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

Article	Citations
Time-series forecasting of mortality rates using deep learning	49
Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game	28
Bowley reinsurance with asymmetric information on the insurer's risk preferences	16
Variable annuity pricing, valuation, and risk management: a survey	15
Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models	14
Collective reserving using individual claims data	13
Optimal investment and reinsurance strategies under 4/2 stochastic volatility model	13
Household consumption-investment-insurance decisions with uncertain income and market ambiguity	13
Mortality forecasting at age 65 and above: an age-specific evaluation of the Lee-Carter model	12
Tontines with mixed cohorts	11
Optimal reinsurance with model uncertainty and Stackelberg game	10
LocalGLMnet: interpretable deep learning for tabular data	10
Optimal dividend strategy for an insurance group with contagious default risk	9
Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion	9
Age-coherent extensions of the Lee–Carter model	9
Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework	8
Mortality forecasting using stacked regression ensembles	8
Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees	8
Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio	7
Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach	6
Grouping of contracts in insurance using neural networks	6
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks	6
Two-step risk analysis in insurance ratemaking	6
Managing cyber risk, a science in the making	6
A law of uniform seniority for dependent lives	5

Finite-time ruin probabilities using bivariate Laguerre series	5
Optimal contribution rate of PAYGO pension	5
Stackelberg differential game for insurance under model ambiguity: general divergence	5
Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs	5
Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells	5
On the analysis of a discrete-time risk model with INAR(1) processes	5
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation	4
Spatial Tweedie exponential dispersion models: an application to insurance rate-making	4
Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link	4
Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model	4
Time-series forecasting of mortality rates using transformer	4
Structure of intergenerational risk-sharing plans: optimality and fairness	4
Ruin probability in a two-dimensional model with correlated Brownian motions	4
Isotonic recalibration under a low signal-to-noise ratio	4
Phase-type mixture-of-experts regression for loss severities	4
Optimal reinsurance contract in a Stackelberg game framework: a view of social planner	4
Bowley reinsurance with asymmetric information: a first-best solution	3
A perturbation approach to optimal investment, liability ratio, and dividend strategies	3
A general surplus decomposition principle in life insurance	3
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate	3
Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process	3
Finite-time ruin probability for correlated Brownian motions	3
Socioeconomic differentials in mortality: implications on index-based longevity hedges	3
Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory	3
A multivariate CVaR risk measure from the perspective of portfolio risk management	3
Robust reinsurance contract with learning and ambiguity aversion	3
A non-convex regularization approach for stable estimation of loss development factors	3
Matrix calculation for ultimate and 1-year risk in the Semi-Markov individual loss reserving model	3
Solving life-cycle problems with biometric risk by artificial insurance markets	3
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables	3
Spatial modelling of risk premiums for water damage insurance	3
Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model	2
A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility	2
A multi-state model for sick leave and its impact on partial early retirement incentives: the case of the Netherlands	2
Gamma, Gaussian and Poisson approximations for random sums using size-biased and generalized zero-biased couplings	2
Modeling surrender risk in life insurance: theoretical and experimental insight	2
Hierarchical Bayesian modeling of multi-country mortality rates	2
What is fair? Proxy discrimination vs. demographic disparities in insurance pricing	2
Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models	2
An impossibility theorem on capital allocation	2
Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy	2
Bayesian joint modelling of life expectancy and healthy life expectancy and valuation of retirement village contract	2
Poissonian occupation times of spectrally negative Lévy processes with applications	2
q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model	2
A simple Bayesian state-space approach to the collective risk models	2
Analytic valuation of GMDB options with utility based asset allocation	2
Some optimisation problems in insurance with a terminal distribution constraint	2
Dispersion modelling of mortality for both sexes with Tweedie distributions	1
Tail index-linked annuity: A longevity risk sharing retirement plan	1
Enhanced gradient boosting for zero-inflated insurance claims and comparative analysis of `CatBoost` , `XGBoost` , and `Lig`	1

Sequential Monte Carlo samplers to fit and compare insurance loss models	1
Group cohesion under individual regulatory constraints	1
Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process	1
Aggregate Markov models in life insurance: estimation via the EM algorithm	1
Transaction time models in multi-state life insurance	1
A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game	1
Fractional inhomogeneous multi-state models in life insurance	1
Ruin probabilities for risk process in a regime-switching environment	1
Mortality forecasting using the four-way CANDECOMP/PARAFAC decomposition	1
Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity	1
The impact of correlation on (Range) Value-at-Risk	1
Optimal reinsurance design under solvency constraints	1
On the risk of credibility premium rules	1
Functional sensitivity analysis of ruin probability in the classical risk models	1
Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times	1
The role of direct capital cash transfers towards poverty and extreme poverty alleviation - an omega risk process	1
The effect of the COVID-19 health disruptions on breast cancer mortality for older women: a semi-Markov modelling approach	1
Actuarial pricing with financial methods	1
On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment	1
A note on pandemic mortality rates	1
Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms	1
Wealth heterogeneity in a closed pooled annuity fund	1
Boosting cost-complexity pruned trees on Tweedie responses: the ABT machine for insurance ratemaking	1
Hierarchical credibility pseudo-estimators	1
Multivariate higher order moments in multi-state life insurance	1
An innovative design of flexible, bequest-enhanced life annuity with natural hedging	1
Market pricing of longevity-linked securities	1
A stochastic model of group wealth responses to insurance mechanisms in low-income communities	1
On the decomposition of an insurer's profits and losses	1
Gambler's ruin problem in a Markov-modulated jump-diffusion risk model	1
Expert Kaplan–Meier estimation	1