OOIR: Observatory of International Research

Papers

(The TQCC of Insurance Mathematics & Economics is 4. 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 2021-08-01 to 2025-08-01.)

Article	Citations
Editorial Board	25
Risk-neutral valuation of GLWB riders in variable annuities	24
A life insurance model with asymmetric time preferences	24
Robust asset-liability management games for n players under multivariate stochastic covariance models	22
A note on portfolios of averages of lognormal variables	20
Editorial Board	18
Optimal insurance with mean-deviation measures	18
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves	18
Fees in tontines	18
Efficient hedging of life insurance portfolio for loss-averse insurers	18
Self-protection under Nth-degree risk increase of random unit cost	17
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization	15
Multivariate dependence among cyber risks based on L-hop propagation	15
Cyber risk frequency, severity and insurance viability	15
Intergenerational actuarial fairness when longevity increases: Amending the retirement age	13
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	11
Similar risks have similar prices: A useful and exact quantification	11
Risk aggregation and capital allocation using a new generalized Archimedean copula	11
Haezendonck-Goovaerts capital allocation rules	11
Law-invariant return and star-shaped risk measures	11
Multi-constrained optimal reinsurance model from the duality perspectives	11
Editorial Board	10
Dynamic optimal adjustment policies of hybrid pension plans	10
Variance insurance contracts	10
Efficient and proper generalised linear models with power link functions	10

Editorial Board	10
Cause-of-death mortality forecasting using adaptive penalized tensor decompositions	10
Asymptotics for a time-dependent by-claim model with dependent subexponential claims	9
Risk aggregation under dependence uncertainty and an order constraint	9
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns	9
Co-opetition in Reinsurance Markets: When Pareto Meets Stackelberg and Nash	9
A mean field game approach to optimal investment and risk control for competitive insurers	9
A Dirichlet process mixture regression model for the analysis of competing risk events	9
Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model	8
Pricing extreme mortality risk in the wake of the COVID-19 pandemic	8
Probabilistic approach to risk processes with level-dependent premium rate	8
When is utilitarian welfare higher under insurance risk pooling?	8
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics	8
Frequency and severity estimation of cyber attacks using spatial clustering analysis	8
Testing for more positive expectation dependence with application to model comparison	8
A new characterization of second-order stochastic dominance	8
Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes	8
Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation	8
Bayesian credibility under a bivariate prior on the frequency and the severity of claims	8
Automobile Insurance Fraud Detection Based on PSO-XGBoost Model and Interpretable Machine Learning Method	8
Nonparametric density estimation and risk quantification from tabulated sample moments	8
Tweedie multivariate semi-parametric credibility with the exchangeable correlation	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
Two-stage nested simulation of tail risk measurement: A likelihood ratio approach	7
Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model	7
Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses	7
A two-layer stochastic game approach to reinsurance contracting and competition	7
On potential information asymmetries in long-term care insurance: A simulation study using data from Switzerland	6
The impact of intermediaries on insurance demand and pricing	6
Optimal reinsurance under the α-maxmin mean-variance criterion	6
Stochastic mortality dynamics driven by mixed fractional Brownian motion	6
Multi-population modelling and forecasting life-table death counts	6
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims	6
Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models	6
Optimal entry decision of unemployment insurance under partial information	6
Insurance loss modeling with gradient tree-boosted mixture models	6
Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks	6
Combining multi-asset and intrinsic risk measures	5
Diversification quotients based on VaR and ES	5
Learning from COVID-19: A catastrophe mortality bond solution in the post-pandemic era	5
A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment	5
Axiomatic risk sharing and capital allocation	5
Model mortality rates using property and casualty insurance reserving methods	5
An analysis of precautionary behavior in retirement decision making with an application to pension system reform	5
Aggregate Markov models in life insurance: Properties and valuation	5
A new class of copula regression models for modelling multivariate heavy-tailed data	5
The Cramér-Lundberg model with a fluctuating number of clients	5
Three-step risk inference in insurance ratemaking	5
Basis risk management and randomly scaled uncertainty	5
Editorial to the virtual special issue on emerging risks and insurance technology	5

Gamma Mixture Density Networks and their application to modelling insurance claim amounts	5
On retirement time decision making	5
Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach	4
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin	4
De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts	4
Approximations of multi-period liability values by simple formulas	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
Stackelberg differential game for reinsurance: Mean-variance framework and random horizon	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
Editorial Board	4
Editorial Board	4
S-shaped narrow framing, skewness and the demand for insurance	4
Intergenerational sharing of unhedgeable inflation risk	4
Statistical inference for tail-based cumulative residual entropy	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
Tail similarity	4
Asymptotic results on marginal expected shortfalls for dependent risks	4
Risk aggregation with FGM copulas	4
Bowley solution under the reinsurer's default risk	4
Corrigendum to “Incorporating big microdata in life table construction: A hypothesis-free estimator” [Insurance Math. Econom. 88 (2019) 138–150]	4
Diagnostic tests before modeling longitudinal actuarial data	4
Closed-form solutions for an explicit modern ideal tontine with bequest motive	4
Distributionally robust insurance under the Wasserstein distance	4
Bivariate Tail Conditional Co-Expectation for elliptical distributions	4
Optimal control of investment, premium and deductible for a non-life insurance company	4