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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 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

Volume 45, issue 03, 2015

Differences in European Mortality Rates: A Geometric approach on the Age–Period Plane pp. 477-502 Downloads
Marcus C. Christiansen, Evgeny Spodarev and Verena Unseld
Risk Margin Quantile Function via Parametric and Non-Parametric Bayesian Approaches pp. 503-550 Downloads
Alice X.D. Dong, Jennifer S.K. Chan and Gareth W. Peters
Optimal Mix between Pay As You Go and Funding for Pension Liabilities in a Stochastic Framework pp. 551-575 Downloads
Pierre Devolder and Roberta Melis
Modeling Dependence Between loss Triangles with Hierarchical Archimedean Copulas pp. 577-599 Downloads
Anas Abdallah, Jean-Philippe Boucher and Hélène Cossette
Comparison of Approximations for Compound Poisson Processes pp. 601-637 Downloads
Raffaello Seri and Christine Choirat
Modelling Insurance Data with the Pareto Arctan Distribution pp. 639-660 Downloads
Emilio Gómez-Déniz and Enrique Calderín-Ojeda
Paths and Indices of Maximal Tail Dependence pp. 661-678 Downloads
Edward Furman, Jianxi Su and Ričardas Zitikis
Disappointment Aversion Premium Principle pp. 679-702 Downloads
Ka Chun Cheung, Wing Fung Chong, Robert Elliott and Sheung Chi Phillip Yam
Competitive Equilibria with Distortion Risk Measures pp. 703-728 Downloads
Tim J. Boonen
Fitting Mixtures of Erlangs to Censored and Truncated Data Using the EM Algorithm pp. 729-758 Downloads
Roel Verbelen, Lan Gong, Katrien Antonio, Andrei Badescu and Sheldon Lin

Volume 45, issue 02, 2015

Calculating Variable Annuity Liability “Greeks” Using Monte Carlo Simulation pp. 239-266 Downloads
Mark J. Cathcart, Hsiao Yen Lok, Alexander J. McNeil and Steven Morrison
A Quantitative Study of Chain Ladder based Pricing Approaches for Long-Tail Quota Shares pp. 267-307 Downloads
Ulrich Riegel
Credibility Claims Reserving with Stochastic Diagonal Effects pp. 309-353 Downloads
Hans Bühlmann and Franco Moriconi
Valuing Equity-Linked Death Benefits in a Regime-Switching Framework pp. 355-395 Downloads
Chi Chung Siu, Sheung Chi Phillip Yam and Hailiang Yang
Optimal Investment for a Defined-Contribution Pension Scheme under a Regime Switching Model pp. 397-419 Downloads
An Chen and Łukasz Delong
Recursive Calculation of Ruin Probabilities at or Before Claim Instants for Non-Identically Distributed Claims pp. 421-443 Downloads
Anisoara Maria Raducan, Raluca Vernic and Gheorghita Zbaganu
Composite Bernstein Copulas pp. 445-475 Downloads
Jingping Yang, Zhijin Chen, Fang Wang and Ruodu Wang

Volume 45, issue 01, 2015

Life Insurance and Pension Contracts I: The Time Additive Life Cycle Model pp. 1-47 Downloads
Knut K. Aase
Actuarial Fairness and Solidarity in Pooled Annuity Funds pp. 49-74 Downloads
Catherine Donnelly
Bayesian Chain Ladder Models pp. 75-99 Downloads
Greg Taylor
Pricing a Motor Extended Warranty with Limited Usage Cover pp. 101-125 Downloads
Fidelis T. Musakwa
Some Advances on the Erlang(n) Dual Risk Model pp. 127-150 Downloads
Eugenio V. Rodríguez-Martínez, Rui M. R. Cardoso and Alfredo Egidio dos Reis
On Some Properties of a Class of Multivariate Erlang Mixtures with Insurance Applications pp. 151-173 Downloads
Gordon E. Willmot and Jae-Kyung Woo
On Sarmanov Mixed Erlang Risks in Insurance Applications pp. 175-205 Downloads
Enkelejd Hashorva and Gildas Ratovomirija
Portfolio Selection by Minimizing the Present Value of Capital Injection Costs pp. 207-238 Downloads
Ming Zhou and Kam C. Yuen
Page updated 2017-07-27