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 2021-04-01 to 2025-04-01.)

Article	Citations
Benefit volatility-targeting strategies in lifetime pension pools	34
On the factors determining the health profiles and care needs of institutionalized elders	26
From risk reduction to risk elimination by conditional mean risk sharing of independent losses	22
Dividend corridors and a ruin constraint	20
Editorial Board	19
Editorial Board	18
Editorial to the virtual special issue on emerging risks and insurance technology	17
Optimal investment, consumption and life insurance purchase with learning about return predictability	17
Editorial Board	15
Combining multi-asset and intrinsic risk measures	15
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves	15
Note from the Editors	14
A combined analysis of hedge effectiveness and capital efficiency in longevity hedging	14
Capital, aggregate risk, insurance prices and regulation	14
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation	13
An asymptotic study of systemic expected shortfall and marginal expected shortfall	13
Tail mean-variance portfolio selection with estimation risk	12
Reinsurance of multiple risks with generic dependence structures	12
Modeling pandemic mortality risk and its application to mortality-linked security pricing	11
An analysis of precautionary behavior in retirement decision making with an application to pension system reform	10
On non-negative equity guarantee calculations with macroeconomic variables related to house prices	9
Gamma Mixture Density Networks and their application to modelling insurance claim amounts	9
Batch mode active learning framework and its application on valuing large variable annuity portfolios	9
On the ordering of credibility factors	9
Asymptotic analysis of portfolio diversification	9

Demand for non-life insurance under habit formation	9
Modeling and pricing longevity derivatives using Skellam distribution	9
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities	9
Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims	9
Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications	9
A decomposition of general premium principles into risk and deviation	9
Bivariate distribution regression with application to insurance data	8
Model mortality rates using property and casualty insurance reserving methods	8
European option pricing with market frictions, regime switches and model uncertainty	8
Three-step risk inference in insurance ratemaking	8
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims	8
A unified theory of decentralized insurance	7
Diversification quotients based on VaR and ES	7
Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach	7
Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models	7
Exact credibility reference Bayesian premiums	7
Asymptotic results on tail moment for light-tailed risks	7
Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm	7
A note on portfolios of averages of lognormal variables	7
Risk-neutral valuation of GLWB riders in variable annuities	7
The Cramér-Lundberg model with a fluctuating number of clients	7
Robust asset-liability management games for n players under multivariate stochastic covariance models	7
Stressing dynamic loss models	7
Actuarial fairness and social welfare in mixed-cohort tontines	6
Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach	6
Valuation of variable annuity portfolios using finite and infinite width neural networks	6
Valuation of general GMWB annuities in a low interest rate environment	6
Editorial Board	6
Sensitivity analysis and tail variability for the Wang’s actuarial index	6
Optimal insurance with mean-deviation measures	6
Comparing utility derivative premia under additive and multiplicative risks	6
A life insurance model with asymmetric time preferences	6
Automated machine learning in insurance	6
Extension of as-if-Markov modeling to scaled payments	5
Pandemic risk management: Resources contingency planning and allocation	5
Inf-convolution and optimal allocations for mixed-VaRs	5
Actuarial intelligence in auto insurance: Claim frequency modeling with driving behavior features and improved boosted trees	5
Precautionary risk-reduction and saving decisions: Two sides of the same coin?	5
Bayesian CART models for insurance claims frequency	5
Testing for auto-calibration with Lorenz and Concentration curves	5
Quantile mortality modelling of multiple populations via neural networks	5
Optimal control under uncertainty: Application to the issue of CAT bonds	5
Corrigendum and addendum to “Range Value-at-Risk bounds for unimodal distributions under partial information” [Insurance: Math. Econ. 94 (2020) 9–24]	5
Inter-order relations between equivalence for L-quantiles of the Student's t distribution	5
Can price collars increase insurance loss coverage?	5
Risk quantization by magnitude and propensity	5
Cyber risk frequency, severity and insurance viability	4
Editorial Board	4
Revisiting optimal investment strategies of value-maximizing insurance firms	4
On retirement time decision making	4

Editorial Board	4
Basis risk management and randomly scaled uncertainty	4
The location of a minimum variance squared distance functional	4
Bootstrap consistency for the Mack bootstrap	4
IME's Editorial Board	4
A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment	4
A random forest based approach for predicting spreads in the primary catastrophe bond market	4
It takes two: Why mortality trend modeling is more than modeling one mortality trend	4
Controlling the effects of adverse selection in flexible benefit plans: A pricing-based approach	4
Editorial Board	4
Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels	4
Risk aggregation and capital allocation using a new generalized Archimedean copula	4
Intergenerational actuarial fairness when longevity increases: Amending the retirement age	4
A family of variability measures based on the cumulative residual entropy and distortion functions	4
Haezendonck-Goovaerts capital allocation rules	4
The annuity puzzle and consumption hump under ambiguous life expectancy	4
Similar risks have similar prices: A useful and exact quantification	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	3
Bowley solution of a mean–variance game in insurance	3
A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data	3
Optimal dividends under Markov-modulated bankruptcy level	3
Valuation of guaranteed lifelong withdrawal benefit with the long-term care option	3
Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model	3
Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity	3
Multi-population mortality modeling: When the data is too much and not enough	3
Moment generating function of non-Markov self-excited claims processes	3
Deep hedging of long-term financial derivatives	3
Regret-based optimal insurance design	3
Optimal insurance design under mean-variance preference with narrow framing	3
What can we learn from telematics car driving data: A survey	3
Value-enhancing modeling of surrenders and lapses	3
Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs	3
A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference	3
Portfolio risk analysis of excess of loss reinsurance	3
Effective experience rating for large insurance portfolios via surrogate modeling	3
Mortality modeling and regression with matrix distributions	3
Fees in tontines	3
Infinitely stochastic micro reserving	3
Prepayment risk in reverse mortgages: An intensity-governed surrender model	3
How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model	3
The Parisian and ultimate drawdowns of Lévy insurance models	3
Bowley-optimal convex-loaded premium principles	3
Multi-constrained optimal reinsurance model from the duality perspectives	3
On the effects of public subsidies for severe and mild dependency on long-term care insurance	3
Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions	3
Law-invariant return and star-shaped risk measures	3
Moral hazard in loss reduction and state-dependent utility	3
Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach	3
Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance	3
Optimal asset allocation, consumption and retirement time with the variation in habitual persistence	3
Multivariate dependence among cyber risks based on L-hop propagation	3
Pareto-optimal reinsurance under individual risk constraints	3
Avoiding zero probability events when computing Value at Risk contributions	3
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	3