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November 2023, Volume 2023, Issue 10
- 933-945 Consistent development patterns
by Walther Neuhaus - 946-973 Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells
by M. Lindholm & F. Lindskog & J. Palmquist - 974-999 Transaction time models in multi-state life insurance
by Kristian Buchardt & Christian Furrer & Oliver Lunding Sandqvist - 1000-1021 Managing cyber risk, a science in the making
by Michel Dacorogna & Marie Kratz
October 2023, Volume 2023, Issue 9
- 853-884 Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio
by Bavo D. C. Campo & Katrien Antonio - 885-906 A refracted Lévy process with delayed dividend pullbacks
by Zijia Wang & Mohamed Amine Lkabous & David Landriault - 907-915 A note on bivariate survival functions following a law of uniform seniority
by Alexander Schimmele & Klaus D. Schmidt - 916-932 Mortality forecasting using the four-way CANDECOMP/PARAFAC decomposition
by Giovanni Cardillo & Paolo Giordani & Susanna Levantesi & Andrea Nigri & Alessandro Spelta
September 2023, Volume 2023, Issue 8
- 765-787 Sequential Monte Carlo samplers to fit and compare insurance loss models
by Pierre-O. Goffard - 788-810 Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms
by Hansjörg Albrecher & Brandon Garcia Flores - 811-833 Time-inconsistent view on a dividend problem with penalty
by Josef Anton Strini & Stefan Thonhauser - 834-852 Insurance pricing in an equilibrium model
by Frank Y. Feng & Xudong Zeng & Guanxia Zhu
August 2023, Volume 2023, Issue 7
- 655-678 Some optimisation problems in insurance with a terminal distribution constraint
by Katia Colaneri & Julia Eisenberg & Benedetta Salterini - 679-707 Approximating the classical risk process by stable Lévy motion
by Jingyi Cao & Virginia R. Young - 708-734 Valuation of variable annuities under stochastic volatility and stochastic jump intensity
by Wei Zhong & Dan Zhu & Zhimin Zhang - 735-763 Stackelberg differential game for insurance under model ambiguity: general divergence
by Jingyi Cao & Dongchen Li & Virginia R. Young & Bin Zou
July 2023, Volume 2023, Issue 6
- 531-564 The impact of correlation on (Range) Value-at-Risk
by Carole Bernard & Corrado De Vecchi & Steven Vanduffel - 565-597 Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
by Xue Dong & Ximin Rong & Hui Zhao - 598-623 Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity
by Jingyi Cao & Virginia R. Young - 624-654 Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
by J. Lars Kirkby & Jean-Philippe Aguilar
May 2023, Volume 2023, Issue 5
- 413-449 Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
by Wenyuan Wang & Dmitry Muravey & Yang Shen & Yan Zeng - 450-476 Actuarial pricing with financial methods
by Alejandro Balbás & Beatriz Balbás & Raquel Balbás & Antonio Heras - 477-508 On the surplus management of funds with assets and liabilities in presence of solvency requirements
by Benjamin Avanzi & Ping Chen & Lars Frederik Brandt Henriksen & Bernard Wong - 509-529 A simple Bayesian state-space approach to the collective risk models
by Jae Youn Ahn & Himchan Jeong & Yang Lu
April 2023, Volume 2023, Issue 4
- 303-329 Phase-type mixture-of-experts regression for loss severities
by Martin Bladt & Jorge Yslas - 330-358 Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
by Meiqiao Ai & Zhimin Zhang & Dan Zhu - 359-387 Socioeconomic differentials in mortality: implications on index-based longevity hedges
by Pintao Lyu & Johnny Siu-Hang Li & Kenneth Q. Zhou - 388-410 Conditional increments of aggregate discounted claims with a trend
by Ghislain Léveillé & Ilie Radu Mitric - 411-411 Correction
by The Editors
March 2023, Volume 2023, Issue 3
- 219-243 Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
by Hamza Hanbali & Daniël Linders & Jan Dhaene - 244-268 A multi-state model for sick leave and its impact on partial early retirement incentives: the case of the Netherlands
by Sophie de Mol van Otterloo & Jennifer Alonso-García - 269-289 Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory
by Zuo Quan Xu - 290-302 An impossibility theorem on capital allocation
by Yuanying Guan & Andreas Tsanakas & Ruodu Wang
February 2023, Volume 2023, Issue 2
- 97-122 Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
by Budhi Surya & Wenyuan Wang & Xianghua Zhao & Xiaowen Zhou - 123-152 Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
by Ling Wang & Mei Choi Chiu & Hoi Ying Wong - 153-190 Finite-time ruin probabilities using bivariate Laguerre series
by Eric C. K. Cheung & Hayden Lau & Gordon E. Willmot & Jae-Kyung Woo - 191-217 Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
by Karim Barigou & Daniël Linders & Fan Yang
January 2023, Volume 2023, Issue 1
- 1-19 Reserve-dependent Management Actions in life insurance
by Debbie Kusch Falden & Anna Kamille Nyegaard - 20-37 Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process
by A. Y. Golubin & V. N. Gridin - 38-50 q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model
by Yuxuan Liu & Zhengjun Jiang & Yiwen Zhang - 51-70 On the decomposition of an insurer's profits and losses
by Marcus C. Christiansen - 71-95 LocalGLMnet: interpretable deep learning for tabular data
by Ronald Richman & Mario V. Wüthrich
November 2022, Volume 2022, Issue 10
- 841-866 Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link
by Donatien Hainaut & Julien Trufin & Michel Denuit - 867-900 Variable annuity pricing, valuation, and risk management: a survey
by Runhuan Feng & Guojun Gan & Ning Zhang - 901-925 A general surplus decomposition principle in life insurance
by Julian Jetses & Marcus C. Christiansen
October 2022, Volume 2022, Issue 9
- 749-774 Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
by Ailing Gu & Shumin Chen & Zhongfei Li & Frederi G. Viens - 775-793 Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility
by Wenjun Jiang - 794-815 Robust reinsurance contract with learning and ambiguity aversion
by Duni Hu & Hailong Wang - 816-840 Analytic valuation of GMDB options with utility based asset allocation
by Eric R. Ulm
September 2022, Volume 2022, Issue 8
- 659-681 Hereditarity of potential matrices and positive affine prediction of nonnegative risks from mixture models
by Jean Pinquet - 682-694 Gambler's ruin problem in a Markov-modulated jump-diffusion risk model
by Yuxuan Liu & Zhengjun Jiang & Yixin Qu - 695-717 Modelling mortality by continuous benefit amount
by Stephen J. Richards - 718-748 Utilitarian versus neutralitarian design of endowment fund policies
by Johannes M. Schumacher
August 2022, Volume 2022, Issue 7
- 565-590 Ruin probabilities for risk process in a regime-switching environment
by Zbigniew Palmowski - 591-626 Mortality forecasting using stacked regression ensembles
by Salvatory R. Kessy & Michael Sherris & Andrés M. Villegas & Jonathan Ziveyi - 627-658 Modeling surrender risk in life insurance: theoretical and experimental insight
by Mark Kiermayer
July 2022, Volume 2022, Issue 6
- 471-487 Gamma, Gaussian and Poisson approximations for random sums using size-biased and generalized zero-biased couplings
by Fraser Daly - 488-509 An innovative design of flexible, bequest-enhanced life annuity with natural hedging
by Yuxin Zhou & Michael Sherris & Jonathan Ziveyi & Mengyi Xu - 510-531 Fractional inhomogeneous multi-state models in life insurance
by Martin Bladt - 532-551 Bowley reinsurance with asymmetric information: a first-best solution
by Tim J. Boonen & Yiying Zhang - 552-564 Hierarchical credibility pseudo-estimators
by Stig Rosenlund
May 2022, Volume 2022, Issue 5
- 375-398 Hierarchical Bayesian modeling of multi-country mortality rates
by Tzuling Lin & Cary Chi-Liang Tsai - 399-420 Multivariate higher order moments in multi-state life insurance
by Jamaal Ahmad - 421-446 Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
by Vanessa Hanna & Peter Hieber & Pierre Devolder - 447-469 An application of risk theory to mortgage lending
by J. Akahori & C. Constantinescu & Y. Imamura & H. H. Pham
April 2022, Volume 2022, Issue 4
- 279-306 Dynamic reinsurance in discrete time minimizing the insurer's cost of capital
by Alexander Glauner - 307-327 Solving life-cycle problems with biometric risk by artificial insurance markets
by Christoph Hambel & Holger Kraft & Claus Munk - 328-355 Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
by Yu Yuan & Zhibin Liang & Xia Han - 356-374 Dispersion modelling of mortality for both sexes with Tweedie distributions
by Jackie Li & David Pitt & Han Li
March 2022, Volume 2022, Issue 3
- 189-215 A multivariate CVaR risk measure from the perspective of portfolio risk management
by Jun Cai & Huameng Jia & Tiantian Mao - 216-233 Spatial modelling of risk premiums for water damage insurance
by Jens Christian Wahl & Fredrik Lohne Aanes & Kjersti Aas & Sindre Froyn & Daniel Piacek - 234-243 Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model
by Zhengjun Jiang - 244-268 Portfolio optimization with wealth-dependent risk constraints
by Marcos Escobar-Anel & Markus Wahl & Rudi Zagst - 269-278 A note on pandemic mortality rates
by Patrik Andersson & Mathias Lindholm
February 2022, Volume 2022, Issue 2
- 94-114 An actuarial model of arrhythmogenic right ventricular cardiomyopathy and life insurance
by Oytun Haçarız & Torsten Kleinow & Angus S. Macdonald - 115-138 On the analysis of a discrete-time risk model with INAR(1) processes
by Guohui Guan & Xiang Hu - 139-164 Tail index-linked annuity: A longevity risk sharing retirement plan
by An Chen & Hong Li & Mark B. Schultze - 165-188 A perturbation approach to optimal investment, liability ratio, and dividend strategies
by Zhuo Jin & Zuo Quan Xu & Bin Zou
January 2022, Volume 2022, Issue 1
- 1-28 Collective reserving using individual claims data
by Łukasz Delong & Mathias Lindholm & Mario V. Wüthrich - 29-48 Optimal reinsurance with model uncertainty and Stackelberg game
by Joshua Gavagan & Liang Hu & Gee Y. Lee & Haiyan Liu & Anna Weixel - 49-63 Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times
by Hanspeter Schmidli - 64-79 Mortality forecasting at age 65 and above: an age-specific evaluation of the Lee-Carter model
by Marie-Pier Bergeron-Boucher & Søren Kjærgaard - 80-93 Group cohesion under individual regulatory constraints
by Delia Coculescu & Freddy Delbaen
November 2021, Volume 2021, Issue 10
- 832-865 Household consumption-investment-insurance decisions with uncertain income and market ambiguity
by Ning Wang & Zhuo Jin & Tak Kuen Siu & Ming Qiu - 866-889 On the risk of credibility premium rules
by Søren Asmussen & Corina Constantinescu & Julie Thøgersen - 890-915 Finite-time ruin probability for correlated Brownian motions
by Krzysztof Dȩbicki & Enkelejd Hashorva & Konrad Krystecki - 916-935 Poissonian occupation times of spectrally negative Lévy processes with applications
by Mohamed Amine Lkabous - 936-968 Functional sensitivity analysis of ruin probability in the classical risk models
by Fatah Cheurfa & Baya Takhedmit & Sofiane Ouazine & Karim Abbas - 969-997 Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework
by Peng Yang & Zhiping Chen & Xiangyu Cui - 998-1016 Age-coherent extensions of the Lee–Carter model
by Guangyuan Gao & Yanlin Shi - 1017-1036 Spatial Tweedie exponential dispersion models: an application to insurance rate-making
by Aritra Halder & Shariq Mohammed & Kun Chen & Dipak K. Dey
October 2021, Volume 2021, Issue 9
- 744-778 Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
by Peng Li & Runhuan Feng - 779-803 A non-convex regularization approach for stable estimation of loss development factors
by Himchan Jeong & Hyunwoong Chang & Emiliano A. Valdez - 804-831 Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
by Eric C. K. Cheung & Zhimin Zhang
September 2021, Volume 2021, Issue 8
- 645-670 Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
by Benjamin Avanzi & Hayden Lau & Bernard Wong - 671-694 Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models
by Caroline Hillairet & Olivier Lopez - 695-725 Stochastic modeling of assets and liabilities with mortality risk
by Sergio Alvares Maffra & John Armstrong & Teemu Pennanen - 726-743 A law of uniform seniority for dependent lives
by Christian Genest & Nikolai Kolev
August 2021, Volume 2021, Issue 7
- 543-571 Structure of intergenerational risk-sharing plans: optimality and fairness
by Xiaobai Zhu & Mary Hardy & David Saunders - 572-598 Time-series forecasting of mortality rates using deep learning
by Francesca Perla & Ronald Richman & Salvatore Scognamiglio & Mario V. Wüthrich - 599-622 Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
by Yanchun Zhao & Tiantian Mao & Fan Yang - 623-644 Bowley reinsurance with asymmetric information on the insurer's risk preferences
by Tim J. Boonen & Ka Chun Cheung & Yiying Zhang
July 2021, Volume 2021, Issue 6
- 457-475 Retrospective reserves and bonus
by Kenneth Bruhn & Alexander Sevel Lollike - 476-504 On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment
by Claude Lefèvre & Stéphane Loisel & Pierre Montesinos - 505-531 Optimal contribution rate of PAYGO pension
by Lin He & Zongxia Liang & Yilun Song & Qi Ye - 532-542 Two-step risk analysis in insurance ratemaking
by Seul Ki Kang & Liang Peng & Andrew Golub
May 2021, Volume 2021, Issue 5
- 362-379 Ruin probability in a two-dimensional model with correlated Brownian motions
by Peter Grandits & Maike Klein - 380-407 Matrix calculation for ultimate and 1-year risk in the Semi-Markov individual loss reserving model
by Carole Bettonville & Louise d'Oultremont & Michel Denuit & Julien Trufin & Robin Van Oirbeek - 408-436 Market pricing of longevity-linked securities
by Sixian Tang & Jackie Li - 437-455 Tontines with mixed cohorts
by An Chen & Linyi Qian & Zhixin Yang
April 2021, Volume 2021, Issue 4
- 266-294 Time-consistent and market-consistent actuarial valuation of the participating pension contract
by Ahmad Salahnejhad Ghalehjooghi & Antoon Pelsser - 295-322 Grouping of contracts in insurance using neural networks
by Mark Kiermayer & Christian Weiß - 323-334 Optimal prevention of large risks with two types of claims
by Romain Gauchon & Stéphane Loisel & Jean-Louis Rulliere & Julien Trufin - 335-361 Optimal dividend strategy for an insurance group with contagious default risk
by Zhuo Jin & Huafu Liao & Yue Yang & Xiang Yu
March 2021, Volume 2021, Issue 3
- 1-1 Correction
by The Editors - 171-197 Financial position and performance in IFRS 17
by Lina Palmborg & Mathias Lindholm & Filip Lindskog - 198-217 Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
by Mi Chen & Kam Chuen Yuen & Wenyuan Wang - 218-247 Ranking the extreme claim amounts in dependent individual risk models
by Nuria Torrado & Jorge Navarro - 248-265 Quantile hedging in a defaultable market with life insurance applications
by Anna Glazyrina & Alexander Melnikov
February 2021, Volume 2021, Issue 2
- 82-109 Robust optimal investment and reinsurance problems with learning
by Nicole Bäuerle & Gregor Leimcke - 110-133 Life expectancy and lifespan disparity forecasting: a long short-term memory approach
by Andrea Nigri & Susanna Levantesi & Mario Marino - 134-155 Stochastic modelling and projection of mortality improvements using a hybrid parametric/semi-parametric age–period–cohort model
by Erengul Dodd & Jonathan J. Forster & Jakub Bijak & Peter W. F. Smith - 156-170 An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking
by Fabio Baione & Davide Biancalana
January 2021, Volume 2021, Issue 1
- 1-33 On copula-based collective risk models: from elliptical copulas to vine copulas
by Rosy Oh & Jae Youn Ahn & Woojoo Lee - 34-53 Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays
by Olivier Lopez & Xavier Milhaud - 54-81 Genetics, insurance and hypertrophic cardiomyopathy
by Oytun Haçarız & Torsten Kleinow & Angus S. Macdonald
November 2020, Volume 2020, Issue 10
- 864-878 Modelling seasonal mortality with individual data
by Stephen J. Richards & Stefan J. Ramonat & Gregory T. Vesper & Torsten Kleinow - 879-903 Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
by Xia Han & Zhibin Liang & Virginia R. Young - 904-933 Indifference pricing of pure endowments via BSDEs under partial information
by Claudia Ceci & Katia Colaneri & Alessandra Cretarola - 934-961 Tax- and expense-modified risk-minimization for insurance payment processes
by Kristian Buchardt & Christian Furrer & Thomas Møller
October 2020, Volume 2020, Issue 9
- 776-791 Incorporating structural changes in mortality improvements for mortality forecasting
by Jackie Li & Kenneth Wong - 792-818 Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
by Ze Chen & Bingzheng Chen & Jan Dhaene - 819-842 On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models
by Lanpeng Ji - 843-863 Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach
by Le Chang & Yanlin Shi
September 2020, Volume 2020, Issue 8
- 1-1 Correction
by The Editors - 677-699 Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
by Guohui Guan & Xiaojun Wang - 700-717 A multiple state model for the working-age disabled population using cross-sectional data
by Poontavika Naka & María del Carmen Boado-Penas & Gauthier Lanot - 718-735 Approximation of ruin probability and ruin time in discrete Brownian risk models
by Grigori Jasnovidov - 736-753 On a discrete-time risk model with time-dependent claims and impulsive dividend payments
by Lianzeng Zhang & He Liu - 754-775 Multi-population mortality forecasting using tensor decomposition
by Yumo Dong & Fei Huang & Honglin Yu & Steven Haberman
August 2020, Volume 2020, Issue 7
- 577-613 Weighted utility optimization of the participating endowment contract
by Lin He & Zongxia Liang & Yang Liu & Ming Ma - 614-633 The Lee-Carter quantile mortality model
by Miguel Santolino - 634-649 Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors
by Liang Hong & Ryan Martin - 650-676 Cohort and value-based multi-country longevity risk management
by Michael Sherris & Yajing Xu & Jonathan Ziveyi
July 2020, Volume 2020, Issue 6
- 477-502 Continuous chain-ladder with paid data
by Stephan M. Bischofberger & Munir Hiabu & Alex Isakson - 503-525 Combined tail estimation using censored data and expert information
by Martin Bladt & Hansjörg Albrecher & Jan Beirlant - 526-552 Continuous-time multi-cohort mortality modelling with affine processes
by Yajing Xu & Michael Sherris & Jonathan Ziveyi - 553-576 Generalized log-normal chain-ladder
by D. Kuang & B. Nielsen
May 2020, Volume 2020, Issue 5
- 376-395 Nonlinearly transformed risk measures: properties and application to optimal reinsurance
by Mario Brandtner & Wolfgang Kürsten & Robert Rischau - 396-418 Proportional reinsurance and investment in multiple risky assets under borrowing constraint
by Haluk Yener - 419-453 Robust reinsurance contracts with risk constraint
by Ning Wang & Tak Kuen Siu - 454-476 Efficiency of institutional spending and investment rules
by Johannes M. Schumacher
April 2020, Volume 2020, Issue 4
- 272-291 A multivariate Markov chain stock model
by Guglielmo D'Amico & Riccardo De Blasis - 292-306 On series expansions for scale functions and other ruin-related quantities
by David Landriault & Gordon E. Willmot - 307-322 Dynamic principal component regression for forecasting functional time series in a group structure
by Han Lin Shang - 323-341 A ruin model with a resampled environment
by C. Constantinescu & G. Delsing & M. Mandjes & L. Rojas Nandayapa - 342-375 Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
by Ailing Gu & Frederi G. Viens & Yang Shen
March 2020, Volume 2020, Issue 3
- 172-195 Bonus-Malus premiums under the dependent frequency-severity modeling
by Rosy Oh & Peng Shi & Jae Youn Ahn - 196-217 Cash flow techniques for asset liability management
by Kim Aguirre Nolsøe & Dieter Degrijse & Sofie Ahm & Kristoffer Brix & Mads Storgaard & Jesper Strodl - 218-244 Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
by Zhongyang Sun & Xin Zhang & Kam Chuen Yuen - 245-271 Budget-constrained optimal retention with an upper limit on the retained loss
by Mario Ghossoub
February 2020, Volume 2020, Issue 2
- 84-109 Optimal asset allocation for participating contracts under the VaR and PI constraint
by Yinghui Dong & Sang Wu & Wenxin Lv & Guojing Wang - 110-127 A Hermite-spline model of post-retirement mortality
by Stephen J. Richards - 128-151 Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates
by Yuying Liu & Zhaoyang Liu & Guoxin Liu - 152-171 Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
by Brian Hartman & Chris Groendyke & David Engler
January 2020, Volume 2020, Issue 1
- 1-29 Neural network embedding of the over-dispersed Poisson reserving model
by Andrea Gabrielli & Ronald Richman & Mario V. Wüthrich - 30-43 Regulatory measures for distressed insurance undertakings: a comparative study
by An Chen & Peter Hieber & Lars Lämmlein - 44-83 Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
by David Baños & Erik Bølviken & Sindre Duedahl & Frank Proske
November 2019, Volume 2019, Issue 10
- 824-836 Concordance-based predictive measures in regression models for discrete responses
by Michel Denuit & Mhamed Mesfioui & Julien Trufin - 837-866 On additivity of tail comonotonic risks
by Ka Chun Cheung & Hok Kan Ling & Qihe Tang & Sheung Chi Phillip Yam & Fei Lung Yuen - 867-902 Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure
by K. Fergusson - 903-923 Reinsurance premium principles based on weighted loss functions
by Jun Cai & Ying Wang
October 2019, Volume 2019, Issue 9
- 729-751 Budget-constrained optimal reinsurance design under coherent risk measures
by Ka Chun Cheung & Wing Fung Chong & Ambrose Lo - 752-767 Optimal proportional reinsurance with a loss-dependent premium principle
by Duni Hu & Hailong Wang - 768-783 Representation of concave distortions and applications
by Gero Junike - 784-798 Reinsurance contract design with adverse selection
by K. C. Cheung & S. C. P. Yam & F. L. Yuen - 799-823 A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time
by Florin Avram & Dan Goreac
September 2019, Volume 2019, Issue 8
- 637-641 Ragnar Norberg (1945–2017): an actuary of a unique kind
by Mogens Steffensen - 642-660 Extending composite loss models using a general framework of advanced computational tools
by Bettina Grün & Tatjana Miljkovic - 661-685 The maximum entropy mortality model: forecasting mortality using statistical moments
by Marius D. Pascariu & Adam Lenart & Vladimir Canudas-Romo - 686-710 Multivariate Cox Hidden Markov models with an application to operational risk
by Tsz Chai Fung & Andrei L. Badescu & X. Sheldon Lin - 711-728 A unified approach to ruin probabilities with delays for spectrally negative Lévy processes
by Mohamed Amine Lkabous & Jean-François Renaud
August 2019, Volume 2019, Issue 7
- 548-557 Gibbs posterior inference on value-at-risk
by Nicholas Syring & Liang Hong & Ryan Martin - 558-584 A general class of distortion operators for pricing contingent claims with applications to CAT bonds
by Frédéric Godin & Van Son Lai & Denis-Alexandre Trottier - 585-603 Intrinsic objective Bayesian estimation of the mean of the Tweedie family
by Limor Langbord & Zinoviy Landsman & Udi E. Makov - 604-620 An introduction to gevistic regression mortality models
by Anthony Medford & James W. Vaupel - 621-635 One-year estimation uncertainty in some claim development models
by Walther Neuhaus
July 2019, Volume 2019, Issue 6
- 453-477 A criterion for the comparison of binary classifiers based on a stochastic dominance with an application to the sale of home insurances
by María Concepción López-Díaz & Miguel López-Díaz & Sergio Martínez-Fernández - 478-507 Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
by Peter Hieber & Jan Natolski & Ralf Werner - 508-522 Spatial statistical modelling of insurance risk: a spatial epidemiological approach to car insurance
by Oskar Tufvesson & Johan Lindström & Erik Lindström - 523-547 Survival analysis of pension scheme mortality when data are missing
by Francesco Ungolo & Marcus C. Christiansen & Torsten Kleinow & Angus S. MacDonald
May 2019, Volume 2019, Issue 5
- 355-386 Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times
by Eric C.K. Cheung & Runhuan Feng - 387-405 Multivariate lifetime distributions for the exponential dispersion family
by Daniel H. Alai - 406-431 A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates
by Cary Chi-Liang Tsai & Ying Zhang - 432-451 Interplay of insurance and financial risks in a stochastic environment
by Qihe Tang & Yang Yang
April 2019, Volume 2019, Issue 4
- 273-290 Comparisons of aggregate claim numbers and amounts: a study of heterogeneity
by Yiying Zhang & Peng Zhao & Ka Chun Cheung - 291-307 Computing the Gerber–Shiu function by frame duality projection
by Wenyuan Wang & Zhimin Zhang - 308-335 Approximation methods for piecewise deterministic Markov processes and their costs
by Peter Kritzer & Gunther Leobacher & Michaela Szölgyenyi & Stefan Thonhauser - 336-354 The expected discounted penalty function: from infinite time to finite time
by Shuanming Li & Yi Lu & Kristina P. Sendova