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 2020-11-01 to 2024-11-01.)

Article	Citations
Addressing the life expectancy gap in pension policy	27
Cyber claim analysis using Generalized Pareto regression trees with applications to insurance	23
A random forest based approach for predicting spreads in the primary catastrophe bond market	20
Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging	17
Pricing longevity derivatives via Fourier transforms	17
Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans	17
Sparse regression with Multi-type Regularized Feature modeling	16
BERT-based NLP techniques for classification and severity modeling in basic warranty data study	16
From risk sharing to pure premium for a large number of heterogeneous losses	15
Autocalibration and Tweedie-dominance for insurance pricing with machine learning	14
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times	14
Law-invariant functionals that collapse to the mean	13
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	13
Equilibrium investment strategy for a DC pension plan with learning about stock return predictability	12
What can we learn from telematics car driving data: A survey	12
Stackelberg differential game for reinsurance: Mean-variance framework and random horizon	12
Pandemic risk management: Resources contingency planning and allocation	12
Robust optimal investment and reinsurance for an insurer with inside information	12
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data	12
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method	11
On a family of coherent measures of variability	11
Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type	11
A BSDE-based approach for the optimal reinsurance problem under partial information	10
Hawkes processes in insurance: Risk model, application to empirical data and optimal investment	10
Infinitely stochastic micro reserving	9

Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance	9
Volterra mortality model: Actuarial valuation and risk management with long-range dependence	9
Mortality modeling and regression with matrix distributions	9
Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs	9
A hybrid deep learning method for optimal insurance strategies: Algorithms and convergence analysis	9
Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods	9
Gamma Mixture Density Networks and their application to modelling insurance claim amounts	9
Stochastic orders and multivariate measures of risk contagion	8
The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking	8
A Fourier-cosine method for finite-time ruin probabilities	8
Prepayment risk in reverse mortgages: An intensity-governed surrender model	8
Longevity risk and capital markets: The 2019-20 update	8
Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods	7
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models	7
Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process	7
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process	7
Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information	7
Deep hedging of long-term financial derivatives	7
Stop-loss protection for a large P2P insurance pool	7
Stackelberg differential game for insurance under model ambiguity	7
Optimal risk exposure and dividend payout policies under model uncertainty	7
Moment generating function of non-Markov self-excited claims processes	7
Demand for non-life insurance under habit formation	7
Systemic risk: Conditional distortion risk measures	7
Improved index insurance design and yield estimation using a dynamic factor forecasting approach	7
Optimal reinsurance under the α-maxmin mean-variance criterion	6
Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market	6
Cause-specific mortality rates: Common trends and differences	6
Risk aggregation with FGM copulas	6
Parametric measures of variability induced by risk measures	6
Cyber risk frequency, severity and insurance viability	6
Copula-based inference for bivariate survival data with left truncation and dependent censoring	6
Optimal retirement products under subjective mortality beliefs	6
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures	6
The Gerber-Shiu discounted penalty function: A review from practical perspectives	6
Statistical estimation for some dividend problems under the compound Poisson risk model	6
Modelling mortality dependence: An application of dynamic vine copula	6
The tail mean–variance optimal portfolio selection under generalized skew-elliptical distribution	6
Bayesian credibility under a bivariate prior on the frequency and the severity of claims	6
Tail dependence and heavy tailedness in extreme risks	6
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure	6
Incorporating statistical clustering methods into mortality models to improve forecasting performances	5
Spatial patterns of mortality in the United States: A spatial filtering approach	5
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation	5
Cyber-contagion model with network structure applied to insurance	5
Pricing in a competitive stochastic insurance market	5
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns	5
A decomposition of general premium principles into risk and deviation	5
A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems	5
SynthETIC: An individual insurance claim simulator with feature control	5

Pareto-optimal insurance contracts with premium budget and minimum charge constraints	5
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models	5
Fees in tontines	5
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints	5
Pareto-optimal reinsurance policies with maximal synergy	5
The role of a longevity insurance for defined contribution pension systems	5
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating	5
Macro longevity risk and the choice between annuity products: Evidence from Denmark	4
Portfolio choice with illiquid asset for a loss-averse pension fund investor	4
Annuity and insurance choice under habit formation	4
Gompertz law revisited: Forecasting mortality with a multi-factor exponential model	4
Haezendonck-Goovaerts capital allocation rules	4
Decrease of capital guarantees in life insurance products: Can reinsurance stop it?	4
An asymptotic study of systemic expected shortfall and marginal expected shortfall	4
COVID-19 and credit risk: A long memory perspective	4
Joint generalized quantile and conditional tail expectation regression for insurance risk analysis	4
Multi-population modelling and forecasting life-table death counts	4
Valuing guaranteed minimum accumulation benefits by a change of numéraire approach	4
Bowley solution of a mean–variance game in insurance	4
Center-outward quantiles and the measurement of multivariate risk	4
Positivity properties of the ARFIMA(0,	4
Optimal control of investment, premium and deductible for a non-life insurance company	4
Variable annuities: Market incompleteness and policyholder behavior	4
Stochastic mortality dynamics driven by mixed fractional Brownian motion	4
Robust retirement and life insurance with inflation risk and model ambiguity	4
An insurance risk process with a generalized income process: A solvency analysis	4
Fair dynamic valuation of insurance liabilities via convex hedging	4
Multivariate dependence among cyber risks based on L-hop propagation	4
Model-independent price bounds for Catastrophic Mortality Bonds	4
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities	4
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin	4
Risk aggregation and capital allocation using a new generalized Archimedean copula	4