Insurance Mathematics & Economics

(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 2020-06-01 to 2024-06-01.)
Addressing the life expectancy gap in pension policy23
A random forest based approach for predicting spreads in the primary catastrophe bond market19
Pricing longevity derivatives via Fourier transforms19
Cyber claim analysis using Generalized Pareto regression trees with applications to insurance18
Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging16
BERT-based NLP techniques for classification and severity modeling in basic warranty data study15
Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans14
Predictive compound risk models with dependence14
Sparse regression with Multi-type Regularized Feature modeling13
From risk sharing to pure premium for a large number of heterogeneous losses13
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times13
Optimal reinsurance-investment strategy for a dynamic contagion claim model12
Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type12
On a family of coherent measures of variability11
Autocalibration and Tweedie-dominance for insurance pricing with machine learning11
Stackelberg differential game for reinsurance: Mean-variance framework and random horizon11
Robust optimal investment and reinsurance for an insurer with inside information10
Pandemic risk management: Resources contingency planning and allocation10
Equilibrium investment strategy for a DC pension plan with learning about stock return predictability10
Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted models10
Law-invariant functionals that collapse to the mean10
Sustainability of pension systems with voluntary participation10
Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance9
Stochastic comparisons of the smallest and largest claim amounts with location-scale claim severities9
Characterizing optimal allocations in quantile-based risk sharing8
Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models8
Hawkes processes in insurance: Risk model, application to empirical data and optimal investment8
What can we learn from telematics car driving data: A survey8
Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods8
Gamma Mixture Density Networks and their application to modelling insurance claim amounts8
A BSDE-based approach for the optimal reinsurance problem under partial information8
The added value of dynamically updating motor insurance prices with telematics collected driving behavior data8
Infinitely stochastic micro reserving8
Volterra mortality model: Actuarial valuation and risk management with long-range dependence8
Longevity risk and capital markets: The 2019-20 update8
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets8
A Fourier-cosine method for finite-time ruin probabilities7
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models7
Mortality modeling and regression with matrix distributions7
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method7
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process7
Prepayment risk in reverse mortgages: An intensity-governed surrender model7
Improved index insurance design and yield estimation using a dynamic factor forecasting approach7
The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking7
Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs7
Optimal retirement products under subjective mortality beliefs6
Range Value-at-Risk bounds for unimodal distributions under partial information6
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure6
Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information6
Deep hedging of long-term financial derivatives6
Positivity properties of the ARFIMA(0,6
Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market6
Liquidation risk in insurance under contemporary regulatory frameworks6
Optimal risk exposure and dividend payout policies under model uncertainty6
Statistical estimation for some dividend problems under the compound Poisson risk model6
Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time6
Nonlinear reserving and multiple contract modifications in life insurance6
Modelling mortality dependence: An application of dynamic vine copula6
The tail mean–variance optimal portfolio selection under generalized skew-elliptical distribution6
Cause-specific mortality rates: Common trends and differences6
Calculation of changes in life expectancy based on proportional hazards model of an intervention6
Parametric measures of variability induced by risk measures6
Moment generating function of non-Markov self-excited claims processes6
A decomposition of general premium principles into risk and deviation6
Rate of convergence of the probability of ruin in the Cramér–Lundberg model to its diffusion approximation6
Stop-loss protection for a large P2P insurance pool5
Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs5
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models5
Optimal dynamic asset allocation for DC plan accumulation/decumulation: Ambition-CVAR5
Joint generalized quantile and conditional tail expectation regression for insurance risk analysis5
Nash equilibria in optimal reinsurance bargaining5
Bowley solution of a mean–variance game in insurance5
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation5
Pareto-optimal reinsurance policies with maximal synergy5
Copula-based inference for bivariate survival data with left truncation and dependent censoring5
Stochastic orders and multivariate measures of risk contagion5
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures5
Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods5
Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process5
The Gerber-Shiu discounted penalty function: A review from practical perspectives5
Risk aggregation and capital allocation using a new generalized Archimedean copula5
A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems5
Systemic risk: Conditional distortion risk measures5
Pareto-optimal insurance contracts with premium budget and minimum charge constraints5
Bayesian credibility under a bivariate prior on the frequency and the severity of claims5
Incorporating statistical clustering methods into mortality models to improve forecasting performances5
A hybrid deep learning method for optimal insurance strategies: Algorithms and convergence analysis5
Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns5
COVID-19 and credit risk: A long memory perspective5
Cyber risk frequency, severity and insurance viability5
Demand for non-life insurance under habit formation5
Model-independent price bounds for Catastrophic Mortality Bonds4
Decrease of capital guarantees in life insurance products: Can reinsurance stop it?4
Multivariate dependence among cyber risks based on L-hop propagation4
Spatial patterns of mortality in the United States: A spatial filtering approach4
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities4
The role of a longevity insurance for defined contribution pension systems4
Optimal reinsurance under the α-maxmin mean-variance criterion4
SynthETIC: An individual insurance claim simulator with feature control4
Stackelberg differential game for insurance under model ambiguity4
Optimal DB-PAYGO pension management towards a habitual contribution rate4
Pricing in a competitive stochastic insurance market4
Tail dependence and heavy tailedness in extreme risks4
Expected utility approximation and portfolio optimisation4
Empirically assessing and modeling spillover effects from operational risk events in the insurance industry4
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints4
Portfolio choice with illiquid asset for a loss-averse pension fund investor4
Asymptotic independence and support detection techniques for heavy-tailed multivariate data4
Stability properties of Haezendonck–Goovaerts premium principles4
Fair dynamic valuation of insurance liabilities via convex hedging4
Center-outward quantiles and the measurement of multivariate risk4
Innovation in long-term care insurance: Joint contracts for mitigating relational moral hazard4
Optimal control of investment, premium and deductible for a non-life insurance company4
Haezendonck-Goovaerts capital allocation rules4
An asymptotic study of systemic expected shortfall and marginal expected shortfall4
A multi-year microlevel collective risk model4
Robust retirement and life insurance with inflation risk and model ambiguity4
Cyber-contagion model with network structure applied to insurance4
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 rating4