Insurance: Mathematics and Economics

1982 - 2026

Current editor(s): R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

From Elsevier
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Volume 130, issue C, 2026

On asymptotic behavior of portfolio risks and goodness of elliptical approximations

Mikko Kuusela, Jaakko Lehtomaa and Atte Pyrylä

Continuous-time optimal investment in DC pension plans with path-dependent reference points

Jiayou Ye, Hanqing Jin and Jingtang Ma

Functional analysis of loss-development patterns in P&C insurance

Arthur Charpentier, Qiheng Guo and Michael Ludkovski

Static marginal expected shortfall: Systemic risk measurement under dependence uncertainty

Jinghui Chen, Edward Furman and X. Sheldon Lin

Portfolio choice and contract design of participating insurance contracts under mismatch aversion

Salaheddine Belhaj and Thai Nguyen

Optimal cash transfers and microinsurance to reduce social protection costs

Pablo Azcue, Corina Constantinescu, José Miguel Flores-Contró and Nora Muler

Collar stabilization buffers and basis risk in group self-annuitization schemes

Yawei Wang, Jean-François Bégin and Jonathan Ziveyi

Robust reinsurance and investment strategy for an insurer with extrapolation intensity preference under the claim-dependent premium principle

Xue Dong, Ximin Rong, Hui Zhao, Xin Chen and Aitong Huang

An empirical study of small populations based on Taiwan’s data

Hsin-Chung Wang and Jack C. Yue

On the frequency of deep drawdowns and ranges for Lévy risk processes

Mohamed Amine Lkabous and Mengni Yang

Volume 129, issue C, 2026

Variable annuity portfolio valuation with SHapley Additive exPlanations

Gayani Thalagoda, Katja Hanewald, Andrés M. Villegas and Jonathan Ziveyi

Reverse mortgages with long-term care cost coverage: The role of health state granularity in valuing prepayment options

Tian-Shyr Dai, Liang-Chih Liu, Shang-Hung Tsao and Sharon S. Yang

Forecast mortality rates with copula-based approaches: Novel evidence from integrated reconciliation

Hasna Afifah Rusyda, Yanlin Shi and Han Lin Shang

IME’s editorial board, IME’s editorial office and the IME award 2025

Andrew J.G. Cairns, Roger Laeven, Sheldon Lin and Qihe Tang

Optimal risk reduction and insurance for government infrastructure protection

Muneta Yokomatsu and Georg Pflug

Disability insurance with collective health claims: A mean-field approach

Christian Furrer and Philipp C. Hornung

Education-based risk indices and insurance competitiveness

Josep Lledó, Ximo Bayona and Jose M. Pavía

Recoverability of market-wide fair insurance premiums under selection bias

Marie-Pier Côté, Olivier Côté and Arthur Charpentier

Finite-time ruin probabilities via multivariate Lagrangian inversion

Zbigniew Palmowski, Lewis Ramsden and Apostolos D. Papaioannou

Distributionally robust optimization under ambiguity across two layers

Yingyin Lu and Qihe Tang

On the determinants of intensity and duration in institutional long-term care in Switzerland: New insights from random forest modeling

Lucien Lorenz and Joël Wagner

Optimal benefits, contributions, and asset allocation for a PAYG system with reserve fund under equity, longevity, and unemployment risks

Sander van Eekelen, Frank van Berkum, Torsten Kleinow and Michel Vellekoop

Unraveling the time dynamics of life annuities

Jesús-Adrián Alvarez and Andrés M. Villegas

Volume 128, issue C, 2026

ADM's APPLE: The Accelerated Deaths Model with an Application to the Covid-19 Pandemic

Andrew J.G. Cairns and David Blake

Rethinking the annuity puzzle: The role of loss aversion and money-back guarantees

Sebastian Hallstein, Daniel Liebler and Raimond Maurer

On convex order and supermodular order without finite mean

Benjamin Côté and Ruodu Wang

Quantile-based interpretable neural network models: Mortality forecasting and actuarial simulations

Yang Qiao, Jinggong Zhang, Wenjun Zhu and Chou-Wen Wang

Counter-monotonic risk sharing with heterogeneous distortion risk measures

Mario Ghossoub, Qinghua Ren and Ruodu Wang

Optimal ratcheting of dividends with irreversible reinsurance

Tim J. Boonen and Engel John C. Dela Vega

Optimal reinsurance maximising dividends as an infinite-dimensional optimisation problem and numerical results

Debora Daniela Escobar, Hirbod Assa and Yunzhou Chen

The big Thaw: Unfreeze defined benefit pension with cash balance plans

Yijia Lin and Tianxiang Shi

Distributional refinement network: Distributional forecasting via deep learning

Benjamin Avanzi, Eric T. Dong, Patrick J. Laub and Bernard Wong

Exploring health improvement incentives through wellness-linked products

An Chen and Stefan Schelling

Satisficing pooling insurance design

Ka Chun Cheung, Jing Zhang and Yiying Zhang

Insurance demand under government interventions and distorted probabilities

Wei Wang, Yaodi Yong, Ka Chun Cheung and Yiying Zhang

Granular mortality modeling with temperature and epidemic shocks: A three-state regime-switching approach

Jens Robben, Karim Barigou and Torsten Kleinow

Contract structure and risk aversion in longevity risk transfers

David Landriault, Bin Li, Hong Li and Yuanyuan Zhang

Volume 127, issue C, 2026

Optimal periodic strategies with dividends payable from gains only

Eric C.K. Cheung, Guo Liu, Jae-Kyung Woo, Jiannan Zhang and Dan Zhu

Mortality risks, survival pessimism, and subjective well-Being: Evidence from the health and retirement study

Lisa Posey, Sharon Tennyson and Nan Zhu

A complete proof of the De Vylder and Goovaerts conjecture for homogeneous risk models

Bara Kim, Jeongsim Kim and Jerim Kim

Generalized expected-shortfalls based on distortion risk measures

Shuyu Gong, Zhenfeng Zou, Meng Guan and Taizhong Hu

Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework

Junyi Guo, Xia Han and Hao Wang

Probabilistic loss reserving prediction via denoising diffusion model

Shiying Gao, Yuning Zhang, Ruikun Li, S.T. Boris Choy and Junbin Gao

The demand for insurance with ambiguous recovery rate

Yichun Chi, Yuxia Huang and Sheng Chao Zhuang

Subgame perfect Nash equilibria in large reinsurance markets

Maria Andraos, Mario Ghossoub and Michael B. Zhu

Efficient pricing and Greeks estimation for variable annuities under a multivariate OUSV model

Shaoying Chen, Zhenyu Cui, Yang Yang and Zhimin Zhang

Hedging universal life insurance policies

Emmanuel Hamel, Frédéric Godin and Patrice Gaillardetz

Mitigating ambiguity in earthquake catastrophe insurance pricing: A model averaging and α-Maxmin approach

Yunxian Li, Xinmei Yang, Zhilan Zi and Hefei Liu

Optimal annuitization and asset allocation with fixed transaction costs

Junyi Guo, Xiaoqing Liang, Yang Shen and Jie Xiong

PowerBurr regression model for heavy-tailed loss data and its application

Yu Liu and Shengwang Meng

Asymptotically unbiased estimation of the extreme value index under random censoring

Martin Bladt, Yuri Goegebeur and Armelle Guillou

Stochastic optimal control of Lévy tax processes with bailouts

Dalal Al Ghanim, Ronnie Loeffen and Alexander R. Watson

The joint model of default and prepayment for a mortgage loan and its application in mortgage insurance

Lan Bu, Fang Wang and Jingping Yang

On the range of a Lévy risk process with fair valuation of insurance contracts

Mengni Yang, Mohamed Amine Lkabous and Zijia Wang

Robust pricing of equity-Indexed annuities under uncertain volatility and stochastic interest rate

Ludovic Goudenège, Andrea Molent and Antonino Zanette

Scanning the horizon: integrating expert knowledge into the calibration of stochastic mortality models

Richard G.A. Faragher, Arne Freimann and Jochen Ruß

The future of mortality – mortality forecasting by extrapolation of deaths curve evolution patterns

Matthias Börger, Martin Genz and Jochen Ruß