OOIR: Observatory of International Research

Papers

(The TQCC of Insurance Mathematics & Economics is 3. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2022-01-01 to 2026-01-01.)

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
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
Risk-neutral valuation of GLWB riders in variable annuities	13
The ultimate drawdown insurance and its state-dependent premium	12
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
Similar risks have similar prices: A useful and exact quantification	11
Multi-constrained optimal reinsurance model from the duality perspectives	10
Pitfalls in machine learning interpretability: Manipulating partial dependence plots to hide discrimination	10
Self-protection under Nth-degree risk increase of random unit cost	10
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
Law-invariant return and star-shaped risk measures	9
Risk aggregation and capital allocation using a new generalized Archimedean copula	9
A Dirichlet process mixture regression model for the analysis of competing risk events	8
Forecasting and backtesting gradient allocations of expected shortfall	8
Editorial Board	8
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
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
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
Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model	6
A new characterization of second-order stochastic dominance	6
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
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
Diagnostic tests before modeling longitudinal actuarial data	4
Distributionally robust tail bounds based on Wasserstein distance and f-divergence	4
On expectiles and almost stochastic dominance	4
Combining multi-asset and intrinsic risk measures	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
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
Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility	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
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
A complete proof of the De Vylder and Goovaerts conjecture for homogeneous risk models	4
Prolonging life by vitagions: Modelling of mortality improvement shocks	4
Model mortality rates using property and casualty insurance reserving methods	4
A usage-based insurance (UBI) pricing model considering customer retention	4
Learning from COVID-19: A catastrophe mortality bond solution in the post-pandemic era	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
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
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
Statistical inference for tail-based cumulative residual entropy	3
Stackelberg differential game for insurance under model ambiguity	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