Annals of Actuarial Science

2006 - 2024

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 18, issue 3, 2024

On clustering levels of a hierarchical categorical risk factor pp. 540-578

Bavo D.C. Campo and Katrien Antonio

Nonparametric intercept regularization for insurance claim frequency regression models pp. 579-604

Gee Y. Lee and Himchan Jeong

Boosted Poisson regression trees: a guide to the BT package in R pp. 605-625

Gireg Willame, Julien Trufin and Michel Denuit

Modeling mortality with Kernel Principal Component Analysis (KPCA) method pp. 626-643

Yuanqi Wu, Andrew Chen, Yanbin Xu, Guangming Pan and Wenjun Zhu

Interpretable zero-inflated neural network models for predicting admission counts pp. 644-674

Alex Jose, Angus S. Macdonald, George Tzougas and George Streftaris

Black-box guided generalised linear model building with non-life pricing applications pp. 675-691

Mathias Lindholm and Johan Palmquist

Distill knowledge of additive tree models into generalized linear models: a new learning approach for non-smooth generalized additive models pp. 692-711

Arthur Maillart and Christian Robert

Smoothness and monotonicity constraints for neural networks using ICEnet pp. 712-739

Ronald Richman and Mario V. Wüthrich

Volume 18, issue 2, 2024

Epidemic modelling and actuarial applications for pandemic insurance: a case study of Victoria, Australia pp. 242-269

Chang Zhai, Ping Chen, Zhuo Jin and Tak Kuen Siu

Modeling and management of cyber risk: a cross-disciplinary review pp. 270-309

Rong He, Zhuo Jin and Johnny Siu-Hang Li

The discrete-time arbitrage-free Nelson-Siegel model: a closed-form solution and applications to mixed funds representation pp. 310-341

Ramin Eghbalzadeh, Frédéric Godin and Patrice Gaillardetz

GEMAct: a Python package for non-life (re)insurance modeling pp. 342-378

Gabriele Pittarello, Edoardo Luini and Manfred Marvin Marchione

DivFolio: a Shiny application for portfolio divestment in green finance wealth management pp. 379-422

Pasin Marupanthorn, Gareth W. Peters, Eric D. Ofosu-Hene, Christina S. Nikitopoulos and Kylie-Anne Richards

De-risking in multi-state life and health insurance pp. 423-441

Susanna Levantesi, Massimiliano Menzietti and Anna Kamille Nyegaard

Valuation of guaranteed minimum accumulation benefits (GMABs) with physics-inspired neural networks pp. 442-473

Donatien Hainaut

Package CovRegpy: Regularized covariance regression and forecasting in Python pp. 474-508

Cole van Jaarsveldt, Gareth W. Peters, Matthew Ames and Mike Chantler

Bonus-Malus Scale premiums for Tweedie’s compound Poisson models pp. 509-533

Jean-Philippe Boucher and Raïssa Coulibaly

Genetic testing and actuarial science – ERRATUM pp. 534-534

Angus S. Macdonald

Volume 18, issue 1, 2024

On Bayesian credibility mean for finite mixture distributions pp. 5-29

Ehsan Jahanbani, Amir T. Payandeh Najafabadi and Khaled Masoumifard

Neural networks for quantile claim amount estimation: a quantile regression approach pp. 30-50

Alessandro G. Laporta, Susanna Levantesi and Lea Petrella

Joint models for cause-of-death mortality in multiple populations pp. 51-77

Nhan Huynh and Mike Ludkovski

Portfolio management for insurers and pension funds and COVID-19: targeting volatility for equity, balanced, and target-date funds with leverage constraints pp. 78-101

Bao Doan, Jonathan J. Reeves and Michael Sherris

Detection and treatment of outliers for multivariate robust loss reserving pp. 102-125

Benjamin Avanzi, Mark Lavender, Greg Taylor and Bernard Wong

Lapse risk modeling in insurance: a Bayesian mixture approach pp. 126-151

Viviana G. R. Lobo, Thaís C. O. Fonseca and Mariane B. Alves

Individual life insurance during epidemics pp. 152-175

Laura Francis and Mogens Steffensen

Error propagation and attribution in simulation-based capital models pp. 176-204

Daniel J. Crispin

Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio pp. 205-236

Stefano Cotticelli and Nino Savelli

Volume 17, issue 3, 2023

An uncertainty-based risk management framework for climate change risk pp. 420-437

Rüdiger Kiesel and Gerhard Stahl

Plant growth stages and weather index insurance design pp. 438-458

Jing Zou, Martin Odening and Ostap Okhrin

Impact of combination methods on extreme precipitation projections pp. 459-478

Sébastien Jessup, Mélina Mailhot and Mathieu Pigeon

An assessment of model risk in pricing wind derivatives pp. 479-502

Giovani Gracianti, Rui Zhou, Johnny Siu-Hang Li and Xueyuan Wu

Pseudo-model-free hedging for variable annuities via deep reinforcement learning pp. 503-546

Wing Fung Chong, Haoen Cui and Yuxuan Li

How do empirical estimators of popular risk measures impact pro-cyclicality? pp. 547-579

Marcel Bräutigam and Marie Kratz

Auto-balanced common shock claim models pp. 580-605

Greg Taylor and Phuong Anh Vu

Package AdvEMDpy: Algorithmic variations of empirical mode decomposition in Python pp. 606-642

Cole van Jaarsveldt, Matthew Ames, Gareth W. Peters and Mike Chantler

Some comments on “A Hermite spline approach for modelling population mortality” by Tang, Li & Tickle (2022) pp. 643-646

Stephen J. Richards

Volume 17, issue 2, 2023

Eliminating proxy errors from capital estimates by targeted exact computation pp. 219-242

Daniel J. Crispin and Sam M. Kinsley

A Hermite spline approach for modelling population mortality pp. 243-284

Sixian Tang, Jackie Li and Leonie Tickle

Analysis of option-like fund performance fees in asset management via Monte Carlo actuarial distortion pricing pp. 285-327

Gareth W. Peters, Mantana Chudtong and Andrea De Gaetano

On impact of largest claims reinsurance treaties on the ceding company’s loss reserve pp. 328-357

Fatemeh Atatalab and Amir T Payandeh Najafabadi

Long-term option pricing with a lower reflecting barrier pp. 358-384

R. Guy Thomas

An attribution analysis of investment risk sharing in collective defined contribution schemes pp. 385-414

Andres Barajas-Paz and Catherine Donnelly

Volume 17, issue 1, 2023

SPLICE: a synthetic paid loss and incurred cost experience simulator pp. 7-35

Benjamin Avanzi, Greg Taylor and Melantha Wang

Bonus-Malus Scale models: creating artificial past claims history pp. 36-62

Jean-Philippe Boucher

The moments of the time of ruin in Sparre Andersen risk models pp. 63-82

David C.M. Dickson

Modelling the burden of long-term care for institutionalised elderly based on care duration and intensity pp. 83-117

Martin Bladt, Michel Fuino, Aleksandr Shemendyuk and Joël Wagner

Unbiased estimator for the ultimate claim prediction error in the chain-ladder model of Mack pp. 118-144

Filippo Siegenthaler

Panjer class revisited: one formula for the distributions of the Panjer (a,b,n) class pp. 145-169

Michael Fackler

Less-expensive long-term annuities linked to mortality, cash and equity pp. 170-207

Kevin Fergusson and Eckhard Platen

Benchmarks for the benchmark approach to valuing long-term insurance liabilities: comment on Fergusson & Platen (2023) pp. 208-211

Daniel Bauer