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 2020-04-01 to 2024-04-01.)

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	19
A random forest based approach for predicting spreads in the primary catastrophe bond market	18
Cyber claim analysis using Generalized Pareto regression trees with applications to insurance	17
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
BERT-based NLP techniques for classification and severity modeling in basic warranty data study	13
Optimal insurance with belief heterogeneity and incentive compatibility	13
From risk sharing to pure premium for a large number of heterogeneous losses	13
Predictive compound risk models with dependence	13
Sparse regression with Multi-type Regularized Feature modeling	12
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times	12
Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?	12
Optimal reinsurance-investment strategy for a dynamic contagion claim model	11
On a family of coherent measures of variability	11
Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans	11
Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type	11
Law-invariant functionals that collapse to the mean	10
Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted models	10
Stackelberg differential game for reinsurance: Mean-variance framework and random horizon	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
Stochastic comparisons of the smallest and largest claim amounts with location-scale claim severities	9

Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance	9
Equilibrium investment strategy for a DC pension plan with learning about stock return predictability	9
Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models	8
Sustainability of pension systems with voluntary participation	8
Hawkes processes in insurance: Risk model, application to empirical data and optimal investment	8
Volterra mortality model: Actuarial valuation and risk management with long-range dependence	8
Longevity risk and capital markets: The 2019-20 update	8
Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods	8
Characterizing optimal allocations in quantile-based risk sharing	8
A BSDE-based approach for the optimal reinsurance problem under partial information	7
A Fourier-cosine method for finite-time ruin probabilities	7
Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs	7
Infinitely stochastic micro reserving	7
Autocalibration and Tweedie-dominance for insurance pricing with machine learning	7
Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments	7
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	7
Mortality modeling and regression with matrix distributions	7
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process	7
Prepayment risk in reverse mortgages: An intensity-governed surrender model	7
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data	7
Gamma Mixture Density Networks and their application to modelling insurance claim amounts	7
Liquidation risk in insurance under contemporary regulatory frameworks	6
Range Value-at-Risk bounds for unimodal distributions under partial information	6
Calculation of changes in life expectancy based on proportional hazards model of an intervention	6
What can we learn from telematics car driving data: A survey	6
A decomposition of general premium principles into risk and deviation	6
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method	6
Improved index insurance design and yield estimation using a dynamic factor forecasting approach	6
Statistical estimation for some dividend problems under the compound Poisson risk model	6
Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time	6
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models	6
Nonlinear reserving and multiple contract modifications in life insurance	6
Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market	6
Optimal retirement products under subjective mortality beliefs	6
Cause-specific mortality rates: Common trends and differences	6
Parametric measures of variability induced by risk measures	6
Deep hedging of long-term financial derivatives	6
Moment generating function of non-Markov self-excited claims processes	6
Positivity properties of the ARFIMA(0,	6
Rate of convergence of the probability of ruin in the Cramér–Lundberg model to its diffusion approximation	6
Stop-loss protection for a large P2P insurance pool	5
Pareto-optimal insurance contracts with premium budget and minimum charge constraints	5
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures	5
Optimal risk exposure and dividend payout policies under model uncertainty	5
Nash equilibria in optimal reinsurance bargaining	5
COVID-19 and credit risk: A long memory perspective	5
Risk aggregation and capital allocation using a new generalized Archimedean copula	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
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models	5
Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods	5
Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information	5
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure	5
Cyber risk frequency, severity and insurance viability	5
Joint generalized quantile and conditional tail expectation regression for insurance risk analysis	5
Copula-based inference for bivariate survival data with left truncation and dependent censoring	5
The tail mean–variance optimal portfolio selection under generalized skew-elliptical distribution	5
Stochastic orders and multivariate measures of risk contagion	5
Incorporating statistical clustering methods into mortality models to improve forecasting performances	5
The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking	5
The Gerber-Shiu discounted penalty function: A review from practical perspectives	5
Bowley solution of a mean–variance game in insurance	5
Pareto-optimal reinsurance policies with maximal synergy	5
A hybrid deep learning method for optimal insurance strategies: Algorithms and convergence analysis	5
Modelling mortality dependence: An application of dynamic vine copula	4
Stackelberg differential game for insurance under model ambiguity	4
Fair dynamic valuation of insurance liabilities via convex hedging	4
Bayesian credibility under a bivariate prior on the frequency and the severity of claims	4
Pricing in a competitive stochastic insurance market	4
Innovation in long-term care insurance: Joint contracts for mitigating relational moral hazard	4
Expected utility approximation and portfolio optimisation	4
Haezendonck-Goovaerts capital allocation rules	4
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation	4
Distributionally robust inference for extreme Value-at-Risk	4
Portfolio choice with illiquid asset for a loss-averse pension fund investor	4
SynthETIC: An individual insurance claim simulator with feature control	4
Stability properties of Haezendonck–Goovaerts premium principles	4
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating	4
Center-outward quantiles and the measurement of multivariate risk	4
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns	4
Optimal control of investment, premium and deductible for a non-life insurance company	4
Multivariate dependence among cyber risks based on L-hop propagation	4
An asymptotic study of systemic expected shortfall and marginal expected shortfall	4
A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems	4
Optimal reinsurance under the α-maxmin mean-variance criterion	4
Asymptotic independence and support detection techniques for heavy-tailed multivariate data	4
Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?	4
Optimal DB-PAYGO pension management towards a habitual contribution rate	4
Model-independent price bounds for Catastrophic Mortality Bonds	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
Empirically assessing and modeling spillover effects from operational risk events in the insurance industry	4
Robust retirement and life insurance with inflation risk and model ambiguity	4