerts capital allocation rules	15
Law-invariant return and star-shaped risk measures	15
Similar risks have similar prices: A useful and exact quantification	14
Multi-constrained optimal reinsurance model from the duality perspectives	13
Risk aggregation and capital allocation using a new generalized Archimedean copula	12
Intergenerational actuarial fairness when longevity increases: Amending the retirement age	11
Cyber risk frequency, severity and insurance viability	11
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	11
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns	10
Cause-of-death mortality forecasting using adaptive penalized tensor decompositions	10
The Principle of a Single Big Jump from the perspective of Tail Moment Risk Measure	10
Longevity risk and capital markets: The 2019-20 update	10

Dynamic optimal adjustment policies of hybrid pension plans	10
Multivariate dependence among cyber risks based on L-hop propagation	10
Variance insurance contracts	10
Efficient and proper generalised linear models with power link functions	10
Editorial Board	9
Editorial Board	9
A mean field game approach to optimal investment and risk control for competitive insurers	9
Asymptotics for a time-dependent by-claim model with dependent subexponential claims	9
A Dirichlet process mixture regression model for the analysis of competing risk events	9
Frequency and severity estimation of cyber attacks using spatial clustering analysis	8
Testing for more positive expectation dependence with application to model comparison	8
Probabilistic approach to risk processes with level-dependent premium rate	8
Bayesian credibility under a bivariate prior on the frequency and the severity of claims	8
Risk aggregation under dependence uncertainty and an order constraint	8
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics	8
Pricing extreme mortality risk in the wake of the COVID-19 pandemic	8
A new characterization of second-order stochastic dominance	8
Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation	8
Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model	8
Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes	8
Automobile Insurance Fraud Detection Based on PSO-XGBoost Model and Interpretable Machine Learning Method	8
Tweedie multivariate semi-parametric credibility with the exchangeable correlation	7
On potential information asymmetries in long-term care insurance: A simulation study using data from Switzerland	7
Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses	7
When is utilitarian welfare higher under insurance risk pooling?	7
Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model	7
Nonparametric density estimation and risk quantification from tabulated sample moments	7
Optimal entry decision of unemployment insurance under partial information	7
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]	7
A two-layer stochastic game approach to reinsurance contracting and competition	7
Editorial Board	7
Optimal reinsurance under the α-maxmin mean-variance criterion	7
Two-stage nested simulation of tail risk measurement: A likelihood ratio approach	7
The impact of intermediaries on insurance demand and pricing	6
Multi-population modelling and forecasting life-table death counts	6
Three-step risk inference in insurance ratemaking	6
Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks	6
Insurance loss modeling with gradient tree-boosted mixture models	6
The Cramér-Lundberg model with a fluctuating number of clients	6
The role of a longevity insurance for defined contribution pension systems	6
Stochastic mortality dynamics driven by mixed fractional Brownian motion	6
Modeling and pricing longevity derivatives using Skellam distribution	6
Model mortality rates using property and casualty insurance reserving methods	5
Editorial to the virtual special issue on emerging risks and insurance technology	5
Aggregate Markov models in life insurance: Properties and valuation	5
Basis risk management and randomly scaled uncertainty	5
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims	5
An analysis of precautionary behavior in retirement decision making with an application to pension system reform	5
A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment	5
On retirement time decision making	5

Diversification quotients based on VaR and ES	5
Combining multi-asset and intrinsic risk measures	5
Deep hedging of long-term financial derivatives	5
Gamma Mixture Density Networks and their application to modelling insurance claim amounts	5
Cause-specific mortality rates: Common trends and differences	4
Risk aggregation with FGM copulas	4
Optimal consumption and annuity equivalent wealth with mortality model uncertainty	4
Editorial Board	4
Bowley solution under the reinsurer's default risk	4
Axiomatic risk sharing and capital allocation	4
Time-consistent longevity hedging with long-range dependence	4
Tail similarity	4
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds	4
Optimal control of investment, premium and deductible for a non-life insurance company	4
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models	4
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin	4
Closed-form solutions for an explicit modern ideal tontine with bequest motive	4
Intergenerational sharing of unhedgeable inflation risk	4
S-shaped narrow framing, skewness and the demand for insurance	4
A new class of copula regression models for modelling multivariate heavy-tailed data	4
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables	4
Asymptotic results on marginal expected shortfalls for dependent risks	4
Bivariate Tail Conditional Co-Expectation for elliptical distributions	4
Editorial to the special issue on Behavioral Insurance: Mathematics and Economics	4
Distributionally robust insurance under the Wasserstein distance	4
Diagnostic tests before modeling longitudinal actuarial data	4
Sample recycling method – a new approach to efficient nested Monte Carlo simulations	4
Variable annuities: Market incompleteness and policyholder behavior	4
Corrigendum to “Incorporating big microdata in life table construction: A hypothesis-free estimator” [Insurance Math. Econom. 88 (2019) 138–150]	4
De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts	4
Editorial Board	4
Stackelberg differential game for reinsurance: Mean-variance framework and random horizon	4
Statistical inference for tail-based cumulative residual entropy	4
Batch mode active learning framework and its application on valuing large variable annuity portfolios	3
Enhancing an insurer's expected value by reinsurance and external financing	3
Parametric expectile regression and its application for premium calculation	3
Empirical tail risk management with model-based annealing random search	3
Multivariate claim processes with rough intensities: Properties and estimation	3
Optimal insurance design under asymmetric Nash bargaining	3
Joint generalized quantile and conditional tail expectation regression for insurance risk analysis	3
Benefit volatility-targeting strategies in lifetime pension pools	3
Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm	3
Capital, aggregate risk, insurance prices and regulation	3
Uncertainty in heteroscedastic Bayesian model averaging	3
Are reference measures of law-invariant functionals unique?	3
Optimal annuity demand for general expected utility agents	3
Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk	3
Addressing the life expectancy gap in pension policy	3
Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach	3
Optimal risk management with reinsurance and its counterparty risk hedging	3
Editorial Board	3
A multi-year microlevel collective risk model	3
On the factors determining the health profiles and care needs of institutionalized elders	3
Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models	3
From risk reduction to risk elimination by conditional mean risk sharing of independent losses	3
Imbalanced learning for insurance using modified loss functions in tree-based models	3
Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments	3
On the area in the red of Lévy risk processes and related quantities	3
Risk measures induced by efficient insurance contracts	3
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks	3
Fourier based methods for the management of complex life insurance products	3
Earthquake parametric insurance with Bayesian spatial quantile regression	3
Editorial Board	3
Blended insurance scheme: A synergistic conventional-index insurance mixture	3
Comparing utility derivative premia under additive and multiplicative risks	3
Valuation of variable annuity portfolios using finite and infinite width neural networks	3
On the ordering of credibility factors	3
BERT-based NLP techniques for classification and severity modeling in basic warranty data study	3
Stackelberg differential game for insurance under model ambiguity	3
Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm	3
Valuation of guaranteed lifelong withdrawal benefit with the long-term care option	2
Optimal risk exposure and dividend payout policies under model uncertainty	2
A new stochastic dominance criterion for dependent random variables with applications	2
Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting	2
Robust indifference valuation of catastrophe bonds	2
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure	2
Analyzing the interest rate risk of equity-indexed annuities via scenario matrices	2
Pandemic risk management: Resources contingency planning and allocation	2
Optimal long-term contracts with disability insurance under limited commitment	2
Testing for auto-calibration with Lorenz and Concentration curves	2

Portfolio choice with illiquid asset for a loss-averse pension fund investor	2
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data	2
Comparing and quantifying tail dependence	2
A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference	2
Annuity and insurance choice under habit formation	2
Optimal payout strategies when Bruno de Finetti meets model uncertainty	2
Random distortion risk measures	2
Dividend corridors and a ruin constraint	2
Green nested simulation via likelihood ratio: Applications to longevity risk management	2
A special Tweedie sub-family with application to loss reserving prediction error	2
Tail dependence and heavy tailedness in extreme risks	2
Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach	2
A Fourier-cosine method for finite-time ruin probabilities	2
Mortality data correction in the absence of monthly fertility records	2
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls	2
Dynamic asset-liability management with frictions	2
Optimal dividends under Markov-modulated bankruptcy level	2
Length of stay in residential aged care: Patterns and determinants from a population-based cohort study	2
Inf-convolution and optimal allocations for mixed-VaRs	2
Identifying scenarios for the own risk and Solvency assessment of insurance companies	2
Risk quantization by magnitude and propensity	2
Scenario selection with LASSO regression for the valuation of variable annuity portfolios	2
A general optimal approach to Bühlmann credibility theory	2
Editorial Board	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
Adjusted higher-order expected shortfall	2
A buy-hold-sell pension saving strategy	2
Demand for non-life insurance under habit formation	2
A Hawkes model with CARMA(p,q) intensity	2
Tail mean-variance portfolio selection with estimation risk	2
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory	2
Estimating the time value of ruin in a Lévy risk model under low-frequency observation	2
A random forest based approach for predicting spreads in the primary catastrophe bond market	2
Macro longevity risk and the choice between annuity products: Evidence from Denmark	2
It takes two: Why mortality trend modeling is more than modeling one mortality trend	2
Ratemaking territories and adverse selection for flood insurance	2
Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach	2
Star-shaped acceptability indexes	2
Editorial Board	2
On the analysis of deep drawdowns for the Lévy insurance risk model	2
Bootstrap consistency for the Mack bootstrap	2
Parametric measures of variability induced by risk measures	2
Optimal insurance to maximize RDEU under a distortion-deviation premium principle	1
Dispersion modelling of outstanding claims with double Poisson regression models	1
Autocalibration and Tweedie-dominance for insurance pricing with machine learning	1
Worst-case risk with unspecified risk preferences	1
Optimal fee structure of variable annuities	1
Actuarial intelligence in auto insurance: Claim frequency modeling with driving behavior features and improved boosted trees	1
Hidden semi-Markov models for rainfall-related insurance claims	1
Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market	1
Value-enhancing modeling of surrenders and lapses	1
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating	1
Multi-population mortality modeling: When the data is too much and not enough	1
Sensitivity analysis with χ2-divergences	1
Editorial Board	1
Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging	1
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities	1
Innovative combo product design embedding variable annuity and long-term care insurance contracts	1
Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims	1
Two-phase selection of representative contracts for valuation of large variable annuity portfolios	1
Editorial Board	1
Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes	1
Multinomial backtesting of distortion risk measures	1
Mean-variance optimization for participating life insurance contracts	1
Return smoothing in life insurance from a client perspective	1
Uniqueness of equilibrium with survival probability heterogeneity and endogenous annuity price	1
Stochastic orders and distortion risk contribution ratio measures	1
Editorial Board	1
The location of a minimum variance squared distance functional	1
Subjective survival beliefs and the life-cycle model	1
The annuity puzzle and consumption hump under ambiguous life expectancy	1
Unraveling heterogeneity in cyber risks using quantile regressions	1
A family of variability measures based on the cumulative residual entropy and distortion functions	1
Optimal investment and consumption strategies for pooled annuity with partial information	1
Inter-order relations between equivalence for L-quantiles of the Student's t distribution	1
Egalitarian pooling and sharing of longevity risk a.k.a. can an administrator help skin the tontine cat?	1
Forecasting mortality with international linkages: A global vector-autoregression approach	1
Bayesian CART models for insurance claims frequency	1
Correlation aversion and bivariate stochastic dominance with respect to reference functions	1
Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information	1
Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates	1
Continuous-time optimal reporting with full insurance under the mean-variance criterion	1
Efficient evaluation of risk allocations	1
Target benefit pension with longevity risk and stochastic interest rate valuation	1
Irreversible reinsurance: A singular control approach	1
Dividend optimisation: A behaviouristic approach	1
Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels	1
Optimal consumption and life insurance under shortfall aversion and a drawdown constraint	1
Optimal asset allocation, consumption and retirement time with the variation in habitual persistence	1
Gompertz law revisited: Forecasting mortality with a multi-factor exponential model	1
Optimal investment, consumption and life insurance purchase with learning about return predictability	1
Equilibria and efficiency in a reinsurance market	1
Asymptotic analysis of portfolio diversification	1
Controlling the effects of adverse selection in flexible benefit plans: A pricing-based approach	1