Insurance Mathematics & Economics

Article	Citations
Addressing the life expectancy gap in pension policy	27
Cyber claim analysis using Generalized Pareto regression trees with applications to insurance	23
A random forest based approach for predicting spreads in the primary catastrophe bond market	20
Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging	17
Pricing longevity derivatives via Fourier transforms	17
Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans	17
Sparse regression with Multi-type Regularized Feature modeling	16
BERT-based NLP techniques for classification and severity modeling in basic warranty data study	16
From risk sharing to pure premium for a large number of heterogeneous losses	15
Autocalibration and Tweedie-dominance for insurance pricing with machine learning	14
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times	14
Law-invariant functionals that collapse to the mean	13
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	13
Robust optimal investment and reinsurance for an insurer with inside information	12
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data	12
Equilibrium investment strategy for a DC pension plan with learning about stock return predictability	12
What can we learn from telematics car driving data: A survey	12
Stackelberg differential game for reinsurance: Mean-variance framework and random horizon	12
Pandemic risk management: Resources contingency planning and allocation	12
Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type	11
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method	11
On a family of coherent measures of variability	11
Hawkes processes in insurance: Risk model, application to empirical data and optimal investment	10
A BSDE-based approach for the optimal reinsurance problem under partial information	10
Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods	9

Gamma Mixture Density Networks and their application to modelling insurance claim amounts	9
Infinitely stochastic micro reserving	9
Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance	9
Volterra mortality model: Actuarial valuation and risk management with long-range dependence	9
Mortality modeling and regression with matrix distributions	9
Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs	9
A hybrid deep learning method for optimal insurance strategies: Algorithms and convergence analysis	9
Stochastic orders and multivariate measures of risk contagion	8
The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking	8
A Fourier-cosine method for finite-time ruin probabilities	8
Prepayment risk in reverse mortgages: An intensity-governed surrender model	8
Longevity risk and capital markets: The 2019-20 update	8
Systemic risk: Conditional distortion risk measures	7
Improved index insurance design and yield estimation using a dynamic factor forecasting approach	7
Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods	7
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models	7
Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process	7
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process	7
Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information	7
Deep hedging of long-term financial derivatives	7
Stop-loss protection for a large P2P insurance pool	7
Stackelberg differential game for insurance under model ambiguity	7
Optimal risk exposure and dividend payout policies under model uncertainty	7
Moment generating function of non-Markov self-excited claims processes	7
Demand for non-life insurance under habit formation	7
The tail mean–variance optimal portfolio selection under generalized skew-elliptical distribution	6
Bayesian credibility under a bivariate prior on the frequency and the severity of claims	6
Tail dependence and heavy tailedness in extreme risks	6
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure	6
Optimal reinsurance under the α-maxmin mean-variance criterion	6
Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market	6
Cause-specific mortality rates: Common trends and differences	6
Risk aggregation with FGM copulas	6
Parametric measures of variability induced by risk measures	6
Cyber risk frequency, severity and insurance viability	6
Copula-based inference for bivariate survival data with left truncation and dependent censoring	6
Optimal retirement products under subjective mortality beliefs	6
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures	6
The Gerber-Shiu discounted penalty function: A review from practical perspectives	6
Statistical estimation for some dividend problems under the compound Poisson risk model	6
Modelling mortality dependence: An application of dynamic vine copula	6
The role of a longevity insurance for defined contribution pension systems	5
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating	5
Incorporating statistical clustering methods into mortality models to improve forecasting performances	5
Spatial patterns of mortality in the United States: A spatial filtering approach	5
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation	5
Cyber-contagion model with network structure applied to insurance	5
Pricing in a competitive stochastic insurance market	5
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns	5
A decomposition of general premium principles into risk and deviation	5

A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems	5
SynthETIC: An individual insurance claim simulator with feature control	5
Pareto-optimal insurance contracts with premium budget and minimum charge constraints	5
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models	5
Fees in tontines	5
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints	5
Pareto-optimal reinsurance policies with maximal synergy	5
Joint generalized quantile and conditional tail expectation regression for insurance risk analysis	4
Multivariate dependence among cyber risks based on L-hop propagation	4
Multi-population modelling and forecasting life-table death counts	4
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities	4
Valuing guaranteed minimum accumulation benefits by a change of numéraire approach	4
Center-outward quantiles and the measurement of multivariate risk	4
Optimal control of investment, premium and deductible for a non-life insurance company	4
Variable annuities: Market incompleteness and policyholder behavior	4
Stochastic mortality dynamics driven by mixed fractional Brownian motion	4
Robust retirement and life insurance with inflation risk and model ambiguity	4
Haezendonck-Goovaerts capital allocation rules	4
An insurance risk process with a generalized income process: A solvency analysis	4
An asymptotic study of systemic expected shortfall and marginal expected shortfall	4
Fair dynamic valuation of insurance liabilities via convex hedging	4
Model-independent price bounds for Catastrophic Mortality Bonds	4
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin	4
Risk aggregation and capital allocation using a new generalized Archimedean copula	4
Macro longevity risk and the choice between annuity products: Evidence from Denmark	4
Bowley solution of a mean–variance game in insurance	4
Portfolio choice with illiquid asset for a loss-averse pension fund investor	4
Positivity properties of the ARFIMA(0,	4
Annuity and insurance choice under habit formation	4
Gompertz law revisited: Forecasting mortality with a multi-factor exponential model	4
Decrease of capital guarantees in life insurance products: Can reinsurance stop it?	4
COVID-19 and credit risk: A long memory perspective	4
Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions	3
A continuous-time theory of reinsurance chains	3
Tests for Laplace order dominance with applications to insurance data	3
Exact credibility reference Bayesian premiums	3
Optimal risk-sharing across a network of insurance companies	3
Joint and survivor annuity valuation with a bivariate reinforced urn process	3
Return smoothing in life insurance from a client perspective	3
Empirical analysis and forecasting of multiple yield curves	3
Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk	3
Unraveling heterogeneity in cyber risks using quantile regressions	3
S-shaped narrow framing, skewness and the demand for insurance	3
Micro-level parametric duration-frequency-severity modeling for outstanding claim payments	3
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory	3
Deep quantile and deep composite triplet regression	3
Dynamics of state-wise prospective reserves in the presence of non-monotone information	3
Approximate Bayesian Computations to fit and compare insurance loss models	3
On the ordering of credibility factors	3
Dispersion modelling of outstanding claims with double Poisson regression models	3
A general optimal approach to Bühlmann credibility theory	3
Optimal fee structure of variable annuities	3
A fractional multi-states model for insurance	3
Dividend optimisation: A behaviouristic approach	3
Care-dependent tontines	3
Optimal insurance to maximize RDEU under a distortion-deviation premium principle	3
Automatic Fatou property of law-invariant risk measures	3
A hierarchical reserving model for reported non-life insurance claims	3
A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference	3
Transforming public pensions: A mixed scheme with a credit granted by the state	3
Risk-neutral valuation of GLWB riders in variable annuities	3
A multi-year microlevel collective risk model	3
Stressing dynamic loss models	3
Frequency-severity experience rating based on latent Markovian risk profiles	3
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks	3
Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?	3
Mortality options: The point of view of an insurer	3
Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests	3
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls	3
Pricing extreme mortality risk in the wake of the COVID-19 pandemic	3
Forecasting mortality with international linkages: A global vector-autoregression approach	3
Ratemaking territories and adverse selection for flood insurance	3
Inf-convolution and optimal allocations for mixed-VaRs	3
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics	2
Concave/convex weighting and utility functions for risk: A new light on classical theorems	2
Analyzing the interest rate risk of equity-indexed annuities via scenario matrices	2
Joint life care annuities to help retired couples to finance the cost of long-term care	2
Recent declines in life expectancy: Implication on longevity risk hedging	2
The Parisian and ultimate drawdowns of Lévy insurance models	2
Risk transference constraints in optimal reinsurance	2

It takes two: Why mortality trend modeling is more than modeling one mortality trend	2
Optimal annuity demand for general expected utility agents	2
Aggregate Markov models in life insurance: Properties and valuation	2
Earthquake parametric insurance with Bayesian spatial quantile regression	2
Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims	2
When is utilitarian welfare higher under insurance risk pooling?	2
Reinsurance of multiple risks with generic dependence structures	2
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds	2
Three-step risk inference in insurance ratemaking	2
Closed-form solutions for an explicit modern ideal tontine with bequest motive	2
Statistical inference for tail-based cumulative residual entropy	2
Insuring longevity risk and long-term care: Bequest, housing and liquidity	2
Time-consistent longevity hedging with long-range dependence	2
On a robust risk measurement approach for capital determination errors minimization	2
Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions	2
Estimating the time value of ruin in a Lévy risk model under low-frequency observation	2
Regret-based optimal insurance design	2
Option pricing in regime-switching frameworks with the Extended Girsanov Principle	2
Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach	2
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]	2
Optimal dividends under Markov-modulated bankruptcy level	2
Empirical tail risk management with model-based annealing random search	2
Actuarial fairness and social welfare in mixed-cohort tontines	2
Fourier based methods for the management of complex life insurance products	2
Modeling stochastic mortality for joint lives through subordinators	2
Extreme value estimation of the conditional risk premium in reinsurance	2
Modeling and pricing longevity derivatives using Skellam distribution	2
Sample recycling method – a new approach to efficient nested Monte Carlo simulations	2
Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability	2
Estimating and backtesting risk under heavy tails	2
Optimal investment for a retirement plan with deferred annuities	2
On the analysis of deep drawdowns for the Lévy insurance risk model	2
Intergenerational actuarial fairness when longevity increases: Amending the retirement age	2
Risk measures induced by efficient insurance contracts	2
On retirement time decision making	2
Right-truncated Archimedean and related copulas	2
A new class of copula regression models for modelling multivariate heavy-tailed data	2
Assessing mortality inequality in the U.S.: What can be said about the future?	2
On non-negative equity guarantee calculations with macroeconomic variables related to house prices	2
The economics of sharing macro-longevity risk	2
Valuation of general GMWB annuities in a low interest rate environment	2
Irreversible reinsurance: A singular control approach	2
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves	2
Equilibria and efficiency in a reinsurance market	2
Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications	2
Refundable income annuities: Feasibility of money-back guarantees	2
Dynamic hazards modelling for predictive longevity risk assessment	1
Extension of as-if-Markov modeling to scaled payments	1
Asymptotic results on marginal expected shortfalls for dependent risks	1
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims	1
Uniqueness of equilibrium with survival probability heterogeneity and endogenous annuity price	1
Cause of death specific cohort effects in U.S. mortality	1
Revisiting the optimal insurance design under adverse selection: Distortion risk measures and tail-risk overestimation	1
Asymptotics for a time-dependent by-claim model with dependent subexponential claims	1
Moral hazard in loss reduction and state-dependent utility	1
Robust equilibrium strategies in a defined benefit pension plan game	1
The annuity puzzle and consumption hump under ambiguous life expectancy	1
Stochastic orders and distortion risk contribution ratio measures	1
Optimal asset allocation, consumption and retirement time with the variation in habitual persistence	1
Optimal risk management with reinsurance and its counterparty risk hedging	1
From risk reduction to risk elimination by conditional mean risk sharing of independent losses	1
Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting	1
Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm	1
Editorial Board	1
Capital, aggregate risk, insurance prices and regulation	1
Risk aggregation under dependence uncertainty and an order constraint	1
European option pricing with market frictions, regime switches and model uncertainty	1
Robust claim frequency modeling through phase-type mixture-of-experts regression	1
De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts	1
Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants	1
Risk aggregation in non-life insurance: Standard models vs. internal models	1
Law-invariant return and star-shaped risk measures	1
Multivariate claim processes with rough intensities: Properties and estimation	1
Bootstrap consistency for the Mack bootstrap	1
A new stochastic dominance criterion for dependent random variables with applications	1
Term structure of discount rates for firms in the insurance industry	1
Optimal investment in defined contribution pension schemes with forward utility preferences	1
Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach	1
The merits of pooling claims: Mutual vs. stock insurers	1
Batch mode active learning framework and its application on valuing large variable annuity portfolios	1
Frequency and severity estimation of cyber attacks using spatial clustering analysis	1
A combined analysis of hedge effectiveness and capital efficiency in longevity hedging	1
Pairwise counter-monotonicity	1
Bivariate distribution regression with application to insurance data	1
On capital allocation for a risk measure derived from ruin theory	1
Dependence modeling of frequency-severity of insurance claims using waiting time	1
Multivariate matrix-exponential affine mixtures and their applications in risk theory	1
Diagnostic tests before modeling longitudinal actuarial data	1
Actuarial intelligence in auto insurance: Claim frequency modeling with driving behavior features and improved boosted trees	1
Structured reinsurance deals with reference to relative market performance	1
Univariate and multivariate claims reserving with Generalized Link Ratios	1
Parametric expectile regression and its application for premium calculation	1
Bayesian CART models for insurance claims frequency	1
Calendar effect and in-sample forecasting	1
Robust asset-liability management games for n players under multivariate stochastic covariance models	1