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 2021-05-01 to 2025-05-01.)

Article	Citations
Editorial Board	34
Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves	28
A combined analysis of hedge effectiveness and capital efficiency in longevity hedging	23
A note on portfolios of averages of lognormal variables	23
A life insurance model with asymmetric time preferences	23
Optimal insurance with mean-deviation measures	21
Risk-neutral valuation of GLWB riders in variable annuities	19
Editorial Board	18
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
Multivariate dependence among cyber risks based on L-hop propagation	17
Law-invariant return and star-shaped risk measures	17
Similar risks have similar prices: A useful and exact quantification	16
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	14
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
Fees in tontines	13
Self-protection under Nth-degree risk increase of random unit cost	12
Cyber risk frequency, severity and insurance viability	11
Revisiting optimal investment strategies of value-maximizing insurance firms	11
Cyber claim analysis using Generalized Pareto regression trees with applications to insurance	10
Efficient and proper generalised linear models with power link functions	10
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
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
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
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
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
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
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
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
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
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
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
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
Optimal consumption and annuity equivalent wealth with mortality model uncertainty	4
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds	4
Bivariate Tail Conditional Co-Expectation for elliptical distributions	4
Diagnostic tests before modeling longitudinal actuarial data	4
Editorial Board	4
Variable annuities: Market incompleteness and policyholder behavior	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
Sample recycling method – a new approach to efficient nested Monte Carlo simulations	4
De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts	4
Risk aggregation with FGM copulas	4
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin	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
Closed-form solutions for an explicit modern ideal tontine with bequest motive	4
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables	4
Editorial Board	4
Bowley solution under the reinsurer's default risk	4