Cambridge University Press
ASTIN Bulletin: The Journal of the International Actuarial Association
Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK
Web page: http://journals.cambridge.org/jid_ASB
Email:
Web page: http://journals.cambridge.org/jid_ASB
Email:
For corrections or technical questions regarding this series, please contact (Keith Waters)
Series handle: repec:cup:astinb
Citations RSS feed: at CitEc
Top item:
Citations RSS feed: at CitEc
Impact factors
- Simple (last 10 years)
- Recursive (10)
- Discounted (10)
- Recursive discounted (10)
- H-Index (10)
- Euclid (10)
- Aggregate (10)
Top item:
- By citations
- By downloads (last 12 months)
May 2017, Volume 47, Issue 02
- 361-389 Collective Risk Models With Dependence Uncertainty
by Liu, Haiyan & Wang, Ruodu - 391-415 Risk Sharing With Expected And Dual Utilities
by Boonen, Tim J. - 417-435 Measuring The Impact Of A Bonus-Malus System In Finite And Continuous Time Ruin Probabilities For Large Portfolios In Motor Insurance
by Afonso, Lourdes B. & Cardoso, Rui M. R. & Egídio dos Reis, Alfredo D. & Guerreiro, Gracinda Rita - 437-465 Territorial Risk Classification Using Spatially Dependent Frequency-Severity Models
by Shi, Peng & Shi, Kun - 467-499 A Neyman-Pearson Perspective On Optimal Reinsurance With Constraints
by Lo, Ambrose - 501-525 Risk Management Of Financial Crises: An Optimal Investment Strategy With Multivariate Jump-Diffusion Models
by Wang, Chou-Wen & Huang, Hong-Chih - 527-561 Continuous-Time Semi-Markov Inference Of Biometric Laws Associated With A Long-Term Care Insurance Portfolio
by Biessy, Guillaume - 563-600 Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach
by Li, Hong & Lu, Yang - 601-629 Modelling Mortality For Pension Schemes
by Hunt, Andrew & Blake, David
January 2017, Volume 47, Issue 01
- 1-41 Existence And Uniqueness Of Chain Ladder Solutions
by Taylor, Greg - 43-77 Longevity Risk Management And Shareholder Value For A Life Annuity Business
by Blackburn, Craig & Hanewald, Katja & Olivieri, Annamaria & Sherris, Michael - 79-151 The Locally Linear Cairns–Blake–Dowd Model: A Note On Delta–Nuga Hedging Of Longevity Risk
by Liu, Yanxin & Li, Johnny Siu-Hang - 153-167 Model Selection And Averaging Of Health Costs In Episode Treatment Groups
by Huang, Shujuan & Hartman, Brian & Brazauskas, Vytaras - 169-198 Approximating The Density Of The Time To Ruin Via Fourier-Cosine Series Expansion
by Zhang, Zhimin - 199-238 Refraction–Reflection Strategies In The Dual Model
by Pérez, José-Luis & Yamazaki, Kazutoshi - 239-268 Optimal Financing And Dividend Distribution With Transaction Costs In The Case Of Restricted Dividend Rates
by Zhu, Jinxia - 269-302 Potential Games With Aggregation In Non-Cooperative General Insurance Markets
by Wu, Renchao & Pantelous, Athanasios A. - 303-329 Risk Redistribution Games With Dual Utilities
by Boonen, Tim J. - 331-357 A Form Of Multivariate Pareto Distribution With Applications To Financial Risk Measurement
by Su, Jianxi & Furman, Edward - 359-359 Simple Continuity Inequalities For Ruin Probability In The Classical Risk Model-Corrigendum
by Gordienko, Evgueni & Vázquez-Ortega, Patricia
September 2016, Volume 46, Issue 03
- 531-569 A Credibility Approach for Combining Likelihoods of Generalized Linear Models
by Christiansen, Marcus C. & Schinzinger, Edo - 571-604 Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating
by Milevsky, Moshe A. & Salisbury, Thomas S. - 605-626 Optimal Asset Allocation in Life Insurance: The Impact of Regulation
by Chen, An & Hieber, Peter - 627-676 How Accurately does 70% Final Employment Earnings Replacement Measure Retirement Income (In)Adequacy? Introducing the Living Standards Replacement Rate (LSRR)
by MacDonald, Bonnie-Jeanne & Osberg, Lars & Moore, Kevin D. - 677-707 Guarantee Valuation in Notional Defined Contribution Pension Systems
by Alonso-García, Jennifer & Devolder, Pierre - 709-746 On the Interface Between Optimal Periodic and Continuous Dividend Strategies in the Presence of Transaction Costs
by Avanzi, Benjamin & Tu, Vincent & Wong, Bernard - 747-778 Robust Stability, Stabilisation and H-Infinity Control for Premium-Reserve Models in a Markovian Regime Switching Discrete-Time Framework
by Yang, Lin & Pantelous, Athanasios A. & Assa, Hirbod - 779-799 Efficient Estimation of Erlang Mixtures Using iSCAD Penalty with Insurance Application
by Yin, Cuihong & Lin, X. Sheldon - 801-814 Simple Continuity Inequalities for Ruin Probability in the Classical Risk Model
by Gordienko, Evgueni & Vázquez-Ortega, Patricia - 815-849 Optimal Reinsurance from the Perspectives of both an Insurer and a Reinsurer
by Cai, Jun & Lemieux, Christiane & Liu, Fangda
May 2016, Volume 46, Issue 02
- 191-224 Consistent Yield Curve Prediction
by Teichmann, Josef & Wüthrich, Mario V. - 225-263 Correlations Between Insurance Lines of Business: An Illusion or a Real Phenomenon? Some Methodological Considerations
by Avanzi, Benjamin & Taylor, Greg & Wong, Bernard - 265-291 Insurance Loss Coverage under Restricted Risk Classification: The case of ISO-Elastic Demand
by Hao, MingJie & Macdonald, Angus S. & Tapadar, Pradip & Thomas, R. Guy - 293-330 Chain Ladder and Error Propagation
by Röhr, Ancus - 331-363 Life Care Annuities (LCA) Embedded in a Notional Defined Contribution (NDC) Framework
by Pla-Porcel, Javier & Ventura-Marco, Manuel & Vidal-Meliá, Carlos - 365-399 Optimal Dividend and Reinsurance Strategies with Financing and Liquidation Value
by Yao, Dingjun & Yang, Hailiang & Wang, Rongming - 401-430 Modeling the Number of Insured Households in an Insurance Portfolio using Queuing theory
by Boucher, Jean-Philippe & Couture-Piché, Guillaume - 431-467 The Efficient Computation and the Sensitivity Analysis of Finite-Time Ruin Probabilities and the Estimation of Risk-Based Regulatory Capital
by Joshi, Mark S. & Zhu, Dan - 469-485 Using Weighted Distributions to Model Operational Risk
by Afonso, Lourdes B. & Corte Real, Pedro - 487-505 Marital Status as a Risk Factor in Life Insurance: An Empirical Study in Taiwan
by Wang, Hsin Chung & Yue, Jack C. & Tsai, Yi-Hsuan - 507-530 Pricing in Reinsurance Bargaining with Comonotonic Additive Utility Functions
by Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao
January 2016, Volume 46, Issue 01
- 1-7 Taming Uncertainty: The limits to Quantification
by Tsanakas, Andreas & Beck, M. Bruce & Thompson, Michael - 9-38 International Cause-Specific Mortality Rates: New Insights from a Cointegration Analysis
by Arnold-Gaille, Séverine & Sherris, Michael - 39-69 The use of Annual Mileage as a Rating Variable
by Lemaire, Jean & Park, Sojung Carol & Wang, Kili C. - 71-102 Life Insurance and Pension Contracts II: The Life Cycle Model with Recursive Utility
by Aase, Knut K. - 103-139 How a Single-Factor Capm Works in a Multi-Currency World
by Thomson, Robert & Şahin, Şule & Reddy, Taryn - 141-163 The Design of an Optimal Retrospective Rating Plan
by Chen, Xinxiang & Chi, Yichun & Tan, Ken Seng - 165-190 Modeling Longevity Risk with Generalized Dynamic Factor Models and Vine-Copulae
by Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M.
September 2015, Volume 45, Issue 03
- 477-502 Differences in European Mortality Rates: A Geometric approach on the Age–Period Plane
by Christiansen, Marcus C. & Spodarev, Evgeny & Unseld, Verena - 503-550 Risk Margin Quantile Function via Parametric and Non-Parametric Bayesian Approaches
by Dong, Alice X.D. & Chan, Jennifer S.K. & Peters, Gareth W. - 551-575 Optimal Mix between Pay As You Go and Funding for Pension Liabilities in a Stochastic Framework
by Devolder, Pierre & Melis, Roberta - 577-599 Modeling Dependence Between loss Triangles with Hierarchical Archimedean Copulas
by Abdallah, Anas & Boucher, Jean-Philippe & Cossette, Hélène - 601-637 Comparison of Approximations for Compound Poisson Processes
by Seri, Raffaello & Choirat, Christine - 639-660 Modelling Insurance Data with the Pareto Arctan Distribution
by Gómez-Déniz, Emilio & Calderín-Ojeda, Enrique - 661-678 Paths and Indices of Maximal Tail Dependence
by Furman, Edward & Su, Jianxi & Zitikis, Ričardas - 679-702 Disappointment Aversion Premium Principle
by Cheung, Ka Chun & Chong, Wing Fung & Elliott, Robert & Yam, Sheung Chi Phillip - 703-728 Competitive Equilibria with Distortion Risk Measures
by Boonen, Tim J. - 729-758 Fitting Mixtures of Erlangs to Censored and Truncated Data Using the EM Algorithm
by Verbelen, Roel & Gong, Lan & Antonio, Katrien & Badescu, Andrei & Lin, Sheldon
May 2015, Volume 45, Issue 02
- 239-266 Calculating Variable Annuity Liability “Greeks” Using Monte Carlo Simulation
by Cathcart, Mark J. & Lok, Hsiao Yen & McNeil, Alexander J. & Morrison, Steven - 267-307 A Quantitative Study of Chain Ladder based Pricing Approaches for Long-Tail Quota Shares
by Riegel, Ulrich - 309-353 Credibility Claims Reserving with Stochastic Diagonal Effects
by Bühlmann, Hans & Moriconi, Franco - 355-395 Valuing Equity-Linked Death Benefits in a Regime-Switching Framework
by Siu, Chi Chung & Yam, Sheung Chi Phillip & Yang, Hailiang - 397-419 Optimal Investment for a Defined-Contribution Pension Scheme under a Regime Switching Model
by Chen, An & Delong, Łukasz - 421-443 Recursive Calculation of Ruin Probabilities at or Before Claim Instants for Non-Identically Distributed Claims
by Raducan, Anisoara Maria & Vernic, Raluca & Zbaganu, Gheorghita - 445-475 Composite Bernstein Copulas
by Yang, Jingping & Chen, Zhijin & Wang, Fang & Wang, Ruodu
January 2015, Volume 45, Issue 01
- 1-47 Life Insurance and Pension Contracts I: The Time Additive Life Cycle Model
by Aase, Knut K. - 49-74 Actuarial Fairness and Solidarity in Pooled Annuity Funds
by Donnelly, Catherine - 75-99 Bayesian Chain Ladder Models
by Taylor, Greg - 101-125 Pricing a Motor Extended Warranty with Limited Usage Cover
by Musakwa, Fidelis T. - 127-150 Some Advances on the Erlang(n) Dual Risk Model
by Rodríguez-Martínez, Eugenio V. & Cardoso, Rui M. R. & Egídio dos Reis, Alfredo D. - 151-173 On Some Properties of a Class of Multivariate Erlang Mixtures with Insurance Applications
by Willmot, Gordon E. & Woo, Jae-Kyung - 175-205 On Sarmanov Mixed Erlang Risks in Insurance Applications
by Hashorva, Enkelejd & Ratovomirija, Gildas - 207-238 Portfolio Selection by Minimizing the Present Value of Capital Injection Costs
by Zhou, Ming & Yuen, Kam C.
September 2014, Volume 44, Issue 03
- 495-499 An Industry Question: The Ultimate and One-Year Reserving Uncertainty for Different Non-Life Reserving Methodologies
by Dal Moro, Eric & Lo, Joseph - 501-533 Fundamental Definition of the Solvency Capital Requirement in Solvency II
by Christiansen, Marcus C. & Niemeyer, Andreas - 535-558 Annuitization Behavior: Tax Incentives vs. Product Design
by Kling, Alexander & Richter, Andreas & Ruß, Jochen - 559-585 State-Dependent Fees for Variable Annuity Guarantees
by Bernard, Carole & Hardy, Mary & Mackay, Anne - 587-612 A Posteriori Ratemaking with Panel Data
by Boucher, Jean-Philippe & Inoussa, Rofick - 613-633 On Some Properties of Two Vector-Valued Var and CTE Multivariate Risk Measures for Archimedean Copulas
by Hürlimann, Werner - 635-651 On the Optimal Dividend Problem for a Spectrally Positive Lévy Process
by Yin, Chuancun & Wen, Yuzhen & Zhao, Yongxia - 653-681 Spectral Methods for the Calculation of Risk Measures for Variable Annuity Guaranteed Benefits
by Feng, Runhuan & Volkmer, Hans W.
May 2014, Volume 44, Issue 02
- 173-195 The Importance of the Choice of Test for Finding Evidence of Asymmetric Information
by Donnelly, Catherine & Englund, Martin & Nielsen, Jens Perch - 197-236 Risk Analysis of Annuity Conversion Options in a Stochastic Mortality Environment
by Kling, Alexander & Ruß, Jochen & Schilling, Katja - 237-276 Using Model-Independent Lower Bounds to Improve Pricing of Asian Style Options in Lévy Markets
by Deelstra, Griselda & Rayée, Grégory & Vanduffel, Steven & Yao, Jing - 277-302 Distortion Risk Measures, Ambiguity Aversion and Optimal Effort
by Robert, Christian Y. & Therond, Pierre-E. - 303-334 Valuation of Mortgage Insurance Contracts with Counterparty Default Risk: Reduced-Form Approach
by Chang, Chia-Chien - 335-365 The Impact of Inflation Risk on Financial Planning and Risk-Return Profiles
by Graf, Stefan & Haertel, Lena & Kling, Alexander & Ruß, Jochen - 367-415 An Actuarial Balance Sheet Model for Defined Benefit Pay-As-You-Go Pension Systems with Disability and Retirement Contingencies
by Ventura-Marco, Manuel & Vidal-Meliá, Carlos - 417-444 Optimal Bonus-Malus Systems using Finite Mixture Models
by Tzougas, George & Vrontos, Spyridon & Frangos, Nicholas - 445-457 Bayesian Asymmetric Logit Model for Detecting Risk Factors in Motor Ratemaking
by Pérez-Sánchez, J.M. & Negrín-Hernández, M.A. & García-García, C. & Gómez-Déniz, E. - 459-494 Dividend Optimization for a Regime-Switching Diffusion Model with Restricted Dividend Rates
by Zhu, Jinxia
January 2014, Volume 44, Issue 01
- 1-38 Modeling the Mortality Trend under Modern Solvency Regimes
by Börger, Matthias & Fleischer, Daniel & Kuksin, Nikita - 39-61 Pricing and Solvency of Value-Maximizing Life Annuity Providers
by Nirmalendran, Maathumai & Sherris, Michael & Hanewald, Katja - 63-83 Statistical Approach for Open Bonus Malus
by Guerreiro, Gracinda Rita & Mexia, João Tiago & de Fátima Miguens, Maria - 85-102 A Copula Regression for Modeling Multivariate Loss Triangles and Quantifying Reserving Variability
by Shi, Peng - 103-126 Optimal Reinsurance with Limited Ceded Risk: A Stochastic Dominance Approach
by Chi, Yichun & Lin, X. Sheldon - 127-172 A Bifurcation approach for Attritional and Large Losses in Chain Ladder Calculations
by Riegel, Ulrich
September 2013, Volume 43, Issue 03
- 271-299 Var-Based Optimal Partial Hedging
by Cong, Jianfa & Tan, Ken Seng & Weng, Chengguo - 301-322 Market Value Margin Via Mean–Variance Hedging
by Tsanakas, Andreas & Wüthrich, Mario V. & Černý, Aleš - 323-357 Safe-Side Scenarios For Financial And Biometrical Risk
by Christiansen, Marcus C. & Steffensen, Mogens - 359-372 On Optimal Dividends In The Dual Model
by Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi - 373-398 Exogenous And Endogenous Risk Factors Management To Predict Surrender Behaviours
by Milhaud, Xavier - 399-428 Individual Loss Reserving With The Multivariate Skew Normal Framework
by Pigeon, Mathieu & Antonio, Katrien & Denuit, Michel
May 2013, Volume 43, Issue 02
- 73-79 Bernoulli's Law of Large Numbers
by Bolthausen, Erwin & Wüthrich, Mario V. - 81-95 Statistical Inference for Copulas in High Dimensions: A Simulation Study
by Embrechts, Paul & Hofert, Marius - 97-121 The Pricing of Mortality-Linked Contingent Claims: An Equilibrium Approach
by Tsai, Jeffrey T. & Tzeng, Larry Y. - 123-157 Hedging Mortality Claims with Longevity Bonds
by Biagini, Francesca & Rheinländer, Thorsten & Widenmann, Jan - 159-187 Participating Payout Life Annuities: Lessons from Germany
by Maurer, Raimond & Rogalla, Ralph & Siegelin, Ivonne - 189-212 Some Distributional Properties of a Class of Counting Distributions with Claims Analysis Applications
by Willmot, Gordon E. & Woo, Jae-Kyung - 213-243 From Ruin to Bankruptcy for Compound Poisson Surplus Processes
by Albrecher, Hansjörg & Lautscham, Volkmar - 245-270 Multivariate Tail Estimation with Application to Analysis of Covar
by Nguyen, Tilo & Samorodnitsky, Gennady
January 2013, Volume 43, Issue 01
- 1-20 Paid-Incurred Chain Reserving Method with Dependence Modeling
by Happ, Sebastian & Wüthrich, Mario V. - 21-37 A Correlation Sensitivity Analysis of Non-Life Underwriting Risk in Solvency Capital Requirement Estimation
by Bermúdez, Lluís & Ferri, Antoni & Guillén, Montserrat - 39-59 Distribution of the Time to Ruin in some Sparre Andersen Risk Models
by Shi, Tianxiang & Landriault, David - 61-71 An Iterativity Condition for the Mean-Value Principle Under Cumulative Prospect Theory
by Kaluszka, Marek & Krzeszowiec, Michał
November 2012, Volume 42, Issue 02
- 389-411 Invited Discussion Paper: Surprise, Surprise from Neoclassical Economics to E-Life
by Ingram, David & Tayler, Paul & Thompson, Michael - 413-452 Key Q-Duration: A Framework for Hedging Longevity Risk
by Li, Johnny Siu-Hang & Luo, Ancheng - 453-499 On the Calculation of the Solvency Capital Requirement Based on Nested Simulations
by Bauer, Daniel & Reuss, Andreas & Singer, Daniela - 501-527 The Impact of Culture on the Demand for Non-Life Insurance
by Park, Sojung Carol & Lemaire, Jean - 529-557 Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurer's Liability
by Chi, Yichun - 559-574 Are Flexible Premium Variable Annuities Under-Priced?
by Chi, Yichun & Lin, X. Sheldon - 575-600 Average Value-at-Risk Minimizing Reinsurance Under Wang's Premium Principle with Constraints
by Cheung, K.C. & Liu, F. & Yam, S.C.P. - 601-629 Tail Comonotonicity and Conservative Risk Measures
by Hua, Lei & Joe, Harry - 631-653 The Covariance Between the Surplus Prior to and at Ruin in the Classical Risk Model
by Psarrakos, Georgios & Politis, Konstadinos - 655-678 A Multivariate Discrete Poisson-Lindley Distribution: Extensions and Actuarial Applications
by Gómez-Déniz, Emilio & Sarabia, José María & Balakrishnan, N.
May 2012, Volume 42, Issue 01
- 1-34 Linear Stochastic Reserving Methods
by Dahms, René - 35-58 Modelling Claims Run-Off with Reversible Jump Markov Chain Monte Carlo Methods
by Verrall, Richard & Hössjer, Ola & Björkwall, Susanna - 59-76 Double Chain Ladder
by Miranda, María Dolores Martínez & Nielsen, Jens Perch & Verrall, Richard - 77-101 Global Warming, Extreme Weather Events, and Forecasting Tropical Cyclones: A Market-Based Forward-Looking Approach
by Chang, Carolyn W. & Chang, Jack S.K. & Lim, Kian Guan - 103-122 Mean-Value Principle under Cumulative Prospect Theory
by Kaluszka, Marek & Krzeszowiec, Michał - 123-152 Parameter Uncertainty in Exponential Family Tail Estimation
by Landsman, Z. & Tsanakas, A. - 153-180 Modeling Dependent Risks with Multivariate Erlang Mixtures
by Lee, Simon C.K. & Lin, X. Sheldon - 181-202 A Nonhomogeneous Poisson Hidden Markov Model for Claim Counts
by Lu, Yi & Zeng, Leilei - 203-232 No-Good-Deal, Local Mean-Variance and Ambiguity Risk Pricing and Hedging for an Insurance Payment Process
by Delong, Łukasz - 233-270 Experience and Exposure Rating for Property Per Risk Excess of Loss Reinsurance Revisited
by Desmedt, S. & Snoussi, M. & Chenut, X. & Walhin, J. F. - 271-290 Estimating Copulas for Insurance from Scarce Observations, Expert Opinion and Prior Information: A Bayesian Approach
by Arbenz, Philipp & Canestraro, Davide - 291-324 Bootstrapping Individual Claim Histories
by Rosenlund, Stig - 325-342 Conditional Tail Expectation and Premium Calculation
by Heras, Antonio & Balbás, Beatriz & Vilar, José Luis - 343-353 On Approximating Law-Invariant Comonotonic Coherent Risk Measures
by Nakano, Yumiharu - 355-384 Higher Moments of the Claims Development Result in General Insurance
by Salzmann, Robert & Wüthrich, Mario V. & Merz, Michael - 385-387 Paul Johansen, The First Chairman of Astin has Died
by Bühlmann, Hans & Czapiewski, Colin & Havning, Mette & Johansen, Søren
November 2011, Volume 41, Issue 02
- 279-313 Development Pattern and Prediction Error for the Stochastic Bornhuetter-Ferguson Claims Reserving Method
by Saluz, Annina & Gisler, Alois & Wüthrich, Mario V. - 315-341 Market-Consistent Valuation of Insurance Liabilities by Cost of Capital
by Möhr, Christoph - 343-376 The Impact of Genetic Information on the Insurance Industry: Conclusions from the ‘Bottom-Up’ Modelling Programme
by Macdonald, Angus & Yu, Fei - 377-418 Modelling Adult Mortality in Small Populations: The Saint Model
by Jarner, Søren Fiig & Kryger, Esben Masotti - 419-427 Modelling and Forecasting the Mortality of the Very Old
by Currie, Iain D. - 429-447 Fair Valuation of Life Insurance Contracts Under a Correlated Jump Diffusion Model
by Dong, Yinghui - 449-486 Dependent Loss Reserving using Copulas
by Shi, Peng & Frees, Edward W. - 487-509 Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
by Chi, Yichun & Tan, Ken Seng - 511-545 The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities
by Kling, Alexander & Ruez, Frederik & Ruß, Jochen - 547-574 Optimal Reinsurance Revisited – Point of View of Cedent and Reinsurer
by Hürlimann, Werner - 575-609 Modelling Dependence in Insurance Claims Processes with Lévy Copulas
by Avanzi, Benjamin & Cassar, Luke C. & Wong, Bernard - 611-644 Optimal Dividends and Capital Injections in the Dual Model with Diffusion
by Avanzi, Benjamin & Shen, Jonathan & Wong, Bernard - 645-672 Randomized Observation Periods for the Compound Poisson Risk Model: Dividends
by Albrecher, Hansjörg & Cheung, Eric C.K. & Thonhauser, Stefan - 673-710 Using the Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default
by Sigrist, Fabio & Stahel, Werner A.
May 2011, Volume 41, Issue 01
- 1-28 On Maximum Likelihood and Pseudo-Maximum Likelihood Estimation in Compound Insurance Models with Deductibles
by Paulsen, Jostein & Stubø, Knut - 29-59 Bayesian Stochastic Mortality Modelling for Two Populations
by Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Khalaf-Allah, Marwa - 61-86 Pension Fund Management and Conditional Indexation
by Kleinow, Torsten - 87-106 A Bayesian Approach for Estimating Extreme Quantiles Under a Semiparametric Mixture Model
by Cabras, Stefano & Castellanos, María Eugenia - 107-129 Cash Flow Simulation for a Model of Outstanding Liabilities Based on Claim Amounts and Claim Numbers
by Miranda, María Dolores Martínez & Nielsen, Bent & Nielsen, Jens Perch & Verrall, Richard - 131-155 Maximum Likelihood and Estimation Efficiency of the Chain Ladder
by Taylor, Greg - 157-189 Ambiguity Aversion: A New Perspective on Insurance Pricing
by Zhao, Lin & Zhu, Wei - 191-213 Measuring Comonotonicity in M-Dimensional Vectors
by Koch, Inge & De Schepper, Ann - 215-238 On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula
by Bargès, Mathieu & Cossette, Hélène & Loisel, Stéphane & Marceau, Étienne - 239-250 A Note on Subadditivity of Zero-Utility Premiums
by Denuit, Michel M. & Eeckhoudt, Louis & Menegatti, Mario - 251-277 Statistiscal Analysis of the Spreads of Catastrophe Bonds at the Time of Issue
by Papachristou, Dimitris
November 2010, Volume 40, Issue 02
- 415-451 Cost-of-Capital Margin for a General Insurance Liability Runoff
by Salzmann, Robert & Wüthrich, Mario V. - 453-489 Robust Estimation of Reserve Risk
by Busse, Marc & Müller, Ulrich & Dacorogna, Michel - 491-517 Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate
by Aase, Knut K. - 519-545 Pricing Unemployment Insurance – An Unemployment-Duration-Adjusted Approach
by Chuang, Hwei-Lin & Yu, Min-Teh - 547-568 Measurement and Transfer of Catastrophic Risks. A Simulation Analysis
by de Alba, Enrique & Zúñiga, Jesús & Corzo, Marco A. Ramírez - 569-585 Supervisory Insurance Accounting: Mathematics for Provision – and Solvency Capital – Requirements
by Artzner, Philippe & Eisele, Karl-Theodor - 587-614 First-Order Mortality Rates and Safe-Side Actuarial Calculations in Life Insurance
by Christiansen, Marcus C. & Denuit, Michel M. - 615-629 Recursive Formulas for Compound Phase Distributions – Univariate and Bivariate Cases
by Ren, Jiandong - 631-653 Analytical Pricing of the Unit-Linked Endowment with Guarantees and Periodic Premiums
by Hürlimann, Werner - 655-667 Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds
by Joshi, Mark & Pitt, David - 669-698 Evaluating Quantile Reserve for Equity-Linked Insurance in a Stochastic Volatility Model: Long vs. Short Memory
by Ho, Hwai-Chung & Yang, Sharon S. & Liu, Fang-I - 699-726 Dependent Multi-Peril Ratemaking Models
by Frees, Edward W. (Jed) & Meyers, Glenn & Cummings, A. David - 727-777 On Fire Exposure Rating and the Impact of the Risk Profile Type
by Riegel, Ulrich - 779-796 Model Selection and Claim Frequency for Workers' Compensation Insurance
by Cui, Jisheng & Pitt, David & Qian, Guoqi - 797-843 Competition-Originated Cycles and Insurance Strategies
by Malinovskii, Vsevolod K. - 845-869 Bootstrapping the Separation Method in Claims Reserving
by Björkwall, Susanna & Hössjer, Ola & Ohlsson, Esbjörn - 871-887 Prediction of RBNS and IBNR Claims using Claim Amounts and Claim Counts
by Verrall, Richard & Nielsen, Jens Perch & Jessen, Anders Hedegaard - 889-915 Economic Factors and Solvency
by Nyrhinen, Harri - 917-946 A Row-Wise Stacking of the Runoff Triangle: State Space Alternatives for IBNR Reserve Prediction
by Atherino, Rodrigo & Pizzinga, Adrian & Fernandes, Cristiano
May 2010, Volume 40, Issue 01
- 1-33 The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
by Donnelly, Catherine & Embrechts, Paul - 35-64 Survival Analysis on Pedigrees: A Marked Point Process Model
by Macdonald, Angus S. - 65-95 On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
by Bauer, Daniel & Bergmann, Daniela & Kiesel, Rüdiger - 97-121 Optimal Reinsurance for Variance Related Premium Calculation Principles
by Guerra, Manuel & Centeno, Maria de Lourdes - 123-150 Discrete-Time Risk Models Based on Time Series for Count Random Variables
by Cossette, Hélène & Marceau, Etienne & Maume-Deschamps, Véronique - 151-177 A Multilevel Analysis of Intercompany Claim Counts
by Antonio, Katrien & Frees, Edward W. & Valdez, Emiliano A. - 179-197 Optimal Risk Control for The Excess of Loss Reinsurance Policies
by Meng, Hui & Zhang, Xin - 199-219 Some Remarks on Delayed Renewal Risk Models
by Woo, Jae-Kyung - 221-239 Optimal Reinsurance Revisited – A Geometric Approach
by Cheung, Ka Chun - 241-255 A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process
by Baumgartner, Benjamin & Gatto, Riccardo - 257-269 Determining and Allocating Diversification Benefits for a Portfolio of Risks
by Choo, Weihao & de Jong, Piet - 271-279 Dispersion Estimates for Poisson and Tweedie Models
by Rosenlund, Stig - 281-306 On the Upcrossing and Downcrossing Probabilities of a Dual Risk Model With Phase-Type Gains
by Ng, Andrew C.Y. - 307-329 Pricing of Reinsurance Contracts in the Presence of Catastrophe Bonds
by Haslip, Gareth G. & Kaishev, Vladimir K. - 331-349 Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap
by Denuit, M. & Haberman, S. & Renshaw, A.E.