Insurance Mathematics & Economics

Article	Citations
Robust optimal reinsurance–investment strategy with price jumps and correlated claims	29
Addressing the life expectancy gap in pension policy	22
Pricing longevity derivatives via Fourier transforms	18
A random forest based approach for predicting spreads in the primary catastrophe bond market	17
Cyber claim analysis using Generalized Pareto regression trees with applications to insurance	16
Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging	15
Optimal reinsurance under the mean–variance premium principle to minimize the probability of ruin	15
Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes	13
Optimal insurance with belief heterogeneity and incentive compatibility	13
Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology	13
Predictive compound risk models with dependence	13
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times	12
Generalized expected discounted penalty function at general drawdown for Lévy risk processes	12
Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?	12
BERT-based NLP techniques for classification and severity modeling in basic warranty data study	11
From risk sharing to pure premium for a large number of heterogeneous losses	11
Sparse regression with Multi-type Regularized Feature modeling	11
Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type	11
Stackelberg differential game for reinsurance: Mean-variance framework and random horizon	10
On a family of coherent measures of variability	10
Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted models	10
Pandemic risk management: Resources contingency planning and allocation	10
On occupation times in the red of Lévy risk models	10
Robust optimal investment and reinsurance for an insurer with inside information	10
Equilibrium investment strategy for a DC pension plan with learning about stock return predictability	9

Dynamic consumption and portfolio choice under prospect theory	9
Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance	9
Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans	9
Optimal reinsurance-investment strategy for a dynamic contagion claim model	9
Law-invariant functionals that collapse to the mean	9
Stochastic comparisons of the smallest and largest claim amounts with location-scale claim severities	9
A Bowley solution with limited ceded risk for a monopolistic reinsurer	8
Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods	8
Fast and efficient nested simulation for large variable annuity portfolios: A surrogate modeling approach	8
Volterra mortality model: Actuarial valuation and risk management with long-range dependence	8
Longevity risk and capital markets: The 2019-20 update	8
Hawkes processes in insurance: Risk model, application to empirical data and optimal investment	8
Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models	8
Autocalibration and Tweedie-dominance for insurance pricing with machine learning	7
Sustainability of pension systems with voluntary participation	7
Mortality modeling and regression with matrix distributions	7
Infinitely stochastic micro reserving	7
A BSDE-based approach for the optimal reinsurance problem under partial information	7
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	7
Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs	7
Gamma Mixture Density Networks and their application to modelling insurance claim amounts	7
Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market	7
Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments	7
Characterizing optimal allocations in quantile-based risk sharing	7
Modelling extreme claims via composite models and threshold selection methods	7
Prepayment risk in reverse mortgages: An intensity-governed surrender model	6
Nonlinear reserving and multiple contract modifications in life insurance	6
Rate of convergence of the probability of ruin in the Cramér–Lundberg model to its diffusion approximation	6
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method	6
Cause-specific mortality rates: Common trends and differences	6
Optimal risk exposure and dividend payout policies under model uncertainty	6
Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time	6
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data	6
Moment generating function of non-Markov self-excited claims processes	6
Positivity properties of the ARFIMA(0,	6
The Poisson random effect model for experience ratemaking: Limitations and alternative solutions	6
Optimal retirement products under subjective mortality beliefs	6
Range Value-at-Risk bounds for unimodal distributions under partial information	6
Parametric measures of variability induced by risk measures	6
Deep hedging of long-term financial derivatives	6
What can we learn from telematics car driving data: A survey	6
A decomposition of general premium principles into risk and deviation	6
Improved index insurance design and yield estimation using a dynamic factor forecasting approach	6
Liquidation risk in insurance under contemporary regulatory frameworks	6
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process	6
Calculation of changes in life expectancy based on proportional hazards model of an intervention	6
Is the inf-convolution of law-invariant preferences law-invariant?	6
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models	5
The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking	5
Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information	5

Cyber risk frequency, severity and insurance viability	5
Pareto-optimal reinsurance policies with maximal synergy	5
Joint generalized quantile and conditional tail expectation regression for insurance risk analysis	5
Stop-loss protection for a large P2P insurance pool	5
The tail mean–variance optimal portfolio selection under generalized skew-elliptical distribution	5
A Fourier-cosine method for finite-time ruin probabilities	5
Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods	5
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure	5
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models	5
Demand for non-life insurance under habit formation	5
Systemic risk: Conditional distortion risk measures	5
Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process	5
Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs	5
Stochastic orders and multivariate measures of risk contagion	5
COVID-19 and credit risk: A long memory perspective	5
Nash equilibria in optimal reinsurance bargaining	5
Statistical estimation for some dividend problems under the compound Poisson risk model	5
Risk aggregation and capital allocation using a new generalized Archimedean copula	5
A hybrid deep learning method for optimal insurance strategies: Algorithms and convergence analysis	5
Health shock risk, critical illness insurance, and housing services	5
Copula-based inference for bivariate survival data with left truncation and dependent censoring	5
Concave distortion risk minimizing reinsurance design under adverse selection	5
Innovation in long-term care insurance: Joint contracts for mitigating relational moral hazard	4
Multivariate dependence among cyber risks based on L-hop propagation	4
Haezendonck-Goovaerts capital allocation rules	4
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints	4
Distributionally robust inference for extreme Value-at-Risk	4
Modelling mortality dependence: An application of dynamic vine copula	4
Asymptotic independence and support detection techniques for heavy-tailed multivariate data	4
Stability properties of Haezendonck–Goovaerts premium principles	4
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating	4
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures	4
Model-independent price bounds for Catastrophic Mortality Bonds	4
The Gerber-Shiu discounted penalty function: A review from practical perspectives	4
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns	4
Risk analysis with categorical explanatory variables	4
Bowley solution of a mean–variance game in insurance	4
Empirically assessing and modeling spillover effects from operational risk events in the insurance industry	4
A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems	4
SynthETIC: An individual insurance claim simulator with feature control	4
Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?	4
Fair dynamic valuation of insurance liabilities via convex hedging	4
Optimal DB-PAYGO pension management towards a habitual contribution rate	4
Incorporating statistical clustering methods into mortality models to improve forecasting performances	4
Pricing in a competitive stochastic insurance market	4
Decrease of capital guarantees in life insurance products: Can reinsurance stop it?	4
Optimal dynamic asset allocation for DC plan accumulation/decumulation: Ambition-CVAR	4
Spatial patterns of mortality in the United States: A spatial filtering approach	4
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities	4
Robust retirement and life insurance with inflation risk and model ambiguity	4
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation	4
Incorporating hierarchical credibility theory into modelling of multi-country mortality rates	4
Pareto-optimal insurance contracts with premium budget and minimum charge constraints	4
An age-at-death distribution approach to forecast cohort mortality	4
Bayesian credibility under a bivariate prior on the frequency and the severity of claims	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
Risk aggregation with FGM copulas	3
Dynamics of state-wise prospective reserves in the presence of non-monotone information	3
On the ordering of credibility factors	3
A more meaningful parameterization of the Lee–Carter model	3
Portfolio choice with illiquid asset for a loss-averse pension fund investor	3
Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process	3
Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data	3
Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests	3
Dividend optimisation: A behaviouristic approach	3
Gompertz law revisited: Forecasting mortality with a multi-factor exponential model	3
Tail dependence and heavy tailedness in extreme risks	3
Modeling mortality with a Bayesian vector autoregression	3
An asymptotic study of systemic expected shortfall and marginal expected shortfall	3
Ruin-based risk measures in discrete-time risk models	3
Approximate Bayesian Computations to fit and compare insurance loss models	3
Cyber-contagion model with network structure applied to insurance	3
Dispersion modelling of outstanding claims with double Poisson regression models	3
Empirical analysis and forecasting of multiple yield curves	3
Mortality options: The point of view of an insurer	3
Joint and survivor annuity valuation with a bivariate reinforced urn process	3
Variable annuities: Market incompleteness and policyholder behavior	3
Expected utility approximation and portfolio optimisation	3
Long-term real dynamic investment planning	3

A continuous-time theory of reinsurance chains	3
Micro-level parametric duration-frequency-severity modeling for outstanding claim payments	3
A multi-year microlevel collective risk model	3
Stackelberg differential game for insurance under model ambiguity	3
A fractional multi-states model for insurance	3
An insurance risk process with a generalized income process: A solvency analysis	3
Optimal retirement with borrowing constraints and forced unemployment risk	3
A hierarchical reserving model for reported non-life insurance claims	2
Statistical inference for tail-based cumulative residual entropy	2
On retirement time decision making	2
A Bayesian nonparametric model and its application in insurance loss prediction	2
Closed-form solutions for an explicit modern ideal tontine with bequest motive	2
Inf-convolution and optimal allocations for mixed-VaRs	2
Multi-population modelling and forecasting life-table death counts	2
Sample recycling method – a new approach to efficient nested Monte Carlo simulations	2
Modeling and pricing longevity derivatives using Skellam distribution	2
Option pricing in regime-switching frameworks with the Extended Girsanov Principle	2
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory	2
Regression based reserving models and partial information	2
Optimal annuity demand for general expected utility agents	2
Time-consistent longevity hedging with long-range dependence	2
Modeling stochastic mortality for joint lives through subordinators	2
When is utilitarian welfare higher under insurance risk pooling?	2
Valuing guaranteed minimum accumulation benefits by a change of numéraire approach	2
Return smoothing in life insurance from a client perspective	2
Evolutionary credibility risk premium	2
Annuity and insurance choice under habit formation	2
On the analysis of deep drawdowns for the Lévy insurance risk model	2
Unraveling heterogeneity in cyber risks using quantile regressions	2
Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions	2
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls	2
A two-stage model for high-risk prediction in insurance ratemaking: Asymptotics and inference	2
Risk transference constraints in optimal reinsurance	2
On sums of two counter-monotonic risks	2
It takes two: Why mortality trend modeling is more than modeling one mortality trend	2
Ratemaking territories and adverse selection for flood insurance	2
Estimating and backtesting risk under heavy tails	2
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves	2
Recent declines in life expectancy: Implication on longevity risk hedging	2
Concave/convex weighting and utility functions for risk: A new light on classical theorems	2
Modelling life tables with advanced ages: An extreme value theory approach	2
Multi-stage nested classification credibility quantile regression model	2
Optimal investment for a retirement plan with deferred annuities	2
Frequency-severity experience rating based on latent Markovian risk profiles	2
Levelling the playing field: A VIX-linked structure for funded pension schemes	2
The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty	2
Optimal risk-sharing across a network of insurance companies	2
The role of a longevity insurance for defined contribution pension systems	2
Optimal fee structure of variable annuities	2
Deep quantile and deep composite triplet regression	2
Optimal insurance to maximize RDEU under a distortion-deviation premium principle	2
Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach	2
Estimating the time value of ruin in a Lévy risk model under low-frequency observation	2
Refundable income annuities: Feasibility of money-back guarantees	2
Fees in tontines	2
Right-truncated Archimedean and related copulas	2
Prevention efforts, insurance demand and price incentives under coherent risk measures	2
Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims	2
Risk measures induced by efficient insurance contracts	2
On positive homogeneity and comonotonic additivity of the principle of equivalent utility under Cumulative Prospect Theory	2
Bachelier model with stopping time and its insurance application	2
A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving	2
Forecasting mortality with international linkages: A global vector-autoregression approach	2
Relative bound and asymptotic comparison of expectile with respect to expected shortfall	2
Earthquake parametric insurance with Bayesian spatial quantile regression	2
Automatic Fatou property of law-invariant risk measures	2
Care-dependent tontines	2
Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk	2
The economics of sharing macro-longevity risk	2
On the increasing convex order of generalized aggregation of dependent random variables	2
On a robust risk measurement approach for capital determination errors minimization	2
Fourier based methods for the management of complex life insurance products	2