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 2020-07-01 to 2024-07-01.)

Article	Citations
Addressing the life expectancy gap in pension policy	24
Cyber claim analysis using Generalized Pareto regression trees with applications to insurance	20
A random forest based approach for predicting spreads in the primary catastrophe bond market	20
Pricing longevity derivatives via Fourier transforms	19
Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans	16
Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging	16
BERT-based NLP techniques for classification and severity modeling in basic warranty data study	15
Sparse regression with Multi-type Regularized Feature modeling	15
Predictive compound risk models with dependence	14
Autocalibration and Tweedie-dominance for insurance pricing with machine learning	14
From risk sharing to pure premium for a large number of heterogeneous losses	13
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times	13
Stackelberg differential game for reinsurance: Mean-variance framework and random horizon	12
Optimal reinsurance-investment strategy for a dynamic contagion claim model	12
Law-invariant functionals that collapse to the mean	12
Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type	12
On a family of coherent measures of variability	11
Pandemic risk management: Resources contingency planning and allocation	11
Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted 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	10
Sustainability of pension systems with voluntary participation	10
Hawkes processes in insurance: Risk model, application to empirical data and optimal investment	9
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data	9
Stochastic comparisons of the smallest and largest claim amounts with location-scale claim severities	9

What can we learn from telematics car driving data: A survey	9
Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance	9
A Fourier-cosine method for finite-time ruin probabilities	8
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	8
Infinitely stochastic micro reserving	8
Gamma Mixture Density Networks and their application to modelling insurance claim amounts	8
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method	8
Longevity risk and capital markets: The 2019-20 update	8
Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs	8
Characterizing optimal allocations in quantile-based risk sharing	8
Volterra mortality model: Actuarial valuation and risk management with long-range dependence	8
A BSDE-based approach for the optimal reinsurance problem under partial information	8
The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking	8
Mortality modeling and regression with matrix distributions	8
Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods	8
Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models	8
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process	7
Improved index insurance design and yield estimation using a dynamic factor forecasting approach	7
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models	7
Optimal retirement products under subjective mortality beliefs	7
Prepayment risk in reverse mortgages: An intensity-governed surrender model	7
Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market	6
The tail mean–variance optimal portfolio selection under generalized skew-elliptical distribution	6
Range Value-at-Risk bounds for unimodal distributions under partial information	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
Spatial patterns of mortality in the United States: A spatial filtering approach	6
Risk aggregation and capital allocation using a new generalized Archimedean copula	6
Positivity properties of the ARFIMA(0,	6
Systemic risk: Conditional distortion risk measures	6
Rate of convergence of the probability of ruin in the Cramér–Lundberg model to its diffusion approximation	6
Liquidation risk in insurance under contemporary regulatory frameworks	6
Optimal risk exposure and dividend payout policies under model uncertainty	6
Parametric measures of variability induced by risk measures	6
Optimal dynamic asset allocation for DC plan accumulation/decumulation: Ambition-CVAR	6
Deep hedging of long-term financial derivatives	6
A decomposition of general premium principles into risk and deviation	6
Modelling mortality dependence: An application of dynamic vine copula	6
Stochastic orders and multivariate measures of risk contagion	6
Cause-specific mortality rates: Common trends and differences	6
Calculation of changes in life expectancy based on proportional hazards model of an intervention	6
Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information	6
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure	6
Moment generating function of non-Markov self-excited claims processes	6
Nonlinear reserving and multiple contract modifications in life insurance	6
Demand for non-life insurance under habit formation	5
A hybrid deep learning method for optimal insurance strategies: Algorithms and convergence analysis	5
Pareto-optimal insurance contracts with premium budget and minimum charge constraints	5
Copula-based inference for bivariate survival data with left truncation and dependent censoring	5
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures	5

SynthETIC: An individual insurance claim simulator with feature control	5
Tail dependence and heavy tailedness in extreme risks	5
Nash equilibria in optimal reinsurance bargaining	5
Bowley solution of a mean–variance game in insurance	5
A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems	5
Joint generalized quantile and conditional tail expectation regression for insurance risk analysis	5
Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs	5
Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process	5
Bayesian credibility under a bivariate prior on the frequency and the severity of claims	5
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns	5
The Gerber-Shiu discounted penalty function: A review from practical perspectives	5
Cyber risk frequency, severity and insurance viability	5
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation	5
Optimal reinsurance under the α-maxmin mean-variance criterion	5
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models	5
Stop-loss protection for a large P2P insurance pool	5
Incorporating statistical clustering methods into mortality models to improve forecasting performances	5
Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods	5
COVID-19 and credit risk: A long memory perspective	5
Pareto-optimal reinsurance policies with maximal synergy	5
Innovation in long-term care insurance: Joint contracts for mitigating relational moral hazard	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
Robust retirement and life insurance with inflation risk and model ambiguity	4
Cyber-contagion model with network structure applied to insurance	4
Asymptotic independence and support detection techniques for heavy-tailed multivariate data	4
Stackelberg differential game for insurance under model ambiguity	4
Optimal DB-PAYGO pension management towards a habitual contribution rate	4
Pricing in a competitive stochastic insurance market	4
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin	4
Expected utility approximation and portfolio optimisation	4
Haezendonck-Goovaerts capital allocation rules	4
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities	4
The role of a longevity insurance for defined contribution pension systems	4
Multi-population modelling and forecasting life-table death counts	4
Macro longevity risk and the choice between annuity products: Evidence from Denmark	4
Stability properties of Haezendonck–Goovaerts premium principles	4
Fair dynamic valuation of insurance liabilities via convex hedging	4
Center-outward quantiles and the measurement of multivariate risk	4
Risk aggregation with FGM copulas	4
Decrease of capital guarantees in life insurance products: Can reinsurance stop it?	4
Fees in tontines	4
Empirically assessing and modeling spillover effects from operational risk events in the insurance industry	4
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints	4
A multi-year microlevel collective risk model	4
Portfolio choice with illiquid asset for a loss-averse pension fund investor	4
A Bayesian nonparametric model and its application in insurance loss prediction	4
Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?	4
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating	4
Model-independent price bounds for Catastrophic Mortality Bonds	4