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Content
2012, Volume 16, Issue 3
2011, Volume 15, Issue 4
2011, Volume 15, Issue 3
2011, Volume 15, Issue 2
2011, Volume 15, Issue 1
2010, Volume 14, Issue 4
- 369-380 Voluntary Termination of Life Insurance Policies
by Shi-jie Jiang
- 381-399 Developing Mortality Improvement Formulas
by Johnny Li & Mary Hardy & Ken Tan
- 400-419 Biometric Solvency Risk for Portfolios of General Life Contracts. I. The Single-Life Multiple Decrement Case
by Werner Hürlimann
- 420-434 A Direct Approach to the Discounted Penalty Function
by Hansjörg Albrecher & Hans Gerber & Hailiang Yang
- 434-438 “A Direct Approach to the Discounted Penalty Function”, Hansjörg Albrecher, Hans U. Gerber, and Hailiang Yang, Volume 14, No. 4, 2010
by Volkmar Lautscham
- 438-441 “A Direct Approach to the Discounted Penalty Function”, Hansjörg Albrecher, Hans U. Gerber, and Hailiang Yang, Volume 14, No. 4, 2010
by Yi Lu
- 441-445 “A Direct Approach to the Discounted Penalty Function”, Hansjörg Albrecher, Hans U. Gerber, and Hailiang Yang, Volume 14, No. 4, 2010
by Eric Cheung
- 445-447 Authors’ Reply: A Direct Approach to the Discounted Penalty Function - Discussion by Volkmar Lautscham; Yi Lu; Eric C. K. Cheung
by Hansjörg Albrecher & Hans U. Gerber & Hailiang Yang
- 448-463 Fair Terms and Fair Pricing for Multiple Warrant Issues
by P. W. A. Dayananda & John Kemper
- 464-471 The Moments of the Time of Ruin in Markovian Risk Models
by Kaiqi Yu & Jiandong Ren & David Stanford
2010, Volume 14, Issue 3
2010, Volume 14, Issue 2
- 157-175 The Effectiveness of Using a Basis Hedging Strategy to Mitigate the Financial Consequences of Weather-Related Risks
by Linda Golden & Charles Yang & Hong Zou
- 176-197 Relative Choice Models for Income Drawdown in a Defined Contribution Pension Scheme
by Paul Emms
- 198-216 Conditional Tail Moments of the Exponential Family and Its Related Distributions
by Joseph Kim
- 217-234 An Asymptotic Analysis of the Bootstrap Bias Correction for the Empirical CTE
by Jae Ahn & Nariankadu Shyamalkumar
- 235-255 Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method
by Mario Wüthrich
- 256-272 Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method
by Fei Yuen & Hailiang Yang
- 272-277 “Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method”, Fei Lung Yuen and Hailiang Yang, April, 2010
by Robert Elliott & Chuin Liew & Tak Siu
- 278-279 “Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009
by Steven Vanduffel
- 280-280 “Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009
by Hans Gerber & Elias Shiu
2010, Volume 14, Issue 1
2009, Volume 13, Issue 4
- 407-424 The DB Underpin Hybrid Pension Plan
by Kai Chen & Mary Hardy
- 425-437 The Impact of Adjuster Moral Hazard on Driving Records
by Mary Kelly & Sapna Isotupa & Anne Kleffner
- 438-458 Assessing Consumer Fraud Risk in Insurance Claims
by Jing Ai & Patrick Brockett & Linda Golden
- 459-482 VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
by Ken Tan & Chengguo Weng & Yi Zhang
- 483-496 Weighted Pricing Functionals With Applications to Insurance
by Edward Furman & Ričardas Zitikis
- 497-513 Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model
by Eric Cheung & David Landriault
- 514-520 “A Quantitative Comparison of Stochastic Mortality Models Using Data from England and Wales and the United States,” Andrew J. G. Cairns, David Blake, Kevin Dowd, Guy D. Coughlan, David Epstein, Alen Ong, and Igor Balevich, Vol. 13, No. 1, 2009
by Kailiang Chen & Jia Liao & Xiaoyu Shang & Johnny Siu-Hang Li
- 520-524 “Valuation of Discrete Dynamic Fund Protection under Lévy Processes,” Hoi Ying Wong and Ka Wai Lam, April 2009
by Jun Yang
2009, Volume 13, Issue 3
- 303-315 Pricing Weather Derivatives Using the Indifference Pricing Approach
by Patrick Brockett & Linda Goldens & Min-Ming Wen & Charles Yang
- 316-332 Pricing Annuity Guarantees Under a Regime-Switching Model
by X. Lin & Ken Tan & Hailiang Yang
- 333-337 “Pricing Annuity Guarantees Under a Regime-Switching Model”, X. Sheldon Lin, Ken Seng Tan and Hailiang Yang, July 2009
by Robert Elliott & Tak Siu
- 337-338 Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu
by The Editors
- 339-355 Life Insurance Mathematics with Random Life Tables
by Michel Denuit & Esther Frostig
- 356-369 Robust and Efficient Fitting of Loss Models
by Vytaras Brazauskas
- 370-378 Cash Flow Matching
by Garud Iyengar & Alfred Ma
- 378-384 “Cash Flow Matching: A Risk Management Approach”, Garud Iyengar and Alfred Ka Chun Ma, July, 2009
by Ken Kortanek
- 385-403 Impact of Underwriting Cycles on the Solvency of an Insurance Company
by Julien Trufin & Hansjörg Albrecher & Michel Denuit
- 404-406 “On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model,” David Landriault and Gordon Willmot, Volume 13, No. 2, 2009
by Steve Drekic
2009, Volume 13, Issue 2
- 157-169 Examining the Effects of Guarantee Funds on Pension Plans
by Norma Nielson
- 170-185 Pricing Participating Inflation Retirement Funds Through Option Modeling and Copulas
by Eduardo de Melo & Beatriz Mendes
- 186-201 Is Defined Contribution a Panacea for Defined Benefit Social Security Funding Problems? Lessons from Two Countries
by Doug Andrews & Robert Brown
- 202-216 Valuation of Discrete Dynamic Fund Protection Under Lévy Processes
by Hoi Wong & Ka Lam
- 217-251 Strategies for Dividend Distribution: A Review
by Benjamin Avanzi
- 252-270 On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model
by David Landriault & Gordon Willmot
- 271-272 “On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009
by David Dickson
- 272-277 “On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009
by Jae-Kyung Woo
- 277-278 “On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009
by Hans Gerber & Elias Shiu
- 278-279 Author’s Reply: On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model - Discussion by David C. M. Dickson; Jae-Kyung Woo; Hans U. Gerber; Elias S. W. Shiu
by David Landriault & Gordon Willmot
- 280-298 A Robustification of the Chain-Ladder Method
by Tim Verdonck & Martine Van Wouwe & Jan Dhaene
2009, Volume 13, Issue 1
2008, Volume 12, Issue 4
2008, Volume 12, Issue 3
2008, Volume 12, Issue 2
2008, Volume 12, Issue 1
2007, Volume 11, Issue 4
- 1-21 Asset Allocation with Hedge Funds on the Menu
by Phelim Boyle & Sun Siang Liew
- 23-41 Regulatory Competition and Life Insurance Solvency Regulation in the European Union and United States
by Philip Booth & Alan Morrison
- 42-60 Estimation of Distress Costs Associated with Downgrades Using Regimeswitching Models
by Andreas Milidonis & Shaun Wang
- 61-75 A Long-Term Model of the Dynamics of the S&P500 Implied Volatility Surface
by Martin le Roux
- 76-91 An Empirical Examination of Jump Risk in U.S. Equity And Bond Markets
by Lee Dunham & Geoffrey Friesen
- 92-109 Markov Aging Process and Phase-Type Law of Mortality
by X. Lin & Xiaoming Liu
- 110-131 Risk Classification for Claim Counts
by Jean-Philippe Boucher & Michel Denuit & Montserrat Guillén
- 132-135 “Search for Predictors of Exceptional Human Longevity: Using Computerized Genealogies and Internet Resources for Human Longevity Studies,” Natalia S. Gavrilova and Leonid A. Gavrilov, January 2007
by Bert Kestenbaum
- 135-138 Authors’ Reply: Search for Predictors of Exceptional Human Longevity: Using Computerized Genealogies and Internet Resources for Human Longevity Studies - Discussion by Bert Kestenbaum
by The Editors
- 138-141 “A Risk Model with Multilayer Dividend Strategy,” Hansjörg Albrecher and Jürgen Hartinger, April 2007
by Ramin Okhrati
- 141-142 Authors’ Reply: A Risk Model with Multilayer Dividend Strategy - Discussion by Cheung; Ramin Okhrati
by The Editors
- 142-144 “On the Class of Erlang Mixtures with Risk Theoretic Applications,” Gordon E. Willmot and Jae-Kyung Woo, April 2007
by Saralees Nadarajah
- 144-144 Authors’ Reply: On the Class of Erlang Mixtures with Risk Theoretic Applications - Discussion by Saralees Nadarajah
by The Editors
- 145-148 “Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model,” Shaunming Li and Yi Lu, April 2007
by Eric Cheung
- 148-150 “Pension Plan Valuation and Mortality Projection: A Case Study with Mortality Data,” Hélène Cossette, Antoine Delwarde, Michel Denuit, Frédérick Guillot, and Étienne Marceau, April 2007
by Steven Haberman & Arthur Renshaw
- 150-150 Author Reply: An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets by Zinoviy Landsman and Michael Sherris - Discussion by Edward Furman; Ricardas Zitikis
by The Editors
2007, Volume 11, Issue 3
- 1-15 Natural Hedging of Life and Annuity Mortality Risks
by Samuel Cox & Yijia Lin
- 16-53 Trajectories of Morbidity, Disability, and Mortality among the U.S. Elderly Population
by Eric Stallard
- 54-69 Predictive Modeling with Longitudinal Data
by Marjorie Rosenberg & Edward Frees & Jiafeng Sun & Paul Johnson & Jim Robinson
- 70-88 A Synchronous Bootstrap to Account for Dependencies Between Lines of Business in the Estimation of Loss Reserve Prediction Error
by Greg Taylor & Gráinne McGuire
- 89-99 Normalized Exponential Tilting
by Shaun Wang
- 100-112 Determining the Optimum Guarantee Period for a One-Life Retirement Annuity
by Gopi Goda & Colin Ramsay
- 113-127 Using Aumann-Shapley Values to Allocate Insurance Risk
by Michael Powers
- 128-136 The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model
by Jiandong Ren
- 136-137 “The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model”, Jiandong Ren, July 2007
by Bangwon Ko
- 138-158 Robust and Efficient Methods for Credibility When Claims Are Approximately Gamma-Distributed
by Harald Dornheim & Vytaras Brazauskas
- 159-169 Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
by Hans Gerber & Hailiang Yang
- 170-171 “Stochastic Annuities,” Daniel Dufresne, January 2007
by Bangwon Ko & Andrew Ng
- 172-172 Authors’ Reply: The Impact of DC Pension Systems on Population Dynamics - Discussion by Mark Malnati
by The Editors
- 172-172 “The Impact of DC Pension Systems on Population Dynamics,” Bonnie-Jeanne MacDonald and Andrew J. G. Cairns, January 2007
by Mark Malnati
- 173-174 “An Extreme Value Analysis of Advanced Age Mortality Data,” Kathryn A. Watts, Debbie J. Dupuis, and Bruce L. Jones, October 2006
by Mark Bebbington & Chin-Diew Lai & Ričardas Zitikis
- 174-176 “An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007
by Edward Furman & Ričardas Zitikis
- 176-183 “A Risk Model with Multilayer Dividend Strategy”, Hansjorg Albrecher and Jürgen Hartinger, April 2007
by Eric Cheung
2007, Volume 11, Issue 2
- 1-34 Pension Plan Valuation and Mortality Projection
by Hélène Cossette & Antoine Delwarde & Michel Denuit & Frédérick Guillot & Étienne Marceau
- 35-42 Coherent Distortion Risk Measures and Higher-Order Stochastic Dominances
by Fabio Bellini & Camilla Caperdoni
- 43-64 A Risk Model with Multilayer Dividend Strategy
by Hansjörg Albrecher & Jürgen Hartinger
- 65-76 Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model
by Shuanming Li & Yi Lu
- 77-98 On Approximating the Individual Risk Model
by Peter Kornya
- 99-115 On the Class of Erlang Mixtures with Risk Theoretic Applications
by Gordon Willmot & Jae-Kyung Woo
- 115-117 “On the Class of Erlang Mixtures with Risk Theoretic Applications”, Gordon E. Willmot and Jae-Kyung Woo, April 2007
by David Dickson & Howard Waters
- 118-118 Authors’ Reply: On the Class of Erlang Mixtures with Risk Theoretic Applications - Discussion by David C. M. Dickson; Howard R. Waters
by The Editors
- 119-134 On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest
by Rong Wu & Yuhua Lu & Ying Fang
- 134-135 ”On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest“, Rong Wu; Yuhua Lu and Ying Fang, April 2007
by Bangwon Ko
- 135-135 Authors’ Reply: On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest - Discussion by Bangwon Ko
by The Editors
- 136-149 The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
by Yi Lu & Cary Tsai
- 149-150 ”The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion“, Yi Lu and Cary Chi-Liang Tsai, April 2007
by Bangwon Ko
- 151-152 Authors’ Reply: The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion - Discussion by Bangwon Ko
by The Editors
- 153-153 “On the Expected Discounted Penalty Function for L´vy Risk Processes,” José Garrido and Manuel Morales, October 2006
by Xiaowen Zhou
- 154-156 “Managing Longevity Risk in the U.S. Retirement Plans through Mandatory Annuitization,” Beverly J. Orth, July 2006
by Sarah Christiansen
- 156-156 Author’s Reply: Managing Longevity Risk in the U.S. Retirement Plans through Mandatory Annuitization - Discussion by Sarah L. M. Christiansen
by The Editors
- 157-159 “On the Merger of Two Companies,” Hans Gerber and Elias S. W. Shiu, July 2006
by Hansjörg Albrecher & Stefan Thonhauser
- 159-159 Authors’ Reply: On the Merger of Two Companies - Discussion by Hansjörg Albrecher; Stefan Thonhauser
by The Editors
2007, Volume 11, Issue 1