Insurance Mathematics & Economics

Article	Citations
Editorial Board	34
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves	28
A note on portfolios of averages of lognormal variables	23
A life insurance model with asymmetric time preferences	23
A combined analysis of hedge effectiveness and capital efficiency in longevity hedging	23
Optimal insurance with mean-deviation measures	21
Risk-neutral valuation of GLWB riders in variable annuities	19
Intergenerational actuarial fairness when longevity increases: Amending the retirement age	18
Robust asset-liability management games for n players under multivariate stochastic covariance models	18
Haezendonck-Goovaerts capital allocation rules	18
Editorial Board	18
Law-invariant return and star-shaped risk measures	17
Multivariate dependence among cyber risks based on L-hop propagation	17
Similar risks have similar prices: A useful and exact quantification	16
Multi-constrained optimal reinsurance model from the duality perspectives	14
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization	14
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	14
Fees in tontines	13
Self-protection under Nth-degree risk increase of random unit cost	12
Revisiting optimal investment strategies of value-maximizing insurance firms	11
Cyber risk frequency, severity and insurance viability	11
Cause-of-death mortality forecasting using adaptive penalized tensor decompositions	10
Longevity risk and capital markets: The 2019-20 update	10
Dynamic optimal adjustment policies of hybrid pension plans	10
Risk aggregation and capital allocation using a new generalized Archimedean copula	10

Cyber claim analysis using Generalized Pareto regression trees with applications to insurance	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	9
Editorial Board	9
Variance insurance contracts	9
Asymptotics for a time-dependent by-claim model with dependent subexponential claims	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
Editorial Board	9
Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes	8
Frequency and severity estimation of cyber attacks using spatial clustering analysis	8
Risk aggregation under dependence uncertainty and an order constraint	8
Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model	8
Bayesian credibility under a bivariate prior on the frequency and the severity of claims	8
Testing for more positive expectation dependence with application to model comparison	8
Probabilistic approach to risk processes with level-dependent premium rate	8
Pricing extreme mortality risk in the wake of the COVID-19 pandemic	8
Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation	8
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics	8
Automobile Insurance Fraud Detection Based on PSO-XGBoost Model and Interpretable Machine Learning Method	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
A two-layer stochastic game approach to reinsurance contracting and competition	7
Editorial Board	7
When is utilitarian welfare higher under insurance risk pooling?	7
A new characterization of second-order stochastic dominance	7
Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses	7
Tweedie multivariate semi-parametric credibility with the exchangeable correlation	7
Nonparametric density estimation and risk quantification from tabulated sample moments	7
Insurance loss modeling with gradient tree-boosted mixture models	7
Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model	7
Fair dynamic valuation of insurance liabilities via convex hedging	7
The impact of intermediaries on insurance demand and pricing	6
Stochastic mortality dynamics driven by mixed fractional Brownian motion	6
Optimal entry decision of unemployment insurance under partial information	6
Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks	6
Optimal reinsurance under the α-maxmin mean-variance criterion	6
The role of a longevity insurance for defined contribution pension systems	6
Multi-population modelling and forecasting life-table death counts	6
On potential information asymmetries in long-term care insurance: A simulation study using data from Switzerland	6
Editorial to the virtual special issue on emerging risks and insurance technology	5
Modeling and pricing longevity derivatives using Skellam distribution	5
The Cramér-Lundberg model with a fluctuating number of clients	5
Aggregate Markov models in life insurance: Properties and valuation	5
A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment	5
Combining multi-asset and intrinsic risk measures	5
Three-step risk inference in insurance ratemaking	5
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims	5
Basis risk management and randomly scaled uncertainty	5
An analysis of precautionary behavior in retirement decision making with an application to pension system reform	5

Model mortality rates using property and casualty insurance reserving methods	5
Gamma Mixture Density Networks and their application to modelling insurance claim amounts	5
Diversification quotients based on VaR and ES	5
Sample recycling method – a new approach to efficient nested Monte Carlo simulations	4
Bowley solution under the reinsurer's default risk	4
De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts	4
Risk aggregation with FGM copulas	4
Tail similarity	4
A new class of copula regression models for modelling multivariate heavy-tailed data	4
On retirement time decision making	4
S-shaped narrow framing, skewness and the demand for insurance	4
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds	4
Closed-form solutions for an explicit modern ideal tontine with bequest motive	4
Variable annuities: Market incompleteness and policyholder behavior	4
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables	4
Editorial Board	4
Optimal control of investment, premium and deductible for a non-life insurance company	4
Time-consistent longevity hedging with long-range dependence	4
Corrigendum to “Incorporating big microdata in life table construction: A hypothesis-free estimator” [Insurance Math. Econom. 88 (2019) 138–150]	4
Intergenerational sharing of unhedgeable inflation risk	4
Optimal consumption and annuity equivalent wealth with mortality model uncertainty	4
Bivariate Tail Conditional Co-Expectation for elliptical distributions	4
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin	4
Diagnostic tests before modeling longitudinal actuarial data	4
Editorial Board	4
Deep hedging of long-term financial derivatives	4
Axiomatic risk sharing and capital allocation	4
Editorial to the special issue on Behavioral Insurance: Mathematics and Economics	4
Cause-specific mortality rates: Common trends and differences	4
Enhancing an insurer's expected value by reinsurance and external financing	3
Editorial Board	3
Imbalanced learning for insurance using modified loss functions in tree-based models	3
Addressing the life expectancy gap in pension policy	3
Blended insurance scheme: A synergistic conventional-index insurance mixture	3
Distributionally robust insurance under the Wasserstein distance	3
Fourier based methods for the management of complex life insurance products	3
Stackelberg differential game for reinsurance: Mean-variance framework and random horizon	3
Uncertainty in heteroscedastic Bayesian model averaging	3
From risk reduction to risk elimination by conditional mean risk sharing of independent losses	3
Comparing utility derivative premia under additive and multiplicative risks	3
BERT-based NLP techniques for classification and severity modeling in basic warranty data study	3
Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm	3
Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments	3
Parametric expectile regression and its application for premium calculation	3
Optimal annuity demand for general expected utility agents	3
Stackelberg differential game for insurance under model ambiguity	3
Earthquake parametric insurance with Bayesian spatial quantile regression	3
Optimal risk management with reinsurance and its counterparty risk hedging	3
Statistical inference for tail-based cumulative residual entropy	3
Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk	3
Multivariate claim processes with rough intensities: Properties and estimation	3
Capital, aggregate risk, insurance prices and regulation	3
Dividend corridors and a ruin constraint	3
A multi-year microlevel collective risk model	3
Editorial Board	3
Are reference measures of law-invariant functionals unique?	3
Optimal insurance design under asymmetric Nash bargaining	3
On the area in the red of Lévy risk processes and related quantities	3
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks	3
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models	3
Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach	3
Asymptotic results on marginal expected shortfalls for dependent risks	3
Empirical tail risk management with model-based annealing random search	3
Risk measures induced by efficient insurance contracts	3
Benefit volatility-targeting strategies in lifetime pension pools	3
Joint generalized quantile and conditional tail expectation regression for insurance risk analysis	3
A new stochastic dominance criterion for dependent random variables with applications	2
Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models	2
Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?	2
A buy-hold-sell pension saving strategy	2
Pandemic risk management: Resources contingency planning and allocation	2
Mortality data correction in the absence of monthly fertility records	2
Macro longevity risk and the choice between annuity products: Evidence from Denmark	2
Parametric measures of variability induced by risk measures	2
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls	2
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory	2
Ratemaking territories and adverse selection for flood insurance	2
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure	2
Optimal payout strategies when Bruno de Finetti meets model uncertainty	2
Risk quantization by magnitude and propensity	2

Optimal long-term contracts with disability insurance under limited commitment	2
Inf-convolution and optimal allocations for mixed-VaRs	2
A Fourier-cosine method for finite-time ruin probabilities	2
Annuity and insurance choice under habit formation	2
Valuation of variable annuity portfolios using finite and infinite width neural networks	2
Star-shaped acceptability indexes	2
On the ordering of credibility factors	2
A random forest based approach for predicting spreads in the primary catastrophe bond market	2
Testing for auto-calibration with Lorenz and Concentration curves	2
Green nested simulation via likelihood ratio: Applications to longevity risk management	2
Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting	2
Dynamic asset-liability management with frictions	2
Self-protection with random costs	2
Portfolio choice with illiquid asset for a loss-averse pension fund investor	2
Valuation of guaranteed lifelong withdrawal benefit with the long-term care option	2
On the analysis of deep drawdowns for the Lévy insurance risk model	2
Optimal dividends under Markov-modulated bankruptcy level	2
Random distortion risk measures	2
Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach	2
A general optimal approach to Bühlmann credibility theory	2
It takes two: Why mortality trend modeling is more than modeling one mortality trend	2
A special Tweedie sub-family with application to loss reserving prediction error	2
A Hawkes model with CARMA(p,q) intensity	2
Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm	2
A fractional multi-states model for insurance	2
Batch mode active learning framework and its application on valuing large variable annuity portfolios	2
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data	2
Insuring longevity risk and long-term care: Bequest, housing and liquidity	2
Analyzing the interest rate risk of equity-indexed annuities via scenario matrices	2
Tail dependence and heavy tailedness in extreme risks	2
Estimating the time value of ruin in a Lévy risk model under low-frequency observation	2
Optimal risk exposure and dividend payout policies under model uncertainty	2
Comparing and quantifying tail dependence	2
The Gerber-Shiu discounted penalty function: A review from practical perspectives	2
Editorial Board	2
Bootstrap consistency for the Mack bootstrap	2
Editorial Board	2
A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference	2
Scenario selection with LASSO regression for the valuation of variable annuity portfolios	2
On the factors determining the health profiles and care needs of institutionalized elders	2
Adjusted higher-order expected shortfall	2
Worst-case risk with unspecified risk preferences	1
Optimal investment, consumption and life insurance purchase with learning about return predictability	1
Innovative combo product design embedding variable annuity and long-term care insurance contracts	1
Length of stay in residential aged care: Patterns and determinants from a population-based cohort study	1
Optimal investment and consumption strategies for pooled annuity with partial information	1
Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels	1
Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin	1
Optimal fee structure of variable annuities	1
Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates	1
Uniqueness of equilibrium with survival probability heterogeneity and endogenous annuity price	1
Multinomial backtesting of distortion risk measures	1
Revisiting the optimal insurance design under adverse selection: Distortion risk measures and tail-risk overestimation	1
Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging	1
Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach	1
Irreversible reinsurance: A singular control approach	1
Robust indifference valuation of catastrophe bonds	1
Forecasting mortality with international linkages: A global vector-autoregression approach	1
Egalitarian pooling and sharing of longevity risk a.k.a. can an administrator help skin the tontine cat?	1
Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims	1
Correlation aversion and bivariate stochastic dominance with respect to reference functions	1
Bayesian CART models for insurance claims frequency	1
Gompertz law revisited: Forecasting mortality with a multi-factor exponential model	1
Micro-level parametric duration-frequency-severity modeling for outstanding claim payments	1
COVID-19 and credit risk: A long memory perspective	1
Stochastic orders and distortion risk contribution ratio measures	1
Editorial Board	1
Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information	1
Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants	1
Optimal consumption and life insurance under shortfall aversion and a drawdown constraint	1
Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs	1
Subjective survival beliefs and the life-cycle model	1
A family of variability measures based on the cumulative residual entropy and distortion functions	1
Equilibria and efficiency in a reinsurance market	1
Identifying scenarios for the own risk and Solvency assessment of insurance companies	1
Mean-variance optimization for participating life insurance contracts	1
Two-phase selection of representative contracts for valuation of large variable annuity portfolios	1
Demand for non-life insurance under habit formation	1
Optimal insurance to maximize RDEU under a distortion-deviation premium principle	1
Tail mean-variance portfolio selection with estimation risk	1
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating	1
Multivariate matrix-exponential affine mixtures and their applications in risk theory	1
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities	1
Dividend optimisation: A behaviouristic approach	1
Return smoothing in life insurance from a client perspective	1
Actuarial intelligence in auto insurance: Claim frequency modeling with driving behavior features and improved boosted trees	1
Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes	1
Controlling the effects of adverse selection in flexible benefit plans: A pricing-based approach	1
Target benefit pension with longevity risk and stochastic interest rate valuation	1
The location of a minimum variance squared distance functional	1
Unraveling heterogeneity in cyber risks using quantile regressions	1
Inter-order relations between equivalence for L-quantiles of the Student's t distribution	1
Sensitivity analysis with χ2-divergences	1
Asymptotic analysis of portfolio diversification	1
Continuous-time optimal reporting with full insurance under the mean-variance criterion	1