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 2021-11-01 to 2025-11-01.)

Article	Citations
Optimal timing of green technology adoption for climate risk mitigation	28
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves	27
Risk-neutral valuation of GLWB riders in variable annuities	26
Editorial Board	23
A note on portfolios of averages of lognormal variables	22
Optimal insurance with mean-deviation measures	21
Optimal consumption-leisure-investment and retirement choices with nonconcave aspirational utility	20
Modelling seasonal mortality: An age–period–cohort approach	20
A life insurance model with asymmetric time preferences	19
Efficient hedging of life insurance portfolio for loss-averse insurers	16
Law-invariant return and star-shaped risk measures	15
Robust asset-liability management games for n players under multivariate stochastic covariance models	15
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization	14
Multi-constrained optimal reinsurance model from the duality perspectives	14
Similar risks have similar prices: A useful and exact quantification	14
Intergenerational actuarial fairness when longevity increases: Amending the retirement age	13
Pitfalls in machine learning interpretability: Manipulating partial dependence plots to hide discrimination	13
Cyber risk frequency, severity and insurance viability	13
Editorial Board	13
Self-protection under Nth-degree risk increase of random unit cost	12
Multivariate dependence among cyber risks based on L-hop propagation	12
Risk aggregation and capital allocation using a new generalized Archimedean copula	12
Haezendonck-Goovaerts capital allocation rules	11
The principle of a single big jump from the perspective of tail moment risk measure	11
Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash	10

Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	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
Dynamic optimal adjustment policies of hybrid pension plans	9
Editorial Board	9
Editorial Board	9
Cause-of-death mortality forecasting using adaptive penalized tensor decompositions	9
A mean field game approach to optimal investment and risk control for competitive insurers	9
Variance insurance contracts	9
Asymptotics for a time-dependent by-claim model with dependent subexponential claims	9
Forecasting and backtesting gradient allocations of expected shortfall	9
Pricing extreme mortality risk in the wake of the COVID-19 pandemic	8
Testing for more positive expectation dependence with application to model comparison	8
Data-rich economic forecasting for actuarial applications	8
A Dirichlet process mixture regression model for the analysis of competing risk events	8
Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model	8
Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation	8
Risk aggregation under dependence uncertainty and an order constraint	8
Probabilistic approach to risk processes with level-dependent premium rate	7
Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes	7
Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models	7
Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility	7
Nonparametric density estimation and risk quantification from tabulated sample moments	7
Frequency and severity estimation of cyber attacks using spatial clustering analysis	7
A new characterization of second-order stochastic dominance	7
A two-layer stochastic game approach to reinsurance contracting and competition	7
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics	7
When is utilitarian welfare higher under insurance risk pooling?	7
Automobile Insurance Fraud Detection Based on PSO-XGBoost Model and Interpretable Machine Learning Method	7
Insurance loss modeling with gradient tree-boosted mixture models	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
On potential information asymmetries in long-term care insurance: A simulation study using data from Switzerland	6
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]	6
Model mortality rates using property and casualty insurance reserving methods	5
Gamma Mixture Density Networks and their application to modelling insurance claim amounts	5
Tweedie multivariate semi-parametric credibility with the exchangeable correlation	5
Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model	5
An analysis of precautionary behavior in retirement decision making with an application to pension system reform	5
Editorial to the virtual special issue on emerging risks and insurance technology	5
Diversification quotients based on VaR and ES	5
A usage-based insurance (UBI) pricing model considering customer retention	5
Numerical methods for computing risk measures of variable annuities under exponential Lévy models	5
Optimal reinsurance under the α-maxmin mean-variance criterion	5
Two-stage nested simulation of tail risk measurement: A likelihood ratio approach	5
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims	5
The Cramér-Lundberg model with a fluctuating number of clients	5
Combining multi-asset and intrinsic risk measures	5
Multi-population modelling and forecasting life-table death counts	5

Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses	5
Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks	5
Three-step risk inference in insurance ratemaking	5
Corrigendum to “Incorporating big microdata in life table construction: A hypothesis-free estimator” [Insurance Math. Econom. 88 (2019) 138–150]	4
Equilibrium investment strategies for a defined contribution pension plan with random risk aversion	4
Learning from COVID-19: A catastrophe mortality bond solution in the post-pandemic era	4
Basis risk management and randomly scaled uncertainty	4
Bivariate Tail Conditional Co-Expectation for elliptical distributions	4
Intergenerational sharing of unhedgeable inflation risk	4
Sample recycling method – a new approach to efficient nested Monte Carlo simulations	4
Statistical inference for tail-based cumulative residual entropy	4
Bowley solution under the reinsurer's default risk	4
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models	4
S-shaped narrow framing, skewness and the demand for insurance	4
An observation-driven state-space count model for experience rating	4
Approximations of multi-period liability values by simple formulas	4
Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option	4
Aggregate Markov models in life insurance: Properties and valuation	4
A new class of copula regression models for modelling multivariate heavy-tailed data	4
Editorial Board	4
Axiomatic risk sharing and capital allocation	4
Transformers-based least square Monte Carlo for solvency calculation in life insurance	4
Risk aggregation with FGM copulas	4
Editorial to the special issue on Behavioral Insurance: Mathematics and Economics	4
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds	4
De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts	4
Tail similarity	4
A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment	4
Distributionally robust tail bounds based on Wasserstein distance and f-divergence	4
Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility	4
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin	4
Diagnostic tests before modeling longitudinal actuarial data	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
Optimal consumption and annuity equivalent wealth with mortality model uncertainty	4