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 2021-06-01 to 2025-06-01.)

Article	Citations
Editorial Board	34
A life insurance model with asymmetric time preferences	24
A note on portfolios of averages of lognormal variables	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
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
Revisiting optimal investment strategies of value-maximizing insurance firms	18
Editorial Board	18
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization	16
Law-invariant return and star-shaped risk measures	15
Haezendonck-Goovaerts capital allocation rules	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
Cyber risk frequency, severity and insurance viability	11
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	11
Intergenerational actuarial fairness when longevity increases: Amending the retirement age	11
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
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
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
Editorial Board	9
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
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
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
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
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
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
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

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
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
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models	4
Diagnostic tests before modeling longitudinal actuarial data	4
Closed-form solutions for an explicit modern ideal tontine with bequest motive	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
Bivariate Tail Conditional Co-Expectation for elliptical distributions	4
Risk aggregation with FGM copulas	4
Distributionally robust insurance under the Wasserstein distance	4
Editorial Board	4
Sample recycling method – a new approach to efficient nested Monte Carlo simulations	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
Statistical inference for tail-based cumulative residual entropy	4
Optimal control of investment, premium and deductible for a non-life insurance company	4
Cause-specific mortality rates: Common trends and differences	4
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin	4
Optimal consumption and annuity equivalent wealth with mortality model uncertainty	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