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 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

Volume 126, issue C, 2026

Cyber risk taxonomies: statistical analysis of cybersecurity risk classifications

Matteo Malavasi, Gareth W. Peters, Stefan Trück, Pavel V. Shevchenko, Jiwook Jang and Georgy Sofronov

Performance-based variable premium scheme and reinsurance design

Ziyue Shi, David Landriault and Fangda Liu

Beyond annual data: Mortality forecasting with mixed frequency data

Runze Li, Rui Zhou and David Pitt

The last passage time before ruin: Theory and applications in liquidation risk management

Zijia Wang, Jingyi Cao and Shu Li

Back to normal? a method to test and correct a shock impact on healthcare usage frequency data

David Moriña, Amanda Fernández-Fontelo and Montserrat Guillén

Continuous-time modeling and bootstrap for chain-ladder reserving

Nicolas Baradel

Optimizing portfolios with surrender variable annuities: A deep reinforcement learning approach

Huifang Huang, Zhuo Jin, Pengbo Li, Fuke Wu and Hailiang Yang

Zero utility principle under uncertainty

J. Chudziak and S. Wójcik

On expectiles and almost stochastic dominance

Corrado De Vecchi and Matthias Scherer

Stochastic orderings for set-valued risk measures

Elisa Mastrogiacomo and Marco Tarsia

Mortality modeling via vitality: Model constructions and actuarial applications

Xiaobai Zhu, Kenneth Q. Zhou and Zijia Wang

On the bailout dividend problem with periodic dividend payments and fixed transaction costs

Harold A. Moreno-Franco and José-Luis Pérez

A one-step approach for determining the optimal aggregate capital reserve and allocation

Jun Cai, Huameng Jia and Ying Wang

Welfare-enhancing annuity divisor for notional defined contribution design

Jinggong Zhang, Xiaobai Zhu and Wei Wei

Financing aged care with home equity allowing for government age pension and aged care support

Lingfeng Lyu, Yang Shen, Michael Sherris and Jonathan Ziveyi

An age–period–cohort model in a Dirichlet framework: A coherent causes of death estimation

Rebecca Graziani and Andrea Nigri

No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses

Michel Denuit, Patricia Ortega-Jimenez and Christian Y. Robert

The changing landscape of cyber risk: An empirical analysis of loss severity and tail dynamics

Martin Eling, Rustam Ibragimov and Dingchen Ning

Asymptotics of systemic risk in a renewal model with multiple business lines and heterogeneous claims

Bingzhen Geng, Yang Liu and Hongfu Wan

Prolonging life by vitagions: Modelling of mortality improvement shocks

Maria Carannante, D’Amato, Valeria and Cinzia Di Palo

On measuring COVID-19 excess mortality: Insights and challenges

Ayse Arik, Allen Klein and Han Li

Iterated poisson processes for catastrophic risk modeling in ruin theory

Dongdong Hu, Svetlozar T. Rachev, Hasanjan Sayit, Hailiang Yang and Yildiray Yildirim

The ultimate drawdown insurance and its state-dependent premium

Duo Xu and Shu Li

Optimal reinsurance design under convex premium principles and distortion risk measures

Yiying Zhang and Wenjun Jiang

Volume 125, issue C, 2025

Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash

Jingyi Cao, Dongchen Li, Virginia R. Young and Bin Zou

L-estimation of claim severity models weighted by Kumaraswamy density

Chudamani Poudyal, Gokarna R. Aryal and Keshav P. Pokhrel

Pitfalls in machine learning interpretability: Manipulating partial dependence plots to hide discrimination

Xi Xin, Giles Hooker and Fei Huang

Bayesian CART models for aggregate claim modeling

Yaojun Zhang, Lanpeng Ji, Georgios Aivaliotis and Charles C. Taylor

Optimal timing of green technology adoption for climate risk mitigation

Jiannan Zhang, Kun Fan, Zhuo Jin and Nan Zhang

Distributionally robust tail bounds based on Wasserstein distance and f-divergence

Corina Birghila, Maximilian Aigner and Sebastian Engelke

Portfolio selection and risk sharing via risk budgeting

Vali Asimit, Wing Fung Chong, Radu Tunaru and Feng Zhou

Equilibrium investment strategies for a defined contribution pension plan with random risk aversion

Ling Wang and Bowen Jia

Optimal life insurance and annuity decisions under money illusion

Wenyuan Li and Pengyu Wei

Uniform asymptotic estimates for ruin probabilities of a multidimensional risk model with càdlàg returns and multivariate heavy tailed claims

Dimitrios G. Konstantinides and Charalampos D. Passalidis

An observation-driven state-space count model for experience rating

Jae Youn Ahn, Himchan Jeong, Yang Lu and Mario V. Wüthrich

Ordering higher risks in Yaari's dual theory

A. Castaño-Martínez, G. Pigueiras, C.D. Ramos and M.A. Sordo

A note on bequest preferences in utility maximisation for modern tontines

Thomas Bernhardt

Non-parametric estimators of scaled cash flows

Theis Bathke and Christian Furrer

Avoiding a longevity catastrophe: Harnessing longevity indices to mitigate individual, institutional and systemic longevity risks

Guy Coughlan

An optimal periodic dividend and risk control problem for an insurance company

Mark Kelbert and Harold A. Moreno-Franco

Development of multimorbidity patterns in older adults in Switzerland: A competing risks modeling approach

Laura Iveth Aburto Barrera, Anna Nicolet, Christophe Bagnoud, Joachim Marti and Joël Wagner

Diversification effect in multivariate optimal risk transfer

Vali Asimit, Tsz Chai Fung, Liang Peng and Fang Yang

Censored and extreme losses: Functional convergence and applications to tail goodness-of-fit

Martin Bladt and Christoffer Øhlenschlæger

Dynamic derivative-based pension investment with stochastic volatility: A behavioral perspective

Zheng Chen, Zhongfei Li, Yan Zeng and Yang Shen

Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility

Hao Chang and Xiao-Jia Li

Dynamic investment-driven insurance pricing and optimal regulation

Bingzheng Chen, Zongxia Liang and Shunzhi Pang

Individual survivor fund account: The impact of bequest motives on tontine participation

Tak Wa Ng and Thai Nguyen

Modelling seasonal mortality: An age–period–cohort approach

Jean-François Bégin, Mathieu Boudreault and Thomas Landry

Transformers-based least square Monte Carlo for solvency calculation in life insurance

Francesca Perla, Salvatore Scognamiglio, Andrea Spadaro and Paolo Zanetti

Robust parameter estimation for the Lee-Carter family: A probabilistic principal component approach

Yiping Guo and Johnny Siu-Hang Li

Optimal consumption-leisure-investment and retirement choices with nonconcave aspirational utility

Shuang Li, Hui Meng and Ming Zhou

Numerical methods for computing risk measures of variable annuities under exponential Lévy models

Oleg Kudryavtsev and Xiao Wei

Additive tree latent variable models with applications to insurance loss prediction

Zhihao Wang, Yanlin Shi and Guangyuan Gao

Life care reverse mortgages: Monitoring the net cashflows of a new hybrid insurance product

Giovanna Apicella, Emilia Di Lorenzo, Giulia Magni and Marilena Sibillo

Optimal risk sharing with correlated insurance businesses in a Stackelberg-Nash differential game

Mengyu Wu, Zhibin Liang and Qingqing Zhang

Risk measures on Musielak-Orlicz spaces: A state-dependent perspective for insurance

Francesco Strati