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ASTIN Bulletin: The Journal of the International Actuarial Association

1958 - 2017

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.

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Volume 47, issue 03, 2017

A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES pp. 631-679 Downloads
Andrés M. Villegas, Steven Haberman, Vladimir K. Kaishev and Pietro Millossovich
A BAYESIAN JOINT MODEL FOR POPULATION AND PORTFOLIO-SPECIFIC MORTALITY pp. 681-713 Downloads
Frank van Berkum, Katrien Antonio and Michel Vellekoop
TESTING FOR A UNIT ROOT IN LEE–CARTER MORTALITY MODEL pp. 715-735 Downloads
Xuan Leng and Liang Peng
PROBABILITY OF SUFFICIENCY OF SOLVENCY II RESERVE RISK MARGINS: PRACTICAL APPROXIMATIONS pp. 737-785 Downloads
Eric Dal Moro and Yuriy Krvavych
AN ECONOMIC PREMIUM PRINCIPLE UNDER THE DUAL THEORY OF THE SMOOTH AMBIGUITY MODEL pp. 787-801 Downloads
Yoichiro Fujii, Hideki Iwaki and Yusuke Osaki
LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION pp. 803-836 Downloads
Jan Dhaene, Els Godecharle, Katrien Antonio, Michel Denuit and Hamza Hanbali
BROKEN-HEART, COMMON LIFE, HETEROGENEITY: ANALYZING THE SPOUSAL MORTALITY DEPENDENCE pp. 837-874 Downloads
Yang Lu
RATEMAKING OF DEPENDENT RISKS pp. 875-894 Downloads
J. M. Andrade e Silva and M. de Lourdes Centeno
THE FULL TAILS GAMMA DISTRIBUTION APPLIED TO MODEL EXTREME VALUES pp. 895-917 Downloads
Joan del Castillo, Jalila Daoudi and Isabel Serra
BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL pp. 919-942 Downloads
Edward Furman and Ričardas Zitikis
BAYESIAN ANALYSIS OF BIG DATA IN INSURANCE PREDICTIVE MODELING USING DISTRIBUTED COMPUTING pp. 943-961 Downloads
Yanwei Zhang

Volume 47, issue 02, 2017

COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY pp. 361-389 Downloads
Haiyan Liu and Ruodu Wang
RISK SHARING WITH EXPECTED AND DUAL UTILITIES pp. 391-415 Downloads
Tim J. Boonen
MEASURING THE IMPACT OF A BONUS-MALUS SYSTEM IN FINITE AND CONTINUOUS TIME RUIN PROBABILITIES FOR LARGE PORTFOLIOS IN MOTOR INSURANCE pp. 417-435 Downloads
Lourdes B. Afonso, Rui M. R. Cardoso, Alfredo Egidio dos Reis and Gracinda Rita Guerreiro
TERRITORIAL RISK CLASSIFICATION USING SPATIALLY DEPENDENT FREQUENCY-SEVERITY MODELS pp. 437-465 Downloads
Peng Shi and Kun Shi
A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS pp. 467-499 Downloads
Ambrose Lo
RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS pp. 501-525 Downloads
Chou-Wen Wang and Hong-Chih Huang
CONTINUOUS-TIME SEMI-MARKOV INFERENCE OF BIOMETRIC LAWS ASSOCIATED WITH A LONG-TERM CARE INSURANCE PORTFOLIO pp. 527-561 Downloads
Guillaume Biessy
COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH pp. 563-600 Downloads
Hong Li and Yang Lu
MODELLING MORTALITY FOR PENSION SCHEMES pp. 601-629 Downloads
Andrew Hunt and David Blake

Volume 47, issue 01, 2017

EXISTENCE AND UNIQUENESS OF CHAIN LADDER SOLUTIONS pp. 1-41 Downloads
Greg Taylor
LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS pp. 43-77 Downloads
Craig Blackburn, Katja Hanewald, Annamaria Olivieri and Michael Sherris
THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK pp. 79-151 Downloads
Yanxin Liu and Johnny Siu-Hang Li
MODEL SELECTION AND AVERAGING OF HEALTH COSTS IN EPISODE TREATMENT GROUPS pp. 153-167 Downloads
Shujuan Huang, Brian Hartman and Vytaras Brazauskas
APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION pp. 169-198 Downloads
Zhimin Zhang
REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL pp. 199-238 Downloads
José-Luis Pérez and Kazutoshi Yamazaki
OPTIMAL FINANCING AND DIVIDEND DISTRIBUTION WITH TRANSACTION COSTS IN THE CASE OF RESTRICTED DIVIDEND RATES pp. 239-268 Downloads
Jinxia Zhu
POTENTIAL GAMES WITH AGGREGATION IN NON-COOPERATIVE GENERAL INSURANCE MARKETS pp. 269-302 Downloads
Renchao Wu and Athanasios A. Pantelous
RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES pp. 303-329 Downloads
Tim J. Boonen
A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT pp. 331-357 Downloads
Jianxi Su and Edward Furman
SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL-CORRIGENDUM pp. 359-359 Downloads
Evgueni Gordienko and Patricia Vázquez-Ortega

Volume 46, issue 03, 2016

A Credibility Approach for Combining Likelihoods of Generalized Linear Models pp. 531-569 Downloads
Marcus C. Christiansen and Edo Schinzinger
Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating pp. 571-604 Downloads
Moshe A. Milevsky and Thomas S. Salisbury
Optimal Asset Allocation in Life Insurance: The Impact of Regulation pp. 605-626 Downloads
An Chen and Peter Hieber
How Accurately does 70% Final Employment Earnings Replacement Measure Retirement Income (In)Adequacy? Introducing the Living Standards Replacement Rate (LSRR) pp. 627-676 Downloads
Bonnie-Jeanne MacDonald, Lars Osberg and Kevin D. Moore
Guarantee Valuation in Notional Defined Contribution Pension Systems pp. 677-707 Downloads
Jennifer Alonso-García and Pierre Devolder
On the Interface Between Optimal Periodic and Continuous Dividend Strategies in the Presence of Transaction Costs pp. 709-746 Downloads
Benjamin Avanzi, Vincent Tu and Bernard Wong
Robust Stability, Stabilisation and H-Infinity Control for Premium-Reserve Models in a Markovian Regime Switching Discrete-Time Framework pp. 747-778 Downloads
Lin Yang, Athanasios A. Pantelous and Hirbod Assa
Efficient Estimation of Erlang Mixtures Using iSCAD Penalty with Insurance Application pp. 779-799 Downloads
Cuihong Yin and X. Sheldon Lin
Simple Continuity Inequalities for Ruin Probability in the Classical Risk Model pp. 801-814 Downloads
Evgueni Gordienko and Patricia Vázquez-Ortega
Optimal Reinsurance from the Perspectives of both an Insurer and a Reinsurer pp. 815-849 Downloads
Jun Cai, Christiane Lemieux and Fangda Liu

Volume 46, issue 02, 2016

Consistent Yield Curve Prediction pp. 191-224 Downloads
Josef Teichmann and Mario V. Wüthrich
Correlations Between Insurance Lines of Business: An Illusion or a Real Phenomenon? Some Methodological Considerations pp. 225-263 Downloads
Benjamin Avanzi, Greg Taylor and Bernard Wong
Insurance Loss Coverage under Restricted Risk Classification: The case of ISO-Elastic Demand pp. 265-291 Downloads
MingJie Hao, Angus S. Macdonald, Pradip Tapadar and R. Guy Thomas
Chain Ladder and Error Propagation pp. 293-330 Downloads
Ancus Röhr
Life Care Annuities (LCA) Embedded in a Notional Defined Contribution (NDC) Framework pp. 331-363 Downloads
Javier Pla-Porcel, Manuel Ventura-Marco and Carlos Vidal-Melia
Optimal Dividend and Reinsurance Strategies with Financing and Liquidation Value pp. 365-399 Downloads
Dingjun Yao, Hailiang Yang and Rongming Wang
Modeling the Number of Insured Households in an Insurance Portfolio using Queuing theory pp. 401-430 Downloads
Jean-Philippe Boucher and Guillaume Couture-Piché
The Efficient Computation and the Sensitivity Analysis of Finite-Time Ruin Probabilities and the Estimation of Risk-Based Regulatory Capital pp. 431-467 Downloads
Mark Joshi and Dan Zhu
Using Weighted Distributions to Model Operational Risk pp. 469-485 Downloads
Lourdes B. Afonso and Pedro Corte Real
Marital Status as a Risk Factor in Life Insurance: An Empirical Study in Taiwan pp. 487-505 Downloads
Hsin Chung Wang, Jack C. Yue and Yi-Hsuan Tsai
Pricing in Reinsurance Bargaining with Comonotonic Additive Utility Functions pp. 507-530 Downloads
Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang

Volume 46, issue 01, 2016

Taming Uncertainty: The limits to Quantification pp. 1-7 Downloads
Andreas Tsanakas, M. Bruce Beck and Michael Thompson
International Cause-Specific Mortality Rates: New Insights from a Cointegration Analysis pp. 9-38 Downloads
Séverine Arnold-Gaille and Michael Sherris
The use of Annual Mileage as a Rating Variable pp. 39-69 Downloads
Jean Lemaire, Sojung Carol Park and Kili C. Wang
Life Insurance and Pension Contracts II: The Life Cycle Model with Recursive Utility pp. 71-102 Downloads
Knut K. Aase
How a Single-Factor Capm Works in a Multi-Currency World pp. 103-139 Downloads
Robert Thomson, Şule Şahin and Taryn Reddy
The Design of an Optimal Retrospective Rating Plan pp. 141-163 Downloads
Xinxiang Chen, Yichun Chi and Ken Seng Tan
Modeling Longevity Risk with Generalized Dynamic Factor Models and Vine-Copulae pp. 165-190 Downloads
Helena Chuliá, Montserrat Guillén and Jorge Uribe Gil
Page updated 2017-09-21