OOIR: Observatory of International Research

Papers

(The median citation count of Scandinavian Actuarial Journal is 1. 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 2020-03-01 to 2024-03-01.)

Article	Citations
Time-series forecasting of mortality rates using deep learning	38
Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game	21
Life expectancy and lifespan disparity forecasting: a long short-term memory approach	20
Multi-population mortality forecasting using tensor decomposition	19
Bowley reinsurance with asymmetric information on the insurer's risk preferences	15
Optimal investment and reinsurance strategies under 4/2 stochastic volatility model	15
Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle	14
Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models	12
Collective reserving using individual claims data	12
Variable annuity pricing, valuation, and risk management: a survey	12
Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion	9
Optimal reinsurance with model uncertainty and Stackelberg game	9
Age-coherent extensions of the Lee–Carter model	9
Robust optimal investment and reinsurance problems with learning	9
Household consumption-investment-insurance decisions with uncertain income and market ambiguity	8
Mortality forecasting at age 65 and above: an age-specific evaluation of the Lee-Carter model	8
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure	8
Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach	8
Optimal dividend strategy for an insurance group with contagious default risk	7
On copula-based collective risk models: from elliptical copulas to vine copulas	7
LocalGLMnet: interpretable deep learning for tabular data	7
Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays	7
An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking	7
Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework	6
Stochastic modelling and projection of mortality improvements using a hybrid parametric/semi-parametric age–period–cohort model	6

Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach	6
Ranking the extreme claim amounts in dependent individual risk models	6
Modelling seasonal mortality with individual data	6
Mortality forecasting using stacked regression ensembles	6
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks	5
A law of uniform seniority for dependent lives	5
Two-step risk analysis in insurance ratemaking	5
Time-consistent and market-consistent actuarial valuation of the participating pension contract	5
Retrospective reserves and bonus	5
Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach	4
Financial position and performance in IFRS 17	4
Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees	4
Indifference pricing of pure endowments via BSDEs under partial information	4
Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs	4
Finite-time ruin probabilities using bivariate Laguerre series	4
On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models	4
Optimal contribution rate of PAYGO pension	4
Stackelberg differential game for insurance under model ambiguity: general divergence	4
Bowley reinsurance with asymmetric information: a first-best solution	3
Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model	3
Phase-type mixture-of-experts regression for loss severities	3
Matrix calculation for ultimate and 1-year risk in the Semi-Markov individual loss reserving model	3
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables	3
On the analysis of a discrete-time risk model with INAR(1) processes	3
Finite-time ruin probability for correlated Brownian motions	3
A perturbation approach to optimal investment, liability ratio, and dividend strategies	3
Tontines with mixed cohorts	3
Structure of intergenerational risk-sharing plans: optimality and fairness	3
Ruin probability in a two-dimensional model with correlated Brownian motions	3
A non-convex regularization approach for stable estimation of loss development factors	3
Socioeconomic differentials in mortality: implications on index-based longevity hedges	3
Spatial Tweedie exponential dispersion models: an application to insurance rate-making	3
Incorporating structural changes in mortality improvements for mortality forecasting	3
Grouping of contracts in insurance using neural networks	3
Genetics, insurance and hypertrophic cardiomyopathy	2
A multi-state model for sick leave and its impact on partial early retirement incentives: the case of the Netherlands	2
Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process	2
Robust reinsurance contract with learning and ambiguity aversion	2
Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model	2
Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio	2
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate	2
Managing cyber risk, a science in the making	2
Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy	2
Tail index-linked annuity: A longevity risk sharing retirement plan	2
q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model	2
Analytic valuation of GMDB options with utility based asset allocation	2
Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link	2
Optimal reinsurance contract in a Stackelberg game framework: a view of social planner	1
On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment	1
Boosting cost-complexity pruned trees on Tweedie responses: the ABT machine for insurance ratemaking	1

Functional sensitivity analysis of ruin probability in the classical risk models	1
Quantile hedging in a defaultable market with life insurance applications	1
Spatial modelling of risk premiums for water damage insurance	1
Poissonian occupation times of spectrally negative Lévy processes with applications	1
A note on pandemic mortality rates	1
Hierarchical credibility pseudo-estimators	1
Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory	1
Gambler's ruin problem in a Markov-modulated jump-diffusion risk model	1
Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells	1
Fractional inhomogeneous multi-state models in life insurance	1
A simple Bayesian state-space approach to the collective risk models	1
Multivariate higher order moments in multi-state life insurance	1
Bayesian joint modelling of life expectancy and healthy life expectancy and valuation of retirement village contract	1
Gamma, Gaussian and Poisson approximations for random sums using size-biased and generalized zero-biased couplings	1
Hierarchical Bayesian modeling of multi-country mortality rates	1
Modeling surrender risk in life insurance: theoretical and experimental insight	1
Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process	1
Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times	1
A general surplus decomposition principle in life insurance	1
A stochastic model of group wealth responses to insurance mechanisms in low-income communities	1
Sequential Monte Carlo samplers to fit and compare insurance loss models	1
A multivariate CVaR risk measure from the perspective of portfolio risk management	1
Group cohesion under individual regulatory constraints	1
Dispersion modelling of mortality for both sexes with Tweedie distributions	1
Ruin probabilities for risk process in a regime-switching environment	1
Optimal reinsurance design under solvency constraints	1
Actuarial pricing with financial methods	1
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation	1
Transaction time models in multi-state life insurance	1
Tax- and expense-modified risk-minimization for insurance payment processes	1
Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models	1