OOIR: Observatory of International Research

Papers

(The median citation count of ASTIN Bulletin-The Journal of the International Actuarial Association 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
DISTORTION RISKMETRICS ON GENERAL SPACES	24
DISCRIMINATION-FREE INSURANCE PRICING	20
AN EM ALGORITHM FOR FITTING A NEW CLASS OF MIXED EXPONENTIAL REGRESSION MODELS WITH VARYING DISPERSION	18
LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING	17
ADDRESSING IMBALANCED INSURANCE DATA THROUGH ZERO-INFLATED POISSON REGRESSION WITH BOOSTING	16
PREDICTIVE CLAIM SCORES FOR DYNAMIC MULTI-PRODUCT RISK CLASSIFICATION IN INSURANCE	15
OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK	14
NEIGHBOURING PREDICTION FOR MORTALITY	13
VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD	13
OPTIMAL INSURANCE STRATEGIES: A HYBRID DEEP LEARNING MARKOV CHAIN APPROXIMATION APPROACH	12
POINT AND INTERVAL FORECASTS OF DEATH RATES USING NEURAL NETWORKS	12
COST-SENSITIVE MULTI-CLASS ADABOOST FOR UNDERSTANDING DRIVING BEHAVIOR BASED ON TELEMATICS	11
OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION	11
WAVELET-BASED FEATURE EXTRACTION FOR MORTALITY PROJECTION	11
JOINT OPTIMIZATION OF TRANSITION RULES AND THE PREMIUM SCALE IN A BONUS-MALUS SYSTEM	11
MODERN LIFE-CARE TONTINES	10
GENERALIZING THE LOG-MOYAL DISTRIBUTION AND REGRESSION MODELS FOR HEAVY-TAILED LOSS DATA	10
TESTING FOR RANDOM EFFECTS IN COMPOUND RISK MODELS VIA BREGMAN DIVERGENCE	10
AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS	10
MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL	9
CALIBRATING THE LEE-CARTER AND THE POISSON LEE-CARTER MODELS VIA NEURAL NETWORKS	9
QUANTIFYING THE TRADE-OFF BETWEEN INCOME STABILITY AND THE NUMBER OF MEMBERS IN A POOLED ANNUITY FUND	8
OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION	8
MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY	7
A GENERALISED PROPERTY EXPOSURE RATING FRAMEWORK THAT INCORPORATES SCALE-INDEPENDENT LOSSES AND MAXIMUM POSSIBLE LOSS UNCERTAINTY	7

EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS	7
A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES	6
OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE	6
APPLYING ECONOMIC MEASURES TO LAPSE RISK MANAGEMENT WITH MACHINE LEARNING APPROACHES	6
ROBUST ESTIMATION OF LOSS MODELS FOR LOGNORMAL INSURANCE PAYMENT SEVERITY DATA	6
IMPROVING AUTOMOBILE INSURANCE CLAIMS FREQUENCY PREDICTION WITH TELEMATICS CAR DRIVING DATA	6
THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING	6
A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS	5
TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS	5
JOINT MODEL PREDICTION AND APPLICATION TO INDIVIDUAL-LEVEL LOSS RESERVING	5
A NEW MULTIVARIATE ZERO-INFLATED HURDLE MODEL WITH APPLICATIONS IN AUTOMOBILE INSURANCE	5
JOINT MODELING OF CLAIM FREQUENCIES AND BEHAVIORAL SIGNALS IN MOTOR INSURANCE	5
APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING	4
A METHOD FOR CONSTRUCTING AND INTERPRETING SOME WEIGHTED PREMIUM PRINCIPLES	4
Modelling socio-economic mortality at neighbourhood level	4
PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING	4
The use of autoencoders for training neural networks with mixed categorical and numerical features	4
MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS	4
TREE-BASED MACHINE LEARNING METHODS FOR MODELING AND FORECASTING MORTALITY	4
Forecasting mortality rates with a coherent ensemble averaging approach	3
RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE	3
ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES	3
INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH	3
Risk allocation through shapley decompositions, with applications to variable annuities	3
ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION	3
UNIVERSALLY MARKETABLE INSURANCE UNDER MULTIVARIATE MIXTURES	3
COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE	3
DIVERSIFICATION IN CATASTROPHE INSURANCE MARKETS	2
TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL	2
A COLLECTIVE RESERVING MODEL WITH CLAIM OPENNESS	2
OPTIMAL REINSURANCE DESIGN WITH DISTORTION RISK MEASURES AND ASYMMETRIC INFORMATION	2
DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH	2
GEOGRAPHIC RATEMAKING WITH SPATIAL EMBEDDINGS	2
The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices	2
Distributionally robust reinsurance with expectile	2
ONE-YEAR PREMIUM RISK AND EMERGENCE PATTERN OF ULTIMATE LOSS BASED ON CONDITIONAL DISTRIBUTION	2
A NEW INFERENCE STRATEGY FOR GENERAL POPULATION MORTALITY TABLES	2
THE SAINT MODEL: A DECADE LATER	2
TEMPERED PARETO-TYPE MODELLING USING WEIBULL DISTRIBUTIONS	2
PRICING LONGEVITY-LINKED SECURITIES IN THE PRESENCE OF MORTALITY TREND CHANGES	2
RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS	2
Target benefit pension plan with longevity risk and intergenerational equity	2
WHY DOES A HUMAN DIE? A STRUCTURAL APPROACH TO COHORT-WISE MORTALITY PREDICTION UNDER SURVIVAL ENERGY HYPOTHESIS	2
EXTENDING THE LEE–CARTER MODEL WITH VARIATIONAL AUTOENCODER: A FUSION OF NEURAL NETWORK AND BAYESIAN APPROACH	2
WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS	2
GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS	2
A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE	2
MULTI-STATE MODELLING OF CUSTOMER CHURN	2
FAIR TRANSITION FROM DEFINED BENEFIT TO TARGET BENEFIT	2
NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES	1

ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE?	1
Optimal commissions and subscriptions in mutual aid platforms	1
Measuring non-exchangeable tail dependence using tail copulas	1
A hybrid data mining framework for variable annuity portfolio valuation	1
Intergenerational risk sharing in a defined contribution pension system: analysis with Bayesian optimization	1
FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING	1
ON THE ELL FAMILY OF DISTRIBUTIONS WITH ACTUARIAL APPLICATIONS	1
A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE	1
Optimal consumption, investment, and insurance under state-dependent risk aversion	1
Shortcuts for the construction of sub-annual life tables	1
Modelling mortality: A bayesian factor-augmented var (favar) approach	1
The 3-step hedge-based valuation: fair valuation in the presence of systematic risks	1
Tail index partition-based rules extraction with application to tornado damage insurance	1
TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL	1
Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer	1
LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC	1
Worst-case moments under partial ambiguity	1
Cyber insurance-linked securities	1
A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN	1
Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims	1
PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND	1
MULTIVARIATE COMPOSITE COPULAS	1
OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION	1