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 2022-05-01 to 2026-05-01.)

Article	Citations
Editorial Board	35
A note on portfolios of averages of lognormal variables	26
Optimal insurance with mean-deviation measures	25
Efficient hedging of life insurance portfolio for loss-averse insurers	23
A life insurance model with asymmetric time preferences	21
Risk-neutral valuation of GLWB riders in variable annuities	17
No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses	16
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves	15
Optimal timing of green technology adoption for climate risk mitigation	15
Optimal consumption-leisure-investment and retirement choices with nonconcave aspirational utility	14
Optimal ratcheting of dividends with irreversible reinsurance	14
Robust asset-liability management games for n players under multivariate stochastic covariance models	14
Modelling seasonal mortality: An age–period–cohort approach	14
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	13
The principle of a single big jump from the perspective of tail moment risk measure	12
Editorial Board	12
Similar risks have similar prices: A useful and exact quantification	12
Counter-monotonic risk sharing with heterogeneous distortion risk measures	11
Self-protection under Nth-degree risk increase of random unit cost	11
The big Thaw: Unfreeze defined benefit pension with cash balance plans	11
Multi-constrained optimal reinsurance model from the duality perspectives	11
Granular mortality modeling with temperature and epidemic shocks: A three-state regime-switching approach	11
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization	11
Cyber risk frequency, severity and insurance viability	10
Law-invariant return and star-shaped risk measures	10

Intergenerational actuarial fairness when longevity increases: Amending the retirement age	10
The ultimate drawdown insurance and its state-dependent premium	9
Optimal reinsurance design under convex premium principles and distortion risk measures	9
An age–period–cohort model in a Dirichlet framework: A coherent causes of death estimation	9
Data-rich economic forecasting for actuarial applications	8
Pitfalls in machine learning interpretability: Manipulating partial dependence plots to hide discrimination	8
Editorial Board	8
Efficient and proper generalised linear models with power link functions	8
Forecasting and backtesting gradient allocations of expected shortfall	8
Variance insurance contracts	8
A mean field game approach to optimal investment and risk control for competitive insurers	7
A Dirichlet process mixture regression model for the analysis of competing risk events	7
Dynamic optimal adjustment policies of hybrid pension plans	7
Asymptotics for a time-dependent by-claim model with dependent subexponential claims	7
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns	7
Cause-of-death mortality forecasting using adaptive penalized tensor decompositions	7
Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash	7
Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation	6
Frequency and severity estimation of cyber attacks using spatial clustering analysis	6
The last passage time before ruin: Theory and applications in liquidation risk management	6
Stochastic orderings for set-valued risk measures	6
Probabilistic approach to risk processes with level-dependent premium rate	6
A new characterization of second-order stochastic dominance	6
Nonparametric density estimation and risk quantification from tabulated sample moments	6
Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility	6
Automobile Insurance Fraud Detection Based on PSO-XGBoost Model and Interpretable Machine Learning Method	6
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics	6
Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model	6
Pricing extreme mortality risk in the wake of the COVID-19 pandemic	6
On convex order and supermodular order without finite mean	6
Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes	6
The impact of intermediaries on insurance demand and pricing	5
Stochastic mortality dynamics driven by mixed fractional Brownian motion	5
Prolonging life by vitagions: Modelling of mortality improvement shocks	5
Combining multi-asset and intrinsic risk measures	5
The Cramér-Lundberg model with a fluctuating number of clients	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
On potential information asymmetries in long-term care insurance: A simulation study using data from Switzerland	5
Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models	5
Rethinking the annuity puzzle: The role of loss aversion and money-back guarantees	5
An analysis of precautionary behavior in retirement decision making with an application to pension system reform	5
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims	5
Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses	5
Numerical methods for computing risk measures of variable annuities under exponential Lévy models	5
Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model	5
Insurance loss modeling with gradient tree-boosted mixture models	5
Tweedie multivariate semi-parametric credibility with the exchangeable correlation	5
A usage-based insurance (UBI) pricing model considering customer retention	5
Learning from COVID-19: A catastrophe mortality bond solution in the post-pandemic era	5

Editorial to the virtual special issue on emerging risks and insurance technology	5
Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility	5
Risk measures on Musielak-Orlicz spaces: A state-dependent perspective for insurance	5
A two-layer stochastic game approach to reinsurance contracting and competition	5
Optimal entry decision of unemployment insurance under partial information	5
Multi-population modelling and forecasting life-table death counts	5
Transformers-based least square Monte Carlo for solvency calculation in life insurance	4
Axiomatic risk sharing and capital allocation	4
An observation-driven state-space count model for experience rating	4
Model mortality rates using property and casualty insurance reserving methods	4
Aggregate Markov models in life insurance: Properties and valuation	4
Asymptotics of systemic risk in a renewal model with multiple business lines and heterogeneous claims	4
Intergenerational sharing of unhedgeable inflation risk	4
Editorial Board	4
Diagnostic tests before modeling longitudinal actuarial data	4
Basis risk management and randomly scaled uncertainty	4
Distributionally robust tail bounds based on Wasserstein distance and f-divergence	4
Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option	4
On expectiles and almost stochastic dominance	4
Three-step risk inference in insurance ratemaking	4
Bowley solution under the reinsurer's default risk	4
Tail similarity	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
A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment	4
Diversification quotients based on VaR and ES	4
A complete proof of the De Vylder and Goovaerts conjecture for homogeneous risk models	4
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables	4